Because we use all the components, we will have a result that more closely corresponds to reality. One of the critical components is the market simulator (MarketSimulator.py). This component must have the same market assumptions. We can add the following parameters to the market simulator:

• Latency to send an acknowledgement
• Latency to send a fill
• An order filling condition
• A volatility filling condition
• A market making estimate

The advantages of the event-based backtester are as follows:

• Look-ahead bias elimination—since we receive events, we cannot look at the data ahead.
• Code encapsulation—because we use objects for the different parts of the trading system, we can just change the behavior of our trading system by changing the objects. The market simulation object is one such example.
• We can insert a position/risk management system and check whether we do not go against the limit.