OPBT SDK · 08
Result semantics
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08
Result semantics
Funding cashflow#
formula
cashflow = −qty × reference_price × rate # reference_price = close of the last bar available before settlement # e.g. −5 BTC short, rate = +0.01% ⇒ cashflow = +0.0005 × ref (short earns)
Matching & fees#
| Historical market fill | next-decision IOC; target bar open ± configured market slippage and Taker fee; rejected when that instrument has no bar |
| Paper market fill | completed bars and schedules trigger decisions; a fresh OnePort BBO determines the isolated simulated fill, and an unavailable quote rejects the order |
| Paper limit state | evaluated from current observations without claiming exchange queue position or venue-equivalent execution |
| Marking | full-margin mark-to-market; exact for spot, equivalent approximation for linear perps |
| Leverage cap | per-run setting; default 3x; 0 < leverage <= 10x; exposure increases above the cap are rejected, reductions always pass |
| Reproducibility | frozen code, parameters and dataset references support repeatable review |
Metrics#
Annualization follows the 365-day crypto convention. Sharpe is annualized from bar-frequency returns. Max drawdown is peak-to-trough on the equity curve. Funding PnL is reported separately from fees.
Report views#
Reports separate performance, downside and tail risk, drawdown episodes, rolling 1M/3M/12M windows, monthly and annual returns, daily-return distribution, trading activity, execution costs and exposure. Each metric carries its sample status and methodology.