pub fn run_backtest_with_liquidation<M, D>(
engine: &mut Engine<M, D>,
dt_years: f64,
liquidation_half_spread: f64,
) -> BacktestResultwhere
M: Matcher,
D: DataSource,Expand description
Run backtest with terminal liquidation applied uniformly at the end.
liquidation_half_spread is the half-spread cost per unit of residual
inventory: |final_q| * liquidation_half_spread is deducted from both
pnl_spread and final_equity so all strategies are evaluated on equal
footing regardless of whether they have their own terminal flattening logic.