https://github.com/mccaffers/backtesting-engine-cpp

I'm developing a high-performance C++ backtesting engine designed to analyze financial data and evaluate multiple trading strategies at scale.
https://github.com/mccaffers/backtesting-engine-cpp

backtesting backtesting-engine cpp cpp20 trading

Last synced: 9 months ago
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I'm developing a high-performance C++ backtesting engine designed to analyze financial data and evaluate multiple trading strategies at scale.

• Host: GitHub
• URL: https://github.com/mccaffers/backtesting-engine-cpp
• Owner: mccaffers
• License: mit
• Created: 2025-01-09T19:04:34.000Z (about 1 year ago)
• Default Branch: main
• Last Pushed: 2025-02-10T09:09:45.000Z (about 1 year ago)
• Last Synced: 2025-04-03T12:11:15.279Z (10 months ago)
• Topics: backtesting, backtesting-engine, cpp, cpp20, trading
• Language: C++
• Homepage: https://mccaffers.com/building_a_cpp_backtesting_engine/
• Size: 2.66 MB
• Stars: 2
• Watchers: 1
• Forks: 1
• Open Issues: 1
• Metadata Files:
  • Readme: README.md
  • License: LICENSE.MD

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README

          
## C++ Backtesting Engine

Active development!

Feel free to explore, but this code base is usuable at the moment.

### About The Project

I'm developing a high-performance C++ backtesting engine designed to analyze financial data and evaluate multiple trading strategies at scale.

[![Build](https://github.com/mccaffers/backtesting-engine-cpp/actions/workflows/sonarcloud.yml/badge.svg)](https://github.com/mccaffers/backtesting-engine-cpp/actions/workflows/sonarcloud.yml)  [![Bugs](https://sonarcloud.io/api/project_badges/measure?project=mccaffers_backtesting-engine-cpp&metric=bugs)](https://sonarcloud.io/summary/new_code?id=mccaffers_backtesting-engine-cpp) [![Code Smells](https://sonarcloud.io/api/project_badges/measure?project=mccaffers_backtesting-engine-cpp&metric=code_smells)](https://sonarcloud.io/summary/new_code?id=mccaffers_backtesting-engine-cpp) [![Coverage](https://sonarcloud.io/api/project_badges/measure?project=mccaffers_backtesting-engine-cpp&metric=coverage)](https://sonarcloud.io/summary/new_code?id=mccaffers_backtesting-engine-cpp)

I'm extracting results and creating various graphs for trend analyses using SciPy for calculations and Plotly for visualization.

![alt text](images/random-indices-sp500-variable.svg)

*Read more results on https://mccaffers.com/randomly_trading/*

## Setup

This backtesting engine can pull tick data from local files or from a Postgres database. I'm using QuestDB.

### Postgres Setup - Requires libpq-dev or its equivalent for your OS:

```

For Ubuntu/Debian systems: sudo apt-get install libpq-dev

On Red Hat Linux (RHEL) systems: yum install postgresql-devel

For Mac Homebrew: brew install postgresql

For OpenSuse: zypper in postgresql-devel

For ArchLinux: pacman -S postgresql-libs

```

### Postgres Setup (using C++20)

```

cd ./external/libpqxx

mkdir -p build

cd ./build

cmake ..

./configure CXXFLAGS="-std=c++20 -O3"

make

```

Xcode - Link Binary with Libraries (Source & Test)

```

./build/external/libpqxx/src/libpqxx-7.10.a

```

Xcode - Headers Path (for libpqxx and nlohmann/json)

``` 

"$(SRCROOT)/external/libpqxx/include/pqxx/internal"

"$(SRCROOT)/external/libpqxx/include/"

"$(SRCROOT)/external/"

```

Xcode - Library Path

```

"$(SRCROOT)/external/libpqxx/src"

"$(SRCROOT)/build/external/libpqxx/src"

"/opt/homebrew/Cellar/postgresql@14/14.15/lib/postgresql@14"

```

### Test the build

`sh ./scripts/build.sh`

### Run via terminal

`sh ./scripts/run.sh`

### Run via test via terminal

`sh ./scripts/test.sh`

### License

[MIT](https://choosealicense.com/licenses/mit/)