https://github.com/niedbalski/libbacktesting

C written library to build strategies for automated trading. (BSD)
https://github.com/niedbalski/libbacktesting

Last synced: 3 months ago
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C written library to build strategies for automated trading. (BSD)

• Host: GitHub
• URL: https://github.com/niedbalski/libbacktesting
• Owner: niedbalski
• Created: 2013-01-13T20:14:15.000Z (almost 12 years ago)
• Default Branch: master
• Last Pushed: 2013-11-10T01:51:31.000Z (about 11 years ago)
• Last Synced: 2024-05-02T00:20:50.909Z (8 months ago)
• Language: C
• Homepage:
• Size: 366 KB
• Stars: 10
• Watchers: 7
• Forks: 3
• Open Issues: 1
• Metadata Files:
  • Readme: README.md

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README

        
@author: Jorge Niedbalski R. 

Build Status

============

[![Build Status](https://travis-ci.org/niedbalski/libbacktesting.png?branch=master)](https://travis-ci.org/niedbalski/libbacktesting)

LibBacktesting

==============

Open-source (BSD Licensed) library useful to test trading strategies using back testing. This library has been

written in plain C to allow and motivate other language bindings.

- Strategies can be written in LUA just by using a callback mechanism.

- The library exposes plot routines to draw strategies results.

- The library offers a collection of already-tested strategies written as LUA scripts

- Will be possible in the near-future to implement direct connection to some brokers in order to put real trade positions

- using this library.

Description

===========

The library is composed of the following 3 components:

  1. **The feed/file loader**: Loads a stream of ticks from a stream source or directly

  from a CSV/TXT file.

  *Example of usage*: Creates a new csv loader and set 2 price conditions for each found tick.

  

  ```C

  

  #include 

  

  int main(void) {

      int r;

      r  = backtest_file_init("/home/user/forex-data.csv", BACKTEST_FILE_CSV);

      

      if ( r == -1 ) 

         return -1;

      backtest_add_price_condition(LOWER_THAN, 100.00);

      backtest_add_price_condition(GREATER_AND_EQUALS_TO, 50.00);

      

      backtest_file_destroy();

  }

  ```

  2. **LUA strategies**: Everytime a tick is yield on the file loader, the following

  callbacks lua callbacks are invoked:

  

      1. **on_tick** : is called when a new tick passing the price conditions is found.

      2. **on_new_position** : is called before a new position is gonna be submitted to the trading system.

      3. **on_position**: is called after a new position is submitted to the trading system.

      4. **on_exit_position**: is called when a position is closed

  

  *Example of usage*: Load a LUA strategy file, the method *backtest_lua_hook* calls the binded callback

  inside the LUA file.

  ```C

  

  #include 

  

  int main(void) {

      backtest_lua_init("./strategies/3-sma-average.lua")

      

      backtest_lua_hook("on_hook", 100.0);

      backtest_lua_hook("on_exit_position");

      

      //free and destroy resources

      backtest_lua_destroy();

  }

  ```

  

  Once you defined your hooks, you need to write the LUA plugin "3-sma-average.lua" :

  

  ```lua

  function on_tick(tick_value)

      io.write(string.format("Passed value: %s\n", tick_value))

  end

  function on_exit_position(position)

      io.write(string.format("Closed at value: %s\n", position.closed_at()))

  end

  

  ```

  

  3. **Bind**: Once you define your *Strategy* and creates a *Tick feed* you need to 

  bind and start simulating trades.

  *Example of usage*: Get the context of the LUA strategy and the CSV loader, then start

  the strategy from 500 ticks from now timestamp.

  ```C

  #include 

  

  int main(void) {

      binded = backtest_bind(backtest_lua_get_ctx(), backtest_file_get_ctx());

      binded->start(-500); // start since -500 ticks , calculate this :)

  }

  ```

  4. **Trading API**: Not ready yet.

  5. **Plots**: Not ready yet