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05435e4
Added QuestDB tick streaming
mccaffers 16fb2c3
Refactoring tick flow
mccaffers 3ba4cec
Looping around tick data from multiple symbols
mccaffers 46e720d
Update source/CMakeLists.txt
mccaffers 61309bd
Apply suggestions from code review
mccaffers 48a9a99
Refactoring
mccaffers fab3106
Merge branch '10-create-end-to-end-trade-management-logic' of github.…
mccaffers 85be15b
fix run script, shell scopping behaviour was putting the build script…
mccaffers cbc033d
Update build os to target macos-latest
mccaffers bb24f06
Update build os to target macos-latest
mccaffers 27f82f1
Updating github workflow os
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,5 @@ | ||
| Start QuestDB (on macOS) | ||
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| ``` | ||
| JAVA_HOME="/opt/homebrew/opt/openjdk@17" sh $HOME/dev/questdb/questdb.sh start -d $HOME/dev/questdb/data | ||
| ``` |
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -1,17 +1,21 @@ | ||
| // Backtesting Engine in C++ | ||
| // | ||
| // (c) 2025 Ryan McCaffery | https://mccaffers.com | ||
| // (c) 2026 Ryan McCaffery | https://mccaffers.com | ||
| // This code is licensed under MIT license (see LICENSE.txt for details) | ||
| // --------------------------------------- | ||
| #pragma once | ||
| #include <chrono> | ||
| #include <string> | ||
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| struct PriceData { | ||
| double value1; | ||
| double value2; | ||
| double ask; | ||
| double bid; | ||
| std::chrono::system_clock::time_point timestamp; | ||
| std::string symbol; | ||
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| // Constructor for easy creation | ||
| PriceData(double v1, double v2, const std::chrono::system_clock::time_point& ts) | ||
| : value1(v1), value2(v2), timestamp(ts) {} | ||
| PriceData(double ask, double bid, const std::chrono::system_clock::time_point& ts, const std::string& symbol) | ||
| : ask(ask), bid(bid), timestamp(ts), symbol(symbol) {} | ||
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| PriceData() : ask(0.0), bid(0.0), timestamp{}, symbol("") {} | ||
| }; |
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,15 @@ | ||
| // Backtesting Engine in C++ | ||
| // | ||
| // (c) 2026 Ryan McCaffery | https://mccaffers.com | ||
| // This code is licensed under MIT license (see LICENSE.txt for details) | ||
| // --------------------------------------- | ||
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| #pragma once | ||
| #include <vector> | ||
| #include "models/priceData.hpp" | ||
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| class Operations { | ||
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| public: | ||
| static void run(const std::vector<PriceData>& priceData); | ||
| }; |
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,11 @@ | ||
| cd ./external/libpqxx | ||
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| mkdir -p build | ||
| cd ./build | ||
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| export PATH="$(brew --prefix libpq)/bin:$PATH" | ||
| export PKG_CONFIG_PATH="$(brew --prefix libpq)/lib/pkgconfig:$PKG_CONFIG_PATH" | ||
| export PostgreSQL_ROOT="$(brew --prefix libpq)" | ||
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| cmake .. -DCMAKE_CXX_STANDARD=20 -DCMAKE_BUILD_TYPE=Release | ||
| make | ||
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,70 @@ | ||
| cmake_minimum_required(VERSION 3.30) | ||
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| # CMAKE_OSX_SYSROOT is a macOS-specific setting that specifies the SDK path. | ||
| # Only query and set it on Apple platforms, where xcrun is expected to exist. | ||
| if(APPLE) | ||
| execute_process( | ||
| COMMAND xcrun --show-sdk-path | ||
| OUTPUT_VARIABLE CMAKE_OSX_SYSROOT | ||
| OUTPUT_STRIP_TRAILING_WHITESPACE | ||
| ) | ||
| endif() | ||
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| project(BacktestingEngine) | ||
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| # Set the C++ standard | ||
| set(CMAKE_CXX_STANDARD 20) | ||
| set(CMAKE_CXX_STANDARD_REQUIRED ON) | ||
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| # Configure libpqxx build | ||
| set(PQXX_LIBRARIES_INSTALL ON) | ||
| set(SKIP_BUILD_TEST ON) | ||
| set(SKIP_CONFIGURE_LIBPQXX OFF) | ||
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| # Disable warningsfor external libraries | ||
| set(PREV_CMAKE_CXX_FLAGS ${CMAKE_CXX_FLAGS}) | ||
| if(CMAKE_CXX_COMPILER_ID MATCHES "Clang|GNU") | ||
| set(CMAKE_CXX_FLAGS "${CMAKE_CXX_FLAGS} -w") | ||
| elseif(MSVC) | ||
| set(CMAKE_CXX_FLAGS "${CMAKE_CXX_FLAGS} /w") | ||
| endif() | ||
|
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| # Quiet CMAKE output | ||
| set(CMAKE_INSTALL_MESSAGE NEVER) | ||
| set(CMAKE_MESSAGE_LOG_LEVEL "WARNING") | ||
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| # Build libpqxx from source | ||
| add_subdirectory(external/libpqxx EXCLUDE_FROM_ALL) | ||
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| # Include directories | ||
| include_directories( | ||
| ${CMAKE_SOURCE_DIR}/include | ||
| ${CMAKE_SOURCE_DIR}/include/utilities | ||
| ${CMAKE_SOURCE_DIR}/include/models | ||
| ${CMAKE_SOURCE_DIR}/include/trading | ||
| ${CMAKE_SOURCE_DIR}/include/trading_definitions | ||
| ${CMAKE_SOURCE_DIR}/external | ||
| ) | ||
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| # Collect all .cpp files in the src directory | ||
| file(GLOB_RECURSE SOURCES "source/*.cpp") | ||
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| # Create a library of your project's code | ||
| add_library(BacktestingEngineLib STATIC ${SOURCES}) | ||
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| # Replace find_package(OpenMP REQUIRED) with this: | ||
| if(APPLE) | ||
| set(OpenMP_C_FLAGS "-Xclang -fopenmp") | ||
| set(OpenMP_CXX_FLAGS "-Xclang -fopenmp") | ||
| set(OpenMP_C_LIB_NAMES "omp") | ||
| set(OpenMP_CXX_LIB_NAMES "omp") | ||
| set(OpenMP_omp_LIBRARY /opt/homebrew/opt/libomp/lib/libomp.dylib) | ||
| find_package(OpenMP REQUIRED) | ||
| target_include_directories(BacktestingEngineLib PRIVATE /opt/homebrew/opt/libomp/include) | ||
| endif() | ||
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| target_link_libraries(BacktestingEngineLib PUBLIC pqxx OpenMP::OpenMP_CXX) | ||
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| # Main executable | ||
| add_executable(BacktestingEngine source/main.cpp) | ||
| target_link_libraries(BacktestingEngine BacktestingEngineLib) | ||
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This script is missing a shebang (e.g.,
#!/bin/bashor#!/usr/bin/env bash). As-is, running it directly (instead ofsh scripts/build_dep.sh) may fail depending on permissions/default shell. Add a shebang and considerset -euo pipefailso dependency builds fail fast.