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.

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

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