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mccaffersCopilot
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10 create end to end trade management logic (#16)
* Added QuestDB tick streaming * Refactoring tick flow * Looping around tick data from multiple symbols * Update source/CMakeLists.txt Co-authored-by: Copilot <175728472+Copilot@users.noreply.github.com> * Apply suggestions from code review Co-authored-by: Copilot <175728472+Copilot@users.noreply.github.com> * Refactoring * fix run script, shell scopping behaviour was putting the build script in it's own child process * Update build os to target macos-latest * Update build os to target macos-latest * Updating github workflow os * Refactoring build pipeline * fixing workflow * Updating github workflow os * Updating github workflow os * Updating github workflow os * Updating github workflow os * Updating main flow, extracting the strategy to query questdB * Updating trade management operations * Refactoring operations flow * updated workflows and optimised build & test * updated workflow references * updated workflow references * updated workflow references * updated workflow references * update readme with new workflow badges * ignoring cpp:S2245 as it's just for testing * Refactoring to add in pip scalling * updated build to reference boost-decimal * refactoring to use decimal * Fixing test dependencies --------- Co-authored-by: Copilot <175728472+Copilot@users.noreply.github.com>
1 parent 3053960 commit 95310a0

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‎.github/workflows/build.yml‎

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@@ -47,7 +47,7 @@ jobs:
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-derivedDataPath "${RUNNER_TEMP}/Build/DerivedData"
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-parallelizeTargets
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-jobs "$(sysctl -n hw.logicalcpu)"
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HEADER_SEARCH_PATHS="./external/libpqxx/include/pqxx/internal ./external/libpqxx/include/ ./external/libpqxx/build/include/ ./external/"
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HEADER_SEARCH_PATHS="./external/libpqxx/include/pqxx/internal ./external/libpqxx/include/ ./external/libpqxx/build/include/ ./external/boost-decimal/include/ ./external/boost-decimal/include/decimal/ ./external/"
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LIBRARY_SEARCH_PATHS="./external/libpqxx/src/ ./external/libpqxx/build/src/"
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OTHER_LDFLAGS="-L./external/libpqxx/build/src -lpqxx -lpq -L$(brew --prefix pkgconf)/lib -L$(brew --prefix pkgconf)/lib/pkgconfig -L$(brew --prefix postgresql@18)/lib/postgresql -L$(brew --prefix postgresql@18)/lib/postgresql/pgxs -L$(brew --prefix postgresql@18)/lib/postgresql/pkgconfig"
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clean build test

‎.gitmodules‎

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@@ -1,3 +1,6 @@
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[submodule "external/libpqxx"]
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path = external/libpqxx
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url = https://github.com/jtv/libpqxx.git
4+
[submodule "external/boost-decimal"]
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path = external/boost-decimal
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url = https://github.com/boostorg/decimal

‎CMakeLists.txt‎

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@@ -57,9 +57,13 @@ if(APPLE)
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set(OpenMP_C_LIB_NAMES "omp")
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set(OpenMP_CXX_LIB_NAMES "omp")
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set(OpenMP_omp_LIBRARY /opt/homebrew/opt/libomp/lib/libomp.dylib)
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find_package(OpenMP REQUIRED)
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target_include_directories(BacktestingEngineLib PRIVATE /opt/homebrew/opt/libomp/include)
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endif()
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add_subdirectory(external/boost-decimal)
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target_link_libraries(BacktestingEngineLib PUBLIC Boost::decimal)
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find_package(OpenMP REQUIRED)
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target_link_libraries(BacktestingEngineLib PUBLIC pqxx OpenMP::OpenMP_CXX)
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‎README.md‎

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@@ -12,7 +12,7 @@ I'm developing a high-performance C++ backtesting engine designed to analyze fin
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I'm extracting results and creating various graphs for trend analyses using SciPy for calculations and Plotly for visualization.
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![alt text](images/random-indices-sp500-variable.svg)
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![alt text](documents/images/random-indices-sp500-variable.svg)
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*Read more results on https://mccaffers.com/randomly_trading/*
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‎backtesting-engine-cpp.xcodeproj/project.pbxproj‎

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MACOSX_DEPLOYMENT_TARGET = 26.0;
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HEADER_SEARCH_PATHS = (
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images/development_active.svg renamed to documents/images/development_active.svg

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images/random-indices-sp500-variable.svg renamed to documents/images/random-indices-sp500-variable.svg

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‎external/boost-decimal‎

Submodule boost-decimal added at e995162

‎include/models/priceData.hpp‎

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@@ -6,16 +6,20 @@
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#pragma once
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#include <chrono>
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#include <string>
9+
#include <boost/decimal.hpp>
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11+
// decimal64_t: 16 significant base-10 digits, no binary floating-point drift on
12+
// values like 1.23456. Closest C# analogue is System.Decimal (though decimal64_t
13+
// is 64-bit IEEE 754-2008 vs C#'s 128-bit type).
1014
struct PriceData {
11-
double ask;
12-
double bid;
15+
boost::decimal::decimal64_t ask;
16+
boost::decimal::decimal64_t bid;
1317
std::chrono::system_clock::time_point timestamp;
1418
std::string symbol;
1519

16-
// Constructor for easy creation
17-
PriceData(double ask, double bid, const std::chrono::system_clock::time_point& ts, const std::string& symbol)
20+
PriceData(boost::decimal::decimal64_t ask, boost::decimal::decimal64_t bid,
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const std::chrono::system_clock::time_point& ts, const std::string& symbol)
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: 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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PriceData() : ask(0), bid(0), timestamp{}, symbol("") {}
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};

‎include/models/symbolScale.hpp‎

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// Backtesting Engine in C++
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//
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// (c) 2026 Ryan McCaffery | https://mccaffers.com
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// This code is licensed under MIT license (see LICENSE.txt for details)
5+
// ---------------------------------------
6+
//
7+
// symbolScale.hpp — fast symbol -> pip-scale lookup.
8+
//
9+
// Given a symbol like "EURUSD" or "USDJPY", returns the integer scale
10+
// used to convert price differences into pips (e.g. 10000 for most FX
11+
// pairs, 100 for JPY pairs, 1 for indices/metals).
12+
//
13+
// Design goals (this is on the hot path of the backtester):
14+
// - No heap allocation, no hashing, no string parsing at runtime.
15+
// - The whole table is `constexpr`, so when the caller passes a string
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// literal the compiler can fold the lookup down to a single `mov`.
17+
// - Header-only on purpose: every translation unit sees the body of
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// `get()` and can inline it.
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//
20+
// C# analogy: think of this as a `static readonly Dictionary<string,int>`,
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// except the lookup is resolved at compile time when possible.
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#pragma once
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// <array> — std::array<T, N> is a fixed-size, stack-allocated array
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// with an STL-style interface. Like a C# fixed-size buffer
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// but type-safe and bounds-checkable.
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// <string_view> — std::string_view is a non-owning view over an existing
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// string's characters: a (const char* + length) pair. It
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// does NOT allocate or copy. Closest C# equivalent is
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// ReadOnlySpan<char>. Use it for parameters that read but
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// don't store the string.
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#include <array>
33+
#include <string_view>
34+
35+
// `namespace` is C++'s scoping construct. `symbol_scale::get(...)` is
36+
// the fully qualified name from outside this namespace.
37+
namespace symbol_scale {
38+
39+
// A plain "POD" (plain old data) record. No constructors needed — we use
40+
// brace-initialization below. `string_view` is safe to store here because
41+
// the strings it points to are static string literals with program-long
42+
// lifetime.
43+
struct Entry {
44+
std::string_view symbol;
45+
int scale;
46+
};
47+
48+
// Three keywords doing three different jobs on this one declaration:
49+
// - `inline` : tells the linker "if you see this defined in multiple
50+
// .cpp files (because it's in a header), that's fine —
51+
// they're all the same thing." Required for variables
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// defined in headers since C++17.
53+
// - `constexpr` : the value is computable at compile time. The whole
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// table lives in read-only program memory and the
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// compiler can use it during constant evaluation.
56+
// - `std::array<Entry, 29>` : 29 Entry objects laid out contiguously
57+
// in memory — great for CPU cache locality during the
58+
// binary search below.
59+
//
60+
// IMPORTANT: this table MUST stay sorted ascending by symbol. The
61+
// `static_assert` below enforces that at compile time.
62+
inline constexpr std::array<Entry, 29> kTable{{
63+
{"AUDNZD", 10000},
64+
{"AUDUSD", 10000},
65+
{"AUSIDXAUD", 1},
66+
{"BRENTCMDUSD", 1},
67+
{"COPPERCMDUSD", 1},
68+
{"DEUIDXEUR", 1},
69+
{"EURAUD", 10000},
70+
{"EURCHF", 10000},
71+
{"EURGBP", 10000},
72+
{"EURJPY", 100},
73+
{"EURNOK", 10000},
74+
{"EURUSD", 10000},
75+
{"FRAIDXEUR", 1},
76+
{"GBPJPY", 100},
77+
{"GBPUSD", 10000},
78+
{"GBRIDXGBP", 1},
79+
{"HKGIDXHKD", 1},
80+
{"JPNIDXJPY", 1},
81+
{"LIGHTCMDUSD", 1},
82+
{"NZDUSD", 10000},
83+
{"USA30IDXUSD", 1},
84+
{"USA500IDXUSD", 1},
85+
{"USATECHIDXUSD", 1},
86+
{"USDCAD", 10000},
87+
{"USDCHF", 10000},
88+
{"USDJPY", 100},
89+
{"USDSEK", 10000},
90+
{"XAGUSD", 1},
91+
{"XAUUSD", 1},
92+
}};
93+
94+
// Compile-time invariant check. The pattern is an IIFE — Immediately
95+
// Invoked Function Expression. We declare a lambda `[]{ ... }` and
96+
// then invoke it with `()`, all in one expression. This lets us run
97+
// real logic (a loop) inside `static_assert`, which only accepts a
98+
// boolean expression.
99+
//
100+
// If a future maintainer adds an entry in the wrong place, compilation
101+
// fails with the message below — far better than a silently broken
102+
// binary search.
103+
static_assert([] {
104+
for (std::size_t i = 1; i < kTable.size(); ++i) {
105+
if (!(kTable[i - 1].symbol < kTable[i].symbol)) return false;
106+
}
107+
return true;
108+
}(), "symbol_scale::kTable must be sorted ascending by symbol — binary search depends on it");
109+
110+
// Sentinel returned for unknown symbols. Multiplying a real price by 0
111+
// will produce an obviously-wrong result, which fails loudly rather
112+
// than corrupting silently.
113+
inline constexpr int kUnknown = 0;
114+
115+
// `[[nodiscard]]` : compiler warning if the caller ignores the returned
116+
// value (this function has no other purpose, so
117+
// ignoring the result is almost always a bug).
118+
// `constexpr` : callable at compile time. When the symbol is a
119+
// literal known to the compiler, the entire binary
120+
// search is folded away and the result becomes a
121+
// constant in the generated assembly.
122+
// `noexcept` : promises this function will not throw. Lets the
123+
// compiler skip exception-handling bookkeeping at
124+
// call sites.
125+
// Parameter is `std::string_view` (by value — it's just a pointer +
126+
// length, cheap to copy) so callers can pass `std::string`, string
127+
// literals, or `const char*` without converting or allocating.
128+
[[nodiscard]] constexpr int get(std::string_view symbol) noexcept {
129+
// Standard binary search over the sorted table.
130+
// `lo` and `hi` are the half-open range [lo, hi) of indices still
131+
// in play. Each iteration halves the range, so for 29 entries we
132+
// do at most 5 iterations.
133+
std::size_t lo = 0;
134+
std::size_t hi = kTable.size();
135+
while (lo < hi) {
136+
// `lo + ((hi - lo) >> 1)` is the overflow-safe way to compute
137+
// the midpoint. `(lo + hi) / 2` would be wrong if the indices
138+
// were near std::size_t's max; not a real risk here, but it's
139+
// the canonical idiom worth learning. `>> 1` is just `/ 2`.
140+
const std::size_t mid = lo + ((hi - lo) >> 1);
141+
const auto& entry = kTable[mid];
142+
143+
// Three-way compare on the symbol. `string_view::operator<`
144+
// does a lexicographic comparison (essentially memcmp).
145+
if (entry.symbol < symbol) {
146+
lo = mid + 1; // target is in the upper half
147+
} else if (symbol < entry.symbol) {
148+
hi = mid; // target is in the lower half
149+
} else {
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return entry.scale; // exact match
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}
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}
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return kUnknown;
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}
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} // namespace symbol_scale

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