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.

Clone with submodules

The project depends on two vendored libraries (libpqxx and boost-decimal) tracked as git submodules under external/. If you didn't clone with --recurse-submodules, run:

git submodule update --init --recursive

scripts/build_dep.sh does this for you on first run.

Install libpq (required by libpqxx)

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

Build dependencies

libpqxx is built once via CMake. boost-decimal is header-only and pulled in via add_subdirectory from the top-level CMakeLists.txt — nothing to build. The script below handles the libpqxx build:

bash ./scripts/build_dep.sh

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"

Build the project

bash ./scripts/build.sh

Run via terminal

bash ./scripts/run.sh

Run tests via terminal

bash ./scripts/test.sh

Contributing

This is an active solo experiment, so I'm not accepting pull requests right now — but please fork freely and use GitHub Issues for bugs, questions, and ideas. See CONTRIBUTING.md for details.

License

MIT