upload

copy_header.py

@@ -37,6 +37,8 @@ def Copy():
       continue
     shutil.copy(header_path+f, target_path)
     print('copying %s to %s' % (header_path+f, target_path))
+  if not os.path.exists("./lib-hft/lib/libnick.so"):
+    return
   shutil.copy("./lib-hft/lib/libnick.so", './external/common/lib')
 
 if __name__ == '__main__':

external/common/include/core/backtest_container.h

@@ -0,0 +1,146 @@
+#ifndef BACKTEST_CONTAINER_H_
+#define BACKTEST_CONTAINER_H_
+
+#include <unordered_map>
+#include <map>
+#include <utility>
+#include <string>
+#include <vector>
+
+#include <libconfig.h++>
+
+#include "core/backtester.h"
+#include "util/ThreadPool.h"
+#include "util/time_controller.h"
+#include "util/zmq_sender.hpp"
+#include "util/zmq_recver.hpp"
+#include "util/dater.h"
+#include "util/history_worker.h"
+#include "util/contract_worker.h"
+#include "util/common_tools.h"
+#include "struct/market_snapshot.h"
+
+
+
+class BacktestContainer {
+ public:
+  BacktestContainer();
+  ~BacktestContainer();
+
+  void Run() {
+    auto file_v = GetBacktestFile();
+    BTConfig bt_config = LoadConfig();
+    ThreadPool pool(6);
+    for (auto i : file_v) {
+      pool.enqueue(RunBacktest, bt_config, i.first, i.second);
+    }
+  }
+
+ private:
+  struct BTConfig {
+    std::string fixed_path;
+    std::string backtest_outputdir;
+    std::string start_date;
+    int period;
+    std::string test_mode;
+    ContractWorker* strat_cw;
+    ContractWorker* cw;
+    TimeController* tc;
+    inline std::tuple<ZmqSender<MarketSnapshot> *, ZmqSender<Order> *, std::ofstream*> GenSender(const std::string& date) {
+      std::string ui_address = "backtest_ui_" + date;
+      std::string order_address = "order_sender_" + date;
+      std::string ui_file = backtest_outputdir + "/mid_" + date + ".dat";
+      std::string order_file = backtest_outputdir + "/order_" + date + ".dat";
+      return std::make_tuple(new ZmqSender<MarketSnapshot>(ui_address, "bind", "ipc", ui_file), new ZmqSender<Order>(order_address, "connect",  "ipc", order_file), new std::ofstream(backtest_outputdir + "/exchange_" + date + ".dat", ios::out | ios::binary));
+    }
+    inline HistoryWorker* GenHw(const std::string & date) {
+      return new HistoryWorker(Dater::FindOneValid(date, -20, fixed_path));
+    }
+  } bt_config;
+
+  static BTConfig LoadConfig() {
+    std::string default_path = GetDefaultPath();
+    libconfig::Config param_cfg;
+    std::string config_path = default_path + "/hft/config/backtest/backtest.config";
+    std::string contract_config_path = default_path + "/hft/config/contract/bk_contract.config";
+    param_cfg.readFile(config_path.c_str());
+    BTConfig bt_config;
+    try {
+      std::string fixed_path = param_cfg.lookup("fixed_path");
+      std::string start_date = param_cfg.lookup("start_date");
+      std::string backtest_outputdir = param_cfg.lookup("backtest_outputdir");
+      std::string test_mode = param_cfg.lookup("test_mode");
+      EnsureDir(backtest_outputdir);
+      Dater dt;
+      if (start_date == "today") {
+        start_date = dt.GetDate();
+      }
+      if (start_date == "yesterday") {
+        start_date = dt.GetDate("", -1);
+      }
+      int period = param_cfg.lookup("period");
+      bt_config.backtest_outputdir = backtest_outputdir;
+      bt_config.fixed_path = fixed_path;
+      bt_config.start_date = start_date;
+      bt_config.period = period;
+      bt_config.test_mode = test_mode;
+    } catch(const libconfig::SettingNotFoundException &nfex) {
+      printf("Setting '%s' is missing", nfex.getPath());
+      exit(1);
+    } catch(const libconfig::SettingTypeException &tex) {
+      printf("Setting '%s' has the wrong type", tex.getPath());
+      exit(1);
+    } catch (const std::exception& ex) {
+      printf("EXCEPTION: %s\n", ex.what());
+      exit(1);
+    }
+    std::string time_config_path = default_path + "/hft/config/prod/time.config";
+    bt_config.tc = new TimeController(time_config_path);
+    bt_config.cw = new ContractWorker(contract_config_path);
+    bt_config.strat_cw = new ContractWorker(config_path, "strategy");
+    return bt_config;
+  }
+
+  std::map<std::string, std::string> GetBacktestFile() {
+    auto dt = Dater();
+    return dt.GetValidMap(bt_config.start_date, bt_config.period, bt_config.fixed_path);
+  }
+
+  static std::unordered_map<std::string, std::vector<BaseStrategy*> > GetStratMap(BTConfig bt_config, std::string date) {
+    std::unordered_map<std::string, std::vector<BaseStrategy*> > ticker_strat_map;
+    ZmqSender<MarketSnapshot> * data_sender;
+    ZmqSender<Order> * order_sender;
+    std::ofstream* f;
+    StrategyMode::Enum mode;
+    if (bt_config.test_mode == "test") {
+      mode = StrategyMode::PlainTest;
+    } else if (bt_config.test_mode == "nexttest") {
+      mode = StrategyMode::NextTest;
+    } else {
+      throw std::invalid_argument(bt_config.test_mode.c_str());
+    }
+    std::tie(data_sender, order_sender, f) = bt_config.GenSender(date);
+    for (auto ticker : bt_config.strat_cw->GetTicker()) {
+      const libconfig::Setting & p = bt_config.strat_cw->Lookup(ticker);
+      // auto s = new Strategy(p, &ticker_strat_map, data_sender, order_sender, bt_config.tc, bt_config.cw, bt_config.GenHw(date), date, mode, f);
+      // s->Print();
+    }
+    return ticker_strat_map;
+  }
+
+  virtual void InitStrategy(std::unordered_map<std::string, std::vector<BaseStrategy*> >) {
+
+  }
+
+  static void RunBacktest(BTConfig bt_config, const std::string& date, const std::string& f) {
+    TimeController tc;
+    tc.StartTimer();
+    auto tsm = GetStratMap(bt_config, date);
+    Backtester bt(tsm);
+    bt.LoadData(f);
+    tc.EndTimer("Run@" + date);
+  }
+
+};
+
+#endif // BACKTEST_CONTAINER_H_