upload new backtester

config/backtest/backtest.config

@@ -111,7 +111,8 @@ strategy = (
 
 // start_date = "today";
 // start_date = "yesterday";
-start_date = "today"
+test_mode = "test";
+start_date = "2020-03-17"
 period = 1;
 matcher_mode = "python";
 message_line = 100000;

external/common/include/core/backtester.h

@@ -11,7 +11,7 @@ class Backtester : public DataHandler {
 
   ~Backtester();
 
-  void HandleShot(MarketSnapshot* shot) override;
+  void HandleShot(MarketSnapshot* this_shot, MarketSnapshot* next_shot) override;
 
  private:
   BaseStrategy * bs;

external/common/include/core/base_strategy.h

@@ -35,6 +35,7 @@ class BaseStrategy {
   virtual void Start() = 0;
   virtual void Stop() = 0;
   void UpdateData(const MarketSnapshot& shot);
+  void UpdateData(const MarketSnapshot& this_shot, const MarketSnapshot& next_shot);
   void UpdateExchangeInfo(const ExchangeInfo& info);
   void RequestQryPos();
   virtual void Print() const;
@@ -71,6 +72,7 @@ class BaseStrategy {
   ShmSender<Order>* order_sender;
   Sender<MarketSnapshot>* ui_sender;
   unordered_map<std::string, MarketSnapshot> shot_map;
+  unordered_map<std::string, MarketSnapshot> next_shot_map;
   unordered_map<std::string, Order*> order_map;
   unordered_map<std::string, Order*> sleep_order_map;
   unordered_map<std::string, int> position_map;

external/common/include/util/data_handler.h

@@ -1,6 +1,7 @@
 #ifndef DATA_HANDLER_H_
 #define DATA_HANDLER_H_
 #include <iostream>
+#include <unordered_map>
 #include <string>
 #include <zlib.h>
 #include "struct/market_snapshot.h"
@@ -12,7 +13,9 @@ class DataHandler {
   DataHandler();
   ~DataHandler();
   void LoadData(const std::string& file_path);
-  virtual void HandleShot(MarketSnapshot* shot) = 0;
+  virtual void HandleShot(MarketSnapshot* this_shot, MarketSnapshot* next_shot) = 0;
+ private:
+  std::unordered_map<std::string, MarketSnapshot> lastshot_map;
 };
 
 #endif // DATA_HANDLER_H_

external/common/include/util/shm_worker.hpp

@@ -26,6 +26,7 @@ class ShmWorker {
   }
 
   virtual ~ShmWorker() {
+    printf("shmworker deconstructor called\n");
     shmdt(m_data);
     if (create_new) {
       shmctl(shmid, IPC_RMID, 0);
@@ -62,6 +63,10 @@ class ShmWorker {
       printf("errno is %s\n", strerror(errno));
       if (errno == ENOENT || errno == EINVAL) {
         shmid = shmget(m_key, header_size+sizeof(T)*size, 0666 | IPC_CREAT | O_EXCL);
+        if (shmid == -1) {
+          printf("both connet and create are failed for shm\n");
+          exit(1);
+        }
         printf("creating new shm\n");
         create_new = true;
         m_data = (char*)shmat(shmid, NULL, 0);

src/backtest/main.cpp

@@ -36,6 +36,7 @@ std::pair< std::unordered_map<std::string, std::vector<BaseStrategy*> >, std::ve
 
   Dater dt;
   std::string start_date = param_cfg.lookup("start_date");
+  std::string test_mode = param_cfg.lookup("test_mode");
   if (start_date == "today") {
     start_date = dt.GetDate();
   }
@@ -53,7 +54,7 @@ std::pair< std::unordered_map<std::string, std::vector<BaseStrategy*> >, std::ve
       if (param_setting.exists("no_close_today")) {
         no_close_today = param_setting["no_close_today"];
       }
-      auto s = new Strategy(param_setting, &ticker_strat_map, ui_sender.get(), order_sender.get(), &hw, "test", no_close_today);
+      auto s = new Strategy(param_setting, &ticker_strat_map, ui_sender.get(), order_sender.get(), &hw, test_mode, no_close_today);
       s->Print();
     }
   } catch(const libconfig::SettingNotFoundException &nfex) {

src/simplearb/strategy.cpp

@@ -32,7 +32,7 @@ void Strategy::RunningSetup(std::unordered_map<std::string, std::vector<BaseStra
   shot_map[hedge_ticker] = shot;
   avgcost_map[main_ticker] = 0.0;
   avgcost_map[hedge_ticker] = 0.0;
-  if (mode == "test") {
+  if (mode == "test" || mode == "nexttest") {
     position_ready = true;
   }
 }
@@ -178,13 +178,26 @@ void Strategy::DoOperationAfterCancelled(Order* o) {
 }
 
 double Strategy::OrderPrice(const std::string & ticker, OrderSide::Enum side, bool control_price) {
-  if (ticker == hedge_ticker) {
-    return (side == OrderSide::Buy)?shot_map[hedge_ticker].asks[0]:shot_map[hedge_ticker].bids[0];
-  } else if (ticker == main_ticker) {
-    return (side == OrderSide::Buy)?shot_map[main_ticker].asks[0]:shot_map[main_ticker].bids[0];
+  if (mode == "nexttest") {
+    if (ticker == hedge_ticker) {
+      printf("[%s] %s: %lf %lf ->> %lf %lf\n", hedge_ticker.c_str(), OrderSide::ToString(side), shot_map[hedge_ticker].asks[0], shot_map[hedge_ticker].bids[0], next_shot_map[hedge_ticker].asks[0], next_shot_map[hedge_ticker].bids[0]);
+      return (side == OrderSide::Buy)?next_shot_map[hedge_ticker].asks[0]:next_shot_map[hedge_ticker].bids[0];
+    } else if (ticker == main_ticker) {
+      printf("[%s] %s: %lf %lf ->> %lf %lf\n", main_ticker.c_str(), OrderSide::ToString(side), shot_map[main_ticker].asks[0], shot_map[main_ticker].bids[0], next_shot_map[main_ticker].asks[0], next_shot_map[main_ticker].bids[0]);
+      return (side == OrderSide::Buy)?next_shot_map[main_ticker].asks[0]:next_shot_map[main_ticker].bids[0];
+    } else {
+      printf("error ticker %s\n", ticker.c_str());
+      return -1.0;
+    }
   } else {
-    printf("error ticker %s\n", ticker.c_str());
-    return -1.0;
+    if (ticker == hedge_ticker) {
+      return (side == OrderSide::Buy)?shot_map[hedge_ticker].asks[0]:shot_map[hedge_ticker].bids[0];
+    } else if (ticker == main_ticker) {
+      return (side == OrderSide::Buy)?shot_map[main_ticker].asks[0]:shot_map[main_ticker].bids[0];
+    } else {
+      printf("error ticker %s\n", ticker.c_str());
+      return -1.0;
+    }
   }
 }
 
@@ -316,7 +329,7 @@ void Strategy::CloseLogic() {
   }
 
   if (TimeUp()) {
-    printf("[%s %s] holding time up, start from %ld, now is %ld, max_hold is %d close diff is %lf force to close position!\n", main_ticker.c_str(), hedge_ticker.c_str(), build_position_time, mode == "test" ? shot_map[main_ticker].time.tv_sec : m_tc.CurrentInt(), max_holding_sec, GetPairMid());
+    printf("[%s %s] holding time up, start from %ld, now is %ld, max_hold is %d close diff is %lf force to close position!\n", main_ticker.c_str(), hedge_ticker.c_str(), build_position_time, mode == "test" || mode == "nexttest" ? shot_map[main_ticker].time.tv_sec : m_tc.CurrentInt(), max_holding_sec, GetPairMid());
     ForceFlat();
     return;
   }
@@ -387,7 +400,7 @@ void Strategy::DoOperationAfterUpdateData(const MarketSnapshot& shot) {
   current_spread = shot_map[main_ticker].asks[0] - shot_map[main_ticker].bids[0] + shot_map[hedge_ticker].asks[0] - shot_map[hedge_ticker].bids[0];
   if (IsAlign()) {
     double mid = GetPairMid();
-    if (mode != "test") {
+    if (mode != "test" && mode != "nexttest") {
       printf("%ld [%s, %s]mid_diff is %lf\n", shot.time.tv_sec, main_ticker.c_str(), hedge_ticker.c_str(), mid_map[main_ticker]-mid_map[hedge_ticker]);
     }
     if (ss == StrategyStatus::Training) {
@@ -529,7 +542,7 @@ void Strategy::UpdateBound(OrderSide::Enum side) {
 }
 
 void Strategy::HandleTestOrder(Order* o) {
-  if (mode != "test") {
+  if (mode != "test" && mode != "nexttest") {
     return;
   }
   ExchangeInfo info;