upload

config/backtest/backtest.config

@@ -125,8 +125,8 @@ strategy = (
 // start_date = "yesterday";
 // test_mode = "nexttest";
 test_mode = "nexttest";
-start_date = "today";
-period = 1;
+start_date = "2019-01-03";
+period = 1000;
 
 order_file = "order_backtest.dat";
 exchange_file = "exchange_backtest.dat";

external/common/include/struct/exchange_info.h

@@ -10,14 +10,15 @@
 // #include "wrapstruct.h"
 
 struct ExchangeInfo {
-  timeval time;
+  timeval show_time;
+  timeval shot_time;
   InfoType::Enum type;
   char ticker[MAX_CONTRACT_LENGTH];
   char order_ref[MAX_ORDERREF_SIZE];
   int trade_size;
   double trade_price;
-  char reason[EXCHANGE_INFO_SIZE];
   OrderSide::Enum side;
+  char reason[EXCHANGE_INFO_SIZE];
 
   ExchangeInfo()
     : trade_size(0),
@@ -26,14 +27,14 @@ struct ExchangeInfo {
 
   void ShowCsv(FILE* stream) const {
     char time_s[32];
-    snprintf(time_s, sizeof(time_s), "%ld.%ld", time.tv_sec, time.tv_usec);
+    snprintf(time_s, sizeof(time_s), "%ld.%06ld %ld.%06ld", show_time.tv_sec, show_time.tv_usec, shot_time.tv_sec, shot_time.tv_usec);
     double time_sec = atof(time_s);
     fprintf(stream, "%lf,%s,%s,%s,%d,%lf,%s,%s\n", time_sec, InfoType::ToString(type),ticker,order_ref,trade_size,trade_price,reason,OrderSide::ToString(side));
   }
 
   void Show(FILE* stream) const {
-    fprintf(stream, "%ld %06ld exchangeinfo %s |",
-            time.tv_sec, time.tv_usec, order_ref);
+    fprintf(stream, "%ld %06ld %ld %06ld exchangeinfo %s |",
+            show_time.tv_sec, show_time.tv_usec, shot_time.tv_sec, shot_time.tv_usec, order_ref);
     fprintf(stream, " %lf@%d %s %s %s\n", trade_price, trade_size, InfoType::ToString(type), ticker, OrderSide::ToString(side));
   }
 };

src/backtest/main.cpp

@@ -31,12 +31,12 @@ struct BTConfig {
   ContractWorker* strat_cw;
   ContractWorker* cw;
   TimeController* tc;
-  inline std::pair<Sender<MarketSnapshot> *, Sender<Order> *> GenSender(const std::string& date) {
+  inline std::tuple<Sender<MarketSnapshot> *, Sender<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_pair(new Sender<MarketSnapshot>(ui_address, "bind", "ipc", ui_file), new Sender<Order>(order_address, "connect",  "ipc", order_file));
+    return std::make_tuple(new Sender<MarketSnapshot>(ui_address, "bind", "ipc", ui_file), new Sender<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));
@@ -92,11 +92,14 @@ std::map<std::string, std::string> GetBacktestFile() {
 
 std::unordered_map<std::string, std::vector<BaseStrategy*> > GetStratMap(std::string date) {
   std::unordered_map<std::string, std::vector<BaseStrategy*> > ticker_strat_map;
-  auto senders = bt_config.GenSender(date);
+  Sender<MarketSnapshot> * data_sender;
+  Sender<Order> * order_sender;
+  std::ofstream* f;
+  std::tie(data_sender, order_sender, f) = bt_config.GenSender(date);
   auto hw = bt_config.GenHw(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, senders.first, senders.second, hw, bt_config.tc, bt_config.cw, bt_config.test_mode);
+    auto s = new Strategy(p, &ticker_strat_map, data_sender, order_sender, hw, bt_config.tc, bt_config.cw, bt_config.test_mode, f);
     s->Print();
   }
   return ticker_strat_map;