{"repo":"mccaffers/backtesting-engine-cpp","free":true,"listed":false,"github":"https://github.com/mccaffers/backtesting-engine-cpp","clone":"git clone https://github.com/mccaffers/backtesting-engine-cpp.git","description":"Prototype of a high-performance C++ backtesting engine designed to analyse financial data and evaluate multiple trading strategies at scale.","language":"C++","stars":11,"topics":["backtesting","backtesting-engine","cpp","cpp20","trading"],"license":"MIT","category":"trading","readme_excerpt":"C++ Backtesting Engine Active development! Feel free to explore, but this code base is usable 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 — and to take the winners live. The engine is C++23 (modules, import std; ) and one binary with eight subcommands: - ingest — receives a UDP tick stream and writes it to QuestDB - load — expands a strategy parameter sweep and queues it in Redis - run — drains the queue, backtests against QuestDB ticks, reports results to Elasticsearch - experiments — expands a parameter sweep of occurrence-rate questions (\"price drops 1% in 10m, then recovers 0.5% in 10m — how often?\") and queues it in Redis, no strategy required - analysis — drains the experiment queue, counts pattern occurrences against QuestDB ticks, reports aggregate stats (rates, conditional completion, excursion quantiles) to Elasticsearch - live — takes the winning backtests from Elasticsearch and trades them live via the IG REST API - tracking — receives the IG account's deal/position updates over UDP, logs each one, archives closed deals in the Redis position book ( PO# → PH# , pruning the PL# list), and ships a live-trades document to Elasticsearch per deal - positions — mirrors the IG account's open positions into Redis every minute (the position book, strategy lists, and cluster-exposure sets the live engine reads) I'm extracting results and creating","default_branch":null,"files":null,"tree":[],"storefront":"/r/mccaffers","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/mccaffers/backtesting-engine-cpp/request-supported","requests":0},"note":"indexed from public GitHub; nothing is for sale on this page. Clone it from GitHub. Paid listings live at /search."}