libbacktesting

KO | EN

gitlite — search

#ai #llm #go #rust #deep-learning #linux #docker #windows #awesome #cli #vue #pytorch #mcp #open-source

(★ 11)

C written library to build strategies for automated trading. (BSD)

libbacktesting Latest Version Download

Download Latest Version (.zip)

// repository documentation

Was this content helpful?

★ 0 (0 ratings)

@author: Jorge Niedbalski R. <jnr@pyrosome.org>

Build Status
============
[![Build Status](https://travis-ci.org/niedbalski/libbacktesting.png?branch=master)](https://travis-ci.org/niedbalski/libbacktesting)

LibBacktesting
==============

Open-source (BSD Licensed) library useful to test trading strategies using back testing. This library has been
written in plain C to allow and motivate other language bindings.

- Strategies can be written in LUA just by using a callback mechanism.
- The library exposes plot routines to draw strategies results.
- The library offers a collection of already-tested strategies written as LUA scripts
- Will be possible in the near-future to implement direct connection to some brokers in order to put real trade positions
- using this library.

Description
===========

The library is composed of the following 3 components:

1. **The feed/file loader**: Loads a stream of ticks from a stream source or directly
  from a CSV/TXT file.

*Example of usage*: Creates a new csv loader and set 2 price conditions for each found tick.
  
  ```C
  
  #include <backtest.h>
  
  int main(void) {
      int r;
      r  = backtest_file_init("/home/user/forex-data.csv", BACKTEST_FILE_CSV);
      
      if ( r == -1 ) 
         return -1;

backtest_add_price_condition(LOWER_THAN, 100.00);
      backtest_add_price_condition(GREATER_AND_EQUALS_TO, 50.00);
      
      backtest_file_destroy();
  }
  ```

2. **LUA strategies**: Everytime a tick is yield on the file loader, the following
  callbacks lua callbacks are invoked:
  
      1. **on_tick** : is called when a new tick passing the price conditions is found.
      2. **on_new_position** : is called before a new position is gonna be submitted to the trading system.
      3. **on_position**: is called after a new position is submitted to the trading system.
      4. **on_exit_position**: is called when a position is closed
  
  *Example of usage*: Load a LUA strategy file, the method *backtest_lua_hook* calls the binded callback
  inside the LUA file.

```C
  
  #include <backtest.h>
  
  int main(void) {
      backtest_lua_init("./strategies/3-sma-average.lua")
      
      backtest_lua_hook("on_hook", 100.0);
      backtest_lua_hook("on_exit_position");
      
      //free and destroy resources
      backtest_lua_destroy();
  }
  ```
  
  Once you defined your hooks, you need to write the LUA plugin "3-sma-average.lua" :
  
  ```lua
  function on_tick(tick_value)
      io.write(string.format("Passed value: %s\n", tick_value))
  end

function on_exit_position(position)
      io.write(string.format("Closed at value: %s\n", position.closed_at()))
  end
  
  ```
  
  3. **Bind**: Once you define your *Strategy* and creates a *Tick feed* you need to 
  bind and start simulating trades.

*Example of usage*: Get the context of the LUA strategy and the CSV loader, then start
  the strategy from 500 ticks from now timestamp.

```C
  #include <backtest.h>
  
  int main(void) {
      binded = backtest_bind(backtest_lua_get_ctx(), backtest_file_get_ctx());
      binded->start(-500); // start since -500 ticks , calculate this :)
  }
  ```

4. **Trading API**: Not ready yet.
  5. **Plots**: Not ready yet

libbacktesting

libbacktesting Latest Version Download

Today's picks

Was this content helpful?

Recent Feedback

libbacktesting

libbacktesting Latest Version Download

Today's picks

Was this content helpful?

Recent Feedback

Download README