Removing OHLC_RSI for the moment, and focusing on a Random Trading Strategy

Author: mccaffers

scripts/arguments/build.sh

@@ -5,7 +5,7 @@ json='{
   "STRATEGY": {
       "UUID": "",
       "TRADING_VARIABLES": {
-          "STRATEGY": "OHLC_RSI",
+          "STRATEGY": "RandomStrategy",
           "STOP_DISTANCE_IN_PIPS": 1,
           "LIMIT_DISTANCE_IN_PIPS": 1,
           "TRADING_SIZE": 1

scripts/run.sh

@@ -23,14 +23,14 @@ fi
 json='{
   "RUN_ID": "UNIQUE_IDENTIFIER",
   "SYMBOLS": "EURUSD",
-  "LAST_MONTHS": 1,
+  "LAST_MONTHS": 2,
   "STRATEGY": {
       "UUID": "",
       "TRADING_VARIABLES": {
-          "STRATEGY": "OHLC_RSI",
+          "STRATEGY": "RandomStrategy",
           "STOP_DISTANCE_IN_PIPS": "1.5",
           "LIMIT_DISTANCE_IN_PIPS": "1.5",
-          "TRADING_SIZE": "0.01"
+          "TRADING_SIZE": "1"
       },
       "OHLC_VARIABLES": [
           {

source/operations.cpp

@@ -10,6 +10,7 @@
 #include <vector>
 #include <memory>
 #include <optional>
+#include <stdexcept>
 #include <string>
 #include <utility>
 #include <iomanip>
@@ -18,6 +19,7 @@
 #include <boost/decimal.hpp>
 #include "tradeManager.hpp"
 #include "models/symbolScale.hpp"
+#include "strategies/strategy.hpp"
 #include "strategies/randomStrategy.hpp"
 
 namespace {
@@ -76,13 +78,24 @@ void reviewStopAndLimit(TradeManager& tradeManager, const PriceData& tick) {
     }
 }
 
+// Adding a new strategy means adding one branch here; nothing else in
+// Operations needs to know about the concrete type.
+std::unique_ptr<IStrategy>
+selectStrategy(const trading_definitions::Configuration& config) {
+    const auto& name = config.STRATEGY.TRADING_VARIABLES.STRATEGY;
+    if (name == "RandomStrategy") {
+        return std::make_unique<RandomStrategy>(config.STRATEGY);
+    }
+    throw std::runtime_error("Unknown strategy: '" + name + "'");
+}
+
 } // namespace
 
 void Operations::run(const std::vector<PriceData>& ticks,
                      const trading_definitions::Configuration& config) {
 
     auto tradeManager = std::make_unique<TradeManager>();
-    RandomStrategy strategy(config.STRATEGY);
+    auto strategy = selectStrategy(config);
 
     const auto& tradingVars = config.STRATEGY.TRADING_VARIABLES;
 
@@ -99,7 +112,7 @@ void Operations::run(const std::vector<PriceData>& ticks,
         // only open a trade if there is zero
         if (openTrades == 0) {
             // optional is false
-            if (auto signal = strategy.decide(tick)) {
+            if (auto signal = strategy->decide(tick)) {
                 tradeManager->openTrade(tick,
                                         tradingVars.TRADING_SIZE,
                                         *signal,
@@ -112,7 +125,7 @@ void Operations::run(const std::vector<PriceData>& ticks,
         // (e.g. trailing stops, partial closes). The default
         // RandomStrategy implementation is a no-op now that exits are
         // handled by reviewStopAndLimit above.
-        strategy.during(tickIndex, tick, *tradeManager);
+        strategy->during(tickIndex, tick, *tradeManager);
 
         ++tickIndex;
     }

tests/jsonParser.mm

@@ -30,7 +30,7 @@ - (void)testValidJsonParsing {
   "STRATEGY": {
       "UUID": "",
       "TRADING_VARIABLES": {
-          "STRATEGY": "OHLC_RSI",
+          "STRATEGY": "RandomStrategy",
           "STOP_DISTANCE_IN_PIPS": "1",
           "LIMIT_DISTANCE_IN_PIPS": "1",
           "TRADING_SIZE": "1"