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added redis headers and scafolding (#36)
* added redis headers and scafolding * fixed xcode project references * Updated payloads and scripts to support busybox approach * Updated readme * fix build workflow, sonar scanning needed boost and ssl dependencies * Silenced dependency warnings and updated boost version on ubuntu for sonar cloud scanning
1 parent e5a82f6 commit b70e5dc

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‎.github/workflows/build.yml‎

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@@ -78,6 +78,21 @@ jobs:
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uses: actions/checkout@v5
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with:
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fetch-depth: 0
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- name: Install dependencies
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run: sudo apt install -y libssl-dev libpq-dev
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# Ubuntu's apt Boost (1.83 on 24.04) predates Boost.Redis, which was added
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# in Boost 1.84, so <boost/redis.hpp> is absent. Install a newer Boost.
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# Boost.Redis/Asio are header-only, so we only need the headers plus the
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# CMake package config — building just Boost.System generates both quickly.
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- name: Install Boost >= 1.84 (for Boost.Redis)
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run: |
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BOOST_VERSION=1.86.0
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BOOST_DIR="boost_${BOOST_VERSION//./_}"
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wget -q "https://archives.boost.io/release/${BOOST_VERSION}/source/${BOOST_DIR}.tar.gz"
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tar xzf "${BOOST_DIR}.tar.gz"
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cd "${BOOST_DIR}"
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./bootstrap.sh
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sudo ./b2 install --prefix=/usr/local --with-system -j"$(nproc)"
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- name: Check compiler version, for debugging
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run: |
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g++ --version

‎.github/workflows/scripts/brew.sh‎

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@@ -12,4 +12,5 @@ check_and_install() {
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# Install packages if they don't exist
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check_and_install postgresql@18 # Check and install PostgreSQL (which includes libpq)
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check_and_install pkg-config # Check and install pkg-config
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check_and_install pkg-config # Check and install pkg-config
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check_and_install boost # Check and install pkg-config

‎CMakeLists.txt‎

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@@ -62,6 +62,19 @@ if(APPLE)
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target_include_directories(BacktestingEngineLib PRIVATE /opt/homebrew/opt/libomp/include)
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endif()
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# Boost (Homebrew) — Boost.Redis is header-only but its implementation is
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# compiled into one TU via <boost/redis/src.hpp> (included in
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# source/redisRunner.cpp). It pulls in Boost.Asio's SSL layer, which needs
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# OpenSSL.
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find_package(Boost REQUIRED CONFIG)
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find_package(OpenSSL REQUIRED)
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find_package(Threads REQUIRED)
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target_link_libraries(BacktestingEngineLib PUBLIC
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Boost::headers
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OpenSSL::SSL
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OpenSSL::Crypto
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Threads::Threads)
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add_subdirectory(external/boost-decimal)
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target_link_libraries(BacktestingEngineLib PUBLIC Boost::decimal)
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‎README.md‎

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@@ -14,11 +14,11 @@ I'm extracting results and creating various graphs for trend analyses using SciP
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![alt text](documents/images/random-indices-sp500-variable.svg)
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*Read more results on https://mccaffers.com/randomly_trading/*
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*Read more results on https://mccaffers.com/quantitative_analysis/randomly_trading/*
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## Setup
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This backtesting engine can pull tick data from local files or from a Postgres database. I'm using QuestDB.
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This backtesting engine can pull tick data from local files or from a Postgres database (I'm using QuestDB). Strategy execution is dispatched via a Redis list called `strategy_queue`, with each entry a Base64-encoded JSON payload, the `load` subcommand enqueues strategies (LPUSH) and the `run` subcommand dequeues and executes them (RPOP). The default workflow expects a local `redis-server` listening on `127.0.0.1:6379`.
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### Clone with submodules
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@@ -40,9 +40,22 @@ For OpenSuse: zypper in postgresql-devel
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For ArchLinux: pacman -S postgresql-libs
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```
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### Install Boost, OpenSSL, and Redis
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Boost.Redis is header-only but its single translation unit (compiled via `<boost/redis/src.hpp>` from `source/redisRunner.cpp`) pulls in Boost.Asio's SSL layer, so OpenSSL is a transitive requirement. A local `redis-server` on `127.0.0.1:6379` is also needed for the default `load`/`run` workflow.
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```
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For Mac Homebrew: brew install boost openssl redis
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For Ubuntu/Debian systems: sudo apt-get install libboost-all-dev libssl-dev redis-server
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```
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The canonical CI prerequisite list lives in `.github/workflows/scripts/brew.sh` (`postgresql`, `pkg-config`, `boost`).
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![alt text](documents/flow.png)
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### Build dependencies
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`libpqxx` is built once via CMake. `boost-decimal` is header-only and pulled in via `add_subdirectory` from the top-level `CMakeLists.txt` — nothing to build. The script below handles the libpqxx build:
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`libpqxx` is built once via CMake. `boost-decimal` is header-only and pulled in via `add_subdirectory` from the top-level `CMakeLists.txt`, nothing to build. The script below handles the libpqxx build:
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```
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bash ./scripts/build_dep.sh
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### Run via terminal
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`bash ./scripts/run.sh`
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`bash ./scripts/run.sh` builds the project, then, if `redis-cli ping` reaches a local Redis, enqueues an inline JSON strategy via `load` and executes it via `run localhost`. If Redis is unreachable the script prints a message and exits cleanly (see `scripts/run.sh:22-25`), so first-time users without Redis still get a clear signal.
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The `BacktestingEngine` binary exposes a subcommand CLI:
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```
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BacktestingEngine load <path> [path...]
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Read each file as raw JSON, Base64-encode it, and LPUSH onto the Redis
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`strategy_queue` list.
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BacktestingEngine run <questdb-host>
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RPOP one Base64-encoded strategy from `strategy_queue` and execute it
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against the supplied QuestDB host.
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BacktestingEngine run <questdb-host> <base64-config>
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Decode the supplied Base64 strategy and execute it directly, bypassing
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Redis.
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BacktestingEngine -h | --help
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Show usage.
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```
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Defaults are `127.0.0.1:6379` for the Redis endpoint and `strategy_queue` for the list key (see `include/redisRunner.hpp` and `include/redisLoader.hpp`).
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### Run tests via terminal
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`bash ./scripts/test.sh`
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### Contributing
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This is an active solo experiment, so I'm not accepting pull requests right now — but please fork freely and use [GitHub Issues](https://github.com/mccaffers/backtesting-engine-cpp/issues) for bugs, questions, and ideas. See [CONTRIBUTING.md](CONTRIBUTING.md) for details.
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This is an active solo experiment, so I'm not accepting pull requests right now, but please fork freely and use [GitHub Issues](https://github.com/mccaffers/backtesting-engine-cpp/issues) for bugs, questions, and ideas. See [CONTRIBUTING.md](CONTRIBUTING.md) for details.
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### License
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[MIT](https://choosealicense.com/licenses/mit/)

‎backtesting-engine-cpp.xcodeproj/project.pbxproj‎

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@@ -1309,6 +1325,7 @@
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94280BA72D2FC29F00F1CF56 /* utilities */ = {
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isa = PBXGroup;
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942EC5612FBEF94700CCBB5D /* redisConnection.cpp */,
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94280BA22D2FC00200F1CF56 /* base64.cpp */,
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943398232D57E53400287A2D /* jsonParser.cpp */,
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942EC5662FBEF95000CCBB5D /* redisRunner.cpp */,
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94D6010F2FA9CD700066F51A /* strategies */,
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94674B8C2D533E7800973137 /* models */,
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94674B862D533B4000973137 /* trading */,
@@ -1432,6 +1452,7 @@
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94B8C7932D3D770800E17EB6 /* utilities */ = {
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isa = PBXGroup;
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children = (
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942EC55D2FBEF92F00CCBB5D /* redisConnection.hpp */,
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94C331A02FA899A8006BD690 /* decimal_json.hpp */,
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94280BA12D2FC00200F1CF56 /* base64.hpp */,
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@@ -3530,6 +3551,9 @@
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94DE4F772C8C3E7C00FE48FF /* include */ = {
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942EC5602FBEF93A00CCBB5D /* redisRunner.hpp */,
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@@ -3642,12 +3666,16 @@
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941408AE2D59F93F000ED1F9 /* sqlManager.cpp in Sources */,
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9470B5A42C8C5AD0007D9CC6 /* main.cpp in Sources */,
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943398252D57E53400287A2D /* jsonParser.cpp in Sources */,
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942EC56B2FBEF95000CCBB5D /* redisLoader.cpp in Sources */,
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942EC56C2FBEF95000CCBB5D /* redisRunner.cpp in Sources */,
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94280BA32D2FC00200F1CF56 /* base64.cpp in Sources */,
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94674B8E2D533E7800973137 /* trade.cpp in Sources */,
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941B549B2D3BBADE00E3BF64 /* trading_definitions_json.cpp in Sources */,
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946EFF7E2FB9F44E008D9647 /* reporting.cpp in Sources */,
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94674B872D533B4000973137 /* tradeManager.cpp in Sources */,
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94CD8BA02D2E8CE500041BBA /* databaseConnection.cpp in Sources */,
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942EC5622FBEF94700CCBB5D /* redisConnection.cpp in Sources */,
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940A61132C92CE210083FEB8 /* configManager.cpp in Sources */,
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94724A842F8B92C10029B940 /* operations.cpp in Sources */,
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940A61172C92CE960083FEB8 /* serviceA.cpp in Sources */,
@@ -3662,7 +3690,11 @@
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941408AF2D59F93F000ED1F9 /* sqlManager.cpp in Sources */,
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942EC5632FBEF94700CCBB5D /* redisConnection.cpp in Sources */,
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942EC5692FBEF95000CCBB5D /* redisRunner.cpp in Sources */,
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94280BA42D2FC00200F1CF56 /* base64.cpp in Sources */,
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94674B8D2D533E7800973137 /* trade.cpp in Sources */,
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941B549A2D3BBADE00E3BF64 /* trading_definitions_json.cpp in Sources */,
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"\"$(SRCROOT)/external/libpqxx/build/include\"",
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"\"$(SRCROOT)/external/\"",
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"\"$(SRCROOT)/external/boost-decimal/include\"",
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/opt/homebrew/include,
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/opt/homebrew/opt/openssl/include,
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);
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INCLUDED_RECURSIVE_SEARCH_PATH_SUBDIRECTORIES = "";
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LIBRARY_SEARCH_PATHS = (
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"\"$(SRCROOT)/external/libpqxx/build/src\"",
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"/opt/homebrew/opt/postgresql@18/lib/postgresql",
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/opt/homebrew/opt/openssl/lib,
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);
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MACOSX_DEPLOYMENT_TARGET = 26.0;
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OTHER_LDFLAGS = (
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"-lpq",
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"-lpqxx",
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"-lssl",
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"-lcrypto",
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"-pthread",
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);
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OTHER_LIBTOOLFLAGS = "";
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PRODUCT_NAME = "$(TARGET_NAME)";
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"\"$(SRCROOT)/external/libpqxx/build/include\"",
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"\"$(SRCROOT)/external/\"",
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"\"$(SRCROOT)/external/boost-decimal/include\"",
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/opt/homebrew/include,
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/opt/homebrew/opt/openssl/include,
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);
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INCLUDED_RECURSIVE_SEARCH_PATH_SUBDIRECTORIES = "";
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LIBRARY_SEARCH_PATHS = (
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"\"$(SRCROOT)/external/libpqxx/build/src\"",
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"/opt/homebrew/opt/postgresql@18/lib/postgresql",
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/opt/homebrew/opt/openssl/lib,
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);
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MACOSX_DEPLOYMENT_TARGET = 26.0;
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OTHER_LDFLAGS = (
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"-lpq",
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"-lpqxx",
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"-lssl",
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"-lcrypto",
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"-pthread",
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);
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OTHER_LIBTOOLFLAGS = "";
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PRODUCT_NAME = "$(TARGET_NAME)";
@@ -3868,16 +3912,22 @@
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"\"$(SRCROOT)/external/libpqxx/include/pqxx/internal\"",
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"\"$(SRCROOT)/external/libpqxx/build/include\"",
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"\"$(SRCROOT)/external/boost-decimal/include\"",
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/opt/homebrew/include,
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/opt/homebrew/opt/openssl/include,
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);
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LIBRARY_SEARCH_PATHS = (
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"\"$(SRCROOT)/external/libpqxx/build/src\"",
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"/opt/homebrew/opt/postgresql@18/lib/postgresql",
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/opt/homebrew/opt/openssl/lib,
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);
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MACOSX_DEPLOYMENT_TARGET = 26.0;
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MARKETING_VERSION = 1.0;
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OTHER_LDFLAGS = (
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"-lpq",
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"-lpqxx",
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"-lssl",
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"-lcrypto",
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"-pthread",
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);
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PRODUCT_BUNDLE_IDENTIFIER = com.mccaffers.tests;
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PRODUCT_NAME = "$(TARGET_NAME)";
@@ -3898,16 +3948,22 @@
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"\"$(SRCROOT)/external/libpqxx/include/pqxx/internal\"",
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"\"$(SRCROOT)/external/libpqxx/build/include\"",
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"\"$(SRCROOT)/external/boost-decimal/include\"",
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/opt/homebrew/include,
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/opt/homebrew/opt/openssl/include,
39013953
);
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LIBRARY_SEARCH_PATHS = (
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"\"$(SRCROOT)/external/libpqxx/build/src\"",
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"/opt/homebrew/opt/postgresql@18/lib/postgresql",
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/opt/homebrew/opt/openssl/lib,
39053958
);
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MACOSX_DEPLOYMENT_TARGET = 26.0;
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MARKETING_VERSION = 1.0;
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OTHER_LDFLAGS = (
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"-lpq",
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"-lpqxx",
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"-lssl",
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"-lcrypto",
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"-pthread",
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);
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PRODUCT_BUNDLE_IDENTIFIER = com.mccaffers.tests;
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PRODUCT_NAME = "$(TARGET_NAME)";

‎documents/flow.png‎

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‎include/backtestRunner.hpp‎

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// Backtesting Engine in C++
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//
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// (c) 2026 Ryan McCaffery | https://mccaffers.com
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// This code is licensed under MIT license (see LICENSE.txt for details)
5+
// ---------------------------------------
6+
7+
#pragma once
8+
#include <string>
9+
#include "trading_definitions/configuration.hpp"
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int runBacktest(const std::string& questdbHost,
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const trading_definitions::Configuration& config);

‎include/redisLoader.hpp‎

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// Backtesting Engine in C++
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//
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// (c) 2026 Ryan McCaffery | https://mccaffers.com
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// This code is licensed under MIT license (see LICENSE.txt for details)
5+
// ---------------------------------------
6+
7+
#pragma once
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9+
#include <string>
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11+
// LPUSH pairs with RedisRunner's RPOP so consumers observe FIFO ordering.
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class RedisLoader {
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public:
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static int load(const std::string& rawJson,
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const std::string& redisHost = "127.0.0.1",
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int redisPort = 6379,
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const std::string& queueKey = "strategy_queue");
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static int loadPayload(const std::string& redisHost,
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int redisPort,
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const std::string& queueKey,
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const std::string& rawJson);
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};

‎include/redisRunner.hpp‎

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// Backtesting Engine in C++
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//
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// (c) 2026 Ryan McCaffery | https://mccaffers.com
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// This code is licensed under MIT license (see LICENSE.txt for details)
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// ---------------------------------------
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#pragma once
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#include <string>
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class RedisRunner {
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public:
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static int run(const std::string& questdbHost,
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const std::string& redisHost = "127.0.0.1",
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int redisPort = 6379,
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const std::string& queueKey = "strategy_queue");
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};

‎include/strategies/strategyErrors.hpp‎

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// Backtesting Engine in C++
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//
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// (c) 2026 Ryan McCaffery | https://mccaffers.com
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// This code is licensed under MIT license (see LICENSE.txt for details)
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// ---------------------------------------
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#pragma once
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#include <stdexcept>
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#include <string>
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#include <utility>
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// Thrown by the strategy factory when the configured strategy name does not
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// match any known strategy. Derives from std::runtime_error so existing
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// catch(const std::runtime_error&) / catch(const std::exception&) sites still
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// match, while giving new callers a dedicated type to discriminate a
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// configuration / domain error from any other runtime failure.
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class UnknownStrategyError : public std::runtime_error {
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public:
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explicit UnknownStrategyError(std::string name)
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: std::runtime_error("Unknown strategy: '" + name + "'"),
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name_(std::move(name)) {}
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const std::string& name() const noexcept { return name_; }
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private:
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std::string name_;
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};

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