├── CMakeLists.txt ├── ExampleStrategy ├── StrategyIndicator.cpp ├── StrategyIndicator.h ├── StrategyUtils.cpp ├── StrategyUtils.h ├── backtesting_result.pdf ├── benchmark_strategy │ ├── CMakeLists.txt │ └── main.cpp ├── config.cpp ├── config.h ├── filter_volume_strategy │ ├── CMakeLists.txt │ └── main.cpp ├── floating_spread_strategy │ ├── CMakeLists.txt │ └── main.cpp ├── sample_data.txt └── vpin_spread_strategy │ ├── CMakeLists.txt │ └── main.cpp ├── README.md ├── include ├── BacktestConfig.h ├── BacktestEngine.h ├── Data.h ├── Enum.h ├── Indicator.h ├── JsonDocument.h ├── JsonWrapper.h ├── Log.h ├── MatchEngine.h ├── Order.h ├── Portfolio.h ├── rapidjson │ ├── allocators.h │ ├── cursorstreamwrapper.h │ ├── document.h │ ├── encodedstream.h │ ├── encodings.h │ ├── error │ │ ├── en.h │ │ └── error.h │ ├── filereadstream.h │ ├── filewritestream.h │ ├── fwd.h │ ├── internal │ │ ├── biginteger.h │ │ ├── clzll.h │ │ ├── diyfp.h │ │ ├── dtoa.h │ │ ├── ieee754.h │ │ ├── itoa.h │ │ ├── meta.h │ │ ├── pow10.h │ │ ├── regex.h │ │ ├── stack.h │ │ ├── strfunc.h │ │ ├── strtod.h │ │ └── swap.h │ ├── istreamwrapper.h │ ├── memorybuffer.h │ ├── memorystream.h │ ├── msinttypes │ │ ├── inttypes.h │ │ └── stdint.h │ ├── ostreamwrapper.h │ ├── pointer.h │ ├── prettywriter.h │ ├── rapidjson.h │ ├── reader.h │ ├── schema.h │ ├── stream.h │ ├── stringbuffer.h │ └── writer.h └── utils.h ├── python └── read_portfolio.py └── src ├── BacktestConfig.cpp ├── BacktestEngine.cpp ├── Enum.cpp ├── Indicator.cpp ├── JsonDocument.cpp ├── JsonWrapper.cpp ├── Log.cpp ├── MatchEngine.cpp ├── Order.cpp ├── Portfolio.cpp └── utils.cpp /CMakeLists.txt: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/CMakeLists.txt -------------------------------------------------------------------------------- /ExampleStrategy/StrategyIndicator.cpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/ExampleStrategy/StrategyIndicator.cpp -------------------------------------------------------------------------------- /ExampleStrategy/StrategyIndicator.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/ExampleStrategy/StrategyIndicator.h -------------------------------------------------------------------------------- /ExampleStrategy/StrategyUtils.cpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/ExampleStrategy/StrategyUtils.cpp -------------------------------------------------------------------------------- /ExampleStrategy/StrategyUtils.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/ExampleStrategy/StrategyUtils.h -------------------------------------------------------------------------------- /ExampleStrategy/backtesting_result.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/ExampleStrategy/backtesting_result.pdf -------------------------------------------------------------------------------- /ExampleStrategy/benchmark_strategy/CMakeLists.txt: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/ExampleStrategy/benchmark_strategy/CMakeLists.txt -------------------------------------------------------------------------------- /ExampleStrategy/benchmark_strategy/main.cpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/ExampleStrategy/benchmark_strategy/main.cpp -------------------------------------------------------------------------------- /ExampleStrategy/config.cpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/ExampleStrategy/config.cpp -------------------------------------------------------------------------------- /ExampleStrategy/config.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/ExampleStrategy/config.h -------------------------------------------------------------------------------- /ExampleStrategy/filter_volume_strategy/CMakeLists.txt: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/ExampleStrategy/filter_volume_strategy/CMakeLists.txt -------------------------------------------------------------------------------- /ExampleStrategy/filter_volume_strategy/main.cpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/ExampleStrategy/filter_volume_strategy/main.cpp -------------------------------------------------------------------------------- /ExampleStrategy/floating_spread_strategy/CMakeLists.txt: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/ExampleStrategy/floating_spread_strategy/CMakeLists.txt -------------------------------------------------------------------------------- /ExampleStrategy/floating_spread_strategy/main.cpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/ExampleStrategy/floating_spread_strategy/main.cpp -------------------------------------------------------------------------------- /ExampleStrategy/sample_data.txt: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/ExampleStrategy/sample_data.txt -------------------------------------------------------------------------------- /ExampleStrategy/vpin_spread_strategy/CMakeLists.txt: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/ExampleStrategy/vpin_spread_strategy/CMakeLists.txt -------------------------------------------------------------------------------- /ExampleStrategy/vpin_spread_strategy/main.cpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/ExampleStrategy/vpin_spread_strategy/main.cpp -------------------------------------------------------------------------------- /README.md: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/README.md -------------------------------------------------------------------------------- /include/BacktestConfig.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/include/BacktestConfig.h -------------------------------------------------------------------------------- /include/BacktestEngine.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/include/BacktestEngine.h -------------------------------------------------------------------------------- /include/Data.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/include/Data.h -------------------------------------------------------------------------------- /include/Enum.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/include/Enum.h -------------------------------------------------------------------------------- /include/Indicator.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/include/Indicator.h -------------------------------------------------------------------------------- /include/JsonDocument.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/include/JsonDocument.h -------------------------------------------------------------------------------- /include/JsonWrapper.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/include/JsonWrapper.h -------------------------------------------------------------------------------- /include/Log.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/include/Log.h -------------------------------------------------------------------------------- /include/MatchEngine.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/include/MatchEngine.h -------------------------------------------------------------------------------- /include/Order.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/include/Order.h -------------------------------------------------------------------------------- /include/Portfolio.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/include/Portfolio.h -------------------------------------------------------------------------------- /include/rapidjson/allocators.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/include/rapidjson/allocators.h -------------------------------------------------------------------------------- /include/rapidjson/cursorstreamwrapper.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/include/rapidjson/cursorstreamwrapper.h -------------------------------------------------------------------------------- /include/rapidjson/document.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/include/rapidjson/document.h -------------------------------------------------------------------------------- /include/rapidjson/encodedstream.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/include/rapidjson/encodedstream.h -------------------------------------------------------------------------------- /include/rapidjson/encodings.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/include/rapidjson/encodings.h -------------------------------------------------------------------------------- /include/rapidjson/error/en.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/include/rapidjson/error/en.h -------------------------------------------------------------------------------- /include/rapidjson/error/error.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/include/rapidjson/error/error.h -------------------------------------------------------------------------------- /include/rapidjson/filereadstream.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/include/rapidjson/filereadstream.h -------------------------------------------------------------------------------- /include/rapidjson/filewritestream.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/include/rapidjson/filewritestream.h -------------------------------------------------------------------------------- /include/rapidjson/fwd.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/include/rapidjson/fwd.h -------------------------------------------------------------------------------- /include/rapidjson/internal/biginteger.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/include/rapidjson/internal/biginteger.h -------------------------------------------------------------------------------- /include/rapidjson/internal/clzll.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/include/rapidjson/internal/clzll.h -------------------------------------------------------------------------------- /include/rapidjson/internal/diyfp.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/include/rapidjson/internal/diyfp.h -------------------------------------------------------------------------------- /include/rapidjson/internal/dtoa.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/include/rapidjson/internal/dtoa.h -------------------------------------------------------------------------------- /include/rapidjson/internal/ieee754.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/include/rapidjson/internal/ieee754.h -------------------------------------------------------------------------------- /include/rapidjson/internal/itoa.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/include/rapidjson/internal/itoa.h -------------------------------------------------------------------------------- /include/rapidjson/internal/meta.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/include/rapidjson/internal/meta.h -------------------------------------------------------------------------------- /include/rapidjson/internal/pow10.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/include/rapidjson/internal/pow10.h -------------------------------------------------------------------------------- /include/rapidjson/internal/regex.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/include/rapidjson/internal/regex.h -------------------------------------------------------------------------------- /include/rapidjson/internal/stack.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/include/rapidjson/internal/stack.h -------------------------------------------------------------------------------- /include/rapidjson/internal/strfunc.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/include/rapidjson/internal/strfunc.h -------------------------------------------------------------------------------- /include/rapidjson/internal/strtod.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/include/rapidjson/internal/strtod.h -------------------------------------------------------------------------------- /include/rapidjson/internal/swap.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/include/rapidjson/internal/swap.h -------------------------------------------------------------------------------- /include/rapidjson/istreamwrapper.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/include/rapidjson/istreamwrapper.h -------------------------------------------------------------------------------- /include/rapidjson/memorybuffer.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/include/rapidjson/memorybuffer.h -------------------------------------------------------------------------------- /include/rapidjson/memorystream.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/include/rapidjson/memorystream.h -------------------------------------------------------------------------------- /include/rapidjson/msinttypes/inttypes.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/include/rapidjson/msinttypes/inttypes.h -------------------------------------------------------------------------------- /include/rapidjson/msinttypes/stdint.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/include/rapidjson/msinttypes/stdint.h -------------------------------------------------------------------------------- /include/rapidjson/ostreamwrapper.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/include/rapidjson/ostreamwrapper.h -------------------------------------------------------------------------------- /include/rapidjson/pointer.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/include/rapidjson/pointer.h -------------------------------------------------------------------------------- /include/rapidjson/prettywriter.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/include/rapidjson/prettywriter.h -------------------------------------------------------------------------------- /include/rapidjson/rapidjson.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/include/rapidjson/rapidjson.h -------------------------------------------------------------------------------- /include/rapidjson/reader.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/include/rapidjson/reader.h -------------------------------------------------------------------------------- /include/rapidjson/schema.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/include/rapidjson/schema.h -------------------------------------------------------------------------------- /include/rapidjson/stream.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/include/rapidjson/stream.h -------------------------------------------------------------------------------- /include/rapidjson/stringbuffer.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/include/rapidjson/stringbuffer.h -------------------------------------------------------------------------------- /include/rapidjson/writer.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/include/rapidjson/writer.h -------------------------------------------------------------------------------- /include/utils.h: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/include/utils.h -------------------------------------------------------------------------------- /python/read_portfolio.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/python/read_portfolio.py -------------------------------------------------------------------------------- /src/BacktestConfig.cpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/src/BacktestConfig.cpp -------------------------------------------------------------------------------- /src/BacktestEngine.cpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/src/BacktestEngine.cpp -------------------------------------------------------------------------------- /src/Enum.cpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/src/Enum.cpp -------------------------------------------------------------------------------- /src/Indicator.cpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/src/Indicator.cpp -------------------------------------------------------------------------------- /src/JsonDocument.cpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/src/JsonDocument.cpp -------------------------------------------------------------------------------- /src/JsonWrapper.cpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/src/JsonWrapper.cpp -------------------------------------------------------------------------------- /src/Log.cpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/src/Log.cpp -------------------------------------------------------------------------------- /src/MatchEngine.cpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/src/MatchEngine.cpp -------------------------------------------------------------------------------- /src/Order.cpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/src/Order.cpp -------------------------------------------------------------------------------- /src/Portfolio.cpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/src/Portfolio.cpp -------------------------------------------------------------------------------- /src/utils.cpp: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/wcskkk375/CryptoBacktest/HEAD/src/utils.cpp --------------------------------------------------------------------------------