# HFTBacktest
**Repository Path**: chen_cong/hftbacktest
## Basic Information
- **Project Name**: HFTBacktest
- **Description**: No description available
- **Primary Language**: C++
- **License**: Not specified
- **Default Branch**: master
- **Homepage**: None
- **GVP Project**: No
## Statistics
- **Stars**: 0
- **Forks**: 0
- **Created**: 2026-08-05
- **Last Updated**: 2026-09-29
## Categories & Tags
**Categories**: Uncategorized
**Tags**: None
## README
# HFTBacktest
> A high-fidelity HFT (high-frequency trading) backtest engine, written in modern C++20.
> Layered architecture, multi-provider data ingestion, pluggable matching algorithms, three-tier risk management, and a 36-indicator analytics suite.
---
## ✨ Features
| Module | Highlights |
| ------------------- | -------------------------------------------------------------------------------------------- |
| **Data Provider** | Local CSV/Parquet + Online HTTP (cpp-httplib) + Redis cache (in-memory or RESP-TCP backend) |
| **Matching Engine** | Price-time priority, VWAP, Iceberg; real order book & queue; maker/taker cost model |
| **Strategy SDK** | Dynamic `.so`/`.dll` loader; sandbox + resource limits; JWT-secured auth |
| **Risk** | Pre-trading / Real-time / Post-trading 3-tier + pluggable rules |
| **Analytics** | 36 standard metrics: Sharpe/Sortino/Calmar/Alpha/Beta/Brinson/IC/IR |
| **Task Scheduler** | Local / Distributed (Ray/Celery/Argo ready); Grid/Random/Bayesian optimization |
| **Web** | Vue 3 frontend + FastAPI proxy + `/health` endpoint |
| **Deployment** | Docker / docker-compose / Kubernetes manifest + Prometheus + Grafana |
## 🏗️ Architecture
```mermaid
flowchart TB
Web["Web UI
(Vue 3 + FastAPI + /health)"]
Task["Task Layer
(Local / Ray / Argo)"]
Strat["Strategy
(.so/.dll loader)"]
Risk["Risk
(3-tier rules)"]
Engine["Engine Core
(matching)
━━━━━━━━━━
price_time / VWAP / Iceberg
real cost model (maker/taker)"]
Data["Data Provider
(local/HTTP/enterprise)"]
Storage["Storage
(Redis / ClickHouse / MinIO)"]
Web --> Task
Task --> Strat
Strat --> Engine
Risk --> Engine
Engine --> Data
Data --> Storage
classDef ext fill:#fef3c7,stroke:#b45309,color:#78350f;
classDef core fill:#dbeafe,stroke:#1e40af,color:#1e3a8a;
classDef backend fill:#dcfce7,stroke:#166534,color:#14532d;
class Web,Strat ext;
class Engine,Data,Risk core;
class Task,Storage backend;
```
> The legacy ASCII diagram is still in `git log`; GitHub/Gitee renders
> this mermaid version directly. Generate the API reference with
> `doxygen Doxyfile` (output: `docs/api/html/index.html`).
## 🚀 Quick Start
### Prerequisites
- CMake ≥ 3.20
- C++20 compiler (MSVC 2022 / GCC 11+ / Clang 14+)
- vcpkg or system-installed: spdlog, fmt, tomlplusplus, cpp-httplib (header-only)
### Build
```bash
# Linux / macOS
cmake -B build -G Ninja -DCMAKE_BUILD_TYPE=Release
cmake --build build -j$(nproc)
# Windows (VS generator)
cmake -B build -G "Visual Studio 17 2022" -A x64
cmake --build build --config Release -j
# Windows (Ninja + vcvars64 — recommended for CI parity)
# Run from a "x64 Native Tools Command Prompt for VS 2022" shell:
cmake -B build -G Ninja -DCMAKE_BUILD_TYPE=Release
cmake --build build -j
# Run unit tests
ctest --test-dir build --output-on-failure
./build/tests/hbt_tests # Linux/macOS
./build/tests/Release/hbt_tests.exe # Windows (VS generator)
```
> ⚠ **SDK users on Windows:** The bundled `out/_rebuild.bat` already runs vcvars64 + Ninja and is the fastest path. Use it as the canonical command:
> ```cmd
> out\_rebuild.bat
> ```
### Run a Backtest
```bash
# Pre-recorded tick replay (PnL ≈ ¥1,000,300 on demo data)
./build/src/hbt_replay --config config/dev.toml # Linux/macOS
.\build\src\hbt_replay.exe --config config\dev.toml # Windows
# Or use the bundled demo driver for a single-symbol quick check:
./build/src/hbt_replay 600519 ./data
```
### Compile Your Strategy
The strategy SDK is platform-portable — `dlopen` on POSIX, `LoadLibraryA` on Windows.
```bash
# Linux
g++ -std=c++20 -shared -fPIC -O2 \
-I src/strategy/include -I src/common/include \
examples/my_ma20.cpp -o lib/libmy_ma20.so
# macOS (Apple Silicon)
clang++ -std=c++20 -shared -fPIC -O2 \
-I src/strategy/include -I src/common/include \
examples/my_ma20.cpp -o lib/libmy_ma20.dylib
# Windows (MSVC, from x64 Native Tools shell)
cl /nologo /std:c++20 /LD /EHsc /O2 \
/I src\strategy\include /I src\common\include \
examples\my_ma20.cpp /Fe:bin\my_ma20.dll
```
Then set in `dev.toml`:
```toml
[strategy]
so_path = "lib/libmy_ma20.so" # or libmy_ma20.dylib / my_ma20.dll
params = { fast = "5", slow = "20" }
```
The runtime loader resolves `.so`/`.dylib`/`.dll` automatically. An empty `so_path` disables the user strategy (builtin strategies run instead).
---
## ✅ Test Coverage
77 unit tests across 16 files. Run from the build directory:
```bash
ctest --output-on-failure # quick pass/fail
./tests/hbt_tests # per-test breakdown
```
| Module | Tests | Highlights |
| --------------------- | ----- | --------------------------------------------------------------------------- |
| common | 10 | ringbuffer, MPMC queue, types round-trip, time util, logger |
| crypto primitives | 8 | SHA-256 (FIPS 180-4), HMAC-SHA256 (RFC 4231), base64url, constant-time |
| auth_sso (JWT) | 8 | HS256 sign/verify, alg=none reject, expired/tampered, no-exp claim |
| http_client | 7 | GET/POST/JSON, 404, invalid URL, mock httplib::Server |
| online_data_provider | 8 | URL templates, CSV/JSON parse, mock HTTP endpoints, timeout |
| redis_cache | 6 | memory backend + RESP-TCP backend (set/get/del/ttl/reconnect) |
| engine_orderbook | 2 | add/remove, best levels |
| engine_matcher | 7 | price-time/VWAP/Iceberg + market walking + cancel + part-fill M:N |
| engine_core | 2 | push/pop MPMC, stats |
| engine_main | 1 | end-to-end replay with trades |
| cost | 10 | A-share/ETF/Future/Crypto fee schedules, maker/taker split, slippage |
| risk | 10 | position limit, order rate, p4 rule factory (limit/drawdown/rate) |
| analytics | 2 | metrics basics + benchmark attribution |
| task | 1 | grid parameter sweep |
| strategy_sdk | 3 | my_ma20 dynamic-load E2E (uptrend/downtrend, missing DLL) |
| **Total** | **77** | **all passing** |
Tests are auto-registered by `#include "test_*.cpp.inc"` from `test_main.cpp`. New
tests should follow the `TEST(name) { ... }` macro pattern and be added to
`tests/test_main.cpp`. Test files must use the `.cpp.inc` suffix (not `.cpp`):
a `.cpp` file would also be compiled as a separate binary, which double-runs the
whole suite. See `CONTRIBUTING.md` for the full workflow.
---
## 📂 Project Layout
```
HFTBacktest/
├── CMakeLists.txt # 根 CMake
├── cmake/ # 依赖配置
├── src/
│ ├── common/ # POD 类型、ringbuffer、MPMC、配置、logger
│ ├── data_provider/ # 行情源：local/online/enterprise
│ ├── engine/ # 撮合引擎：order_book/matcher/cost/scheduler
│ ├── strategy/ # 策略 SDK：builtin/grid/sandbox/api/sdk
│ ├── risk/ # 三层风控
│ ├── analytics/ # 36 指标 + 报告输出
│ ├── task/ # 任务调度 + 网格寻优
│ └── enterprise/ # ClickHouse/MinIO/TDengine backend + JWT auth
├── web/ # Vue 3 + FastAPI
├── deploy/ # Docker/k8s/prometheus
├── tests/ # 单元测试 (test_*.cpp.inc)
├── examples/ # 用户策略示例
├── docs/ # 设计文档（18 篇） + 本 README 链接
└── config/ # TOML 配置
```
## 📚 Documentation
### 🚀 新人起步（强烈推荐先读）
| 文档 | 时间 | 适合 |
|------|------|------|
| **[docs/00-quickstart.md](docs/00-quickstart.md)** | 5 分钟 | 小白 / 第一次接触 |
| **[docs/README-dev.md](docs/README-dev.md)** | 3 分钟 | 文档地图（按角色推荐） |
| **[docs/17-maintenance.md](docs/17-maintenance.md)** | 15 分钟 | 二次开发 / 维护 |
### 📖 设计文档（15 章）
1. [Tech Stack](docs/01-tech-stack.md)
2. [Architecture](docs/02-architecture.md)
3. [Directory](docs/03-directory.md)
4. [LOC Budget](docs/04-loc-budget.md)
5. [Data Provider](docs/05-data-provider.md)
6. [Matching Engine](docs/06-matching-engine.md)
7. [Strategy API](docs/07-strategy-api.md)
8. [Risk](docs/08-risk.md)
9. [Analytics](docs/09-analytics.md)
10. [Task Scheduler](docs/10-task-scheduler.md)
11. [Web API](docs/11-web-api.md)
12. [Deployment](docs/12-deployment.md)
13. [Enterprise Migration](docs/13-enterprise-migrate.md)
14. [Dev Stages](docs/14-dev-stages.md)
15. [Boundary](docs/15-boundary.md)
### 🛠️ 实战经验
| 文档 | 内容 |
|------|------|
| [phase3_replay.md](docs/phase3_replay.md) | 端到端回测 + 行情回放实现经验 |
| [phase4_risk.md](docs/phase4_risk.md) | 风控模块接入 + 链接器 bug 排查 |
| [16-stage2-plan.md](docs/16-stage2-plan.md) | Stage 2 计划 |
| [M1 报告系列](../qclaw_workspace/hftbacktest_*.md) | M1 路线图 + P0-W8 完成记录 |
## 📄 License
MIT