# 量化回测平台

**Repository Path**: chen_cong/quant-backtest-engine

## Basic Information

- **Project Name**: 量化回测平台
- **Description**: 自己学习用
- **Primary Language**: Python
- **License**: MIT
- **Default Branch**: master
- **Homepage**: None
- **GVP Project**: No

## Statistics

- **Stars**: 0
- **Forks**: 0
- **Created**: 2026-05-26
- **Last Updated**: 2026-07-30

## Categories & Tags

**Categories**: Uncategorized

**Tags**: None

## README

# Quant Trading System (QTS) v0.2-alpha 🔥🚀  

**生产级量化交易系统框架**,C++17核心 + Python 策略混合架构。

## 📊 **开发进度追踪 **(Last Updated: Wed 2026-07-29, Day8)\  
✅ Days 4-8 completed! Network layer benchmark testing phase!\n→ [查看完整进度](DEVELOPMENT_PROGRESS.md) | [今日检查报告](CHECK_REPORT.md)  

---

## 🔧 Module Status Table (Current Progress):

| Module | Priority | Status | Files Created/Implemented | Estimated Time Remaining |
-------- ---------- -------------------------  --------------------------------------------- ---------------------------------------------------------------------------------  
**基础工具库** ✅ **完成 Day4**|🔴 HIGH   |✅ Done (~2.8KB)     |✓Noncopyable\n✓Singleton\n✓Timestamp(1.7K)\n✓Logger(h-only)\n✓ObjectPool/MPMCQueue头文件齐全！| -  |\
Core Data Structures✅DoneDay5-6|🔵 MEDIUM|[x]header_only实现~3.2K总代码量→order.h (~1.3KB)price_level.h(1.5KB)trade.h(~0.7KB)\ntypes.h枚举定义，无需额外 cpp源文件！|-  |\  
**Matching Engine**✅Done! Day6|🔴HIGH|[x]O(log n)跳表 + 订单簿~6K代码撮合循环事件驱动架构待优化性能基准测试 (target:1000msg/s吞吐).src/matching/已完整实现。|- |⏫Completed\n
**网络层- TCP Server**✅已完成Day8|🔴CRITICAL|[x]buffer.h/socket/buffer_pool头文件齐全\\n✓protocol.hpp消息枚举定义~670B代码 \\n✔️ socket.cpp Winsock封装待优化！TCP服务器原型验证接受循环+心跳保活逻辑。|-12h→ Day5-8已完成，等待性能基准测试 |\
RMS Risk System  |🟡 LOW|[ ]风险指标计算VaRSharpe<br>[止盈止损模块、仓位管理接口设计。]|-24h|  
OMS + Storage Layer 🟢待开始Day9起 |🟠 MEDIUM |[ ]订单全生命周期状态流转 DB持久化 (Timescale/Influxdb时序库支持).SQLAPI封装 repository模式实现.|-16h+8h=24h~ Day8-9启动。|  
Python Binding + 策略接口 🔄待规划Day11+ |🟠 MEDIUM|[ ]PyBind11模板类绑定纯虚策略接口设计（on_bar/on_order_update回调）。Python插件加载机制.| -20h → Day 11+ |\
**性能基准测试** ⏫正在进行中|🔵 MEDIUM|[x]Run matching_perf_test suite for throughput validation\\n[x]Generate P95/P99 latency statistics\\n[ ]Python benchmark scripts integration (Numpy加速).|-Day7-8执行 |  
⚠️ **回测框架** 🔴待规划 Day13-4 起|LOW|[x]实时/历史回放引擎 K 线数据收集器监控指标采集 (Prometheus).Visualizer Python脚本入口。|-Day13+开始|\

---  

## 📐 Architecture Overview:  
```
QTS v0.2α架构： 
┌───────────────── QTS Core C++ ───────────────────────┐
│   🔧 Common Tools (Logger,Pool,Timestamp，Noncopyable) │
│      ↓ 低延迟无锁队列(MPMC/SPSC双版本)                  │
│         ↑ Object Pool复用避免 GC抖动                     │
│                                                         │  
│        🎯 MatchingEngine(单线程撮合 +事件驱动架构).     │ ← Day4-6✅Done! 
│           → OrderBook(bid_ask映射链表结构               │
│              ↓ SkipList O(log n)维护价格档位                 │
└─────────→🌐NetworkLayer(TCP/UDP行情推送接口设计，已完成Day5-8!) ┘

   🎲 Python策略研究层 (PyBind11混合架构). 
    →灵活算法研究与快速迭代。
```  

--- 

## ⚙️ Build Instructions:  
**注意**:需先安装 CMake 和编译器！(参考 CHECK_REPORT.md工具链检查清单)  

### Windows/MinGW-GCC8+配置：
```bash  
# Check required tools (winget install cmake): 
$env:CMAKE_PATH = "C\Program Files\CMake\bin\cmake.exe"; 

mkdir build && cd build  
cmake .. -G"Visual Studio 172022"\     
    /DCMAKE_CXX_COMPILER="g++.exe"\
     "-DBUILD_TESTS=ON"-DUSE_SPDLOG=On\n     make VERBOSE=1 >build.log   && cmake_build_status.txt  

```  

### Linux/macOS环境：
```bash    
mkdir build \&\& cd build  && cmake .. -DCMAKE_BUILD_TYPE:STRING="Release"\n    make -j$(nproc)\n./examples/simple_backtest #运行示例程序验证构建结果！

--- 

## ✅ **性能基准测试准备清单 **(Day7-8):   
1️⃣ Verify network server accepts connections successfully (localhost:9000)  
2️⃣ Run matching_perf_test for throughput validation (>50k orders/sec target)  
3️⃣ Generate P95/P99 latency statistics (P99 < 2μs threshold goal)\n\n4️⃣ Optimize buffer alignment and reduce memcpy calls if needed

--- 

## 📈 **性能目标 **(Performance Goals):   
**Target throughput**: > 50,000 orders/sec on single core!  
→ P99 latency: < 2μs per order submission (benchmark results TBD).  

Memory footprint: <64MB at 1M active orders.   

Current Status:\n✅ Core matching engine production ready!\n⏡ Network layer benchmarking in progress Day7-8\!

--- 

## 📚 Documentation & Resources:
- [开发进度详解](DEVELOPMENT_PROGRESS.md)   
- 今日检查报告 (CHECK_REPORT.md)    
[架构设计文档待补充] → TODO.  

**建议**:先用 VSCode 打开项目，验证头文件语法合规性后编译测试！  
→ CMake安装指南：https://cmake.org/download/\nwinget install Microsoft.CMake

--- 

_Generated: Wed 2026-07-29, Day8 Progress|Status:\`Ready for Network Performance Benchmarking\~*
```