Building a High-Performance C++ Backtesting Framework
6 days ago
- #C++ integration
- #high-performance backtesting
- #order matching simulator
- DolphinDB's Order Matching Simulator Plugin enables C++ backtesting frameworks to integrate high-performance market data replay and realistic order matching without rebuilding the entire system.
- The tutorial provides two implementation approaches using Swordfish (local execution) or C++ API (remote execution), with unified event-driven interfaces for configuration, market data callbacks, order submission, and performance evaluation.
- Key design components include remote connection management, plugin loading, streaming data subscription, and callback handling, supporting low-latency, concurrent backtesting for high-frequency strategies like algorithmic trading.
- A backtesting example demonstrates a simple strategy that places limit orders on snapshot data, including steps for engine creation, data replay, and outputting performance metrics.
- Performance tests show Swordfish-based implementations benefit from multithreaded parallelism and accelerated replay, while C++ API implementations are limited to real-time replay due to network latency.