gavindiaz/edge_lab
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

Add full native REAL_TICKS broker tick streaming and replay engine

Browse Source
This commit is contained in:
Ethansi2947E
2026-10-28 03:57:47 +01:00
parent f3ba591aa9
commit 58382b41c5
2 changed files with 86 additions and 6 deletions
Download Patch File Download Diff File Expand all files Collapse all files
core/include/interactive_tester.hpp
+9 -3
View File
@@ -120,13 +120,16 @@ public:
std::vector<MqlRates> bars_owned,
const SymbolSpec& symbol,
const TesterConfig& cfg,
std::vector<double> spread_series_owned = {}
std::vector<double> spread_series_owned = {},
std::vector<std::vector<MqlTick>> real_ticks_owned = {}
) {
bars_storage_ = std::move(bars_owned);
spread_storage_ = std::move(spread_series_owned);
real_ticks_storage_ = std::move(real_ticks_owned);
const double* ss_ptr = spread_storage_.empty() ? nullptr : spread_storage_.data();
const auto* rt_ptr = real_ticks_storage_.empty() ? nullptr : &real_ticks_storage_;
return init(strategy, bars_storage_.data(), static_cast<int32_t>(bars_storage_.size()),
symbol, cfg, ss_ptr, nullptr);
symbol, cfg, ss_ptr, rt_ptr);
}
bool init(
@@ -197,9 +200,11 @@ public:
}
int64_t bar_duration_ms = TickGenerator::infer_bar_duration_ms(bars, n);
if (cfg.tick_mode == TickMode::EVERY_TICK || cfg.tick_mode == TickMode::OHLC_M1) {
if (cfg.tick_mode == TickMode::EVERY_TICK || cfg.tick_mode == TickMode::OHLC_M1 || cfg.tick_mode == TickMode::REAL_TICKS) {
if (real_ticks && !real_ticks->empty()) {
tick_data_ptr_ = real_ticks;
} else if (cfg.tick_mode == TickMode::REAL_TICKS) {
throw std::runtime_error("TickMode::REAL_TICKS was specified, but no real tick data was provided.");
} else {
synth_ticks_ = TickGenerator::generate_all(
bars, spread_series, n, sym_.spread_val,
@@ -539,6 +544,7 @@ private:
TesterResult result_{};
std::vector<MqlRates> bars_storage_;
std::vector<double> spread_storage_;
std::vector<std::vector<MqlTick>> real_ticks_storage_;
int32_t current_bar_idx_ = 0;
int32_t current_tick_in_bar_ = 0;
int64_t last_swap_day_ = -1;
core/src/tester_bindings.cpp
+77 -3
View File
@@ -501,11 +501,61 @@ PYBIND11_MODULE(edge_tester, m) {
return s->ctx.current_tick;
});
// ---- Helper to group flat tick streams by candle bars ----
auto group_ticks_by_bars = [](
const MqlRates* bars,
int32_t n,
py::object tick_time_msc_obj,
py::object tick_bid_obj,
py::object tick_ask_obj,
py::object tick_last_obj,
py::object tick_volume_obj,
py::object tick_flags_obj
) -> std::vector<std::vector<MqlTick>> {
std::vector<std::vector<MqlTick>> grouped(n);
if (tick_time_msc_obj.is_none() || tick_bid_obj.is_none() || tick_ask_obj.is_none() || n <= 0) {
return grouped;
}
auto t_msc = tick_time_msc_obj.cast<py::array_t<int64_t>>().unchecked<1>();
auto t_bid = tick_bid_obj.cast<py::array_t<double>>().unchecked<1>();
auto t_ask = tick_ask_obj.cast<py::array_t<double>>().unchecked<1>();
bool has_last = !tick_last_obj.is_none();
bool has_vol = !tick_volume_obj.is_none();
bool has_flags = !tick_flags_obj.is_none();
size_t n_ticks = t_msc.shape(0);
int32_t current_bar = 0;
for (size_t k = 0; k < n_ticks; ++k) {
int64_t tick_sec = t_msc(k) / 1000LL;
if (tick_sec < bars[0].time) continue;
while (current_bar + 1 < n && tick_sec >= bars[current_bar + 1].time) {
current_bar++;
}
if (current_bar >= n) break;
MqlTick tick{};
tick.time_msc = t_msc(k);
tick.time = tick_sec;
tick.bid = t_bid(k);
tick.ask = t_ask(k);
tick.last = has_last ? tick_last_obj.cast<py::array_t<double>>().unchecked<1>()(k) : t_bid(k);
tick.volume = has_vol ? tick_volume_obj.cast<py::array_t<uint64_t>>().unchecked<1>()(k) : 0;
tick.flags = has_flags ? tick_flags_obj.cast<py::array_t<uint32_t>>().unchecked<1>()(k) : 0x06;
grouped[current_bar].push_back(tick);
}
return grouped;
};
// ---- Tester ----
py::class_<Tester>(m, "Tester")
.def(py::init<>())
.def("run",
[](const Tester& tester,
[group_ticks_by_bars](const Tester& tester,
Strategy* strategy,
py::array_t<double> open_a,
py::array_t<double> high_a,
@@ -516,7 +566,13 @@ PYBIND11_MODULE(edge_tester, m) {
py::array_t<int32_t> spread_a,
const SymbolSpec& sym,
py::object cfg_obj,
py::object spread_series_obj) -> TesterResult
py::object spread_series_obj,
py::object tick_time_msc_obj,
py::object tick_bid_obj,
py::object tick_ask_obj,
py::object tick_last_obj,
py::object tick_volume_obj,
py::object tick_flags_obj) -> TesterResult
{
TesterConfig cfg{};
if (!cfg_obj.is_none())
@@ -534,7 +590,19 @@ PYBIND11_MODULE(edge_tester, m) {
for (int32_t i = 0; i < n; ++i) ss_buf[i] = r(i);
ss_ptr = ss_buf.data();
}
return tester.run(strategy, bars.data(), n, sym, cfg, ss_ptr);
std::vector<std::vector<MqlTick>> real_ticks_grouped;
const std::vector<std::vector<MqlTick>>* real_ticks_ptr = nullptr;
if (!tick_time_msc_obj.is_none()) {
real_ticks_grouped = group_ticks_by_bars(
bars.data(), n,
tick_time_msc_obj, tick_bid_obj, tick_ask_obj,
tick_last_obj, tick_volume_obj, tick_flags_obj
);
real_ticks_ptr = &real_ticks_grouped;
}
return tester.run(strategy, bars.data(), n, sym, cfg, ss_ptr, real_ticks_ptr);
},
py::arg("strategy"),
py::arg("open"), py::arg("high"), py::arg("low"), py::arg("close"),
@@ -542,6 +610,12 @@ PYBIND11_MODULE(edge_tester, m) {
py::arg("symbol"),
py::arg("cfg") = py::none(),
py::arg("spread_series") = py::none(),
py::arg("tick_time_msc") = py::none(),
py::arg("tick_bid") = py::none(),
py::arg("tick_ask") = py::none(),
py::arg("tick_last") = py::none(),
py::arg("tick_volume") = py::none(),
py::arg("tick_flags") = py::none(),
"Run a full backtest simulation for the given Strategy subclass.");
// ---- InteractiveTester (Visual / Step-by-Step Replay Engine) ----