See https://quant.stackexchange.com/questions/39995/backtesting-c-algorithms/40023#40023
MarketTick is the data structure which is produced by classes which inherit from BaseMarketReplayer.
Each of these derived classes represent a reader for a specific data format (e.g. from binary or SQLite or text files) and must implement bool readNextTick(MarketTick& tick) to produce a new tick of data when requested.
MarketReplayerManager implements the whole logic of populating the std::priority_queue of MarketTicks by calling readNextTick() every time a tick from a replayer is consumed.
Below is the part of the code which simulates orders with a delay by inserting a MarketTick::ORDER into the std::priority_queue:
if (_trader_manager->_market_replay)
{
// In market replay, l'ordine viene ritardato di _order_delay_replay_seconds secondi
// per simulare un ritardo da parte del broker
if (_trader_manager->getReplayerManager(TraderManager::MarketReplayerManagerKey()))
{
std::shared_ptr<MarketTick> tick(new MarketTick(NULL));
tick->type = MarketTick::ORDER;
tick->timestamp = _trader_manager->getReplayerManager(TraderManager::MarketReplayerManagerKey())->getCurrentTime() +
_trader_manager->_order_delay_replay_seconds * 1000;
// Se l'ordine e' marketable, allora lo inseriamo come immediate or cancel e assumiamo che sia interamente eseguito
OpenOrder open_order(instrument, order_action, quantity, order_type, limit_price, dynamics,
instrument->market_data->getExecutableBidPrice(),
instrument->market_data->getExecutableAskPrice());
BOOST_LOG_TRIVIAL(info) << (open_order.action == LuaEnums::BUY ? "BUY " : "SELL ") << open_order.quantity << " " <<
open_order.instrument->name << " @ " << (open_order.type == LuaEnums::MARKET ? "MARKET" : "") << (
open_order.type == LuaEnums::MARKET ? 0.0 : open_order.limit_price);
// In simulazione devo dare anche il broker_id
open_order.id = open_order.broker_id = _next_order_id++;
auto pair = _pending_orders.insert(open_order);
if (!pair.second)
{
// Qui non dovrebbe mai capitare
BOOST_LOG_TRIVIAL(error) << "Unexpected error: duplicated broker id " << open_order.broker_id << " for instrument "
<< instrument->name;
return 0;
}
pair.first->checkAssumeFullExecution();
tick->order_id = open_order.id;
_trader_manager->getReplayerManager(TraderManager::MarketReplayerManagerKey())->addNewTick(tick);
return open_order.id;
}
else
{
BOOST_LOG_TRIVIAL(error) << "Missing market replayer manager";
return 0;
}
}
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