Merge pull request #7 from jkotra/2.0

algoticks 2.0

.vscode/launch.json

@@ -4,12 +4,33 @@
     // For more information, visit: https://go.microsoft.com/fwlink/?linkid=830387
     "version": "0.2.0",
     "configurations": [
+
         {
-            "name": "(gdb) Launch",
+            "name": "(gdb) Launch (Linux)",
             "type": "cppdbg",
             "request": "launch",
             "program": "${workspaceFolder}/bin/debug/algoticks",
-            "args": ["-D","1", "-s", "7117"],
+            "args": ["-D","1"],
+            "stopAtEntry": false,
+            "cwd": "${workspaceFolder}/bin/debug/",
+            "environment": [],
+            "externalConsole": false,
+            "MIMode": "gdb",
+            "setupCommands": [
+                {
+                    "description": "Enable pretty-printing for gdb",
+                    "text": "-enable-pretty-printing",
+                    "ignoreFailures": true
+                }
+            ]
+        },
+
+        {
+            "name": "(gdb) Launch (Windows)",
+            "type": "cppdbg",
+            "request": "launch",
+            "program": "${workspaceFolder}/bin/debug/algoticks.exe",
+            "args": [],
             "stopAtEntry": false,
             "cwd": "${workspaceFolder}/bin/debug/",
             "environment": [],

README.md

@@ -59,6 +59,7 @@ upon successful compilation, the binary executable along with config files are f
 ### Building on Windows (experimental)
 
 1. Install [MSYS2](https://www.msys2.org/)
+2. Install [CMake for Windows.](https://cmake.org/download/)
 2. Add the following to System PATH:
 ```
 C:\msys64\mingw64\include
@@ -67,17 +68,16 @@ C:\msys64\mingw64\lib
 C:\msys64\usr\bin
 ```
 
-Run the following commands in MSYS2 terminal:
+Run the following commands in `mingw64.exe` terminal:
 ```
 pacman -S base-devel mingw-w64-x86_64-gcc mingw-w64-x86_64-gdb mingw-w64-x86_64-json-c mingw-w64-x86_64-zeromq
-cmake -G "MSYS Makefiles" -DCMAKE_BUILD_TYPE=Debug ..
 ```
 
-Run the following in CMD from repository root directory:
+Run the following commands from repository root directory:
 ```
 mkdir bin
 cd bin
-cmake -G "MSYS Makefiles" -DCMAKE_BUILD_TYPE=Debug ..
+cmake -G "MSYS Makefiles" ..
 make
 ```
 

assets/configs/linux/benchmark.json

@@ -8,7 +8,7 @@
     "quantity": [10],
     "target": [1.5,2,2.5],
     "stoploss": [2,2.5,3,3.5],
-    "is_training_sl": [true,false],
+    "is_trailing_sl": [true,false],
     "trailing_sl_val": [1,2,3],
 
     "sliding": [true, false],

assets/configs/linux/config.json

@@ -8,7 +8,7 @@
     "quantity": 100,
     "target": 5,
     "stoploss": 7,
-    "is_training_sl": false,
+    "is_trailing_sl": false,
     "trailing_sl_val": 1,
 
     "sliding": true,

assets/configs/windows/benchmark.json

@@ -8,7 +8,7 @@
     "quantity": [10],
     "target": [1.5,2,2.5],
     "stoploss": [2,2.5,3,3.5],
-    "is_training_sl": [true,false],
+    "is_trailing_sl": [true,false],
     "trailing_sl_val": [1,2,3],
 
     "sliding": [true, false],

assets/configs/windows/config.json

@@ -8,7 +8,7 @@
     "quantity": 100,
     "target": 5,
     "stoploss": 7,
-    "is_training_sl": false,
+    "is_trailing_sl": false,
     "trailing_sl_val": 1,
 
     "sliding": true,

include/callbacks.h

@@ -1,3 +1,6 @@
-int load_callbacks(algoticks_config config);
+int load_callbacks(algoticks_config *config);
 int send_callbacks(algoticks_event events);
 int close_callbacks();
+algoticks_event make_event_from_positionresult(algoticks_positionresult positionresult);
+algoticks_event make_event_from_signal(algoticks_signal signal);
+algoticks_event make_event_from_position(algoticks_row pos_storage, algoticks_dashboard dashboard);

include/csvutils.h

@@ -1,5 +1,5 @@
 #define MAXCHARPERLINE 1024
-#define MAXCSVHEAD 11
+#define MAXCSVHEAD 12
 
 /* Declarations */
 void reset_header_skip();
@@ -9,6 +9,6 @@ int change_in_modified_date(char* filename);
 int reopen_datasource(char* filename, FILE** fp, char* mode);
 algoticks_row tokenize_row(char *row);
 void set_ohlcv_as_header();
-int process_csv_header(algoticks_settings settings, char *row);
-int read_csv(algoticks_settings settings,algoticks_config config, FILE *fp, char *fname, algoticks_row *storage, int seek_offset);
+int process_csv_header(algoticks_settings *settings, char *row);
+int read_csv(algoticks_settings *settings,algoticks_config *config, FILE *fp, char *fname, algoticks_row *storage, int seek_offset);
 int is_quoted(char *str);

include/dashboard.h

@@ -1,3 +1,3 @@
 /* Declarations */
 float getPnL(algoticks_dashboard dashboard);
-void print_dashboard(algoticks_settings settings,algoticks_config config,algoticks_dashboard dashboard);
+void print_dashboard(algoticks_settings *settings,algoticks_config *config,algoticks_dashboard dashboard);

include/debug.h

@@ -1,9 +1,9 @@
 /* Declarations */
-void debug_msg(algoticks_settings settings, int debug_level, char *op, char *loc, char *remarks);
-
+void debug_msg(bool settings_debug, int settings_debug_level, int msg_debug_level, char *file_name, const char *function, int line_n, char *message);
+void debug_msg_simple(char* msg);
 /* struct debug */
-void print_config_struct(algoticks_config config);
-void print_dashboard_struct(algoticks_dashboard dashboard);
-void print_signal_struct(algoticks_signal signal);
-void print_simresult_struct(algoticks_simresult simresult);
-void print_row_struct(algoticks_row row);
+void print_config_struct(algoticks_config *config);
+void print_dashboard_struct(algoticks_dashboard *dashboard);
+void print_signal_struct(algoticks_signal *signal);
+void print_simresult_struct(algoticks_simresult *simresult);
+void print_row_struct(algoticks_row *row);

include/dtypes.h

@@ -5,12 +5,12 @@ typedef struct Settings
     int debug;
     int debug_level;
 
-    char config_f[512];
-    char benchmark_f[512];
+    char *config_f;
+    char *benchmark_f;
 
     int is_live_data;
     int is_live_data_socket;
-    char socket_port[12];
+    char *socket_port;
     int is_derivative;
     int is_benchmark; /* for windows usage */
 
@@ -20,80 +20,80 @@ typedef struct Settings
 }algoticks_settings;
 
 typedef struct Dervative{
-    char derivative_datasource[512];
+    char *derivative_datasource;
     int derivative_interval;
 }algoticks_derivative;
 
+
+
+typedef struct Config
+{
+    char *algo;
+    char *datasource;
+    algoticks_derivative derivative;
+    char *symbol;
+    int candles;
+    int interval;
+
+    char **callbacks;
+    int n_callbacks;
+
+    double target;
+    double stoploss;
+    int is_trailing_sl; /* FLAG */
+    double trailing_sl_val;
+    int quantity;
+
+    int sliding; /* FLAG */
+    int intraday; /* FLAG */
+
+    int skip_header; /* FLAG */
+}algoticks_config;
+
 typedef struct BenchmarkConfig
 {
-    char algo[1024][32];
-    int n_algo;
 
-    char datasource[1024][512];
+    char *symbol;
+
+    int n_algo;
+    char **algo_arr;
+
     int n_datasource;
+    char **datasource_arr;
 
     algoticks_derivative derivative;
-    int n_derivative;
-
-    char symbol[32];
 
-    int candles[1024];
     int n_candles;
+    int *candles_arr;
 
-    int interval[1024];
     int n_interval;
+    int *interval_arr;
 
-    double target[1024];
     int n_target;
+    double *target_arr;
 
-    double stoploss[1024];
     int n_stoploss;
+    double *stoploss_arr;
+
+    int n_is_trailing_sl;
+    int *is_trailing_sl; /* array of bool */
 
-    int is_training_sl[2];
-    int n_is_training_sl;
-
-    double trailing_sl_val[1024];
     int n_trailing_sl_val;
+    double *trailing_sl_val_arr;
 
-    int quantity[1024];
-    int n_quantity;
-
-    int sliding[2];
+    int n_quantity; 
+    int *quantity_arr;
+
     int n_sliding;
+    int *sliding; /* array of bool */
 
-    int intraday[2];
     int n_intraday;
+    int *intraday; /* array of bool */
 
     int skip_header;
 
 }algoticks_benchmarkconfig;
 
-
-typedef struct Config
-{
-    char algo[32];
-    char datasource[512];
-    algoticks_derivative derivative;
-    char symbol[32];
-    int candles;
-    int interval;
-
-    char callbacks[6][32];
-    int n_callbacks;
-
-    double target;
-    double stoploss;
-    int is_training_sl;
-    double trailing_sl_val;
-    int quantity;
-
-    int sliding;
-    int intraday;
-
-    int skip_header;
-}algoticks_config;
-
-
 typedef struct Dashboard
 {
     char date[32];
@@ -117,9 +117,9 @@ typedef struct row_ti{
     float ti3;
 
     int is_ti_others_p;
-    char ti_others[2048];
+    char *ti_others;
 
-}algoticks_tow_ti;
+}algoticks_row_ti;
 
 typedef struct Row
 {
@@ -131,7 +131,7 @@ typedef struct Row
     float close;
     int volume;
 
-    algoticks_tow_ti technical_indicators;
+    algoticks_row_ti technical_indicators;
 
     int curr;
     int n_rows; //this is to be set in case of Row array of non-predetermined size.
@@ -194,11 +194,11 @@ typedef struct Event {
     int t_h;
     int sl_h;
 
-    int tsl;
-    float tsl_t;
-    float tsl_sl;
+    int tsl; /* trailing SL */
+    float tsl_t; /* trailing SL target */
+    float tsl_sl; /* trailing SL stoploss */
 
-    char date[64];
+    char date[32];
     float a;
     float b;
     float pnl;

include/misc.h

@@ -2,16 +2,16 @@
 algoticks_cb_l load_cb(char *algo);
 algo_func load_algo_func(char *algo);
 void close_algo_func();
-void write_simresult_to_csv(algoticks_simresult simresult);
+void write_simresult_to_csv(algoticks_simresult *simresult);
 void create_setting_config_benchmark_files(int type);
 int is_file_exists(const char * filename);
 void chomp(char *s);
-algoticks_benchmarkconfig parse_benchmark_from_json(char *filename);
-algoticks_settings parse_settings_from_json(char *filename);
-algoticks_config parse_config_from_json(char *filename);
-algoticks_config filter_boundaries(algoticks_config config, int is_short);
+void filter_boundaries(algoticks_config *config, int is_short);
 int is_target_hit(algoticks_dashboard dashboard, float target);
 int is_stoploss_hit(algoticks_dashboard dashboard, float stoploss);
 float brokerage_calc();
 void convert_to_lowercase(char *str);
-void remove_quotes(char *str);
+void remove_quotes(char *str);
+void free_algoticks_config(algoticks_config *config);
+void free_algoticks_settings(algoticks_settings *settings);
+void free_algoticks_benchmark(algoticks_benchmarkconfig *benchmark);

include/parser.h

@@ -0,0 +1,3 @@
+algoticks_settings parse_settings_from_json(char *filename);
+algoticks_config parse_config_from_json(char *filename);
+algoticks_benchmarkconfig parse_benchmark_from_json(char *filename);

include/sim.h

@@ -1,3 +1,3 @@
 /* Declarations */
-algoticks_simresult run_sim(algoticks_settings settings, algoticks_config config);
-algoticks_positionresult take_position(algoticks_signal signal, FILE *fp, int curr, algoticks_settings settings, algoticks_config config,algoticks_row lastrow);
+algoticks_simresult run_sim(algoticks_settings *settings, algoticks_config *config);
+algoticks_positionresult take_position(algoticks_signal signal, FILE *fp, int curr, algoticks_settings *settings, algoticks_config *config,algoticks_row lastrow);

include/sim_derivative.h

@@ -1,3 +1,3 @@
 /* Declarations */
-algoticks_simresult run_sim_w_derivative(algoticks_settings settings, algoticks_config config);
-algoticks_positionresult take_position_w_derivative(algoticks_signal signal, FILE *index_f, FILE *derivative_f, algoticks_settings settings, algoticks_config config, algoticks_row lastrow);
+algoticks_simresult run_sim_w_derivative(algoticks_settings *settings, algoticks_config *config);
+algoticks_positionresult take_position_w_derivative(algoticks_signal signal, FILE *index_f, FILE *derivative_f, algoticks_settings *settings, algoticks_config *config, algoticks_row lastrow);

include/timeutils.h

@@ -2,4 +2,4 @@ int is_date_over_or_eq_intraday(char *date, int intraday_hour, int intraday_min)
 int is_date_after(char *date_a, char *date_b);
 int is_date_before(char *date_a, char *date_b);
 int get_time_with_sscanf_from_string(char* date, struct tm *time_struct);
-int sync_curr(algoticks_settings settings, algoticks_config config,  FILE *f, char* fname, char *date, int seek_offset, int debug);
+int sync_curr(algoticks_settings *settings, algoticks_config *config,  FILE *f, char* fname, char *date, int seek_offset, int debug);