We have prepared an off-line C++ and Python strategy development package. It has a kit containing libraries and files that are sufficient to develop and test strategies on your computer.

Download it using the following command (Git must be installed):

git clone https://github.com/hftbattle/hftbattle.git

More on how to use Off-line Development Package:

• Setting dependencies
• Market data
• Strategy adding
• Strategy starting

Here you can find dependency management suggestions for the following operating systems:

• Ubuntu
• macOS
• Windows

Run packages_ubuntu.sh to install dependencies:

sudo ./packages_ubuntu.sh

The script installs g++, CMake and Python 2:

sudo apt-get update && sudo apt-get install g++ cmake python --yes

Run packages_mac.sh to install dependencies:

./packages_mac.sh

The script installs:

• Apple LLVM compiler (you can find detailed installation instruction here):

  xcode-select --install

• Homebrew package manager:

  /usr/bin/ruby -e "$(curl -fsSL https://raw.githubusercontent.com/Homebrew/install/master/install)"

• CMake, JsonCpp and Python 2:

  brew install cmake jsoncpp python

It's essential to have the following to run local pack under Windows:

• TDM64-GCC compiler at least version 5.1.0:

  You may download it here. Note that you need TDM64-gcc.

• CMake at least version 2.8.4:

  You may install CLion, or download CMake from the official website.

• Python 2.7:

  You may download it here.

Make sure that paths to cmake.exe, python.exe, g++.exe and mingw32-make.exe/make.exe are added to PATH environment variable.

The package repository contains a data folder with the first several hours of market data (configuration file line "day": "2016.09.02") of the trading symbol.

That's enough to:

• make sure your code compiles successfully
• debug your strategy

To check out the core ideas of the strategy you may download data for a complete trading day "2016.09.01" from here.

You may do it manually: just unzip the file into the root directory or use download.py script from the repository root.

./download.py

The script will download the file data.zip and unzip it into the data folder.

To test the strategy on the complete trading day you should change the value of the field day to "2016.09.01" in the configuration file.

This chapter describes execution of your strategy:

• Execution in command line
• CLion usage

We will assume, that your strategy and folder are called user_strategy. Read here about creating new strategies.

You need to:

• compile all the strategies you have:

  ./build.py

  This will create libraries for your strategies in the build folder.

• run a simulation.

  ./run.py user_strategy

To launch simulation in CLion you need to:

• specify executable file:

  open Run > Edit configurations, specify executable file in the root of directory as Executable:

  • mac_launcher for macOS
  • windows_launcher for Windows
  • linux_launcher for Linux

• specify path to your configuration file in the arguments of command line:

  in the same tab Run > Edit configurations you need to fill Program arguments with relative path to configuration file of your strategy. For example:

  strategies/user_strategy/user_strategy.json

• start building the project and simulating strategy by pressing Run button.

Once you decide to try more ideas and develop more strategies, using the one strategy - one file approach may become neccessary. Let’s have a look at how to add new strategies in the off-line development package.

• C++
• Python

• In the strategies folder create a copy of the sample_strategy folder
• Choose a name of your strategy.

Let’s call it strategy_name.

• Rename the new folder with json and cpp files inside with the strategy_name, strategy_name.json, strategy_name.cpp respectively.

Once the files are copied you need to edit cpp file.

Register your new strategy with the following command at the end of the cpp file:

REGISTER_CONTEST_STRATEGY(UserStrategy, strategy_name)

Let’s say your folder, .json-file and the strategy are called best_strategy_ever. You will therefore need to add the following line at the end of the file best_strategy_ever.cpp:

REGISTER_CONTEST_STRATEGY(UserStrategy, best_strategy_ever)

This is necessary due to specifics of the simulator’s dynamic linkage process of the strategies.

• Those of you who work in cli run the following script build.py:

  ./build.py

• Those working in CLion, go to Tools > CMake > Reload CMake Project.

Unfortunately, there is currently no way to create new folders for Python strategies. Please write your strategy in the strategies/python_strategy/python_strategy.py file. You may find out here how to run the strategy.