Advanced Strategy C++ SDK - Trading Framework
(Professional Software Solutions)  Feb 18th, 2015

Welcome to the advanced Strategy C++ SDK - a Trading Framework from Professional Software Solutions which allows you to:
- Manage PARALLEL and OVERLAPPING Strategy setups
- Offline Test Module for Bar by Bar testing and debugging
- Detailed diagnostic for each Strategy Setup - Example: Setup_VXX_1Min.txt  

Create a new Strategy Module 
Turbo backtesting using the BTSeqMgr Engine 

How to create a PSS Strategy Logic Module:

Name: Create a module name(Max 8): TRD_XXX
Delete DLLMain()
Add PATHs: C++/Preprocessor:  ..\..\..\..\Core\Utilities,..\..\..\..\Core\Graph,..\..\TS\LIB 
Adjust StdAfx.h: XXStdAfx.h DLL_LOG_NAME, BCM_BASE
Create Strategy Module from::  XXStrat.h and XXStrat.cpp
Create Parameter List: XX_Par.txt  in C:\Database\TRD_XX\XX_Par.txt   
10/Lookback|10
11/EntryOffsetL|0
12/EntryOffsetS|12
13/TargetOffsetL|100
14/TargetOffsetS|100
15/StopOffsetL|100
16/StopOffsetS|100
17/MaxEntryWait|20
18/PosAge|20

0/LastBarOnChart|0
1/MinMove|0.01
2/BigPointAmt|1
3/Comm|2
4/Slip|0
5/Strat|101
6/BGMode|0
7/MaxData|20
8/StockPosAmt|5000
9/nBTWFMgrExport|2
Add DLL entry points to DLL Main module: XXDLL.cpp 
You can add a new Functions: XXDLLFU.cpp 
PSS_Func1() - Bar Info in Arguments  - EasyLanguage Example: XXFun1.txt 
PSS_Func2() - Bar Info and parameters in float array-  Example: XXFun2.txt - (works only in TS)
PSS_Func3() - Bar Info and parameters in array and accessed via EL Global Object - EasyLanguage Example: XXFun3.txt 
Add low level function modules:
CTxt, DLLUtil, DLLTempl, DateTime, GetDateLong, HttpGet, LaunchFile, RamFile, REG, ShowProgress, SPtrArray, 
TS: BarMgr, 
IF Strategy: BarCalcMgr, PosAnaMgr, DataVal
Define the In/Out Array Size:
#define PSSTRD_MAXIN   50 // Max 50 Inputs
#define PSSTRD_MAXOUT 100 // Max 100 Outputs

float farrValIn[PSSTRD_MAXIN];
float farrValOut[PSSTRD_MAXOUT];
ZAP0(farrValIn,sizeof(farrValIn));
ZAP0(farrValOut,sizeof(farrValOut));
Strategy Module Parameter Load:
int CMSStrat::OnStratSetInputs()
  m_nLookback = GetStratParInt(10);
m_pBGM->m_bLoadGlobPar = FALSE/TRUE;
Strategy Module Calculate Indicator Tracks:
m_pBCM1->GetIBCMStrat()->OnCalcTracks(nDataTrack,pBar,bAdd); 
int CMSStrat::OnCalcTracks(int nDataTrack,CBarCalcData *pBar,BOOL bAdd)
Strategy Module Bar Processing Logic:
int ret = m_pBCM1->GetIBCMStrat()->OnProcessNewBar(pValOut);
int CMSStrat::OnProcessNewBar(float *pValOut)
MAIN Strategy Module Logic:
int CMSStrat::OnCalcSetup(CTrdSetup *pSetup,float *pValOut)
int nStage = pSetup->GetStage();
switch (nStage)
{
case 1,2,3:
case BCM_SET_ENTRYSTAGE:   // still trying to enter (10)
case BCM_SET_ENTRYSTAGE+1: // have entered (11)
  
Check for Entry:
add Strategy Entry logic in CXXXStrat::OnCheckForNewSetup()
 pSetLast = AddSetup( 1,GetBarLast1(),txtData,m_txtColHdr);
Process Position Entry:
int CTrdSetup::AddSetupBar(CBarCalcData *pBar,float *pValOut)  
If Filled - call: SetEntry(pBarNew->m_Bar.m_fO); // Market Order - entry at open price

int CTrdSetup::SetEntry(float fPrcE)
 m_fPrcEGot and   m_nBarNbrE and   m_nDTE    
Check for Exit:
int CTrdSetup::CheckExit(float *pValOut) 
How to add Indicator Value(s) (RSI, Stochastic etc)  to your Strategy:
Add BCM Indicator(s) to let BCM calculate the value(s) in: int CMSStrat::OnCalcTracks(int nDataTrack,CBarCalcData *pBar,BOOL bAdd)
fPar[0] = (float)10; // Lookback
CBarCalcTrack *pTrack = GetBCM1()->AddCalcTrack(CBarCalcTrack::BARCALC_TYP_MTX,CBarCalcTrack::BARCALC_SRC_H,fPar,txtErr);
if (pTrack == NULL)
  return -1;
AddCalcTrack(pTrack);
Define new column(s) columns in XXStrat.h:
//====== DEFINE CALCULATED SETUP VALUES ====================
// prefix XX_ to avoid clash with other Strategy modules
#define XX_STRAT_E_BAR 0   // Entry BarNbr
#define XX_STRAT_TAR_PRC 1 // Traget Price
Add new column(s) to Strategy Header: CXXStrat::CXXStrat () { m_txtColHdr = "EBar|Target|"; ...} 
custom columns are appended to basic columns: txtHdr.Format("Dir|SeqNbr|Stage|Age |Profit$| Stop| Target| Entry|Size|%s",pHdr);
 pSetNew->AddSetupColHdr(txtData) -> m_arrSetupCol.Add(pHdr)
  CTxtArray m_arrSetupCol; // List of Columns in Bar Data
Set the new column value(s)
 pSetup->SetVal(fTar,XX_STRAT_TAR_PRC);
Strategy columns will be exported for each bar in: int CTrdSetup::ExportCSV(CTxtArray *parrOut)

- add calculation if live values in CXXXStrat::CalcNewBar() 
- add strategy input assignments in CXXXStrat::OnStratSetInputs()
- add Bar Calc Tracks in CXXXStrat::OnCalcTracks()

- add Startegy Stage and entry logic in CXXXStrat::OnCalcSetup()
- set Strategy Par Text file in CXXXoStrat::OnStratInit()
- setup Strategy Par Text file M:\srcpss\Apps\StockData\TS\BTSeqMgr\DC_Par.txt\XXX_Par.txt let copy to C:\Database\HWLC
- Define Parameter file in "m_txtFnGlobPar/m_arrGlobParTxt" - used in CBarCalcGlobalMgr::LoadGlobPar()
define in CVAStrat::OnStratInit() via txtFnPar.Format("%s/VA_Par.txt",VA_BASE); GetBGM()->SetGlobParFn(txtFnPar);
 
Fast Backtest (StratBT):  
 
Adding Context Parameter(SignalSeq):
Add Context Section with parameter(s):
ContextSet=
19/SignalSeq|0
Added to Context List: CBTStratParMgr m_ContextPar; // Context Parameter
 

Detailed Strategy diagnostic Example

Detailed diagnostic for each Strategy Setup - Example 1Min VXX - Setup_VXX_1Min.txt  
Setup#0016|Long |VXX_I1_T1_STRATSNA_12H
|Date |Time |BarNbr|Open |High |Low |Close |VolumeUp |VolumeDown|Dir|SeqNbr|Stage|Age |Profit$| Stop| Target| Entry|Size|EBar |TarPrc |StopPrc |SUBar |PivBar |PrcWant |PivSeq |
Start |03/03/2014|12:17:00| 117| | | | | | | | | | | | | | |
      |03/03/2014|12:17:00| 117| 46.64| 46.69| 46.57| 46.60| 589| 536|L | 16| 10| 0| 0.0$| 46.24| 46.66| 46.46| 400|0 |46.66 |46.24 |117 |115 |46.46 |1 |
      | | |Sufficient Price Change: Pivot Bar#115(2014-03-03 12:15:00), Change=2.05% Want=1.20%(L),2.40%(S)|
      | | |Set EntryPrc to 46.46|
      | | |Changed Stop 0.00 -> 46.24|
      | | |Set Target 0.00(NotYetSet) -> (46.66)|
      | | |400 Shares Limit Entry @ 46.46, Stop=46.24, Target=46.66 (Ref=46.4100, Entry=46.4600, Target=46.6600, Stop=46.2400 Size=400, Wait=900Sec, PosExit=1080Sec)|
      |03/03/2014|12:18:00| 118| 46.58| 46.69| 46.58| 46.63| 602| 364|L | 16| 10| 1| 0.0$| 46.24| 46.66| 46.46| 400|1 |46.66 |46.24 |117 |115 |46.46 |1 |
      |03/03/2014|12:19:00| 119| 46.65| 46.70| 46.58| 46.64| 537| 626|L | 16| 10| 2| 0.0$| 46.24| 46.66| 46.46| 400|2 |46.66 |46.24 |117 |115 |46.46 |1 |
      |03/03/2014|12:20:00| 120| 46.64| 46.85| 46.61| 46.83| 818| 529|L | 16| 10| 3| 0.0$| 46.24| 46.66| 46.46| 400|3 |46.66 |46.24 |117 |115 |46.46 |1 |
      |03/03/2014|12:21:00| 121| 46.84| 46.85| 46.68| 46.70| 473| 554|L | 16| 10| 4| 0.0$| 46.24| 46.66| 46.46| 400|4 |46.66 |46.24 |117 |115 |46.46 |1 |
      |03/03/2014|12:22:00| 122| 46.71| 46.72| 46.55| 46.63| 396| 499|L | 16| 10| 5| 0.0$| 46.24| 46.66| 46.46| 400|5 |46.66 |46.24 |117 |115 |46.46 |1 |
      |03/03/2014|12:23:00| 123| 46.62| 46.65| 46.49| 46.53| 454| 382|L | 16| 10| 6| 0.0$| 46.24| 46.66| 46.46| 400|6 |46.66 |46.24 |117 |115 |46.46 |1 |
      |03/03/2014|12:24:00| 124| 46.53| 46.68| 46.49| 46.66| 405| 270|L | 16| 10| 7| 0.0$| 46.24| 46.66| 46.46| 400|7 |46.66 |46.24 |117 |115 |46.46 |1 |
      |03/03/2014|12:25:00| 125| 46.65| 46.65| 46.44| 46.44| 156| 334|L | 16| 11| 8| -8.0$| 46.24| 46.66| 46.46| 400|7 |46.66 |46.24 |117 |115 |46.46 |1 |
      | | |Entered @ 46.46 (Want=46.46, ShouldCross=1, Exact=1, IsStopE=0, Bar#=125)|
      |03/03/2014|12:26:00| 126| 46.45| 46.47| 46.32| 46.38| 474| 476|L | 16| 11| 9| -32.0$| 46.24| 46.66| 46.46| 400|7 |46.66 |46.24 |117 |115 |46.46 |1 |
      |03/03/2014|12:27:00| 127| 46.39| 46.57| 46.38| 46.56| 308| 200|L | 16| 11| 10| 40.0$| 46.24| 46.66| 46.46| 400|7 |46.66 |46.24 |117 |115 |46.46 |1 |
      |03/03/2014|12:28:00| 128| 46.56| 46.60| 46.47| 46.49| 280| 259|L | 16| 11| 11| 12.0$| 46.24| 46.66| 46.46| 400|7 |46.66 |46.24 |117 |115 |46.46 |1 |
      |03/03/2014|12:29:00| 129| 46.49| 46.58| 46.46| 46.53| 274| 146|L | 16| 11| 12| 28.0$| 46.24| 46.66| 46.46| 400|7 |46.66 |46.24 |117 |115 |46.46 |1 |
      |03/03/2014|12:30:00| 130| 46.52| 46.66| 46.51| 46.61| 312| 203|L | 16| 11| 13| 60.0$| 46.24| 46.66| 46.46| 400|7 |46.66 |46.24 |117 |115 |46.46 |1 |
      |03/03/2014|12:31:00| 131| 46.63| 46.64| 46.49| 46.58| 252| 322|L | 16| 11| 14| 48.0$| 46.24| 46.66| 46.46| 400|7 |46.66 |46.24 |117 |115 |46.46 |1 |
      |03/03/2014|12:32:00| 132| 46.59| 46.65| 46.54| 46.58| 191| 197|L | 16| 11| 15| 48.0$| 46.24| 46.66| 46.46| 400|7 |46.66 |46.24 |117 |115 |46.46 |1 |
      |03/03/2014|12:33:00| 133| 46.58| 46.58| 46.49| 46.54| 262| 177|L | 16| 11| 16| 32.0$| 46.24| 46.66| 46.46| 400|7 |46.66 |46.24 |117 |115 |46.46 |1 |
      |03/03/2014|12:34:00| 134| 46.54| 46.68| 46.54| 46.61| 241| 170|L | 16| 20| 17| 80.0$| 0.00| 0.00| 46.46| 400|7 |46.66 |46.24 |117 |115 |46.46 |1 |
      | | |Reached Target @ 46.66 (ShouldCross=1)|
End   |03/03/2014|12:34:00| 134| | | | | | | | | | | | | | |
You an add a commentary - so the Strategy/Indicator can talk in the Chart! via: View/Analysis Commentary - then click on a bar
{====== SHOW BAR COMMENT =============================================}
IF AtCommentaryBar and CommentaryEnabled THEN BEGIN
  Vars: cmt("");
  cmt = cmt + "Bar#" + numtostr(barnumber,0) + " Close=" + numtostr(C,5) + " High=" + numtostr(H,5) + " Low=" + numtostr(L,5) + newline;
  cmt = cmt + "Pos="+numtostr(marketposition,0) + " PosAge=" + numtostr(BarsSinceEntry,0) + " Left=" + numtostr(CurrentContracts,0) + " Entry=" + numtostr(EntryPrice,5) + " ExitAge=" + numtostr(BarsSinceExit(1),0) + newline;
  commentary(cmt);
END;
To check live values during processing add a Print Debug message - and view via: View/Print Log:
print(BarNumber:5:0,"# D=",Mod(Date,1000000):6:0," T=",Time:4:0," oPeakBar=",oPeakBar:4:0," oTRWid=",oTRWid:7:2," peak=",PeakStrength:7:2," Drop=",nDropPer:7:2," nAvgTR=",nAvgTR:7:2);
Entry/Exits:
Buy("LE") next bar LEVal limit;
SellShort("SE") next bar SEVal limit;
Sell ("LEx") next bar Market;
Sell("LTar") next bar TargetPrc limit;
Sell("LStp") next bar StopPrc stop;
Buy to Cover("STar") next bar TargetPrc limit;
Buy to Cover("SStp") next bar StopPrc stop;
 

Advanced Turbo Backtesting using BTSeqMgr Engine 

Ultimately the Stratgy will be used in TS/MC to execute automated trades.
The BTSeqMgr offers a much faster way to backtest than TS or MC, because the strategy logic is integrated and compiled as a C++ Object/Module!
Below you will find the steps to add and run a backtest using BTSeqMgr
Add Strategy Logic Module to BTSeqMgr Workspace (into new Branch):

Add the XXStrat.h also to the StdAfx.h:
#if SEQ_HW == 1
#include "..\PSS_SNA\SnaStrat.h"
#include "..\..\TRD\TRD_MS\MSStrat.h"
...
#endif
Add Strategy Name to Class Factory:
CBTSeqMgrDlg::ThreadBTRun()
if (StringCompare(pDlg->m_BTS.GetStratName(),"MS",1) == 0)
{
  CMSStrat *pMS = new CMSStrat;
  pDlg->m_BTS.SetTopStrat(pMS);
  pMS->SetBTSes(&pDlg->m_BTS);
}
Create special Seq *.hws File: Create a *.hws file with the specifics Example:
Workspace=
Symbols=VXX
EndDate=5/6/2014
StratName=MS

Template=
Intra/1|1/1/2013

OptSet=
10/PivLeftL|8
11/PivRight|2
12/EntryOffsetL|5
13/MaxEntryWait|15
14/TargetOffsetL|18,19,20
15/StopOffsetL|22,30
16/MinPriceChangeL|1.00,1.05,1.10,1.15,1.20
17/LSFilter|0
18/PivSeq|1
19/PosAgeL|18
20/PivLeftS|10,11,12
21/EntryOffsetS|5
22/TargetOffsetS|16,18,20,22
23/StopOffsetS|16
24/MinPriceChangeS|2.4,2.5,2.6
25/ChgLeftL|10
26/ChgLeftS|8
27/FixedTrdSize|0
28/OppPivotExitWait|10
29/PosAgeS|0
30/TimeStart|93000
31/TimeEnd|153000
32/DayEnd|155000
9/nBTWFMgrExport|0


SymVXX=
1/MinMove/ParFlt|0.0100
2/BigPointAmt/ParFlt|1.0000
3/Comm/ParFlt|1.00
4/Slip/ParFlt|0
5/StratNbr|101
8/TrdCapital|10000
BackTest execution in: int CBTSession::RunScript(const char *pFn,CTxt &txtErr) 
Creates BT Base folder: "C:/Database/BT/MS_ALL/SES_0001" - Debug: "C:/Database/BT/MS_ALL/SESSION"
Command Execution: int ret_ = RunBTCmd(pCmd"OptSet;@C:\Database\MktScan\MS_20150226.txt;Intra/1|1/1/2013|01/02/1900;",txtErr);
BackTest Reversals - turn Event Sorting OFF
Up/Down Setup processing Direction: 
int CBSPStrat::OnStratInit(float *pValBar)
  GetBGM()->SetSetupDir(1); // process older setups first (not default)
Send next Bar to each active Setup - 
CPTStrat::OnProcessSetups(float *pValOut) 
for (int iSetup=nMaxSetup-1; iSetup >= m_iSetupDoneIdx; iSetup--)
  pSetup->AddSetupBar(pBarCurr,pValOut);
Add next Bar to each Setup:
CTrdSetup::AddSetupBar(CBarCalcData *pBar,float *pValOut)
  SetEntry(pBarNew->m_Bar.m_fO);
Send Trade Event:
CTrdSetup::SetEntry(float fPrcE)
   SetStage(BCM_SET_ENTRYSTAGE+1);
  if (BIT_SET(m_pBCM1->m_nBCMFlg,BCM_FLG_PRELOAD))
    WriteEvt(m_pStrat->GetBTSes());
Write Trade Event:
Entry: Cache only: CWFOEvt *pEvt = &pBTSes->m_WFOEvtE;
Exit only: CWFOEvt *pEvt = &pBTSes->m_WFOEvtE;
 

 

 

OLD (join with Top)

TS Reserved Variables:
EntryPrice(0) Current Position Entry Price
EntryPrice(1) Previous Position Entry Price
BarsSinceEntry(0) Number of Bars since Entry (First Bar = 0) 
BarsSinceExit(1) Number of Bars since last Exit (Exit Bar = 0) 
   

 
How To Add Strat.txt
- New Folder for strat def (M:\srcpss\Apps\StockData\TS\MyIdeas\DCGo)
- Clone: (ST_TRD.txt, ST.cpp, ST.h)
- New Seq Def Files: ST.hws (M:\srcpss\Apps\StockData\TS\BTSeqMgr)
StratName=VA defines the name used in:
m:\srcpss\Apps\StockData\TS\BTSeqMgr\BTSeqMgrDlg.cpp(1020)
if (StringCompare(pDlg->m_BTS.GetStratName(),"VA",1) == 0)
CVAStrat *pVA = new CVAStrat;
Data used for backtest:
Workspace=
Symbols=TVIX
EndDate=9/30/2013
StratName=VA

Template=
Intra/5|3 Months -OR-
Intra/5|1/1/2013

- New Par File: ST_Par.txt in "C:/Database/PSS_VA/VA_Par.txt"
used in: int CVAStrat::OnStratInit(float *pValBar)

- New? ST_TRD.txt (M:\srcpss\Apps\StockData\TS\BTSeqMgr)
- New Folder in BTSeqMgr (DCGo)
- Adjust ST.cpp/h to new name
- add Strat Inputs: FIXED STRATEGY PARAMETER
- add Strat Values: LIVE BAR VALUES
#define BAR_DCUP 0 // DC Upper band
- add Strat calculated custom values: DEFINE CALCULATED SETUP VALUES 
#define STRAT_E_BAR 0
- add calculation if live values in CXXXStrat::CalcNewBar()
- add strategy input assignments in CXXXStrat::OnStratSetInputs()
- add Bar Calc Tracks in CXXXStrat::OnCalcTracks()
- add Strategy Entry logic in CXXXStrat::OnCheckForNewSetup()
- add Startegy Stage and entry logic in CXXXStrat::OnCalcSetup()
- set Strategy Par Text file in CXXXoStrat::OnStratInit()
- setup Strategy Par Text file M:\srcpss\Apps\StockData\TS\BTSeqMgr\DC_Par.txt\XXX_Par.txt let copy to C:\Database\HWLC
- Define Parameter file in "m_txtFnGlobPar/m_arrGlobParTxt" - used in CBarCalcGlobalMgr::LoadGlobPar()
define in CVAStrat::OnStratInit() via txtFnPar.Format("%s/VA_Par.txt",VA_BASE); GetBGM()->SetGlobParFn(txtFnPar);

- set up trading ELD XX_TRD.txt
- add new CXXXStrat in CBTSeqMgrDlg::ThreadHWSeq()
- add CXXXStrat.h to StdAfx.h in BTSeqMgr
- add switch (nStratNbr) in PSSTRD2() in PSS_TRD.cpp for DLL interface
- add StratNbr and ColHdr in CXXXStrat::CXXXStrat()
- set StratNumber also in ELD XXX_TRD.txt - arrPSSTRD1[5] = 101;
- add any context variables to XX_XX.hts
- Export test data - (nBGMode=2) into c:\Database\HWLC\TRD_Sym_Par.txt and TRD_Sym_Data.txt
WATCH out for append trap - remove old data
- Copy to 
- Run to Strat to check logic
\SpeherLLC\PSS_TRD\StdAfx.hChange text pointer for log file and Diag files
//#define DLL_LOG_NAME "PSS_TRD"
//#define DLL_LOG_HOME "C:/Database/HWLC"
#define DLL_LOG_NAME "ATR_TRD"
#define DLL_LOG_HOME "C:/Database/ATR"


Example to integrate into TS:
http://www.profsoftware.com/download/el_20080430_G3/
http://www.profsoftware.com/download/el_20080515_G3B/
m:\srcpss\Apps\StockData\TS\EL_Consult\20080501_George3\G3_TRD\G3_TRD.cpp(149)
int G3_TRD0(LPSTR *pSym,float *pValStratPar,float *pValBar,float *pValOut,CTxt &txtErr)
//====== TS INTERFACE - COLLECT ARRAY VALUES AND PASS ON AS STANDARD FLT ARRAY ===
int __stdcall G3_TRD1(LPSTR *pSym,IEasyLanguageObject *pEL)

BTMode(1) = Backtest Mode:
1=with detailed diagnostics(Setup_XX.txt, for development)
0=No diagnostics(for backtesting)

George Pages:
http://www.profsoftware.com/download/el_20080515_G3B/
http://www.profsoftware.com/download/el_20080430_G3/
http://www.profsoftware.com/download/el_20090430_G4/

 

XXX Strategy Mnemonic (2 - 3 capital letters)
DLL a) New Win32 Dynamic-Link Library
b) simple DLL
Location: M:\srcpss\Apps\StockData\TS
Project Name TRD_XXX

c) Into VSS
Location: M:\srcpss\Apps\StockData\TS
Project: TRD_XXX
stdafx.h Sample main include
Adjust: DLL_LOG_NAME, DLL_LOG_HOME,BCM_BASE
XXX_TRD.def Create Entry points
XXX Strategy Mnemonic (2 - 3 capital letters)
stdafx.h Sample main include
Adjust: DLL_LOG_NAME, DLL_LOG_HOME,BCM_BASE
XXX_TRD.def Create Entry points
Inherited  XXX_Strat.h/cpp: The new Strategy Class is inherited from "CPTStrat": class CXXXStrat : public CPTStrat
Contains:
a) Calculated Bar Values (BAR_XXX)
b) Calculated Strategy Setup Values (STRAT_XXX)
c) Added Custom Functions: int CheckCross(float fDelta,char cLS,CTxt &txtData,BOOL bInvert);
d) Fixed Strategy Parameter: m_xxx - set in int CMSCStrat::OnStratSetInputs()
e) Live Bar Values: m_fXXX  
Main Entry int XXX_TRD0(LPSTR *pSym,float *pValStratPar,float *pValBar,float *pValOut,CTxt &txtErr)
Called from Test NonDup and Chart function: int __stdcall MSC_TRD1(LPSTR *pSym,IEasyLanguageObject *pEL)
Strat Entry Check int CXXXStrat::OnCheckForNewSetup()
xxx
Debug Project/Settings/Debug - Browse to: "M:\srcpss\Apps\NonDup\Debug\NonDup.exe"
Working Directory: "C:\Database\MSC_TRD"
Stack:
CMSCStrat::OnCheckForNewSetup() line 199
CMSCStrat::OnProcessNewBar(float * 0x0018f5b8) line 63 + 13 bytes
CPTStrat::OnProcessDataTracks(const char * 0x002ca938, float * 0x0018f734, float * 0x0018f658, float * 0x0018f5b8, int 95, int 40, CTxt & {...}) line 10279 + 43 bytes
CPTStrat::Strat_ProcessBar(float * 0x0018f734, float * 0x0018f658, float * 0x0018f5b8, int 95, int 40, CTxt & {...}) line 2895 + 69 bytes
MSC_TRD0(char * * 0x00254b40, float * 0x0018f734, float * 0x0018f658, float * 0x0018f5b8, CTxt & {...}) line 159 + 28 bytes
Test_MSCTRD() line 3088 + 35 bytes
Crash Debug Many calls to set the BGM Progress State: GetBGM()->SetBGMProc(6020); setting: CBarCalcGlobalMgr::m_nBGMProc
Retrieve via : GetBGMProc()
LOGTRACE("PSSTRD",1,"CRASH ERROR1 BGMState=%d",pBGM->GetBGMProc());
BackTest //#define BGM_BT 1 // Activate BT Functions in BGM/BCM Modules
Each Bar Proc Each Bar is processed via the function:
int CPTStrat::Strat_ProcessBar(float *pValStratPar,float *pValBar,float *pValOut,int nMaxVal1,int nMaxVal2,CTxt &txtErr)
Which checks if start a new run: BOOL bNewRun = ((nBarNbr < m_nStratBarNbr1) || (m_nStratBarNbr1 == 0)); 
If bNewRun==TRUE: init new run:
a) Reset All fixed Strategy parameter:  ZAP0(m_fStratPar,sizeof(m_fStratPar)); - PSSTRD_MAXVAL1
b) Copy fixed startegy parameter: for (int iPar=0; iPar < m_nMaxPar; iPar++) m_fStratPar[iPar] = pValStratPar[iPar];
c) Load Global Parameter: m_pBGM->LoadGlobPar(pValStratPar,m_nMaxPar,TRUE); // force in case Strat Input changes
into text array: m_arrGlobParTxt:
Needs the XXX_PAR.txt file: 
10/Source|1
11/MA1Length|3
12/MA2Length|10
...
0/LastBarOnChart|0
1/MinMove|0.25
2/BigPointAmt|50
3/Comm|4
4/Slip|0
5/Strat|101
6/BGMode|0
7/MaxData|20
8/StockPosAmt|12000
9/nBTWFMgrExport|2

d) Load and process fixed Strategy parameter(see below) int CMSCStrat::OnStratSetInputs()
e) Calculate the Tracks for all data tracks (m_nMaxData=1)
int CPTStrat::OnProcessDataTracks(const char *pSym,float *pValStratPar,float *pValBar,float *pValOut,int nMaxVal1,int nMaxVal2,CTxt &txtErr) 
Get the data specific BCM: CBarCalcMgr *pBCM = GetStratBCM(nDataTrack-1);
Extract the bar values: int nBarNbr = (int)pValBar[iVal+7]; ... float fO = pValBar[iVal+2];
Add new bar to BCM: iBar = pBCM->AddBar(&nDT,fO,fH,fL,fC,fV,nBarNbr,FALSE);
pBar = pBCM->GetCalcBar(iBar);
f) Calculate Tracks: (m_bIntraBarTick = FALSE) - int CMSCStrat::OnCalcTracks(int nDataTrack,CBarCalcData *pBar,BOOL bAdd)
HWS In the hws script we define the backtesting ranges of each parameter within the BTSeqMgr fast backtest framework - 
StratName=SNA - defines the Startegy Class
CBTSeqMgrDlg::ThreadBTRun()
if (StringCompare(pDlg->m_BTS.GetStratName(),"SNA",1) == 0)
{
 CSNAStrat *pSNA = new CSNAStrat;
 pDlg->m_BTS.SetTopStrat(pSNA);
 pSNA->SetBTSes(&pDlg->m_BTS);
}
See BTSeqMgr backtest Framework: int CBTSession::RunScript(const char *pFn,CTxt &txtErr)

Example:
Workspace=
Symbols=VXX
EndDate=2/14/2014
StratName=SNA

Template=
Intra/1|9/1/2013

OptSet=
10/PivLeft|20,30
11/PivRight|2
12/EntryOffset|4
13/MaxEntryWait|15
14/TargetOffset|20
15/StopOffset|50
16/MinPriceChange|1.7,1.71
17/LSFilter|0
18/PivSeq|1
19/PosAge|20
9/nBTWFMgrExport|0

SymVXX=
1/MinMove/ParFlt|0.0100
2/BigPointAmt/ParFlt|1.0000
3/Comm/ParFlt|3.00
4/Slip/ParFlt|0
5/StratNbr|101
8/TrdCapital|10000
RunScript (HWS) BTSeqMgr backtest Framework: 
int CBTSession::RunScript(const char *pFn,CTxt &txtErr) - "M:/srcpss/Apps/StockData/TS/BTSeqMgr/SNA_VXX1.hws"
 (m_bRunAsIndicator = TRUE for special mode: int CBTSession::PrepareForIndicatorRun(const char *pFnDef,CTxt &txtErr))
Create Session Folder: "C:/Database/BT/SNA_VXX1/SES_0009" - Debug - fixed: "C:/Database/BT/SNA_VXX1/SESSION"
Copied backtesting script (0) M:/srcpss/Apps/StockData/TS/BTSeqMgr/SNA_VXX1.hws -> C:/Database/BT/SNA_VXX1/SESSION/SNA_VXX1.hws
Execute Command: "OptSet;VXX;Intra/1|9/1/2013|02/14/2014;"
int ret_ = RunBTCmd(pCmd,txtErr);
Preload Data:
PreloadBCM("VXX","Intra/1","9/1/2013|02/14/2014")
ATTACHED STRAT TO BCM1:
m_pBCM1->AddStrat(m_pStrat,m_pBCM1,fValBar[]);
m_pStrat->SetBCM(m_pBCM1,m_pBGM);
m_StratPar.m_pBTSes = this;
m_ContextPar.m_pBTSes = this;

EXTRACT SYMBOL SPECIFIC TRADING PARAMETER:
SymVXX=
1/MinMove/ParFlt|0.0100
2/BigPointAmt/ParFlt|1.0000
3/Comm/ParFlt|3.00
4/Slip/ParFlt|0

Load Strategy Parameter (Permutations) and TRANSFER GLOBAL PARAMETER TO STRAT SET:
int CBTStratParMgr::LoadStratPar(CTxtArray *pArr,CTxt &txtErr)

FORCE FAST BGMMODE:
Par6 (BCM_DIAG_COLID) = 0
m_pStrat->SetDiag(FALASE)
nBTWFMgrExport = 2 (Equity)
m_pBGM->m_nBGMMode = CBarCalcGlobalMgr::BGM_MODE_FAST;

Init BTWF Hdr:
ExportBTHdr(txtErr)

PROCESS EACH PERMUTATION:
 for (m_iCurrPerm=0; m_iCurrPerm < m_nMaxPerm; m_iCurrPerm++)
 CBTStratParMgr::SetPerm(m_iCurrPerm)
 "NewRun 1 of 2: MinPriceChange=1.7"

PROCESS EACH BAR:
 for (int iBar=0; iBar < nMaxBar; iBar++)
 CBarCalcData *pBar1 = m_pBCM1->GetCalcBar(iBar);
 ret = m_pStrat->Session_ProcessBar(&m_StratPar,bNewRun,txtErr,pBar1);

Writing Trades:
class CBTSession - CRamFile m_rfiEvt;
int CBTSession::WriteEvt(BYTE *pEvtRam,int nBy)
int CTrdSetup::WriteEvt(CBTSession *pBTSes)
BTMode(1) In the hws script is the line defining the Backtest Mode:
0=No diagnostics(for backtesting)
1=with detailed diagnostics(for development)
Loading Strat Par int CMSCStrat::OnStratSetInputs()
Initiate the startegy parameter:m_nMA1Length = GetStratParInt(11);
using: 
GetStratParInt(11);
GetStratParFlt(31); 
Calculate Tracks Here we customize the bar calculations for  the strategy: 
int CMSCStrat::OnCalcTracks(int nDataTrack,CBarCalcData *pBar,BOOL bAdd)
Init in: If (nMaxTrack < 1)
Init Example:
CBarCalcTrack::BarCalcValSrc nSrc = CBarCalcTrack::BARCALC_SRC_C;
CBarCalcTrack *pTrack = GetBCM1()->AddCalcTrack(nBarCalcType,nSrc,fPar,txtErr);
if (pTrack == NULL)
return -1;
AddCalcTrack(pTrack);
Calc Example:
pTrack->CalcTrackBar(pBar);
in: int CBarCalcTrack::CalcTrackBar(CBarCalcData *pBar,float *pfSrc,CBarCalcData *pBar2)
switch (m_nCalcType)
{
case BARCALC_TYP_PIVH:
}
if (m_bBarOutput == TRUE)
Available Calculations defined in BarCalcMgr.h:
enum BarCalcType
{
BARCALC_TYP_NONE,
BARCALC_TYP_EXT, // External (Strategy) Fill
BARCALC_TYP_MA,
...
Data Dump At the end of the Run the framework calls: FLOAT XXX_TRD4(LPSTR *pSym,LPSTR *pCmd,LONG nDate,LONG nTime,INT nBarNbr)
typedef FLOAT (*PSSTRD5)(LPSTR,LPSTR,LONG,LONG,INT);
float fVal = (*pPSSTRD5)((CHP)txtSym,"G/ExportCSV",0,0,0);
which calls: return pBGM->ProcessDataRequest((CHP)pSym"@ES",(CHP)pCmd"G/ExportCSV",nDate,nTime,nBarNbr);
which also exports the Startegy Setups and parameters used in the last run
   
   
   
   
   
   
   
   
   
Tick by Tick Can be switched on via: 
which accumulates each tick internally and then creates a new bar 
m_bTickByTick - in BillFarm set: pBSStrat->m_bTickByTick = TRUE;