Added performance metrics and some refactoring (#52)

Author: mccaffers

CMakeLists.txt

@@ -195,9 +195,10 @@ find_package(OpenMP REQUIRED)
 string(APPEND CMAKE_CXX_FLAGS " ${OpenMP_CXX_FLAGS}")
 
 # Boost (Homebrew) — Boost.Redis is header-only but its implementation is
-# compiled into one dedicated TU via <boost/redis/src.hpp> (source/
-# boostRedisImpl.cpp), which isolates its macro/SSL pollution from the rest of
-# the build. It pulls in Boost.Asio's SSL layer, which needs OpenSSL.
+# compiled into one dedicated TU via <boost/redis/src.hpp>
+# (source/shared/redis/connection/boostRedisImpl.cpp), which isolates its
+# macro/SSL pollution from the rest of the build. It pulls in Boost.Asio's SSL
+# layer, which needs OpenSSL.
 find_package(Boost REQUIRED CONFIG)
 find_package(OpenSSL REQUIRED)
 find_package(Threads REQUIRED)

source/load/loadCommand.cppm

@@ -14,50 +14,22 @@ module;
 #include "shared/utilities/env.hpp"
 #include "shared/utilities/parameterSweep.hpp"
 #include "shared/utilities/queueKeys.hpp"
-#include "shared/redis/redisLoader.hpp"
-#include "shared/tradingDefinitions/runConfiguration.hpp"  // RunConfiguration (json conversion)
-#include "shared/tradingDefinitions/strategy.hpp"
+#include "shared/redis/producer/redisLoader.hpp"
+#include "shared/tradingDefinitions/config/runConfiguration.hpp"  // RunConfiguration -> json
+#include "shared/tradingDefinitions/strategy.hpp"           // Strategy -> json (makeStrategy result)
 
 export module loadCommand;
 
 import std;                    // replaces <print>, <ranges>, <string>, <vector>
 import randomStrategySweep;    // buildRandomStrategySweep
 import runConfigurationBuilder; // makeRunConfiguration
+import makeStrategy;           // sweep::makeStrategy
 
 export class LoadCommand {
 public:
     static int run();
 };
 
-using tradingDefinitions::Strategy;
-
-Strategy makeStrategy(const sweep::Combination& combo) {
-    using namespace tradingDefinitions;
-
-    return Strategy{
-        // Each parameter combination gets its own UUID so a single backtest
-        // result is uniquely identifiable and traceable back to its inputs.
-        .UUID = boost::uuids::to_string(boost::uuids::random_generator()()),
-        .TRADING_VARIABLES = TradingVariables{
-            .STRATEGY = "RandomStrategy",
-            .STOP_DISTANCE_IN_PIPS = combo.getInt("STOP_DISTANCE_IN_PIPS"),
-            .LIMIT_DISTANCE_IN_PIPS = combo.getInt("LIMIT_DISTANCE_IN_PIPS"),
-            .TRADING_SIZE = 1,
-        },
-        .OHLC_VARIABLES = {
-            OHLCVariables{
-                // Only read OHLC params when the sweep actually registers them;
-                // they default to 0 otherwise (see buildRandomStrategySweep).
-                .OHLC_COUNT = combo.has("OHLC_COUNT") ? combo.getInt("OHLC_COUNT") : 0,
-                .OHLC_MINUTES = combo.has("OHLC_MINUTES") ? combo.getInt("OHLC_MINUTES") : 0,
-            },
-        },
-        .STRATEGY_VARIABLES = StrategyVariables{
-            .OHLC_RSI_VARIABLES = OHLCRSIVariables{.RSI_LONG = 60, .RSI_SHORT = 40},
-        },
-    };
-}
-
 int LoadCommand::run() {
 
     // One RUN_ID identifies the whole sweep; each combination becomes its own
@@ -79,7 +51,7 @@ int LoadCommand::run() {
     const auto strategyPayloads = combinations 
         | std::views::transform([](const sweep::Combination& combo) {
             // Pin to JSON explicitly to trigger implicit Strategy conversion
-            const nlohmann::json j = makeStrategy(combo);
+            const nlohmann::json j = sweep::makeStrategy(combo);
             return j.dump();
         }) 
         | std::ranges::to<std::vector>();

source/load/makeStrategy.cppm

@@ -0,0 +1,49 @@
+// Backtesting Engine in C++
+//
+// (c) 2026 Ryan McCaffery | https://mccaffers.com
+// This code is licensed under MIT license (see LICENSE.txt for details)
+// ---------------------------------------
+
+module;
+
+#include <boost/uuid/random_generator.hpp>
+#include <boost/uuid/uuid_io.hpp>
+
+#include "shared/utilities/parameterSweep.hpp"      // sweep::Combination
+#include "shared/tradingDefinitions/strategy.hpp"
+
+export module makeStrategy;
+
+import std;
+
+export namespace sweep {
+
+// Map one swept parameter combination onto a concrete Strategy. Each
+// combination gets its own UUID so a single backtest result is uniquely
+// identifiable and traceable back to its inputs.
+tradingDefinitions::Strategy makeStrategy(const sweep::Combination& combo) {
+    using namespace tradingDefinitions;
+
+    return Strategy{
+        .UUID = boost::uuids::to_string(boost::uuids::random_generator()()),
+        .TRADING_VARIABLES = TradingVariables{
+            .STRATEGY = "RandomStrategy",
+            .STOP_DISTANCE_IN_PIPS = combo.getInt("STOP_DISTANCE_IN_PIPS"),
+            .LIMIT_DISTANCE_IN_PIPS = combo.getInt("LIMIT_DISTANCE_IN_PIPS"),
+            .TRADING_SIZE = 1,
+        },
+        .OHLC_VARIABLES = {
+            OHLCVariables{
+                // Only read OHLC params when the sweep actually registers them;
+                // they default to 0 otherwise (see buildRandomStrategySweep).
+                .OHLC_COUNT = combo.has("OHLC_COUNT") ? combo.getInt("OHLC_COUNT") : 0,
+                .OHLC_MINUTES = combo.has("OHLC_MINUTES") ? combo.getInt("OHLC_MINUTES") : 0,
+            },
+        },
+        .STRATEGY_VARIABLES = StrategyVariables{
+            .OHLC_RSI_VARIABLES = OHLCRSIVariables{.RSI_LONG = 60, .RSI_SHORT = 40},
+        },
+    };
+}
+
+}  // namespace sweep

source/load/sweep/runConfigurationBuilder.cppm

@@ -9,7 +9,7 @@ module;
 #include <boost/decimal.hpp>
 #include <boost/decimal/literals.hpp>
 
-#include "shared/tradingDefinitions/runConfiguration.hpp"
+#include "shared/tradingDefinitions/config/runConfiguration.hpp"
 
 export module runConfigurationBuilder;
 

source/main.cpp

@@ -4,29 +4,24 @@
 // This code is licensed under MIT license (see LICENSE.txt for details)
 // ---------------------------------------
 
-import std;  // replaces <iostream>, <string_view>
+import std;
 
 // backtesting engine headers
 import loadCommand;
 import runCommand;
 
-// Entry point
 int main(const int argc, const char* argv[]) {
 
-  if (argc < 2) {
-    std::cerr << "BacktestingEngine: missing a subcommand. See README.md for usage"
-              << std::endl;
-    return 1;
-  }
+    if (argc < 2) {
+        std::println(std::cerr, "Error: missing subcommand");
+        return 1;
+    }
 
-  const std::string_view subcommand = argv[1];
+    const std::string_view subcommand = argv[1];
 
-  // Two paths, load or run
-  if (subcommand == "load") return LoadCommand::run();
-  if (subcommand == "run")  return RunCommand::run(argc, argv);
+    if (subcommand == "load") return LoadCommand::run();
+    if (subcommand == "run") return RunCommand::run(argc, argv);
 
-  std::cerr << "BacktestingEngine: unknown subcommand. See README.md for usage."
-            << std::endl;
-            
-  return 1;
-}
+    std::println(std::cerr, "Error: unknown subcommand '{}'.", subcommand);
+    return 1;
+}

source/shared/redis/backtestRunner.cppm source/run/execution/backtestRunner.cppmsource/shared/redis/backtestRunner.cppm renamed to source/run/execution/backtestRunner.cppm

@@ -7,7 +7,7 @@
 module;
 
 #include "shared/utilities/env.hpp"
-#include "shared/tradingDefinitions/configuration.hpp"
+#include "shared/tradingDefinitions/config/configuration.hpp"
 
 export module backtestRunner;
 

source/shared/redis/runnerBridge.cpp source/run/execution/runnerBridge.cppsource/shared/redis/runnerBridge.cpp renamed to source/run/execution/runnerBridge.cpp

@@ -4,7 +4,7 @@
 // This code is licensed under MIT license (see LICENSE.txt for details)
 // ---------------------------------------
 
-#include "shared/redis/runnerBridge.hpp"
+#include "run/execution/runnerBridge.hpp"
 
 import std;
 import priceData;       // PriceData

source/shared/redis/runnerBridge.hpp source/run/execution/runnerBridge.hppsource/shared/redis/runnerBridge.hpp renamed to source/run/execution/runnerBridge.hpp

@@ -6,7 +6,7 @@
 #pragma once
 #include <memory>
 #include <string>
-#include "shared/tradingDefinitions/configuration.hpp"
+#include "shared/tradingDefinitions/config/configuration.hpp"
 
 // Opaque handle to a run's loaded tick data, defined in runnerBridge.cpp.
 //

source/run/operations.cppm

@@ -7,7 +7,7 @@
 module;
 
 #include "shared/utilities/backtestLog.hpp"
-#include "shared/tradingDefinitions/configuration.hpp"
+#include "shared/tradingDefinitions/config/configuration.hpp"
 #include "run/reporting/tradingResults.hpp"
 
 export module operations;
@@ -76,7 +76,7 @@ void Operations::run(const std::vector<PriceData>& ticks,
         trading::runTicks(tradeManager, *strategy, ticks,
                           config.STRATEGY.TRADING_VARIABLES, riskLimits);
 
-    ResultsSummary::summarise(tradeManager);
+    ResultsSummary::summarise(tradeManager, config);
 
     // Elapsed backtest time for this run, measured from the top of run(). The
     // Elasticsearch PUT below is deliberately excluded so the duration reflects
@@ -128,7 +128,7 @@ void Operations::run(const std::vector<PriceData>& ticks,
                 durationSeconds,
                 reason.str(),
                 config,
-                ResultsSummary::collect(tradeManager),
+                ResultsSummary::collect(tradeManager, config),
             };
             ElasticClient::putTradingFailure(failure);
         } else {
@@ -137,7 +137,7 @@ void Operations::run(const std::vector<PriceData>& ticks,
                 TradingResults::nowIsoUtc(),
                 durationSeconds,
                 config,
-                ResultsSummary::collect(tradeManager),
+                ResultsSummary::collect(tradeManager, config),
             };
             ElasticClient::putTradingResults(results);
         }