fixed up rust system
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063f4c8e27
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7 changed files with 255 additions and 44 deletions
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@ -75,18 +75,29 @@ impl BacktestEngine {
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}
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pub async fn run(&mut self) -> Result<BacktestResult, String> {
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eprintln!("=== BacktestEngine::run() START ===");
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eprintln!("Config: start={}, end={}, symbols={:?}",
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self.config.start_time, self.config.end_time, self.config.symbols);
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eprintln!("Number of strategies loaded: {}", self.strategies.read().len());
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// Initialize start time
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if let Some(simulated_time) = self.time_provider.as_any()
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.downcast_ref::<crate::core::time_providers::SimulatedTime>()
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{
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simulated_time.advance_to(self.config.start_time);
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eprintln!("Time initialized to: {}", self.config.start_time);
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}
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// Load market data
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eprintln!("Loading market data from data source...");
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self.load_market_data().await?;
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eprintln!("Event queue empty: {}, length: {}", self.event_queue.read().is_empty(), self.event_queue.read().len());
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eprintln!("Current time: {}, End time: {}", self.time_provider.now(), self.config.end_time);
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let queue_len = self.event_queue.read().len();
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eprintln!("Event queue length after loading: {}", queue_len);
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if queue_len == 0 {
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eprintln!("WARNING: No events loaded! Check data source.");
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}
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// Main event loop
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let mut iteration = 0;
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@ -128,31 +139,56 @@ impl BacktestEngine {
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}
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async fn load_market_data(&mut self) -> Result<(), String> {
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eprintln!("load_market_data: Starting");
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eprintln!("=== load_market_data START ===");
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let mut data_source = self.market_data_source.write();
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eprintln!("load_market_data: Seeking to start time: {}", self.config.start_time);
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// Seek to start time
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// Check if it's a HistoricalDataSource
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if let Some(historical) = data_source.as_any()
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.downcast_ref::<crate::core::market_data_sources::HistoricalDataSource>() {
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eprintln!("Data source is HistoricalDataSource");
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eprintln!("Historical data points available: {}", historical.data_len());
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} else {
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eprintln!("WARNING: Data source is NOT HistoricalDataSource!");
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}
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eprintln!("Seeking to start time: {}", self.config.start_time);
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data_source.seek_to_time(self.config.start_time)?;
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eprintln!("load_market_data: Loading data");
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let mut count = 0;
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let mut first_few = 0;
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// Load all data into event queue
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while let Some(update) = data_source.get_next_update().await {
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if update.timestamp > self.config.end_time {
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eprintln!("Reached end time at {} data points", count);
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break;
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}
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count += 1;
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// Log first few data points
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if first_few < 3 {
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eprintln!("Data point {}: symbol={}, time={}, type={:?}",
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count, update.symbol, update.timestamp,
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match &update.data {
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MarketDataType::Bar(b) => format!("Bar(close={})", b.close),
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MarketDataType::Quote(q) => format!("Quote(bid={}, ask={})", q.bid, q.ask),
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MarketDataType::Trade(t) => format!("Trade(price={})", t.price),
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}
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);
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first_few += 1;
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}
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if count % 100 == 0 {
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eprintln!("load_market_data: Loaded {} data points", count);
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eprintln!("Loaded {} data points so far...", count);
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}
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let event = BacktestEvent::market_data(update.timestamp, update);
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self.event_queue.write().push(event);
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}
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eprintln!("load_market_data: Complete. Loaded {} total data points", count);
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eprintln!("=== load_market_data COMPLETE ===");
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eprintln!("Total data points loaded: {}", count);
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Ok(())
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}
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@ -164,10 +200,10 @@ impl BacktestEngine {
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EventType::OrderSubmitted(order) => {
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self.process_order_submission(order).await?;
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}
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EventType::OrderFilled(fill) => {
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EventType::OrderFilled(_fill) => {
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// Fills are already processed when orders are executed
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// This event is just for recording
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self.state.write().record_fill(fill);
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// Note: We now record fills in process_fill with symbol info
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}
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EventType::OrderCancelled(order_id) => {
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self.process_order_cancellation(&order_id)?;
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@ -181,6 +217,15 @@ impl BacktestEngine {
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}
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async fn process_market_data(&mut self, data: MarketUpdate) -> Result<(), String> {
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static mut MARKET_DATA_COUNT: usize = 0;
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unsafe {
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MARKET_DATA_COUNT += 1;
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if MARKET_DATA_COUNT <= 3 || MARKET_DATA_COUNT % 100 == 0 {
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eprintln!("process_market_data #{}: symbol={}, time={}",
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MARKET_DATA_COUNT, data.symbol, data.timestamp);
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}
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}
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// Update price tracking
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match &data.data {
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MarketDataType::Bar(bar) => {
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@ -203,14 +248,18 @@ impl BacktestEngine {
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let mut all_signals = Vec::new();
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{
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let mut strategies = self.strategies.write();
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for strategy in strategies.iter_mut() {
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for (i, strategy) in strategies.iter_mut().enumerate() {
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let signals = strategy.on_market_data(&market_data);
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if !signals.is_empty() {
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eprintln!("Strategy {} generated {} signals!", i, signals.len());
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}
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all_signals.extend(signals);
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}
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}
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// Process signals
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for signal in all_signals {
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eprintln!("Processing signal: {:?}", signal);
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self.process_signal(signal).await?;
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}
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@ -342,8 +391,8 @@ impl BacktestEngine {
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order.side,
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);
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// Record the fill
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self.state.write().record_fill(fill.clone());
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// Record the fill with symbol and side information
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self.state.write().record_fill(order.symbol.clone(), order.side, fill.clone());
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// Update cash
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let cash_change = match order.side {
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