pineforge-engine/src/engine_stream.cpp at main · pineforge-4pass/pineforge-engine · GitHub

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* engine_stream.cpp — continuous historical warmup -> realtime trade stream

#include "engine_internal.hpp"

#include <algorithm>

#include <cmath>

#include <limits>

#include <stdexcept>

#include <string>

namespace pineforge {

namespace {

Bar price_point(double price, double volume, int64_t timestamp) {

return Bar{price, price, price, price, volume, timestamp};

}

} // namespace

bool BacktestEngine::stream_begin(const Bar* warmup_bars, int n_warmup,

const std::string& input_tf,

const std::string& script_tf) {

last_error_.clear();

try {

if (!account_currency_fx_timestamps_.empty()) {

throw std::runtime_error(

"timestamped account-currency FX is not supported by streaming");

}

if (stream_phase_ == StreamPhase::REALTIME) {

throw std::runtime_error("stream is already realtime");

}

if (warmup_bars == nullptr || n_warmup <= 0) {

throw std::runtime_error(

"stream warmup requires at least one confirmed OHLCV bar");

}

const int input_seconds = tf_to_seconds(input_tf);

if (input_seconds <= 0) {

throw std::runtime_error(

"stream input timeframe must have a fixed positive duration: "

+ input_tf);

}

for (int i = 1; i < n_warmup; ++i) {

if (warmup_bars[i].timestamp <= warmup_bars[i - 1].timestamp) {

throw std::runtime_error(

"stream warmup timestamps must be strictly increasing");

}

if (!std::isfinite(warmup_bars[n_warmup - 1].close)

|| warmup_bars[n_warmup - 1].close <= 0.0) {

throw std::runtime_error(

"stream warmup final close must be finite and positive");

}

// A stream's warmup is historical context, not the rightmost realtime

// bar. This keeps barstate.islast false until normalized trades take

// over.

stream_warmup_mode_ = true;

run(warmup_bars, n_warmup, input_tf, script_tf,

/*bar_magnifier=*/false, 4, MagnifierDistribution::ENDPOINTS);

stream_warmup_mode_ = false;

if (!last_error_.empty()) {

return false;

}

stream_input_tf_ms_ = static_cast<int64_t>(input_seconds) * 1000;

const int64_t last_open = warmup_bars[n_warmup - 1].timestamp;

if (last_open > std::numeric_limits<int64_t>::max() - stream_input_tf_ms_) {

throw std::runtime_error("stream warmup timestamp overflows next bar open");

}

stream_next_input_open_ms_ = last_open + stream_input_tf_ms_;

stream_clock_ms_ = stream_next_input_open_ms_;

stream_last_tick_ms_ = 0;

stream_last_sequence_ = 0;

stream_seen_sequence_ = false;

stream_has_input_bar_ = false;

stream_input_bar_ = Bar{};

stream_last_price_ = warmup_bars[n_warmup - 1].close;

stream_has_last_price_ = true;

stream_next_script_bar_index_ =

static_cast<int>(diag_script_bars_processed_);

stream_script_bar_had_tick_ = false;

stream_script_tick_seen_ = false;

stream_phase_ = StreamPhase::REALTIME;

// Exact normalized trades now drive the broker instead of inferred

// OHLC paths. Strategy code remains close-only unless codegen opts in

// to calc_on_every_tick; resting orders are nevertheless fillable on

// each normalized trade, as on TradingView's realtime broker emulator.

bar_magnifier_enabled_ = true;

bar_index_ = stream_next_script_bar_index_;

last_bar_index_ = bar_index_;

last_bar_time_ = stream_next_input_open_ms_;

barstate_islast_ = true;

return true;

} catch (const std::exception& e) {

stream_warmup_mode_ = false;

stream_phase_ = StreamPhase::IDLE;

last_error_ = e.what();

return false;

} catch (...) {

stream_warmup_mode_ = false;

stream_phase_ = StreamPhase::IDLE;

last_error_ = "unknown error during BacktestEngine::stream_begin";

return false;

}

bool BacktestEngine::stream_push_tick(const TradeTick& tick) {

last_error_.clear();

try {

if (stream_phase_ != StreamPhase::REALTIME) {

throw std::runtime_error("stream_push_tick requires a realtime stream");

}

if (!std::isfinite(tick.price) || tick.price <= 0.0) {

throw std::runtime_error("stream tick price must be finite and positive");

}

if (!std::isfinite(tick.quantity) || tick.quantity < 0.0) {

throw std::runtime_error("stream tick quantity must be finite and non-negative");

}

if (tick.timestamp < stream_clock_ms_) {

throw std::runtime_error("stream tick timestamp moved backwards");

}

if (tick.sequence != 0 && stream_seen_sequence_

&& tick.sequence <= stream_last_sequence_) {

throw std::runtime_error("stream sequence must be strictly increasing");

}

if (!stream_finalize_until(tick.timestamp)) {

return false;

}

if (!stream_has_input_bar_) {

stream_input_bar_ = price_point(

tick.price, tick.quantity, stream_next_input_open_ms_);

stream_has_input_bar_ = true;

} else {

stream_input_bar_.high = std::max(stream_input_bar_.high, tick.price);

stream_input_bar_.low = std::min(stream_input_bar_.low, tick.price);

stream_input_bar_.close = tick.price;

stream_input_bar_.volume += tick.quantity;

}

stream_last_price_ = tick.price;

stream_has_last_price_ = true;

stream_last_tick_ms_ = tick.timestamp;

stream_clock_ms_ = tick.timestamp;

if (tick.sequence != 0) {

stream_last_sequence_ = tick.sequence;

stream_seen_sequence_ = true;

}

// Broker-only tick pass. Pine strategy code stays on its default

// close-only cadence, but orders created on the preceding close fill

// at the first actual source record and priced orders see the exact

// trade path rather than an inferred OHLC traversal.

current_bar_ = price_point(tick.price, tick.quantity, tick.timestamp);

bar_index_ = stream_next_script_bar_index_;

last_bar_index_ = bar_index_;

last_bar_time_ = tick.timestamp;

barstate_islast_ = true;

is_first_tick_ = !stream_script_tick_seen_;

is_last_tick_ = false;

// The overwhelming majority of source records arrive while many

// strategies are flat and have no order in the broker. Such a print

// still contributes to the forming OHLCV bar above, but there is no

// broker, excursion, or margin state it can possibly mutate. Avoiding

// the full order-sort/risk pass here is exact, not an approximation,

// and makes long shared-feed corpus replays tractable.

if (!pending_orders_.empty() || position_side_ != PositionSide::FLAT) {

if (!pending_orders_.empty()) {

process_pending_orders(current_bar_);

}

update_per_trade_extremes();

const std::size_t trades_before_mc = trades_.size();

process_margin_call(current_bar_);

if (trades_.size() != trades_before_mc) {

refresh_frozen_default_sizing_after_margin_call();

}

stream_script_tick_seen_ = true;

return true;

} catch (const std::exception& e) {

last_error_ = e.what();

return false;

} catch (...) {

last_error_ = "unknown error during BacktestEngine::stream_push_tick";

return false;

}

bool BacktestEngine::stream_push_ticks(const TradeTick* ticks, int n) {

last_error_.clear();

if (n < 0 || (n > 0 && ticks == nullptr)) {

last_error_ = "stream_push_ticks received an invalid tick array";

return false;

}

for (int i = 0; i < n; ++i) {

if (!stream_push_tick(ticks[i])) return false;

}

return true;

}

bool BacktestEngine::stream_advance_time(int64_t timestamp_ms) {

last_error_.clear();

try {

if (stream_phase_ != StreamPhase::REALTIME) {

throw std::runtime_error(

"stream_advance_time requires a realtime stream");

}

if (timestamp_ms < stream_clock_ms_) {

throw std::runtime_error("stream clock moved backwards");

}

if (!stream_finalize_until(timestamp_ms)) return false;

stream_clock_ms_ = timestamp_ms;

return true;

} catch (const std::exception& e) {

last_error_ = e.what();

return false;

} catch (...) {

last_error_ = "unknown error during BacktestEngine::stream_advance_time";

return false;

}

bool BacktestEngine::stream_end(bool finalize_partial_input_bar) {

last_error_.clear();

try {

if (stream_phase_ != StreamPhase::REALTIME) {

throw std::runtime_error("stream_end requires a realtime stream");

}

if (finalize_partial_input_bar && stream_has_input_bar_) {

stream_feed_input_bar(stream_input_bar_, /*had_tick=*/true);

stream_has_input_bar_ = false;

stream_next_input_open_ms_ += stream_input_tf_ms_;

}

stream_phase_ = StreamPhase::ENDED;

return true;

} catch (const std::exception& e) {

last_error_ = e.what();

return false;

} catch (...) {

last_error_ = "unknown error during BacktestEngine::stream_end";

return false;

}

bool BacktestEngine::stream_finalize_until(int64_t timestamp_ms) {

while (timestamp_ms >= stream_next_input_open_ms_ + stream_input_tf_ms_) {

const bool had_tick = stream_has_input_bar_;

const bool in_session = pine_session_ismarket(

syminfo_.session, syminfo_.timezone,

stream_next_input_open_ms_);

// A normalized provider may jump from one market session to the next.

// Do not turn the closed interval into synthetic tradable bars. A real

// source record is still honored even if the configured metadata is

// imperfect, so provider data remains authoritative.

if (!had_tick && !in_session) {

stream_input_bar_ = Bar{};

stream_next_input_open_ms_ += stream_input_tf_ms_;

continue;

}

Bar completed;

if (had_tick) {

completed = stream_input_bar_;

} else {

if (!stream_has_last_price_) {

last_error_ = "stream cannot synthesize a gap before any price";

return false;

}

completed = price_point(

stream_last_price_, 0.0, stream_next_input_open_ms_);

}

stream_feed_input_bar(completed, had_tick);

stream_has_input_bar_ = false;

stream_input_bar_ = Bar{};

stream_next_input_open_ms_ += stream_input_tf_ms_;

}

return true;

}

void BacktestEngine::stream_feed_input_bar(const Bar& bar, bool had_tick) {

++diag_input_bars_processed_;

last_bar_time_ = bar.timestamp;

for (auto& state : security_eval_states_) {

feed_security_eval_state(state, bar);

}

if (!diag_needs_aggregation_) {

stream_dispatch_script_bar(bar, had_tick);

return;

}

AggregatedBar ab = script_tf_agg_.feed(bar);

const bool completed_on_boundary = ab.is_complete

&& tf_change(ab.bar.timestamp, bar.timestamp, script_tf_,

syminfo_.timezone, syminfo_.session);

if (completed_on_boundary) {

// The current input bar opened the next bucket; the aggregator emitted

// the preceding partial bucket before retaining this bar as its new

// current state.

stream_dispatch_script_bar(ab.bar, stream_script_bar_had_tick_);

stream_script_bar_had_tick_ = had_tick;

} else {

stream_script_bar_had_tick_ = stream_script_bar_had_tick_ || had_tick;

if (ab.is_complete) {

stream_dispatch_script_bar(ab.bar, stream_script_bar_had_tick_);

stream_script_bar_had_tick_ = false;

}

void BacktestEngine::stream_dispatch_script_bar(const Bar& bar, bool had_tick) {

const int this_bar_index = stream_next_script_bar_index_++;

bar_index_ = this_bar_index;

last_bar_index_ = this_bar_index;

last_bar_time_ = bar.timestamp;

barstate_islast_ = true;

is_first_tick_ = true;

is_last_tick_ = true;

++diag_script_bars_processed_;

pending_close_qty_in_bar_ = 0.0;

// A synthesized zero-volume interval has no raw broker pass. Give resting

// market orders one carried-price point at its open so time advancement is

// deterministic even through quiet in-session intervals.

if (!had_tick) {

current_bar_ = price_point(bar.open, 0.0, bar.timestamp);

process_pending_orders(current_bar_);

update_per_trade_extremes();

const std::size_t trades_before_mc = trades_.size();

process_margin_call(current_bar_);

if (trades_.size() != trades_before_mc) {

refresh_frozen_default_sizing_after_margin_call();

}

current_bar_ = bar;

session_ismarket_ = pine_session_ismarket(

syminfo_.session, syminfo_.timezone, current_bar_.timestamp);

session_isfirstbar_ = session_ismarket_ && !prev_in_session_;

if (session_ismarket_ && script_tf_seconds_ > 0) {

const int64_t next_ts = current_bar_.timestamp

+ static_cast<int64_t>(script_tf_seconds_) * 1000;

session_islastbar_ = !pine_session_ismarket(

syminfo_.session, syminfo_.timezone, next_ts);

} else {

session_islastbar_ = false;

}

_push_source_series();

invoke_chart_on_bar(current_bar_);

if (process_orders_on_close_) {

flush_same_bar_close();

// New close-time orders only get the closing price point. Re-walking

// the full OHLC range would let a just-created order see prices that

// occurred before it existed.

const Bar completed_bar = current_bar_;

current_bar_ = price_point(

completed_bar.close, 0.0, completed_bar.timestamp);

process_pending_orders(current_bar_);

current_bar_ = completed_bar;

}

finalize_bar();

prev_in_session_ = session_ismarket_;

update_equity_extremes();

record_equity_point(bar.timestamp);

prev_bar_timestamp_ = bar.timestamp;

// Ticks belonging to the next script bar must compare pending-order

// created_bar values against the next index before that bar closes.

bar_index_ = stream_next_script_bar_index_;

last_bar_index_ = bar_index_;

stream_script_tick_seen_ = false;

}

} // namespace pineforge

pineforge-engine/src/engine_stream.cpp at main · pineforge-4pass/pineforge-engine · GitHub

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