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      #include "tsa.h"

      class my_strategy : public tsa::strategy

           {

                    void on_start(void)   override

                    {

                              std::cout << "Strategy starts!" << std::endl;

                    }

                    void on_bar_close(void)   override   // same as 'on_bar_close()'    

                    {

                              if (first()) {

                                        std::cout << "hello trader!" << std::endl;

                              }

                              std::cout << "Bar: "        << bar_count() << "\t " 

                                             << "Timestamp: "  << timestamp() << std::endl;

                    }

                    void on_end(void)   override

                    {

                              std::cout << "Strategy ends!" << std::endl;

                    }

          };

          try

          {

                    my_strategy s;

                    s.run("2012-01-01", "2012-01-15");

          }

          catch (std::exception& x)

          {

                    std::cerr << x.what() << std::endl;

          }

Program Output

Strategy starts!

hello trader!

Bar: 1   Timestamp: 2012-01-01T00:00:00.0

Bar: 2   Timestamp: 2012-01-02T00:00:00.0

Bar: 3   Timestamp: 2012-01-03T00:00:00.0

Bar: 4   Timestamp: 2012-01-04T00:00:00.0

Bar: 5   Timestamp: 2012-01-05T00:00:00.0

Bar: 6   Timestamp: 2012-01-06T00:00:00.0

(... lines skipped here ...)

Strategy ends!

press any key to exit...

(1)

            #include "tsa.h"

Includes the main library header 'tsa.h' which in turn includes all other relevant headers. Please do not include headers individually as header names will change in future versions.

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      class my_strategy : public tsa::strategy

           {

Derives a custom strategy class from class tsa::strategy from which all new strategy classes must inherit.

(3)

       void on_start(void)   override

       {

Defines an override of the virtual strategy::on_start() member. The on_start() member can be used for various initializations such as connecting stream and instrument objects to data sources. In this short tutorial on_start() prints a short message.

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            void on_bar_close(void)   override      

            {

Defines an override of the virtual strategy::on_bar_close() member ( on_next() is defined as a synonym of on_bar_close(); use whichever you prefer).

The on_bar_close() member is called just after the close of each bar.  Normally this is where you would put the code that creates and manages orders.

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             if (first()) {

                           std::cout << "hello trader!" << std::endl;

             }

Calls he strategy::first() member which returns 'true' when on_bar_close() is invoked for the first time.  This allows for certain initializations to be performed - in this case it prints a simple "hello trader" message. In general, it is preferable to use the strategy's on_start() member to perform all required  initializations.

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              std::cout << "Bar: "       << bar_count() << "\t " 

                             << "Timestamp: " << timestamp() << std::endl;

Prints the bar's timestamp and bar number. The strategy::bar_count() member returns the ordinal number of the current bar starting at 1. The strategy::timestamp() member returns the timestamp of the current bar (the bar that just closed). Normally the sequence of timestamps used by the strategy to iterate over bars comes from a stream object, itself connected to some data-source like a database table or a live-feed. In this simple example there is no data source and the strategy simply auto-generates daily intervals.

The process of feeding the strategy a timestamp sequence is referred to as scheduling. We'll take a closer look at this in the next tutorial.

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                    void on_end(void)   override

                    {

                              std::cout << "Strategy ends!" << std::endl;

                    }

The on_end() member is called when the strategy simulations reaches its end.

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          try

          {

                    my_strategy s;

                    s.run("2012-01-01", "2012-01-15");

          }

          catch (std::exception& x)

          {

Defining a new strategy class is of course not sufficient. We also need to instantiate a new strategy object and make it do some work. We do this by invoking its strategy::run() member which has various signatures. In the example above we simply pass it two date arguments, one as the start date of the simulations range, and one as the end.