Boost C++ Backtesting with DolphinDB's High-Performance Order Matching Plugin
Building a High-Performance C++ Backtesting Framework
I explore how to integrate DolphinDB's Order Matching Simulator Plugin into existing C++ backtesting frameworks without rebuilding everything. By leveraging the Swordfish library or the C++ API, we achieve ultra-low latency and high-throughput strategy validation. This approach allows quantitative engineers to reuse current infrastructure while gaining precise, exchange-rule-compliant order matching for high-frequency trading simulations.
In medium- and high-frequency strategy backtesting, you cannot simply assume that every order is filled in full at the current price or the end-of-day price.