This isn't so much an issue, as it is a thanks #1
Description
This library is immensely easy to use. I had created an almost identical system in Python where I wanted to make my backtesting and live trading act on the exact same underlying strategy classes by feeding one new OHLC piece at a time as if it was coming in live. It worked great, but once we switched to 5 second data it started taking FOREVER (mostly because a lot of the indicators started to take in tickers for several minutes).
I was about read to go start implementing exactly what I had done in Python, but in C/C++ instead, but then decided to see what was already out there. I can't say how much I like the organization, clean code, simple usage, etc. of your library. It is really just beautiful and well organized code, something which is not normally the case for C/C++ code I have used from others in the past.
I think I will make a pybind11 interface to your code so that I can still do the interactions with my live trading system (IBKR) in python instead of C/C++. Also, my sibling who is working on this with me doesn't know C++, so a Python interface to a much faster backtester would be better. So I will fork and make a pull request with whatever enhancements I come up with, and you can decide if they are worth incorporating. I also really like how fast and easy to use the mplfinance library is for displaying the results of strategies.