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fixed backtest i think

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This commit is contained in:
Boki 2025-07-03 20:41:42 -04:00
parent 16ac28a565
commit 083dca500c
7 changed files with 663 additions and 56 deletions
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33
apps/stock/core/src/backtest/engine.rs
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@ -28,13 +28,16 @@ pub struct BacktestEngine {
risk_engine: Arc<RiskEngine>,
orderbook_manager: Arc<OrderBookManager>,
time_provider: Arc<Box<dyn TimeProvider>>,
market_data_source: Arc<RwLock<Box<dyn MarketDataSource>>>,
pub market_data_source: Arc<RwLock<Box<dyn MarketDataSource>>>,
execution_handler: Arc<RwLock<Box<dyn ExecutionHandler>>>,
// Metrics
total_trades: usize,
profitable_trades: usize,
total_pnl: f64,
// Price tracking
last_prices: HashMap<String, f64>,
}
impl BacktestEngine {
@ -63,6 +66,7 @@ impl BacktestEngine {
total_trades: 0,
profitable_trades: 0,
total_pnl: 0.0,
last_prices: HashMap::new(),
}
}
@ -159,17 +163,19 @@ impl BacktestEngine {
}
async fn process_market_data(&mut self, data: MarketUpdate) -> Result<(), String> {
// Update orderbook if it's quote data
// Update price tracking
match &data.data {
MarketDataType::Bar(bar) => {
self.last_prices.insert(data.symbol.clone(), bar.close);
}
MarketDataType::Quote(quote) => {
// For now, skip orderbook updates
// self.orderbook_manager.update_quote(&data.symbol, quote.bid, quote.ask);
// Use mid price for quotes
let mid_price = (quote.bid + quote.ask) / 2.0;
self.last_prices.insert(data.symbol.clone(), mid_price);
}
MarketDataType::Trade(trade) => {
// For now, skip orderbook updates
// self.orderbook_manager.update_last_trade(&data.symbol, trade.price, trade.size);
self.last_prices.insert(data.symbol.clone(), trade.price);
}
_ => {}
}
// Convert to simpler MarketData for strategies
@ -285,9 +291,9 @@ impl BacktestEngine {
async fn check_order_fill(&mut self, order: &Order) -> Result<(), String> {
// Get current market price
// For now, use a simple fill model with last known price
// In a real backtest, this would use orderbook data
let base_price = 100.0; // TODO: Get from market data
let base_price = self.last_prices.get(&order.symbol)
.copied()
.ok_or_else(|| format!("No price available for symbol: {}", order.symbol))?;
// Apply slippage
let fill_price = match order.side {
@ -366,8 +372,9 @@ impl BacktestEngine {
let mut portfolio_value = self.state.read().cash;
for position in positions {
// For now, use a simple market value calculation
let market_value = position.quantity * 100.0; // TODO: Get actual price
// Use last known price for the symbol
let price = self.last_prices.get(&position.symbol).copied().unwrap_or(position.average_price);
let market_value = position.quantity * price;
portfolio_value += market_value;
}
@ -378,7 +385,7 @@ impl BacktestEngine {
let portfolio_value = self.state.read().portfolio_value;
let allocation = 0.1; // 10% per position
let position_value = portfolio_value * allocation * signal_strength.abs();
let price = 100.0; // TODO: Get actual price from market data
let price = self.last_prices.get(symbol).copied().unwrap_or(100.0);
(position_value / price).floor()
}