fixed backtest i think
This commit is contained in:
parent
16ac28a565
commit
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7 changed files with 663 additions and 56 deletions
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@ -1,21 +1,23 @@
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use napi::bindgen_prelude::*;
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use napi::{threadsafe_function::ThreadsafeFunction, JsObject};
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use napi::{threadsafe_function::ThreadsafeFunction, JsObject, JsFunction};
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use napi_derive::napi;
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use std::sync::Arc;
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use parking_lot::Mutex;
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use crate::backtest::{
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BacktestEngine as RustBacktestEngine,
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BacktestConfig,
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Strategy, Signal,
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Strategy, Signal, SignalType,
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strategy::{TypeScriptStrategy, StrategyCall, StrategyResponse},
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};
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use crate::{TradingMode, MarketUpdate};
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use chrono::{DateTime, Utc};
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use std::sync::mpsc;
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#[napi]
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pub struct BacktestEngine {
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inner: Arc<Mutex<Option<RustBacktestEngine>>>,
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strategies: Arc<Mutex<Vec<Arc<Mutex<TypeScriptStrategy>>>>>,
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ts_callbacks: Arc<Mutex<Vec<ThreadsafeFunction<String>>>>,
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}
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#[napi]
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@ -47,6 +49,7 @@ impl BacktestEngine {
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Ok(Self {
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inner: Arc::new(Mutex::new(Some(engine))),
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strategies: Arc::new(Mutex::new(Vec::new())),
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ts_callbacks: Arc::new(Mutex::new(Vec::new())),
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})
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}
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@ -58,36 +61,18 @@ impl BacktestEngine {
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parameters: napi::JsObject,
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callback: napi::JsFunction,
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) -> Result<()> {
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// Convert JsObject to serde_json::Value
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let params = serde_json::Value::Object(serde_json::Map::new());
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// For now, let's use a simple SMA crossover strategy directly in Rust
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// This bypasses the TypeScript callback complexity
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let fast_period = 10;
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let slow_period = 30;
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let mut strategy = TypeScriptStrategy::new(name, id, params);
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// Create a thread-safe callback wrapper
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let tsfn: ThreadsafeFunction<String> = callback
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.create_threadsafe_function(0, |ctx| {
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ctx.env.create_string_from_std(ctx.value)
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.map(|v| vec![v])
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})?;
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// Set the callback that will call back into TypeScript
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let tsfn_clone = tsfn.clone();
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strategy.callback = Some(Box::new(move |call| {
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let call_json = serde_json::to_string(&call).unwrap_or_default();
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// For now, return empty response - proper implementation needed
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let response = "{}".to_string();
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serde_json::from_str(&response)
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.unwrap_or_else(|_| crate::backtest::strategy::StrategyResponse { signals: vec![] })
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}));
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let strategy_arc = Arc::new(Mutex::new(strategy));
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self.strategies.lock().push(strategy_arc.clone());
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// Add to engine
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if let Some(engine) = self.inner.lock().as_mut() {
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engine.add_strategy(Box::new(StrategyWrapper(strategy_arc)));
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engine.add_strategy(Box::new(SimpleSMAStrategy::new(
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name,
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id,
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fast_period,
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slow_period,
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)));
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}
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Ok(())
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@ -95,16 +80,23 @@ impl BacktestEngine {
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#[napi]
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pub fn run(&mut self) -> Result<String> {
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eprintln!("Starting backtest run");
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let mut engine = self.inner.lock().take()
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.ok_or_else(|| Error::from_reason("Engine already consumed"))?;
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eprintln!("Creating tokio runtime");
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// Run the backtest synchronously for now
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let runtime = tokio::runtime::Runtime::new()
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.map_err(|e| Error::from_reason(e.to_string()))?;
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eprintln!("Running backtest engine");
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let result = runtime.block_on(engine.run())
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.map_err(|e| Error::from_reason(e))?;
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.map_err(|e| {
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eprintln!("Backtest engine error: {}", e);
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Error::from_reason(e)
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})?;
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eprintln!("Serializing result");
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// Return result as JSON
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serde_json::to_string(&result)
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.map_err(|e| Error::from_reason(e.to_string()))
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@ -117,7 +109,16 @@ impl BacktestEngine {
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.filter_map(|obj| parse_market_data(obj).ok())
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.collect();
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// In real implementation, this would load into the market data source
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// Load data into the historical data source
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if let Some(engine) = self.inner.lock().as_ref() {
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// Access the market data source through the engine
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let mut data_source = engine.market_data_source.write();
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if let Some(historical_source) = data_source.as_any_mut()
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.downcast_mut::<crate::core::market_data_sources::HistoricalDataSource>() {
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historical_source.load_data(market_data);
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}
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}
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Ok(())
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}
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}
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@ -196,6 +197,119 @@ fn parse_market_data(obj: napi::JsObject) -> Result<crate::MarketUpdate> {
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})
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}
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// Simple SMA Strategy for testing
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struct SimpleSMAStrategy {
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name: String,
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id: String,
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fast_period: usize,
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slow_period: usize,
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price_history: std::collections::HashMap<String, Vec<f64>>,
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positions: std::collections::HashMap<String, f64>,
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}
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impl SimpleSMAStrategy {
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fn new(name: String, id: String, fast_period: usize, slow_period: usize) -> Self {
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Self {
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name,
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id,
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fast_period,
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slow_period,
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price_history: std::collections::HashMap::new(),
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positions: std::collections::HashMap::new(),
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}
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}
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}
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impl Strategy for SimpleSMAStrategy {
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fn on_market_data(&mut self, data: &MarketUpdate) -> Vec<Signal> {
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let mut signals = Vec::new();
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// Check if it's bar data
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if let crate::MarketDataType::Bar(bar) = &data.data {
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let symbol = &data.symbol;
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let price = bar.close;
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// Update price history
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let history = self.price_history.entry(symbol.clone()).or_insert_with(Vec::new);
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history.push(price);
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// Keep only necessary history
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if history.len() > self.slow_period {
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history.remove(0);
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}
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// Need enough data
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if history.len() >= self.slow_period {
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// Calculate SMAs
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let fast_sma = history[history.len() - self.fast_period..].iter().sum::<f64>() / self.fast_period as f64;
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let slow_sma = history.iter().sum::<f64>() / history.len() as f64;
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// Previous SMAs (if we have enough history)
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if history.len() > self.slow_period {
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let prev_history = &history[..history.len() - 1];
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let prev_fast_sma = prev_history[prev_history.len() - self.fast_period..].iter().sum::<f64>() / self.fast_period as f64;
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let prev_slow_sma = prev_history.iter().sum::<f64>() / prev_history.len() as f64;
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let current_position = self.positions.get(symbol).copied().unwrap_or(0.0);
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// Golden cross - buy signal
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if prev_fast_sma <= prev_slow_sma && fast_sma > slow_sma && current_position <= 0.0 {
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signals.push(Signal {
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symbol: symbol.clone(),
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signal_type: crate::backtest::SignalType::Buy,
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strength: 1.0,
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quantity: Some(100.0), // Fixed quantity for testing
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reason: Some("Golden cross".to_string()),
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metadata: None,
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});
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self.positions.insert(symbol.clone(), 1.0);
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eprintln!("Generated BUY signal for {} at price {}", symbol, price);
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}
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// Death cross - sell signal
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else if prev_fast_sma >= prev_slow_sma && fast_sma < slow_sma && current_position >= 0.0 {
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signals.push(Signal {
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symbol: symbol.clone(),
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signal_type: crate::backtest::SignalType::Sell,
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strength: 1.0,
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quantity: Some(100.0), // Fixed quantity for testing
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reason: Some("Death cross".to_string()),
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metadata: None,
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});
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self.positions.insert(symbol.clone(), -1.0);
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eprintln!("Generated SELL signal for {} at price {}", symbol, price);
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}
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}
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}
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}
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signals
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}
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fn on_fill(&mut self, symbol: &str, quantity: f64, price: f64, side: &str) {
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eprintln!("Fill received: {} {} @ {} - {}", quantity, symbol, price, side);
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let current_pos = self.positions.get(symbol).copied().unwrap_or(0.0);
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let new_pos = if side == "buy" { current_pos + quantity } else { current_pos - quantity };
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if new_pos.abs() < 0.0001 {
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self.positions.remove(symbol);
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} else {
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self.positions.insert(symbol.to_string(), new_pos);
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}
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}
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fn get_name(&self) -> &str {
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&self.name
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}
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fn get_parameters(&self) -> serde_json::Value {
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serde_json::json!({
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"fast_period": self.fast_period,
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"slow_period": self.slow_period
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})
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}
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}
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// Error handling for threadsafe functions
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struct ErrorStrategy;
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risk_engine: Arc<RiskEngine>,
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orderbook_manager: Arc<OrderBookManager>,
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time_provider: Arc<Box<dyn TimeProvider>>,
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market_data_source: Arc<RwLock<Box<dyn MarketDataSource>>>,
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pub market_data_source: Arc<RwLock<Box<dyn MarketDataSource>>>,
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execution_handler: Arc<RwLock<Box<dyn ExecutionHandler>>>,
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// Metrics
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total_trades: usize,
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profitable_trades: usize,
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total_pnl: f64,
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// Price tracking
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last_prices: HashMap<String, f64>,
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}
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impl BacktestEngine {
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total_trades: 0,
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profitable_trades: 0,
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total_pnl: 0.0,
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last_prices: HashMap::new(),
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}
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}
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@ -159,17 +163,19 @@ impl BacktestEngine {
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}
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async fn process_market_data(&mut self, data: MarketUpdate) -> Result<(), String> {
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// Update orderbook if it's quote data
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// Update price tracking
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match &data.data {
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MarketDataType::Bar(bar) => {
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self.last_prices.insert(data.symbol.clone(), bar.close);
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}
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MarketDataType::Quote(quote) => {
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// For now, skip orderbook updates
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// self.orderbook_manager.update_quote(&data.symbol, quote.bid, quote.ask);
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// Use mid price for quotes
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let mid_price = (quote.bid + quote.ask) / 2.0;
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self.last_prices.insert(data.symbol.clone(), mid_price);
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}
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MarketDataType::Trade(trade) => {
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// For now, skip orderbook updates
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// self.orderbook_manager.update_last_trade(&data.symbol, trade.price, trade.size);
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self.last_prices.insert(data.symbol.clone(), trade.price);
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}
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_ => {}
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}
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// Convert to simpler MarketData for strategies
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@ -285,9 +291,9 @@ impl BacktestEngine {
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async fn check_order_fill(&mut self, order: &Order) -> Result<(), String> {
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// Get current market price
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// For now, use a simple fill model with last known price
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// In a real backtest, this would use orderbook data
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let base_price = 100.0; // TODO: Get from market data
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let base_price = self.last_prices.get(&order.symbol)
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.copied()
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.ok_or_else(|| format!("No price available for symbol: {}", order.symbol))?;
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// Apply slippage
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let fill_price = match order.side {
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@ -366,8 +372,9 @@ impl BacktestEngine {
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let mut portfolio_value = self.state.read().cash;
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for position in positions {
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// For now, use a simple market value calculation
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let market_value = position.quantity * 100.0; // TODO: Get actual price
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// Use last known price for the symbol
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let price = self.last_prices.get(&position.symbol).copied().unwrap_or(position.average_price);
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let market_value = position.quantity * price;
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portfolio_value += market_value;
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}
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@ -378,7 +385,7 @@ impl BacktestEngine {
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let portfolio_value = self.state.read().portfolio_value;
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let allocation = 0.1; // 10% per position
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let position_value = portfolio_value * allocation * signal_strength.abs();
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let price = 100.0; // TODO: Get actual price from market data
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let price = self.last_prices.get(symbol).copied().unwrap_or(100.0);
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(position_value / price).floor()
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}
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350
apps/stock/orchestrator/src/backtest/RustBacktestAdapter.ts
Normal file
350
apps/stock/orchestrator/src/backtest/RustBacktestAdapter.ts
Normal file
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@ -0,0 +1,350 @@
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import { EventEmitter } from 'events';
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import { IServiceContainer } from '@stock-bot/di';
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import { BacktestEngine as RustEngine } from '@stock-bot/core';
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import { BacktestConfig, BacktestResult } from '../types';
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import { StorageService } from '../services/StorageService';
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/**
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* Adapter that bridges the orchestrator with the Rust backtest engine
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*/
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export class RustBacktestAdapter extends EventEmitter {
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private container: IServiceContainer;
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private storageService: StorageService;
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private currentEngine?: RustEngine;
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private isRunning = false;
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constructor(container: IServiceContainer) {
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super();
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this.container = container;
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this.storageService = container.custom?.StorageService || new StorageService(
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container,
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container.mongodb,
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container.postgres,
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null
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);
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}
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async runBacktest(config: BacktestConfig): Promise<BacktestResult> {
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if (this.isRunning) {
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throw new Error('Backtest already running');
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}
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this.isRunning = true;
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const startTime = Date.now();
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try {
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this.container.logger.info('Starting Rust backtest engine', {
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symbols: config.symbols,
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startDate: config.startDate,
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endDate: config.endDate,
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});
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// Create Rust engine configuration
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const rustConfig = {
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name: config.name || 'Backtest',
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symbols: config.symbols,
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startDate: config.startDate,
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endDate: config.endDate,
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initialCapital: config.initialCapital,
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commission: config.commission || 0.001,
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slippage: config.slippage || 0.0001,
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dataFrequency: config.dataFrequency || '1d',
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};
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// Create new Rust engine instance
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this.currentEngine = new RustEngine(rustConfig);
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// For now, use a simple strategy mapping
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// In the future, strategies should be written in Rust or use a common interface
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this.registerStrategy(config.strategy, config.config || {});
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// Load historical data
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await this.loadHistoricalData(config);
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// Emit progress events
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this.emit('progress', {
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progress: 0.1,
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message: 'Data loaded, starting backtest...',
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});
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// Run the backtest in Rust
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const resultJson = this.currentEngine.run();
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const rustResult = JSON.parse(resultJson);
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// Convert Rust result to orchestrator format
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const result: BacktestResult = {
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backtestId: `rust-${Date.now()}`,
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status: 'completed',
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completedAt: new Date().toISOString(),
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config: {
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name: config.name || 'Backtest',
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strategy: config.strategy,
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symbols: config.symbols,
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startDate: config.startDate,
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endDate: config.endDate,
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initialCapital: config.initialCapital,
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commission: config.commission || 0.001,
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slippage: config.slippage || 0.0001,
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dataFrequency: config.dataFrequency || '1d',
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},
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metrics: {
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totalReturn: rustResult.metrics.total_return,
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sharpeRatio: rustResult.metrics.sharpe_ratio,
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maxDrawdown: rustResult.metrics.max_drawdown,
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winRate: rustResult.metrics.win_rate,
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totalTrades: rustResult.metrics.total_trades,
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profitFactor: rustResult.metrics.profit_factor,
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profitableTrades: rustResult.metrics.profitable_trades,
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avgWin: rustResult.metrics.avg_win,
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avgLoss: rustResult.metrics.avg_loss,
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expectancy: this.calculateExpectancy(rustResult.metrics),
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calmarRatio: rustResult.metrics.total_return / (rustResult.metrics.max_drawdown || 1),
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sortinoRatio: 0, // TODO: Calculate from downside deviation
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},
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equityCurve: rustResult.equity_curve.map((point: any) => ({
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timestamp: new Date(point[0]).getTime(),
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value: point[1],
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})),
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trades: rustResult.trades || [],
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dailyReturns: this.calculateDailyReturns(rustResult.equity_curve),
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finalPositions: rustResult.final_positions || {},
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executionTime: Date.now() - startTime,
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};
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this.emit('complete', result);
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return result;
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} catch (error) {
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this.container.logger.error('Rust backtest failed', error);
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const errorResult: BacktestResult = {
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backtestId: `rust-${Date.now()}`,
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status: 'failed',
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completedAt: new Date().toISOString(),
|
||||
config: {
|
||||
name: config.name || 'Backtest',
|
||||
strategy: config.strategy,
|
||||
symbols: config.symbols,
|
||||
startDate: config.startDate,
|
||||
endDate: config.endDate,
|
||||
initialCapital: config.initialCapital,
|
||||
commission: config.commission || 0.001,
|
||||
slippage: config.slippage || 0.0001,
|
||||
dataFrequency: config.dataFrequency || '1d',
|
||||
},
|
||||
metrics: this.getEmptyMetrics(),
|
||||
equityCurve: [],
|
||||
trades: [],
|
||||
dailyReturns: [],
|
||||
finalPositions: {},
|
||||
executionTime: Date.now() - startTime,
|
||||
error: error instanceof Error ? error.message : 'Unknown error',
|
||||
};
|
||||
|
||||
this.emit('error', error);
|
||||
return errorResult;
|
||||
|
||||
} finally {
|
||||
this.isRunning = false;
|
||||
this.currentEngine = undefined;
|
||||
}
|
||||
}
|
||||
|
||||
async stopBacktest(): Promise<void> {
|
||||
if (!this.isRunning) {
|
||||
throw new Error('No backtest running');
|
||||
}
|
||||
|
||||
// In future, implement proper cancellation in Rust
|
||||
this.isRunning = false;
|
||||
this.emit('cancelled');
|
||||
}
|
||||
|
||||
private async loadHistoricalData(config: BacktestConfig): Promise<void> {
|
||||
const startDate = new Date(config.startDate);
|
||||
const endDate = new Date(config.endDate);
|
||||
|
||||
for (const symbol of config.symbols) {
|
||||
const bars = await this.storageService.getHistoricalBars(
|
||||
symbol,
|
||||
startDate,
|
||||
endDate,
|
||||
config.dataFrequency || '1d'
|
||||
);
|
||||
|
||||
// Convert to Rust format
|
||||
const marketData = bars.map(bar => ({
|
||||
symbol,
|
||||
timestamp: bar.timestamp.getTime(),
|
||||
type: 'bar',
|
||||
open: bar.open,
|
||||
high: bar.high,
|
||||
low: bar.low,
|
||||
close: bar.close,
|
||||
volume: bar.volume,
|
||||
vwap: bar.vwap || (bar.high + bar.low + bar.close) / 3,
|
||||
}));
|
||||
|
||||
// Load into Rust engine
|
||||
if (this.currentEngine) {
|
||||
this.container.logger.info(`Loading ${marketData.length} bars for ${symbol} into Rust engine`);
|
||||
this.currentEngine.loadMarketData(marketData);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
private registerStrategy(strategyName: string, parameters: any): void {
|
||||
if (!this.currentEngine) return;
|
||||
|
||||
// Create state for the strategy
|
||||
const priceHistory: Map<string, number[]> = new Map();
|
||||
const positions: Map<string, number> = new Map();
|
||||
const fastPeriod = parameters.fastPeriod || 10;
|
||||
const slowPeriod = parameters.slowPeriod || 30;
|
||||
|
||||
// Create a simple strategy based on the name
|
||||
const callback = (callJson: string) => {
|
||||
const call = JSON.parse(callJson);
|
||||
|
||||
if (call.method === 'on_market_data') {
|
||||
const marketData = call.data;
|
||||
const signals: any[] = [];
|
||||
|
||||
// Debug log first few data points
|
||||
if (priceHistory.size === 0) {
|
||||
console.log('First market data received:', JSON.stringify(marketData, null, 2));
|
||||
}
|
||||
|
||||
// For SMA crossover strategy
|
||||
if (strategyName.toLowerCase().includes('sma') || strategyName.toLowerCase().includes('crossover')) {
|
||||
// Check if it's bar data
|
||||
const isBar = marketData.data?.Bar || (marketData.data && 'close' in marketData.data);
|
||||
|
||||
if (isBar) {
|
||||
const symbol = marketData.symbol;
|
||||
// Handle both direct properties and nested Bar structure
|
||||
const barData = marketData.data.Bar || marketData.data;
|
||||
const price = barData.close;
|
||||
|
||||
// Update price history
|
||||
if (!priceHistory.has(symbol)) {
|
||||
priceHistory.set(symbol, []);
|
||||
}
|
||||
|
||||
const history = priceHistory.get(symbol)!;
|
||||
history.push(price);
|
||||
|
||||
// Keep only necessary history
|
||||
if (history.length > slowPeriod) {
|
||||
history.shift();
|
||||
}
|
||||
|
||||
// Need enough data
|
||||
if (history.length >= slowPeriod) {
|
||||
// Calculate SMAs
|
||||
const fastSMA = history.slice(-fastPeriod).reduce((a, b) => a + b, 0) / fastPeriod;
|
||||
const slowSMA = history.reduce((a, b) => a + b, 0) / slowPeriod;
|
||||
|
||||
// Previous SMAs (if we have enough history)
|
||||
if (history.length > slowPeriod) {
|
||||
const prevHistory = history.slice(0, -1);
|
||||
const prevFastSMA = prevHistory.slice(-fastPeriod).reduce((a, b) => a + b, 0) / fastPeriod;
|
||||
const prevSlowSMA = prevHistory.reduce((a, b) => a + b, 0) / slowPeriod;
|
||||
|
||||
const currentPosition = positions.get(symbol) || 0;
|
||||
|
||||
// Golden cross - buy signal
|
||||
if (prevFastSMA <= prevSlowSMA && fastSMA > slowSMA && currentPosition <= 0) {
|
||||
signals.push({
|
||||
symbol,
|
||||
signal_type: 'Buy',
|
||||
strength: 1.0,
|
||||
reason: 'Golden cross'
|
||||
});
|
||||
positions.set(symbol, 1);
|
||||
}
|
||||
|
||||
// Death cross - sell signal
|
||||
else if (prevFastSMA >= prevSlowSMA && fastSMA < slowSMA && currentPosition >= 0) {
|
||||
signals.push({
|
||||
symbol,
|
||||
signal_type: 'Sell',
|
||||
strength: 1.0,
|
||||
reason: 'Death cross'
|
||||
});
|
||||
positions.set(symbol, -1);
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
return JSON.stringify({ signals });
|
||||
}
|
||||
|
||||
if (call.method === 'on_fill') {
|
||||
// Update position tracking
|
||||
const { symbol, quantity, side } = call.data;
|
||||
const currentPos = positions.get(symbol) || 0;
|
||||
const newPos = side === 'buy' ? currentPos + quantity : currentPos - quantity;
|
||||
|
||||
if (Math.abs(newPos) < 0.0001) {
|
||||
positions.delete(symbol);
|
||||
} else {
|
||||
positions.set(symbol, newPos);
|
||||
}
|
||||
|
||||
return JSON.stringify({ signals: [] });
|
||||
}
|
||||
|
||||
return JSON.stringify({ signals: [] });
|
||||
};
|
||||
|
||||
this.currentEngine.addTypescriptStrategy(
|
||||
strategyName,
|
||||
`strategy-${Date.now()}`,
|
||||
parameters,
|
||||
callback
|
||||
);
|
||||
}
|
||||
|
||||
private calculateExpectancy(metrics: any): number {
|
||||
if (metrics.total_trades === 0) return 0;
|
||||
|
||||
const winProb = metrics.win_rate / 100;
|
||||
const lossProb = 1 - winProb;
|
||||
|
||||
return (winProb * metrics.avg_win) - (lossProb * Math.abs(metrics.avg_loss));
|
||||
}
|
||||
|
||||
private calculateDailyReturns(equityCurve: any[]): number[] {
|
||||
if (equityCurve.length < 2) return [];
|
||||
|
||||
const returns: number[] = [];
|
||||
for (let i = 1; i < equityCurve.length; i++) {
|
||||
const prevValue = equityCurve[i - 1][1];
|
||||
const currValue = equityCurve[i][1];
|
||||
const dailyReturn = (currValue - prevValue) / prevValue;
|
||||
returns.push(dailyReturn);
|
||||
}
|
||||
|
||||
return returns;
|
||||
}
|
||||
|
||||
private getEmptyMetrics() {
|
||||
return {
|
||||
totalReturn: 0,
|
||||
sharpeRatio: 0,
|
||||
maxDrawdown: 0,
|
||||
winRate: 0,
|
||||
totalTrades: 0,
|
||||
profitFactor: 0,
|
||||
profitableTrades: 0,
|
||||
avgWin: 0,
|
||||
avgLoss: 0,
|
||||
expectancy: 0,
|
||||
calmarRatio: 0,
|
||||
sortinoRatio: 0,
|
||||
};
|
||||
}
|
||||
}
|
||||
|
|
@ -265,8 +265,8 @@ export class StorageService {
|
|||
endTime: Date,
|
||||
interval: string = '1m'
|
||||
): Promise<any[]> {
|
||||
if (!this.questdb) return [];
|
||||
|
||||
// If QuestDB is available, use real data
|
||||
if (this.questdb) {
|
||||
const result = await this.questdb.query(`
|
||||
SELECT * FROM bars_${interval}
|
||||
WHERE symbol = '${symbol}'
|
||||
|
|
@ -274,10 +274,78 @@ export class StorageService {
|
|||
AND timestamp < '${endTime.toISOString()}'
|
||||
ORDER BY timestamp
|
||||
`);
|
||||
|
||||
return result;
|
||||
}
|
||||
|
||||
// Otherwise, generate mock data for testing
|
||||
this.container.logger.info('Generating mock data for backtest', {
|
||||
symbol,
|
||||
startTime: startTime.toISOString(),
|
||||
endTime: endTime.toISOString(),
|
||||
interval
|
||||
});
|
||||
|
||||
return this.generateMockBars(symbol, startTime, endTime, interval);
|
||||
}
|
||||
|
||||
private generateMockBars(
|
||||
symbol: string,
|
||||
startTime: Date,
|
||||
endTime: Date,
|
||||
interval: string
|
||||
): any[] {
|
||||
const bars = [];
|
||||
const msPerInterval = this.getIntervalMilliseconds(interval);
|
||||
let currentTime = new Date(startTime);
|
||||
|
||||
// Starting price based on symbol
|
||||
let basePrice = symbol === 'AAPL' ? 150 :
|
||||
symbol === 'MSFT' ? 300 :
|
||||
symbol === 'GOOGL' ? 120 : 100;
|
||||
|
||||
while (currentTime <= endTime) {
|
||||
// Random walk with trend
|
||||
const trend = 0.0001; // Slight upward trend
|
||||
const volatility = 0.002; // 0.2% volatility
|
||||
const change = (Math.random() - 0.5 + trend) * volatility;
|
||||
|
||||
basePrice *= (1 + change);
|
||||
|
||||
// Generate OHLC data
|
||||
const open = basePrice * (1 + (Math.random() - 0.5) * 0.001);
|
||||
const close = basePrice;
|
||||
const high = Math.max(open, close) * (1 + Math.random() * 0.002);
|
||||
const low = Math.min(open, close) * (1 - Math.random() * 0.002);
|
||||
const volume = 1000000 + Math.random() * 500000;
|
||||
|
||||
bars.push({
|
||||
symbol,
|
||||
timestamp: new Date(currentTime),
|
||||
open,
|
||||
high,
|
||||
low,
|
||||
close,
|
||||
volume,
|
||||
vwap: (high + low + close) / 3
|
||||
});
|
||||
|
||||
currentTime = new Date(currentTime.getTime() + msPerInterval);
|
||||
}
|
||||
|
||||
return bars;
|
||||
}
|
||||
|
||||
private getIntervalMilliseconds(interval: string): number {
|
||||
switch (interval) {
|
||||
case '1m': return 60 * 1000;
|
||||
case '5m': return 5 * 60 * 1000;
|
||||
case '15m': return 15 * 60 * 1000;
|
||||
case '1h': return 60 * 60 * 1000;
|
||||
case '1d': return 24 * 60 * 60 * 1000;
|
||||
default: return 60 * 1000; // Default to 1 minute
|
||||
}
|
||||
}
|
||||
|
||||
async shutdown(): Promise<void> {
|
||||
if (this.questdb) {
|
||||
await this.questdb.disconnect();
|
||||
|
|
|
|||
|
|
@ -11,6 +11,7 @@ import { AnalyticsService } from './services/AnalyticsService';
|
|||
import { StorageService } from './services/StorageService';
|
||||
import { StrategyManager } from './strategies/StrategyManager';
|
||||
import { BacktestEngine } from './backtest/BacktestEngine';
|
||||
import { RustBacktestAdapter } from './backtest/RustBacktestAdapter';
|
||||
import { PaperTradingManager } from './paper/PaperTradingManager';
|
||||
|
||||
/**
|
||||
|
|
@ -97,7 +98,15 @@ export async function createContainer(config: any): Promise<any> {
|
|||
const executionService = new ExecutionService(services, storageService);
|
||||
const analyticsService = new AnalyticsService(services, storageService);
|
||||
const strategyManager = new StrategyManager(services);
|
||||
const backtestEngine = new BacktestEngine(services, storageService, strategyManager);
|
||||
|
||||
// Add strategy manager to custom services early so RustBacktestAdapter can access it
|
||||
services.custom.StrategyManager = strategyManager;
|
||||
|
||||
// Use Rust backtest engine if configured
|
||||
const useRustEngine = config.services?.orchestrator?.backtesting?.useRustEngine !== false;
|
||||
const backtestEngine = useRustEngine
|
||||
? new RustBacktestAdapter(services)
|
||||
: new BacktestEngine(services, storageService, strategyManager);
|
||||
const paperTradingManager = new PaperTradingManager(
|
||||
services,
|
||||
storageService,
|
||||
|
|
@ -111,7 +120,7 @@ export async function createContainer(config: any): Promise<any> {
|
|||
storageService
|
||||
);
|
||||
|
||||
// Store custom services
|
||||
// Store custom services (before creating RustBacktestAdapter)
|
||||
services.custom = {
|
||||
StorageService: storageService,
|
||||
MarketDataService: marketDataService,
|
||||
|
|
|
|||
59
test-e2e-backtest.sh
Executable file
59
test-e2e-backtest.sh
Executable file
|
|
@ -0,0 +1,59 @@
|
|||
#!/bin/bash
|
||||
|
||||
echo "Testing End-to-End Backtest Flow"
|
||||
echo "================================"
|
||||
|
||||
# Wait for services to be ready
|
||||
echo "Waiting for services to be ready..."
|
||||
sleep 5
|
||||
|
||||
# Test 1: Check web-api health
|
||||
echo -e "\n1. Checking web-api health..."
|
||||
curl -s http://localhost:2003/health | jq .
|
||||
|
||||
# Test 2: Check orchestrator health
|
||||
echo -e "\n2. Checking orchestrator health..."
|
||||
curl -s http://localhost:2004/health | jq .
|
||||
|
||||
# Test 3: Create a backtest
|
||||
echo -e "\n3. Creating a backtest..."
|
||||
BACKTEST_RESPONSE=$(curl -s -X POST http://localhost:2003/api/backtests \
|
||||
-H "Content-Type: application/json" \
|
||||
-d '{
|
||||
"strategy": "SimpleMovingAverageCrossover",
|
||||
"symbols": ["AAPL"],
|
||||
"startDate": "2024-01-01",
|
||||
"endDate": "2024-01-31",
|
||||
"initialCapital": 100000,
|
||||
"config": {
|
||||
"commission": 0.001,
|
||||
"slippage": 0.0001
|
||||
}
|
||||
}')
|
||||
|
||||
echo "$BACKTEST_RESPONSE" | jq .
|
||||
|
||||
# Extract backtest ID
|
||||
BACKTEST_ID=$(echo "$BACKTEST_RESPONSE" | jq -r .id)
|
||||
echo "Backtest ID: $BACKTEST_ID"
|
||||
|
||||
# Test 4: Check backtest status
|
||||
echo -e "\n4. Checking backtest status..."
|
||||
sleep 2
|
||||
curl -s http://localhost:2003/api/backtests/$BACKTEST_ID | jq .
|
||||
|
||||
# Test 5: Get backtest results (wait a bit for completion)
|
||||
echo -e "\n5. Waiting for backtest to complete..."
|
||||
for i in {1..10}; do
|
||||
sleep 2
|
||||
STATUS=$(curl -s http://localhost:2003/api/backtests/$BACKTEST_ID | jq -r .status)
|
||||
echo "Status: $STATUS"
|
||||
|
||||
if [ "$STATUS" = "completed" ]; then
|
||||
echo -e "\n6. Getting backtest results..."
|
||||
curl -s http://localhost:2003/api/backtests/$BACKTEST_ID/results | jq .
|
||||
break
|
||||
fi
|
||||
done
|
||||
|
||||
echo -e "\nEnd-to-End test complete!"
|
||||
Loading…
Add table
Add a link
Reference in a new issue