added rust engine and adapter pattern

apps/stock/orchestrator/src/strategies/StrategyExecutor.ts

@@ -0,0 +1,135 @@
+import { MarketData, Signal } from '../types';
+
+export interface IStrategyExecutor {
+  onMarketData(data: MarketData): Signal[];
+  onFill(symbol: string, quantity: number, price: number, side: string): void;
+  getState(): any;
+  setState(state: any): void;
+}
+
+/**
+ * Executes strategies in-process for backtesting
+ * This avoids the complexity of async callbacks between Rust and TypeScript
+ */
+export class StrategyExecutor implements IStrategyExecutor {
+  private strategies: Map<string, any> = new Map();
+  private strategyStates: Map<string, any> = new Map();
+  
+  registerStrategy(id: string, strategy: any) {
+    this.strategies.set(id, strategy);
+    this.strategyStates.set(id, {
+      priceHistory: new Map<string, number[]>(),
+      positions: new Map<string, number>(),
+    });
+  }
+  
+  onMarketData(data: MarketData): Signal[] {
+    const allSignals: Signal[] = [];
+    
+    for (const [id, strategy] of this.strategies) {
+      const state = this.strategyStates.get(id)!;
+      const signals = strategy.onMarketData(data, state);
+      
+      if (signals && signals.length > 0) {
+        allSignals.push(...signals);
+      }
+    }
+    
+    return allSignals;
+  }
+  
+  onFill(symbol: string, quantity: number, price: number, side: string): void {
+    for (const [id, strategy] of this.strategies) {
+      const state = this.strategyStates.get(id)!;
+      
+      if (strategy.onFill) {
+        strategy.onFill({ symbol, quantity, price, side }, state);
+      }
+      
+      // Update position tracking
+      const currentPos = state.positions.get(symbol) || 0;
+      const newPos = side === 'buy' ? currentPos + quantity : currentPos - quantity;
+      
+      if (Math.abs(newPos) < 0.0001) {
+        state.positions.delete(symbol);
+      } else {
+        state.positions.set(symbol, newPos);
+      }
+    }
+  }
+  
+  getState(): any {
+    return Object.fromEntries(this.strategyStates);
+  }
+  
+  setState(state: any): void {
+    this.strategyStates = new Map(Object.entries(state));
+  }
+}
+
+// Example SMA Crossover Strategy
+export const SMACrossoverStrategy = {
+  onMarketData(data: MarketData, state: any): Signal[] {
+    const signals: Signal[] = [];
+    
+    // Check if it's bar data
+    if (data.type !== 'bar') return signals;
+    
+    const { symbol, close } = data.data;
+    const fastPeriod = 5;
+    const slowPeriod = 15;
+    
+    // Update price history
+    if (!state.priceHistory.has(symbol)) {
+      state.priceHistory.set(symbol, []);
+    }
+    
+    const history = state.priceHistory.get(symbol)!;
+    history.push(close);
+    
+    // Keep only necessary history
+    if (history.length > slowPeriod + 1) {
+      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) / history.length;
+      
+      // 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) / prevHistory.length;
+        
+        const currentPosition = state.positions.get(symbol) || 0;
+        
+        // Golden cross - buy signal
+        if (prevFastSMA <= prevSlowSMA && fastSMA > slowSMA && currentPosition <= 0) {
+          signals.push({
+            symbol,
+            signal_type: 'Buy',
+            strength: 1.0,
+            quantity: 100,
+            reason: 'Golden cross',
+          });
+        }
+        
+        // Death cross - sell signal
+        else if (prevFastSMA >= prevSlowSMA && fastSMA < slowSMA && currentPosition >= 0) {
+          signals.push({
+            symbol,
+            signal_type: 'Sell',
+            strength: 1.0,
+            quantity: 100,
+            reason: 'Death cross',
+          });
+        }
+      }
+    }
+    
+    return signals;
+  },
+};