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Dev backtest (#1134)
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Rick
250
backtest/account.go
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250
backtest/account.go
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package backtest
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import (
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"fmt"
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"math"
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"strings"
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)
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const epsilon = 1e-8
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type position struct {
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Symbol string
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Side string
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Quantity float64
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EntryPrice float64
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Leverage int
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Margin float64
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Notional float64
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LiquidationPrice float64
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OpenTime int64
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}
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type BacktestAccount struct {
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initialBalance float64
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cash float64
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feeRate float64
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slippageRate float64
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positions map[string]*position
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realizedPnL float64
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}
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func NewBacktestAccount(initialBalance, feeBps, slippageBps float64) *BacktestAccount {
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return &BacktestAccount{
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initialBalance: initialBalance,
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cash: initialBalance,
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feeRate: feeBps / 10000.0,
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slippageRate: slippageBps / 10000.0,
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positions: make(map[string]*position),
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}
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}
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func positionKey(symbol, side string) string {
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return strings.ToUpper(symbol) + ":" + side
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}
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func (acc *BacktestAccount) ensurePosition(symbol, side string) *position {
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key := positionKey(symbol, side)
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if pos, ok := acc.positions[key]; ok {
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return pos
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}
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pos := &position{Symbol: strings.ToUpper(symbol), Side: side}
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acc.positions[key] = pos
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return pos
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}
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func (acc *BacktestAccount) removePosition(pos *position) {
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key := positionKey(pos.Symbol, pos.Side)
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delete(acc.positions, key)
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}
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func (acc *BacktestAccount) Open(symbol, side string, quantity float64, leverage int, price float64, ts int64) (*position, float64, float64, error) {
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if quantity <= 0 {
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return nil, 0, 0, fmt.Errorf("quantity must be positive")
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}
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if leverage <= 0 {
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return nil, 0, 0, fmt.Errorf("leverage must be positive")
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}
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execPrice := applySlippage(price, acc.slippageRate, side, true)
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notional := execPrice * quantity
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margin := notional / float64(leverage)
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fee := notional * acc.feeRate
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if margin+fee > acc.cash+epsilon {
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return nil, 0, 0, fmt.Errorf("insufficient cash: need %.2f", margin+fee)
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}
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acc.cash -= margin + fee
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pos := acc.ensurePosition(symbol, side)
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if pos.Quantity < epsilon {
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pos.Quantity = quantity
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pos.EntryPrice = execPrice
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pos.Leverage = leverage
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pos.Margin = margin
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pos.Notional = notional
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pos.OpenTime = ts
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pos.LiquidationPrice = computeLiquidation(execPrice, leverage, side)
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} else {
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if leverage != pos.Leverage {
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// 采用权重平均杠杆（近似）
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weightedMargin := pos.Margin + margin
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pos.Leverage = int(math.Round((pos.Notional + notional) / weightedMargin))
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}
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pos.Notional += notional
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pos.Margin += margin
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pos.EntryPrice = ((pos.EntryPrice * pos.Quantity) + execPrice*quantity) / (pos.Quantity + quantity)
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pos.Quantity += quantity
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pos.LiquidationPrice = computeLiquidation(pos.EntryPrice, pos.Leverage, side)
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}
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return pos, fee, execPrice, nil
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}
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func (acc *BacktestAccount) Close(symbol, side string, quantity float64, price float64) (float64, float64, float64, error) {
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key := positionKey(symbol, side)
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pos, ok := acc.positions[key]
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if !ok || pos.Quantity <= epsilon {
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return 0, 0, 0, fmt.Errorf("no active %s position for %s", side, symbol)
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}
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if quantity <= 0 || quantity > pos.Quantity+epsilon {
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if math.Abs(quantity) <= epsilon {
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quantity = pos.Quantity
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} else {
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return 0, 0, 0, fmt.Errorf("invalid close quantity")
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}
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}
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execPrice := applySlippage(price, acc.slippageRate, side, false)
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notional := execPrice * quantity
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fee := notional * acc.feeRate
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realized := realizedPnL(pos, quantity, execPrice)
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marginPortion := pos.Margin * (quantity / pos.Quantity)
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acc.cash += marginPortion + realized - fee
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acc.realizedPnL += realized - fee
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pos.Quantity -= quantity
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pos.Notional -= notional
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pos.Margin -= marginPortion
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if pos.Quantity <= epsilon {
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acc.removePosition(pos)
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}
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return realized, fee, execPrice, nil
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}
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func (acc *BacktestAccount) TotalEquity(priceMap map[string]float64) (float64, float64, map[string]float64) {
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unrealized := 0.0
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margin := 0.0
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perSymbol := make(map[string]float64)
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for _, pos := range acc.positions {
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price := priceMap[pos.Symbol]
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pnl := unrealizedPnL(pos, price)
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unrealized += pnl
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margin += pos.Margin
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perSymbol[pos.Symbol+":"+pos.Side] = pnl
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}
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return acc.cash + margin + unrealized, unrealized, perSymbol
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}
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func applySlippage(price float64, rate float64, side string, isOpen bool) float64 {
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if rate <= 0 {
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return price
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}
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adjust := 1.0
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if side == "long" {
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if isOpen {
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adjust += rate
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} else {
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adjust -= rate
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}
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} else {
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if isOpen {
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adjust -= rate
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} else {
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adjust += rate
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}
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}
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return price * adjust
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}
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func computeLiquidation(entry float64, leverage int, side string) float64 {
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if leverage <= 0 {
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return 0
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}
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lev := float64(leverage)
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if side == "long" {
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return entry * (1.0 - 1.0/lev)
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}
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return entry * (1.0 + 1.0/lev)
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}
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func realizedPnL(pos *position, qty, price float64) float64 {
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if pos.Side == "long" {
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return (price - pos.EntryPrice) * qty
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}
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return (pos.EntryPrice - price) * qty
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}
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func unrealizedPnL(pos *position, price float64) float64 {
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if pos.Side == "long" {
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return (price - pos.EntryPrice) * pos.Quantity
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}
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return (pos.EntryPrice - price) * pos.Quantity
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}
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func (acc *BacktestAccount) Positions() []*position {
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list := make([]*position, 0, len(acc.positions))
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for _, pos := range acc.positions {
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list = append(list, pos)
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}
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return list
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}
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func (acc *BacktestAccount) positionLeverage(symbol, side string) int {
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key := positionKey(symbol, side)
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if pos, ok := acc.positions[key]; ok && pos.Quantity > epsilon {
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return pos.Leverage
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}
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return 0
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}
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func (acc *BacktestAccount) Cash() float64 {
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return acc.cash
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}
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func (acc *BacktestAccount) InitialBalance() float64 {
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return acc.initialBalance
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}
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func (acc *BacktestAccount) RealizedPnL() float64 {
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return acc.realizedPnL
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}
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// RestoreFromSnapshots 用于从检查点恢复账户状态。
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func (acc *BacktestAccount) RestoreFromSnapshots(cash float64, realized float64, snaps []PositionSnapshot) {
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acc.cash = cash
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acc.realizedPnL = realized
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acc.positions = make(map[string]*position)
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for _, snap := range snaps {
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pos := &position{
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Symbol: snap.Symbol,
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Side: snap.Side,
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Quantity: snap.Quantity,
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EntryPrice: snap.AvgPrice,
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Leverage: snap.Leverage,
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Margin: snap.MarginUsed,
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Notional: snap.Quantity * snap.AvgPrice,
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LiquidationPrice: snap.LiquidationPrice,
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OpenTime: snap.OpenTime,
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}
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key := positionKey(pos.Symbol, pos.Side)
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acc.positions[key] = pos
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}
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}
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