Dev backtest (#1134)

backtest/config.go

@@ -0,0 +1,178 @@
+package backtest
+
+import (
+	"fmt"
+	"strings"
+	"time"
+
+	"nofx/market"
+)
+
+// AIConfig 定义回测中使用的 AI 客户端配置。
+type AIConfig struct {
+	Provider    string  `json:"provider"`
+	Model       string  `json:"model"`
+	APIKey      string  `json:"key"`
+	SecretKey   string  `json:"secret_key,omitempty"`
+	BaseURL     string  `json:"base_url,omitempty"`
+	Temperature float64 `json:"temperature,omitempty"`
+}
+
+type LeverageConfig struct {
+	BTCETHLeverage  int `json:"btc_eth_leverage"`
+	AltcoinLeverage int `json:"altcoin_leverage"`
+}
+
+// BacktestConfig 描述一次回测运行的输入配置。
+type BacktestConfig struct {
+	RunID                string   `json:"run_id"`
+	UserID               string   `json:"user_id,omitempty"`
+	AIModelID            string   `json:"ai_model_id,omitempty"`
+	Symbols              []string `json:"symbols"`
+	Timeframes           []string `json:"timeframes"`
+	DecisionTimeframe    string   `json:"decision_timeframe"`
+	DecisionCadenceNBars int      `json:"decision_cadence_nbars"`
+	StartTS              int64    `json:"start_ts"`
+	EndTS                int64    `json:"end_ts"`
+	InitialBalance       float64  `json:"initial_balance"`
+	FeeBps               float64  `json:"fee_bps"`
+	SlippageBps          float64  `json:"slippage_bps"`
+	FillPolicy           string   `json:"fill_policy"`
+	PromptVariant        string   `json:"prompt_variant"`
+	PromptTemplate       string   `json:"prompt_template"`
+	CustomPrompt         string   `json:"custom_prompt"`
+	OverrideBasePrompt   bool     `json:"override_prompt"`
+	CacheAI              bool     `json:"cache_ai"`
+	ReplayOnly           bool     `json:"replay_only"`
+
+	AICfg    AIConfig       `json:"ai"`
+	Leverage LeverageConfig `json:"leverage"`
+
+	SharedAICachePath         string `json:"ai_cache_path,omitempty"`
+	CheckpointIntervalBars    int    `json:"checkpoint_interval_bars,omitempty"`
+	CheckpointIntervalSeconds int    `json:"checkpoint_interval_seconds,omitempty"`
+	ReplayDecisionDir         string `json:"replay_decision_dir,omitempty"`
+}
+
+// Validate 对配置进行合法性检查并填充默认值。
+func (cfg *BacktestConfig) Validate() error {
+	if cfg == nil {
+		return fmt.Errorf("config is nil")
+	}
+	cfg.RunID = strings.TrimSpace(cfg.RunID)
+	if cfg.RunID == "" {
+		return fmt.Errorf("run_id cannot be empty")
+	}
+	cfg.UserID = strings.TrimSpace(cfg.UserID)
+	if cfg.UserID == "" {
+		cfg.UserID = "default"
+	}
+	cfg.AIModelID = strings.TrimSpace(cfg.AIModelID)
+
+	if len(cfg.Symbols) == 0 {
+		return fmt.Errorf("at least one symbol is required")
+	}
+	for i, sym := range cfg.Symbols {
+		cfg.Symbols[i] = market.Normalize(sym)
+	}
+
+	if len(cfg.Timeframes) == 0 {
+		cfg.Timeframes = []string{"3m", "15m", "4h"}
+	}
+	normTF := make([]string, 0, len(cfg.Timeframes))
+	for _, tf := range cfg.Timeframes {
+		normalized, err := market.NormalizeTimeframe(tf)
+		if err != nil {
+			return fmt.Errorf("invalid timeframe '%s': %w", tf, err)
+		}
+		normTF = append(normTF, normalized)
+	}
+	cfg.Timeframes = normTF
+
+	if cfg.DecisionTimeframe == "" {
+		cfg.DecisionTimeframe = cfg.Timeframes[0]
+	}
+	normalizedDecision, err := market.NormalizeTimeframe(cfg.DecisionTimeframe)
+	if err != nil {
+		return fmt.Errorf("invalid decision_timeframe: %w", err)
+	}
+	cfg.DecisionTimeframe = normalizedDecision
+
+	if cfg.DecisionCadenceNBars <= 0 {
+		cfg.DecisionCadenceNBars = 20
+	}
+
+	if cfg.StartTS <= 0 || cfg.EndTS <= 0 || cfg.EndTS <= cfg.StartTS {
+		return fmt.Errorf("invalid start_ts/end_ts")
+	}
+
+	if cfg.InitialBalance <= 0 {
+		cfg.InitialBalance = 1000
+	}
+
+	if cfg.FillPolicy == "" {
+		cfg.FillPolicy = FillPolicyNextOpen
+	}
+	if err := validateFillPolicy(cfg.FillPolicy); err != nil {
+		return err
+	}
+
+	if cfg.CheckpointIntervalBars <= 0 {
+		cfg.CheckpointIntervalBars = 20
+	}
+	if cfg.CheckpointIntervalSeconds <= 0 {
+		cfg.CheckpointIntervalSeconds = 2
+	}
+
+	cfg.PromptVariant = strings.TrimSpace(cfg.PromptVariant)
+	if cfg.PromptVariant == "" {
+		cfg.PromptVariant = "baseline"
+	}
+	cfg.PromptTemplate = strings.TrimSpace(cfg.PromptTemplate)
+	if cfg.PromptTemplate == "" {
+		cfg.PromptTemplate = "default"
+	}
+	cfg.CustomPrompt = strings.TrimSpace(cfg.CustomPrompt)
+
+	if cfg.AICfg.Provider == "" {
+		cfg.AICfg.Provider = "inherit"
+	}
+	if cfg.AICfg.Temperature == 0 {
+		cfg.AICfg.Temperature = 0.4
+	}
+
+	if cfg.Leverage.BTCETHLeverage <= 0 {
+		cfg.Leverage.BTCETHLeverage = 5
+	}
+	if cfg.Leverage.AltcoinLeverage <= 0 {
+		cfg.Leverage.AltcoinLeverage = 5
+	}
+
+	return nil
+}
+
+// Duration 返回回测区间时长。
+func (cfg *BacktestConfig) Duration() time.Duration {
+	if cfg == nil {
+		return 0
+	}
+	return time.Unix(cfg.EndTS, 0).Sub(time.Unix(cfg.StartTS, 0))
+}
+
+const (
+	// FillPolicyNextOpen 使用下一根 K 线的开盘价成交。
+	FillPolicyNextOpen = "next_open"
+	// FillPolicyBarVWAP 采用当前 K 线的近似 VWAP 成交。
+	FillPolicyBarVWAP = "bar_vwap"
+	// FillPolicyMidPrice 采用 (high+low)/2 的中间价成交。
+	FillPolicyMidPrice = "mid"
+)
+
+func validateFillPolicy(policy string) error {
+	switch policy {
+	case FillPolicyNextOpen, FillPolicyBarVWAP, FillPolicyMidPrice:
+		return nil
+	default:
+		return fmt.Errorf("unsupported fill_policy '%s'", policy)
+	}
+}