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Dev backtest (#1134)
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Rick
164
backtest/types.go
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164
backtest/types.go
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package backtest
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import "time"
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// RunState 表示回测运行当前状态。
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type RunState string
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const (
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RunStateCreated RunState = "created"
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RunStateRunning RunState = "running"
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RunStatePaused RunState = "paused"
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RunStateStopped RunState = "stopped"
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RunStateCompleted RunState = "completed"
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RunStateFailed RunState = "failed"
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RunStateLiquidated RunState = "liquidated"
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)
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// PositionSnapshot 表示当前持仓的核心数据，用于回测状态与持久化。
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type PositionSnapshot struct {
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Symbol string `json:"symbol"`
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Side string `json:"side"`
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Quantity float64 `json:"quantity"`
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AvgPrice float64 `json:"avg_price"`
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Leverage int `json:"leverage"`
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LiquidationPrice float64 `json:"liquidation_price"`
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MarginUsed float64 `json:"margin_used"`
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OpenTime int64 `json:"open_time"`
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}
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// BacktestState 表示执行过程中的实时状态（内存态）。
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type BacktestState struct {
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BarIndex int
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BarTimestamp int64
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DecisionCycle int
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Cash float64
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Equity float64
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UnrealizedPnL float64
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RealizedPnL float64
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MaxEquity float64
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MinEquity float64
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MaxDrawdownPct float64
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Positions map[string]PositionSnapshot
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LastUpdate time.Time
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Liquidated bool
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LiquidationNote string
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}
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// EquityPoint 表示资金曲线中的单个节点。
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type EquityPoint struct {
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Timestamp int64 `json:"ts"`
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Equity float64 `json:"equity"`
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Available float64 `json:"available"`
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PnL float64 `json:"pnl"`
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PnLPct float64 `json:"pnl_pct"`
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DrawdownPct float64 `json:"dd_pct"`
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Cycle int `json:"cycle"`
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}
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// TradeEvent 记录一次交易执行结果或特殊事件（如爆仓）。
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type TradeEvent struct {
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Timestamp int64 `json:"ts"`
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Symbol string `json:"symbol"`
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Action string `json:"action"`
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Side string `json:"side,omitempty"`
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Quantity float64 `json:"qty"`
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Price float64 `json:"price"`
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Fee float64 `json:"fee"`
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Slippage float64 `json:"slippage"`
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OrderValue float64 `json:"order_value"`
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RealizedPnL float64 `json:"realized_pnl"`
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Leverage int `json:"leverage,omitempty"`
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Cycle int `json:"cycle"`
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PositionAfter float64 `json:"position_after"`
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LiquidationFlag bool `json:"liquidation"`
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Note string `json:"note,omitempty"`
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}
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// Metrics 汇总回测表现指标。
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type Metrics struct {
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TotalReturnPct float64 `json:"total_return_pct"`
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MaxDrawdownPct float64 `json:"max_drawdown_pct"`
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SharpeRatio float64 `json:"sharpe_ratio"`
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ProfitFactor float64 `json:"profit_factor"`
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WinRate float64 `json:"win_rate"`
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Trades int `json:"trades"`
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AvgWin float64 `json:"avg_win"`
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AvgLoss float64 `json:"avg_loss"`
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BestSymbol string `json:"best_symbol"`
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WorstSymbol string `json:"worst_symbol"`
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SymbolStats map[string]SymbolMetrics `json:"symbol_stats"`
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Liquidated bool `json:"liquidated"`
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}
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// SymbolMetrics 记录单个标的的表现。
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type SymbolMetrics struct {
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TotalTrades int `json:"total_trades"`
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WinningTrades int `json:"winning_trades"`
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LosingTrades int `json:"losing_trades"`
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TotalPnL float64 `json:"total_pnl"`
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AvgPnL float64 `json:"avg_pnl"`
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WinRate float64 `json:"win_rate"`
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}
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// Checkpoint 表示磁盘保存的检查点信息，用于暂停、恢复与崩溃恢复。
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type Checkpoint struct {
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BarIndex int `json:"bar_index"`
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BarTimestamp int64 `json:"bar_ts"`
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Cash float64 `json:"cash"`
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Equity float64 `json:"equity"`
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MaxEquity float64 `json:"max_equity"`
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MinEquity float64 `json:"min_equity"`
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MaxDrawdownPct float64 `json:"max_drawdown_pct"`
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UnrealizedPnL float64 `json:"unrealized_pnl"`
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RealizedPnL float64 `json:"realized_pnl"`
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Positions []PositionSnapshot `json:"positions"`
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DecisionCycle int `json:"decision_cycle"`
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IndicatorsState map[string]map[string]any `json:"indicators_state,omitempty"`
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RNGSeed int64 `json:"rng_seed,omitempty"`
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AICacheRef string `json:"ai_cache_ref,omitempty"`
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Liquidated bool `json:"liquidated"`
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LiquidationNote string `json:"liquidation_note,omitempty"`
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}
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// RunMetadata 记录 run.json 所需摘要。
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type RunMetadata struct {
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RunID string `json:"run_id"`
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Label string `json:"label,omitempty"`
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UserID string `json:"user_id,omitempty"`
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LastError string `json:"last_error,omitempty"`
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Version int `json:"version"`
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State RunState `json:"state"`
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CreatedAt time.Time `json:"created_at"`
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UpdatedAt time.Time `json:"updated_at"`
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Summary RunSummary `json:"summary"`
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}
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// RunSummary 为 run.json 中的 summary 字段。
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type RunSummary struct {
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SymbolCount int `json:"symbol_count"`
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DecisionTF string `json:"decision_tf"`
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ProcessedBars int `json:"processed_bars"`
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ProgressPct float64 `json:"progress_pct"`
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EquityLast float64 `json:"equity_last"`
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MaxDrawdownPct float64 `json:"max_drawdown_pct"`
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Liquidated bool `json:"liquidated"`
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LiquidationNote string `json:"liquidation_note,omitempty"`
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}
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// StatusPayload 用于 /status API 的响应。
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type StatusPayload struct {
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RunID string `json:"run_id"`
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State RunState `json:"state"`
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ProgressPct float64 `json:"progress_pct"`
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ProcessedBars int `json:"processed_bars"`
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CurrentTime int64 `json:"current_time"`
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DecisionCycle int `json:"decision_cycle"`
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Equity float64 `json:"equity"`
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UnrealizedPnL float64 `json:"unrealized_pnl"`
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RealizedPnL float64 `json:"realized_pnl"`
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Note string `json:"note,omitempty"`
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LastError string `json:"last_error,omitempty"`
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LastUpdatedIso string `json:"last_updated_iso"`
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}
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