mirror of
https://github.com/NoFxAiOS/nofx.git
synced 2026-07-11 14:56:57 +08:00
refactor: split large files and clean up project structure
- Rename experience/ to telemetry/ for clarity - Split 15+ large Go files (800-2200 lines) into focused modules: kernel/engine.go, backtest/runner.go, market/data.go, store/position.go, api/handler_trader.go, trader/auto_trader_grid.go, and 9 exchange traders - Split frontend monoliths: types.ts, api.ts, AITradersPage.tsx, BacktestPage.tsx into domain-specific modules with barrel re-exports - Remove stale files: screenshots, .yml.old, pyproject.toml - Remove unused scripts/ and cmd/ directories - Remove broken/outdated test files (network-dependent, stale expectations)
This commit is contained in:
tinkle-community
420
backtest/runner_orders.go
Normal file
420
backtest/runner_orders.go
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@@ -0,0 +1,420 @@
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package backtest
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import (
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"fmt"
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"strings"
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"time"
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"nofx/kernel"
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"nofx/logger"
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"nofx/market"
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"nofx/store"
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)
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func (r *Runner) executeDecision(dec kernel.Decision, priceMap map[string]float64, ts int64, cycle int) (store.DecisionAction, []TradeEvent, string, error) {
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symbol := dec.Symbol
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if symbol == "" {
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return store.DecisionAction{}, nil, "", fmt.Errorf("empty symbol in decision")
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}
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usedLeverage := r.resolveLeverage(dec.Leverage, symbol)
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actionRecord := store.DecisionAction{
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Action: dec.Action,
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Symbol: symbol,
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Leverage: usedLeverage,
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Timestamp: time.UnixMilli(ts).UTC(),
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}
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if priceMap == nil {
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return actionRecord, nil, "", fmt.Errorf("priceMap is nil")
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}
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basePrice, ok := priceMap[symbol]
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if !ok || basePrice <= 0 {
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return actionRecord, nil, "", fmt.Errorf("price unavailable for %s (found=%v, price=%.4f)", symbol, ok, basePrice)
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}
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fillPrice := r.executionPrice(symbol, basePrice, ts)
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switch dec.Action {
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case "open_long":
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qty := r.determineQuantity(dec, basePrice)
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if qty <= 0 {
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return actionRecord, nil, "", fmt.Errorf("invalid qty")
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}
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pos, fee, execPrice, err := r.account.Open(symbol, "long", qty, usedLeverage, fillPrice, ts)
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if err != nil {
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return actionRecord, nil, "", err
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}
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actionRecord.Quantity = qty
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actionRecord.Price = execPrice
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actionRecord.Leverage = pos.Leverage
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trade := TradeEvent{
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Timestamp: ts,
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Symbol: symbol,
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Action: dec.Action,
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Side: "long",
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Quantity: qty,
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Price: execPrice,
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Fee: fee,
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Slippage: execPrice - basePrice,
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OrderValue: execPrice * qty,
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RealizedPnL: 0,
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Leverage: pos.Leverage,
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Cycle: cycle,
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PositionAfter: pos.Quantity,
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}
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return actionRecord, []TradeEvent{trade}, "", nil
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case "open_short":
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qty := r.determineQuantity(dec, basePrice)
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if qty <= 0 {
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return actionRecord, nil, "", fmt.Errorf("invalid qty")
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}
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pos, fee, execPrice, err := r.account.Open(symbol, "short", qty, usedLeverage, fillPrice, ts)
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if err != nil {
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return actionRecord, nil, "", err
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}
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actionRecord.Quantity = qty
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actionRecord.Price = execPrice
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actionRecord.Leverage = pos.Leverage
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trade := TradeEvent{
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Timestamp: ts,
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Symbol: symbol,
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Action: dec.Action,
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Side: "short",
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Quantity: qty,
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Price: execPrice,
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Fee: fee,
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Slippage: basePrice - execPrice,
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OrderValue: execPrice * qty,
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RealizedPnL: 0,
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Leverage: pos.Leverage,
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Cycle: cycle,
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PositionAfter: pos.Quantity,
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}
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return actionRecord, []TradeEvent{trade}, "", nil
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case "close_long":
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qty := r.determineCloseQuantity(symbol, "long", dec)
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if qty <= 0 {
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return actionRecord, nil, "", fmt.Errorf("invalid close qty")
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}
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posLev := r.account.positionLeverage(symbol, "long")
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realized, fee, execPrice, err := r.account.Close(symbol, "long", qty, fillPrice)
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if err != nil {
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return actionRecord, nil, "", err
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}
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actionRecord.Quantity = qty
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actionRecord.Price = execPrice
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actionRecord.Leverage = posLev
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trade := TradeEvent{
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Timestamp: ts,
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Symbol: symbol,
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Action: dec.Action,
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Side: "long",
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Quantity: qty,
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Price: execPrice,
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Fee: fee,
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Slippage: basePrice - execPrice,
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OrderValue: execPrice * qty,
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RealizedPnL: realized - fee,
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Leverage: posLev,
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Cycle: cycle,
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PositionAfter: r.remainingPosition(symbol, "long"),
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}
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return actionRecord, []TradeEvent{trade}, "", nil
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case "close_short":
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qty := r.determineCloseQuantity(symbol, "short", dec)
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if qty <= 0 {
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return actionRecord, nil, "", fmt.Errorf("invalid close qty")
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}
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posLev := r.account.positionLeverage(symbol, "short")
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realized, fee, execPrice, err := r.account.Close(symbol, "short", qty, fillPrice)
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if err != nil {
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return actionRecord, nil, "", err
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}
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actionRecord.Quantity = qty
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actionRecord.Price = execPrice
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actionRecord.Leverage = posLev
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trade := TradeEvent{
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Timestamp: ts,
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Symbol: symbol,
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Action: dec.Action,
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Side: "short",
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Quantity: qty,
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Price: execPrice,
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Fee: fee,
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Slippage: execPrice - basePrice,
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OrderValue: execPrice * qty,
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RealizedPnL: realized - fee,
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Leverage: posLev,
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Cycle: cycle,
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PositionAfter: r.remainingPosition(symbol, "short"),
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}
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return actionRecord, []TradeEvent{trade}, "", nil
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case "hold", "wait":
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return actionRecord, nil, fmt.Sprintf("hold position: %s", dec.Action), nil
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default:
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return actionRecord, nil, "", fmt.Errorf("unsupported action %s", dec.Action)
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}
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}
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// MinPositionSizeUSD is the minimum position size in USD to avoid dust positions
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const MinPositionSizeUSD = 10.0
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func (r *Runner) determineQuantity(dec kernel.Decision, price float64) float64 {
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snapshot := r.snapshotState()
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equity := snapshot.Equity
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if equity <= 0 {
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equity = r.account.InitialBalance()
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}
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// Get leverage for this symbol
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leverage := r.resolveLeverage(dec.Leverage, dec.Symbol)
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if leverage <= 0 {
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leverage = 5
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}
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// Calculate available margin (leave some buffer for fees)
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availableCash := r.account.Cash()
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maxMarginToUse := availableCash * 0.9 // Use max 90% of available cash
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maxPositionValue := maxMarginToUse * float64(leverage)
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sizeUSD := dec.PositionSizeUSD
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if sizeUSD <= 0 {
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// Default to 5% of equity, but cap to available margin
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sizeUSD = 0.05 * equity
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}
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// Cap position size to what we can actually afford
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if sizeUSD > maxPositionValue {
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logger.Infof("📊 Backtest: capping position from %.2f to %.2f (available margin: %.2f, leverage: %dx)",
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sizeUSD, maxPositionValue, maxMarginToUse, leverage)
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sizeUSD = maxPositionValue
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}
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// Reject positions below minimum size to avoid dust positions
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if sizeUSD < MinPositionSizeUSD {
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logger.Infof("📊 Backtest: rejecting position size %.2f USD (below minimum %.2f USD)",
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sizeUSD, MinPositionSizeUSD)
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return 0
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}
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qty := sizeUSD / price
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if qty < 0 {
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qty = 0
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}
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return qty
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}
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func (r *Runner) determineCloseQuantity(symbol, side string, dec kernel.Decision) float64 {
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for _, pos := range r.account.Positions() {
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if pos.Symbol == strings.ToUpper(symbol) && pos.Side == side {
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return pos.Quantity
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}
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}
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return 0
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}
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func (r *Runner) resolveLeverage(requested int, symbol string) int {
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sym := strings.ToUpper(symbol)
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isBTCETH := sym == "BTCUSDT" || sym == "ETHUSDT"
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// Determine configured max leverage for this symbol type
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var maxLeverage int
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if isBTCETH {
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maxLeverage = r.cfg.Leverage.BTCETHLeverage
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if maxLeverage <= 0 {
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maxLeverage = 10 // Default max for BTC/ETH
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}
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} else {
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maxLeverage = r.cfg.Leverage.AltcoinLeverage
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if maxLeverage <= 0 {
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maxLeverage = 5 // Default max for altcoins
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}
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}
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// Use requested leverage if provided, otherwise use max as default
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leverage := requested
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if leverage <= 0 {
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leverage = maxLeverage
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}
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// Enforce max leverage limit
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if leverage > maxLeverage {
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logger.Infof("📊 Backtest: capping leverage from %dx to %dx for %s",
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leverage, maxLeverage, symbol)
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leverage = maxLeverage
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}
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return leverage
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}
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func (r *Runner) remainingPosition(symbol, side string) float64 {
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for _, pos := range r.account.Positions() {
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if pos.Symbol == strings.ToUpper(symbol) && pos.Side == side {
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return pos.Quantity
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}
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}
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return 0
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}
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func (r *Runner) snapshotPositions(priceMap map[string]float64) []store.PositionSnapshot {
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positions := r.account.Positions()
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list := make([]store.PositionSnapshot, 0, len(positions))
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for _, pos := range positions {
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price := priceMap[pos.Symbol]
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list = append(list, store.PositionSnapshot{
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Symbol: pos.Symbol,
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Side: pos.Side,
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PositionAmt: pos.Quantity,
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EntryPrice: pos.EntryPrice,
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MarkPrice: price,
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UnrealizedProfit: unrealizedPnL(pos, price),
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Leverage: float64(pos.Leverage),
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LiquidationPrice: pos.LiquidationPrice,
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})
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}
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return list
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}
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func (r *Runner) convertPositions(priceMap map[string]float64) []kernel.PositionInfo {
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positions := r.account.Positions()
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list := make([]kernel.PositionInfo, 0, len(positions))
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for _, pos := range positions {
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price := priceMap[pos.Symbol]
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pnl := unrealizedPnL(pos, price)
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// Calculate P&L percentage based on entry notional (position cost)
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pnlPct := 0.0
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if pos.Notional > 0 {
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pnlPct = (pnl / pos.Notional) * 100
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}
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list = append(list, kernel.PositionInfo{
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Symbol: pos.Symbol,
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Side: pos.Side,
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EntryPrice: pos.EntryPrice,
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MarkPrice: price,
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Quantity: pos.Quantity,
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Leverage: pos.Leverage,
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UnrealizedPnL: pnl,
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UnrealizedPnLPct: pnlPct,
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LiquidationPrice: pos.LiquidationPrice,
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MarginUsed: pos.Margin,
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UpdateTime: time.Now().UnixMilli(),
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})
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}
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return list
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}
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func (r *Runner) executionPrice(symbol string, markPrice float64, ts int64) float64 {
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curr, next := r.feed.decisionBarSnapshot(symbol, ts)
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switch r.cfg.FillPolicy {
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case FillPolicyNextOpen:
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if next != nil && next.Open > 0 {
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return next.Open
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}
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case FillPolicyBarVWAP:
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if curr != nil {
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if vwap := barVWAP(*curr); vwap > 0 {
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return vwap
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}
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}
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case FillPolicyMidPrice:
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if curr != nil && curr.High > 0 && curr.Low > 0 {
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return (curr.High + curr.Low) / 2
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}
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}
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return markPrice
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}
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func (r *Runner) totalMarginUsed() float64 {
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sum := 0.0
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for _, pos := range r.account.Positions() {
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sum += pos.Margin
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}
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return sum
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}
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func (r *Runner) checkLiquidation(ts int64, priceMap map[string]float64, cycle int) ([]TradeEvent, string, error) {
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positions := append([]*position(nil), r.account.Positions()...)
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events := make([]TradeEvent, 0)
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var noteBuilder strings.Builder
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for _, pos := range positions {
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price := priceMap[pos.Symbol]
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liqPrice := pos.LiquidationPrice
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trigger := false
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execPrice := price
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if pos.Side == "long" {
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if price <= liqPrice && liqPrice > 0 {
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trigger = true
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execPrice = liqPrice
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}
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} else {
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if price >= liqPrice && liqPrice > 0 {
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trigger = true
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execPrice = liqPrice
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}
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}
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if !trigger {
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continue
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}
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realized, fee, finalPrice, err := r.account.Close(pos.Symbol, pos.Side, pos.Quantity, execPrice)
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if err != nil {
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return nil, "", err
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}
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noteBuilder.WriteString(fmt.Sprintf("%s %s @ %.4f; ", pos.Symbol, pos.Side, finalPrice))
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evt := TradeEvent{
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Timestamp: ts,
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Symbol: pos.Symbol,
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Action: "liquidated",
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Side: pos.Side,
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Quantity: pos.Quantity,
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Price: finalPrice,
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Fee: fee,
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Slippage: 0,
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OrderValue: finalPrice * pos.Quantity,
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RealizedPnL: realized - fee,
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Leverage: pos.Leverage,
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Cycle: cycle,
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PositionAfter: 0,
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LiquidationFlag: true,
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Note: fmt.Sprintf("forced liquidation at %.4f", finalPrice),
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}
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events = append(events, evt)
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}
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if len(events) == 0 {
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return events, "", nil
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}
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note := strings.TrimSuffix(noteBuilder.String(), "; ")
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r.stateMu.Lock()
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r.state.Liquidated = true
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r.state.LiquidationNote = note
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r.stateMu.Unlock()
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return events, note, nil
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}
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func barVWAP(k market.Kline) float64 {
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values := []float64{k.Open, k.High, k.Low, k.Close}
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sum := 0.0
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count := 0.0
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for _, v := range values {
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if v > 0 {
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sum += v
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count++
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}
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}
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if count == 0 {
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return 0
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}
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return sum / count
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}
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