feat: enhance backtest with real-time positions, P&L fixes, and strategy integration

- Add real-time position display with unrealized P&L during backtest
- Fix P&L calculation by tracking accumulated opening fees
- Add strategy coin source resolution (AI500, OI Top, mixed)
- Infer AI provider from model name for better compatibility
- Cap position size to available margin to prevent insufficient cash errors
- Fix trade markers on K-line chart (long/short instead of buy/sell)
- Add QuantData and OI ranking to backtest decision context
This commit is contained in:
tinkle-community
2025-12-20 01:10:11 +08:00
parent 5534861fe5
commit e2d702c662
9 changed files with 1144 additions and 62 deletions

View File

@@ -29,6 +29,7 @@ type BacktestConfig struct {
RunID string `json:"run_id"`
UserID string `json:"user_id,omitempty"`
AIModelID string `json:"ai_model_id,omitempty"`
StrategyID string `json:"strategy_id,omitempty"` // Optional: use saved strategy from Strategy Studio
Symbols []string `json:"symbols"`
Timeframes []string `json:"timeframes"`
DecisionTimeframe string `json:"decision_timeframe"`
@@ -53,6 +54,9 @@ type BacktestConfig struct {
CheckpointIntervalBars int `json:"checkpoint_interval_bars,omitempty"`
CheckpointIntervalSeconds int `json:"checkpoint_interval_seconds,omitempty"`
ReplayDecisionDir string `json:"replay_decision_dir,omitempty"`
// Internal: loaded strategy config (set by Manager when StrategyID is provided)
loadedStrategy *store.StrategyConfig `json:"-"`
}
// Validate performs validity checks on the configuration and fills in default values.
@@ -178,10 +182,54 @@ func validateFillPolicy(policy string) error {
}
}
// SetLoadedStrategy sets the loaded strategy config from database.
func (cfg *BacktestConfig) SetLoadedStrategy(strategy *store.StrategyConfig) {
cfg.loadedStrategy = strategy
}
// ToStrategyConfig converts BacktestConfig to StrategyConfig for unified prompt generation.
// This ensures backtest uses the same StrategyEngine logic as live trading.
// If a strategy was loaded from database (via StrategyID), it will be used with overrides.
func (cfg *BacktestConfig) ToStrategyConfig() *store.StrategyConfig {
// Determine primary and longer timeframe from the timeframes list
// If a strategy was loaded from database, use it with some overrides
if cfg.loadedStrategy != nil {
result := *cfg.loadedStrategy // Make a copy
// Override coin source with backtest symbols (回测指定的币对优先)
if len(cfg.Symbols) > 0 {
result.CoinSource.SourceType = "static"
result.CoinSource.StaticCoins = cfg.Symbols
result.CoinSource.UseCoinPool = false
result.CoinSource.UseOITop = false
}
// Override timeframes with backtest config
if len(cfg.Timeframes) > 0 {
result.Indicators.Klines.SelectedTimeframes = cfg.Timeframes
result.Indicators.Klines.PrimaryTimeframe = cfg.Timeframes[0]
if len(cfg.Timeframes) > 1 {
result.Indicators.Klines.LongerTimeframe = cfg.Timeframes[len(cfg.Timeframes)-1]
}
result.Indicators.Klines.EnableMultiTimeframe = len(cfg.Timeframes) > 1
}
// Override leverage with backtest config
if cfg.Leverage.BTCETHLeverage > 0 {
result.RiskControl.BTCETHMaxLeverage = cfg.Leverage.BTCETHLeverage
}
if cfg.Leverage.AltcoinLeverage > 0 {
result.RiskControl.AltcoinMaxLeverage = cfg.Leverage.AltcoinLeverage
}
// Override custom prompt if provided in backtest config
if cfg.CustomPrompt != "" {
result.CustomPrompt = cfg.CustomPrompt
}
return &result
}
// Fallback: build strategy config from backtest config (original logic)
primaryTF := "5m"
longerTF := "4h"
if len(cfg.Timeframes) > 0 {