@tradejs/cli 1.0.9 → 1.0.11

package/dist/lib/runtimeParity.js

@@ -25,12 +25,19 @@ __export(runtimeParity_exports, {
   extractBacktestEntryParityEntries: () => extractBacktestEntryParityEntries,
   extractRuntimeParityEntries: () => extractRuntimeParityEntries,
   findRuntimeDuplicateGroups: () => findRuntimeDuplicateGroups,
+  getBacktestParityComparisonTimestamp: () => getBacktestParityComparisonTimestamp,
   summarizeMatchedParity: () => summarizeMatchedParity
 });
 module.exports = __toCommonJS(runtimeParity_exports);
 var toFiniteNumberOrNull = (value) => typeof value === "number" && Number.isFinite(value) ? value : null;
 var toGroupKey = (entry) => `${entry.strategy}::${entry.symbol}::${entry.direction}`;
 var toRuntimeDuplicateKey = (entry) => `${toGroupKey(entry)}::${entry.timestamp}`;
+var getBacktestParityComparisonTimestamp = (entry, timestampOffsetMs = 0) => {
+  if (timestampOffsetMs > 0 && entry.signalTimestamp != null && entry.timestamp >= entry.signalTimestamp + timestampOffsetMs) {
+    return entry.timestamp;
+  }
+  return (entry.signalTimestamp ?? entry.timestamp) + timestampOffsetMs;
+};
 var sortTradeParityEntries = (left, right) => left.timestamp - right.timestamp || left.strategy.localeCompare(right.strategy) || left.symbol.localeCompare(right.symbol) || left.direction.localeCompare(right.direction) || left.id.localeCompare(right.id);
 var buildPriceDeltaPct = (leftPrice, rightPrice) => {
   if (leftPrice == null || rightPrice == null || !Number.isFinite(leftPrice) || !Number.isFinite(rightPrice) || leftPrice === 0) {
@@ -38,26 +45,82 @@ var buildPriceDeltaPct = (leftPrice, rightPrice) => {
   }
   return Math.abs((rightPrice - leftPrice) / leftPrice * 100);
 };
+var toExitType = (type) => {
+  if (!type) return null;
+  if (type === "CLOSE_LONG" || type === "CLOSE_SHORT") return "exit";
+  if (type === "TAKE_PROFIT_LONG" || type === "TAKE_PROFIT_SHORT") return "tp";
+  if (type === "STOP_LOSS_LONG" || type === "STOP_LOSS_SHORT") return "sl";
+  return null;
+};
+var resolveBacktestExitType = (values) => {
+  const unique = [...new Set(values.filter(Boolean))];
+  if (!unique.length) return "open";
+  return unique.length === 1 ? unique[0] : "mixed";
+};
 var extractBacktestEntryParityEntries = (orderLog) => {
   if (!Array.isArray(orderLog)) {
     return [];
   }
-  return orderLog.filter(
-    (item) => (item.type === "OPEN_LONG" || item.type === "OPEN_SHORT") && item.signal && typeof item.signal.strategy === "string" && typeof item.signal.symbol === "string" && (item.signal.direction === "LONG" || item.signal.direction === "SHORT")
-  ).map((item, index) => {
+  const entries = [];
+  for (let index = 0; index < orderLog.length; index += 1) {
+    const item = orderLog[index];
+    if (item.type !== "OPEN_LONG" && item.type !== "OPEN_SHORT") {
+      continue;
+    }
+    if (!item.signal || typeof item.signal.strategy !== "string" || typeof item.signal.symbol !== "string" || item.signal.direction !== "LONG" && item.signal.direction !== "SHORT") {
+      continue;
+    }
     const signal = item.signal;
-    const timestamp = typeof signal.timestamp === "number" && Number.isFinite(signal.timestamp) ? signal.timestamp : item.timestamp;
-    return {
+    const signalTimestamp = typeof signal.timestamp === "number" && Number.isFinite(signal.timestamp) ? signal.timestamp : null;
+    const timestamp = item.timestamp;
+    const exitItems = [];
+    for (const candidate of orderLog.slice(index + 1)) {
+      if (candidate.symbol !== item.symbol) {
+        continue;
+      }
+      if (candidate.type === "OPEN_LONG" || candidate.type === "OPEN_SHORT") {
+        break;
+      }
+      exitItems.push(candidate);
+    }
+    const closingExitItems = exitItems.filter(
+      (candidate) => toExitType(candidate.type)
+    );
+    const finalExit = closingExitItems[closingExitItems.length - 1] ?? null;
+    const entryFee = toFiniteNumberOrNull(item.fee);
+    const exitFee = closingExitItems.reduce((sum, candidate) => {
+      const fee = toFiniteNumberOrNull(candidate.fee);
+      return sum + (fee ?? 0);
+    }, 0);
+    const expectedPnl = [item, ...closingExitItems].reduce((sum, candidate) => {
+      const profit = toFiniteNumberOrNull(candidate.profit);
+      return sum + (profit ?? 0);
+    }, 0);
+    const totalFee = (entryFee ?? 0) + exitFee;
+    entries.push({
       id: typeof signal.signalId === "string" && signal.signalId.trim() ? signal.signalId : `backtest-${index}-${timestamp}`,
       source: "backtest",
       strategy: signal.strategy,
       symbol: signal.symbol,
       direction: signal.direction,
+      qty: toFiniteNumberOrNull(item.qty),
       timestamp,
+      signalTimestamp,
       price: toFiniteNumberOrNull(item.price),
-      signalId: typeof signal.signalId === "string" ? signal.signalId : void 0
-    };
-  }).sort((left, right) => left.timestamp - right.timestamp);
+      signalId: typeof signal.signalId === "string" ? signal.signalId : void 0,
+      exitType: resolveBacktestExitType(
+        closingExitItems.map((candidate) => toExitType(candidate.type))
+      ),
+      exitTimestamp: finalExit?.timestamp ?? null,
+      exitPrice: toFiniteNumberOrNull(finalExit?.price),
+      expectedPnl,
+      entryFee,
+      exitFee,
+      fundingFee: 0,
+      totalFee
+    });
+  }
+  return entries.sort((left, right) => left.timestamp - right.timestamp);
 };
 var extractRuntimeParityEntries = (trades) => trades.filter(
   (trade) => typeof trade.strategy === "string" && typeof trade.symbol === "string" && (trade.direction === "LONG" || trade.direction === "SHORT") && typeof trade.entryTimestamp === "number" && Number.isFinite(trade.entryTimestamp)
@@ -67,10 +130,19 @@ var extractRuntimeParityEntries = (trades) => trades.filter(
   strategy: trade.strategy,
   symbol: trade.symbol,
   direction: trade.direction,
+  qty: toFiniteNumberOrNull(trade.qty),
   timestamp: trade.entryTimestamp,
   price: toFiniteNumberOrNull(trade.entryPrice),
   orderId: trade.orderId,
-  signalId: typeof trade.signalId === "string" ? trade.signalId : void 0
+  signalId: typeof trade.signalId === "string" ? trade.signalId : void 0,
+  exitType: trade.exitType ?? null,
+  exitTimestamp: trade.exitTimestamp ?? null,
+  exitPrice: trade.exitPrice ?? null,
+  realizedPnl: trade.closedPnl ?? trade.currentPnl ?? null,
+  entryFee: trade.openFee ?? null,
+  exitFee: trade.closeFee ?? null,
+  fundingFee: trade.fundingFee ?? null,
+  totalFee: trade.totalFee ?? null
 })).sort((left, right) => left.timestamp - right.timestamp);
 var findRuntimeDuplicateGroups = (entries) => {
   const groups = /* @__PURE__ */ new Map();
@@ -117,7 +189,8 @@ var dedupeRuntimeParityEntries = (entries) => {
 var compareTradeParityEntries = ({
   runtimeEntries,
   backtestEntries,
-  toleranceMs
+  toleranceMs,
+  backtestTimestampOffsetMs = 0
 }) => {
   const matched = [];
   const runtimeOnly = [];
@@ -160,7 +233,10 @@ var compareTradeParityEntries = ({
           continue;
         }
         const diff = Math.abs(
-          candidate.entry.timestamp - runtimeEntry.timestamp
+          getBacktestParityComparisonTimestamp(
+            candidate.entry,
+            backtestTimestampOffsetMs
+          ) - runtimeEntry.timestamp
         );
         if (diff > toleranceMs || diff >= bestDiff) {
           continue;
@@ -230,5 +306,6 @@ var summarizeMatchedParity = (matched) => {
   extractBacktestEntryParityEntries,
   extractRuntimeParityEntries,
   findRuntimeDuplicateGroups,
+  getBacktestParityComparisonTimestamp,
   summarizeMatchedParity
 });