@tradejs/cli 3.1.27 → 3.1.28-beta.252

package/dist/lib/aiExport.js

@@ -41,6 +41,7 @@ var import_ai = require("@tradejs/infra/ai");
 // src/lib/backtest/checkpoint.ts
 var import_node_crypto = require("crypto");
 var import_constants = require("@tradejs/core/constants");
+var import_backtest = require("@tradejs/core/backtest");
 var import_redis = require("@tradejs/infra/redis");
 
 // src/lib/runFormatting.ts

package/dist/lib/coreResearch.js

@@ -61,6 +61,7 @@ var import_node_path2 = __toESM(require("path"));
 var import_node_crypto = require("crypto");
 var import_node_fs = require("fs");
 var import_promises = __toESM(require("fs/promises"));
+var import_backtest = require("@tradejs/core/backtest");
 var import_node_path = __toESM(require("path"));
 
 // src/lib/coreResearch/types.ts
@@ -189,6 +190,8 @@ var validateCoreResearchSpec = (value) => {
     "variant ids must be unique"
   );
   for (const variant of spec.variants) {
+    if (variant.resolvedConfig)
+      (0, import_backtest.assertStrategyExecutionIsolation)(variant.resolvedConfig);
     assert(
       RESEARCH_ID_RE.test(variant.id),
       `variant id ${variant.id} is invalid`
@@ -267,6 +270,7 @@ var validateCoreResearchSpec = (value) => {
       }
     }
   }
+  (0, import_backtest.parseBacktestExecutionCosts)(spec.execution?.costs);
   assertFinite(
     spec.execution?.maxLossValue,
     "execution.maxLossValue must be finite"
@@ -1804,6 +1808,7 @@ var buildCoreResearchHtml = (params) => {
 // src/lib/backtest/checkpoint.ts
 var import_node_crypto4 = require("crypto");
 var import_constants = require("@tradejs/core/constants");
+var import_backtest2 = require("@tradejs/core/backtest");
 var import_redis = require("@tradejs/infra/redis");
 
 // src/lib/runFormatting.ts
@@ -1826,6 +1831,7 @@ var loadBacktestRunManifest = async ({
 );
 
 // src/lib/coreResearch/reconciliation.ts
+var import_backtest3 = require("@tradejs/core/backtest");
 var finite = (value) => {
   const numeric = Number(value);
   return Number.isFinite(numeric) ? numeric : 0;
@@ -1890,6 +1896,25 @@ var reconcileCoreResearchVariant = async (params) => {
   };
   const pnlTolerance = completed.length * 5e-3 + 1e-9;
   const reasons = [];
+  for (const envelope of completed) {
+    const model = envelope.result.executionCostModel;
+    try {
+      if (!model) throw new Error("missing");
+      if (sha256Json((0, import_backtest3.executionCostsFromModel)(model)) !== sha256Json(params.spec.execution.costs)) {
+        reasons.push(
+          "executed costs do not match the preregistered execution costs"
+        );
+        break;
+      }
+      if (model.fees.source !== "config" || model.slippage.source !== "config" || model.funding.enabled && model.funding.source !== "historical") {
+        reasons.push("execution cost provenance is not explicit or historical");
+        break;
+      }
+    } catch {
+      reasons.push("executed execution cost model is missing or invalid");
+      break;
+    }
+  }
   if (manifest.status !== "completed") {
     reasons.push(`manifest status is ${manifest.status}`);
   }
@@ -2539,8 +2564,16 @@ var createCoreResearchSpecTemplate = (params) => {
       connector: "ByBit",
       interval: "15",
       maxLossValue: 10,
-      feeRate: 1e-3,
-      slippageBps: 10,
+      costs: {
+        fees: { makerRate: 1e-3, takerRate: 1e-3 },
+        slippage: {
+          baseBps: 10,
+          spreadMultiplier: 1,
+          marketImpactBps: 0,
+          delayRiskMultiplier: 0
+        },
+        funding: { enabled: false }
+      },
       entryDelayBars: 1
     },
     variants: [
@@ -2653,6 +2686,8 @@ var validateCoreResearchRunCommand = (params) => {
   const { spec, variant } = params;
   const command = variant.command ?? [];
   const failures = [];
+  if (commandHas(command, ["--executionCosts"]))
+    failures.push("executionCosts is owned by the research spec");
   if (!commandHas(command, ["--ai", "-A"])) failures.push("--ai");
   if (!commandHas(command, ["--fast"])) failures.push("--fast");
   if (!commandHas(command, ["--cacheOnly", "-C"])) failures.push("--cacheOnly");
@@ -2704,7 +2739,11 @@ var runCoreResearch = async (params) => {
     );
     try {
       await runCommand({
-        command: variant.command,
+        command: [
+          ...variant.command,
+          "--executionCosts",
+          JSON.stringify(spec.execution.costs)
+        ],
         cwd,
         logPath: backtestLogPath,
         env: {

package/dist/scripts/aiExport.js

@@ -47,6 +47,7 @@ var import_ai = require("@tradejs/infra/ai");
 // src/lib/backtest/checkpoint.ts
 var import_node_crypto = require("crypto");
 var import_constants = require("@tradejs/core/constants");
+var import_backtest = require("@tradejs/core/backtest");
 var import_redis = require("@tradejs/infra/redis");
 
 // src/lib/runFormatting.ts

package/dist/scripts/backtest.js

@@ -59,7 +59,7 @@ module.exports = __toCommonJS(backtest_exports);
 var import_fs2 = __toESM(require("fs"));
 var import_path2 = __toESM(require("path"));
 var import_chalk10 = __toESM(require("chalk"));
-var import_backtest2 = require("@tradejs/core/backtest");
+var import_backtest3 = require("@tradejs/core/backtest");
 var import_grid = require("@tradejs/core/grid");
 var import_data = require("@tradejs/core/data");
 var import_redis5 = require("@tradejs/infra/redis");
@@ -69,7 +69,7 @@ var import_constants6 = require("@tradejs/core/constants");
 var import_fs = __toESM(require("fs"));
 var import_path = __toESM(require("path"));
 var import_chalk9 = __toESM(require("chalk"));
-var import_backtest = require("@tradejs/core/backtest");
+var import_backtest2 = require("@tradejs/core/backtest");
 var import_constants5 = require("@tradejs/core/constants");
 var import_time3 = require("@tradejs/core/time");
 var import_backtestArtifacts = require("@tradejs/infra/backtestArtifacts");
@@ -4210,6 +4210,10 @@ import_args.default.example(
   "Run tests on uploaded data for 400 tickers"
 );
 import_args.default.option(["t", "tickers"], "Selected tickers");
+import_args.default.option(
+  ["J", "executionCosts"],
+  "Explicit execution costs JSON: fees, slippage and funding"
+);
 import_args.default.option(["e", "exclude"], "Exclude tickers from tests");
 import_args.default.option(["l", "tickersLimit"], "Tickers limit");
 import_args.default.option(["n", "tests"], "Tests limit", import_constants3.TESTS_LIMIT);
@@ -4344,7 +4348,18 @@ var projectRoot = String(process.env.PROJECT_CWD || process.cwd()).trim() || pro
 // src/lib/backtest/checkpoint.ts
 var import_node_crypto = require("crypto");
 var import_constants4 = require("@tradejs/core/constants");
+var import_backtest = require("@tradejs/core/backtest");
 var import_redis3 = require("@tradejs/infra/redis");
+var assertFrozenBacktestExecutionCosts = (testSuite) => {
+  for (const test of testSuite) {
+    if (test.executionCosts == null) {
+      throw new Error(
+        "Cannot continue a run without frozen executionCosts; start a new run with --executionCosts"
+      );
+    }
+    (0, import_backtest.parseBacktestExecutionCosts)(test.executionCosts);
+  }
+};
 var toStableJson = (value) => {
   if (value == null || typeof value !== "object") {
     return JSON.stringify(value);
@@ -4366,6 +4381,8 @@ var buildBacktestTestKey = (test) => hashValue({
   researchTrace: Boolean(test.researchTrace),
   options: test.options,
   strategyConfig: test.strategyConfig,
+  executionCosts: test.executionCosts,
+  executionCostsCacheOnly: Boolean(test.executionCostsCacheOnly),
   strategyName: test.strategyName,
   symbol: test.symbol,
   userName: test.userName
@@ -4991,7 +5008,7 @@ var setTestData = async (test, stat, orderLog) => {
       }
     )
   ]);
-  const { testId } = (0, import_backtest.parseTestName)(test.name);
+  const { testId } = (0, import_backtest2.parseTestName)(test.name);
   setPersistedTestSummary(`${test.strategyName}:${test.name}`, {
     value: test.name,
     label: `${test.symbol}_${testId}`,
@@ -5075,6 +5092,9 @@ var buildPreparedTestSuite = async ({
   isReplay
 }) => {
   const mlEnabled = Boolean(flags.ml);
+  const executionCosts = flags.executionCosts == null ? void 0 : (0, import_backtest2.parseBacktestExecutionCosts)(JSON.parse(String(flags.executionCosts)));
+  for (const test of testSuite)
+    (0, import_backtest2.assertStrategyExecutionIsolation)(test.strategyConfig);
   const aiEnabled = Boolean(flags.ai);
   const requestedTestsLimit = resolveRequestedTestsLimit({
     isLiveMode: isReplay,
@@ -5084,6 +5104,8 @@ var buildPreparedTestSuite = async ({
   const preparedSuite = testSuite.map((test) => ({
     ...test,
     interval,
+    executionCosts: executionCosts ?? test.executionCosts,
+    executionCostsCacheOnly: Boolean(flags.cacheOnly),
     strategyConfig: {
       ...test.strategyConfig,
       ENV: "BACKTEST",
@@ -5091,8 +5113,7 @@ var buildPreparedTestSuite = async ({
       MAKE_ORDERS: true,
       CLOSE_OPPOSITE_POSITIONS: false,
       BACKTEST_PRICE_MODE: backtestPriceMode,
-      BACKTEST_ENTRY_DELAY_BARS: backtestEntryDelayBars,
-      ...flags.cacheOnly ? { EXECUTION_COSTS_CACHE_ONLY: true } : {}
+      BACKTEST_ENTRY_DELAY_BARS: backtestEntryDelayBars
     },
     options: {
       start: window.start,
@@ -5294,6 +5315,8 @@ var toPersistedBacktestResultEntry = (result) => ({
     symbol: result.test.symbol,
     strategyName: result.test.strategyName,
     strategyConfig: result.test.strategyConfig,
+    executionCosts: result.test.executionCosts,
+    executionCostsCacheOnly: result.test.executionCostsCacheOnly,
     connectorName: result.test.connectorName,
     universe: result.test.universe,
     assetClass: result.test.assetClass,
@@ -5322,7 +5345,7 @@ var resolveRenderableStat = async (result) => {
       hasArtifacts: false
     };
   }
-  const stat = (0, import_backtest2.calculateStatsFull)(positionLog);
+  const stat = (0, import_backtest3.calculateStatsFull)(positionLog);
   if (!stat && fallbackStat.orders > 0) {
     throw new Error(
       `Position log is empty for ${name} despite ${fallbackStat.orders} closed orders`
@@ -5592,6 +5615,11 @@ var loadBacktestRunForContinue = async () => {
   if (!flags.continue) {
     return null;
   }
+  if (flags.executionCosts != null) {
+    throw new Error(
+      "A continued run uses its frozen executionCosts; start a new run to change costs"
+    );
+  }
   const runId = await resolveBacktestRunIdForContinue({
     config: flags.config,
     requestedRunId: typeof flags.runId === "string" ? flags.runId : void 0,
@@ -5606,6 +5634,7 @@ var loadBacktestRunForContinue = async () => {
   if (!manifest) {
     throw new Error(`Backtest run "${runId}" was not found`);
   }
+  assertFrozenBacktestExecutionCosts(manifest.testSuite);
   if (manifest.userName !== userName) {
     throw new Error(
       `Backtest run "${runId}" belongs to user "${manifest.userName}", not "${userName}"`

package/dist/scripts/coreResearch.js

@@ -41,6 +41,7 @@ var import_chalk = __toESM(require("chalk"));
 var import_node_crypto = require("crypto");
 var import_node_fs = require("fs");
 var import_promises = __toESM(require("fs/promises"));
+var import_backtest = require("@tradejs/core/backtest");
 var import_node_path = __toESM(require("path"));
 
 // src/lib/coreResearch/types.ts
@@ -169,6 +170,8 @@ var validateCoreResearchSpec = (value) => {
     "variant ids must be unique"
   );
   for (const variant of spec.variants) {
+    if (variant.resolvedConfig)
+      (0, import_backtest.assertStrategyExecutionIsolation)(variant.resolvedConfig);
     assert(
       RESEARCH_ID_RE.test(variant.id),
       `variant id ${variant.id} is invalid`
@@ -247,6 +250,7 @@ var validateCoreResearchSpec = (value) => {
       }
     }
   }
+  (0, import_backtest.parseBacktestExecutionCosts)(spec.execution?.costs);
   assertFinite(
     spec.execution?.maxLossValue,
     "execution.maxLossValue must be finite"
@@ -1795,6 +1799,7 @@ var buildCoreResearchHtml = (params) => {
 // src/lib/backtest/checkpoint.ts
 var import_node_crypto4 = require("crypto");
 var import_constants = require("@tradejs/core/constants");
+var import_backtest2 = require("@tradejs/core/backtest");
 var import_redis = require("@tradejs/infra/redis");
 
 // src/lib/runFormatting.ts
@@ -1817,6 +1822,7 @@ var loadBacktestRunManifest = async ({
 );
 
 // src/lib/coreResearch/reconciliation.ts
+var import_backtest3 = require("@tradejs/core/backtest");
 var finite = (value) => {
   const numeric = Number(value);
   return Number.isFinite(numeric) ? numeric : 0;
@@ -1881,6 +1887,25 @@ var reconcileCoreResearchVariant = async (params) => {
   };
   const pnlTolerance = completed.length * 5e-3 + 1e-9;
   const reasons = [];
+  for (const envelope of completed) {
+    const model = envelope.result.executionCostModel;
+    try {
+      if (!model) throw new Error("missing");
+      if (sha256Json((0, import_backtest3.executionCostsFromModel)(model)) !== sha256Json(params.spec.execution.costs)) {
+        reasons.push(
+          "executed costs do not match the preregistered execution costs"
+        );
+        break;
+      }
+      if (model.fees.source !== "config" || model.slippage.source !== "config" || model.funding.enabled && model.funding.source !== "historical") {
+        reasons.push("execution cost provenance is not explicit or historical");
+        break;
+      }
+    } catch {
+      reasons.push("executed execution cost model is missing or invalid");
+      break;
+    }
+  }
   if (manifest.status !== "completed") {
     reasons.push(`manifest status is ${manifest.status}`);
   }
@@ -2558,8 +2583,16 @@ var createCoreResearchSpecTemplate = (params) => {
       connector: "ByBit",
       interval: "15",
       maxLossValue: 10,
-      feeRate: 1e-3,
-      slippageBps: 10,
+      costs: {
+        fees: { makerRate: 1e-3, takerRate: 1e-3 },
+        slippage: {
+          baseBps: 10,
+          spreadMultiplier: 1,
+          marketImpactBps: 0,
+          delayRiskMultiplier: 0
+        },
+        funding: { enabled: false }
+      },
       entryDelayBars: 1
     },
     variants: [
@@ -2672,6 +2705,8 @@ var validateCoreResearchRunCommand = (params) => {
   const { spec, variant } = params;
   const command = variant.command ?? [];
   const failures = [];
+  if (commandHas(command, ["--executionCosts"]))
+    failures.push("executionCosts is owned by the research spec");
   if (!commandHas(command, ["--ai", "-A"])) failures.push("--ai");
   if (!commandHas(command, ["--fast"])) failures.push("--fast");
   if (!commandHas(command, ["--cacheOnly", "-C"])) failures.push("--cacheOnly");
@@ -2723,7 +2758,11 @@ var runCoreResearch = async (params) => {
     );
     try {
       await runCommand({
-        command: variant.command,
+        command: [
+          ...variant.command,
+          "--executionCosts",
+          JSON.stringify(spec.execution.costs)
+        ],
         cwd,
         logPath: backtestLogPath,
         env: {

package/dist/scripts/mlExport.js

@@ -42,6 +42,7 @@ var import_ml = require("@tradejs/infra/ml");
 // src/lib/backtest/checkpoint.ts
 var import_node_crypto = require("crypto");
 var import_constants = require("@tradejs/core/constants");
+var import_backtest = require("@tradejs/core/backtest");
 var import_redis = require("@tradejs/infra/redis");
 
 // src/lib/runFormatting.ts