@tradejs/node 1.0.6 → 1.0.8

package/dist/backtest.mjs

@@ -1,19 +1,20 @@
 import {
   BUILTIN_CONNECTOR_NAMES,
   getConnectorCreatorByName
-} from "./chunk-XW5L327F.mjs";
+} from "./chunk-JMDYEKIO.mjs";
 import {
-  buildMlPayload
-} from "./chunk-PQH5PAFC.mjs";
+  buildMlPayload,
+  enrichSignalWithDerivativesContext
+} from "./chunk-JRRG3YQG.mjs";
 import {
   buildAiPayload
-} from "./chunk-72FKXJ2I.mjs";
+} from "./chunk-2JKX3DM7.mjs";
 import {
   getStrategyCreator
-} from "./chunk-EOZSJKUM.mjs";
+} from "./chunk-WGOYR6AB.mjs";
 import {
   getTradejsProjectCwd
-} from "./chunk-CGJ2UU6H.mjs";
+} from "./chunk-JU77QVJ3.mjs";
 import "./chunk-6DZX6EAA.mjs";
 
 // src/backtest.ts
@@ -21,8 +22,7 @@ export * from "@tradejs/core/backtest";
 
 // src/testing.ts
 import { alignSortedCandlesByTimestamp } from "@tradejs/core/indicators";
-import { PRELOAD_DAYS } from "@tradejs/core/constants";
-import { getTimestamp } from "@tradejs/core/time";
+import { getBacktestPreloadStart } from "@tradejs/core/time";
 import { appendAiDatasetRow } from "@tradejs/infra/ai";
 import {
   appendMlDatasetRow,
@@ -92,6 +92,7 @@ var createTestConnector = (connector, context) => {
     currentPositionProfit = 0;
   };
   return {
+    __tradejsTestConnector: true,
     getState: async () => state,
     setState: async (newState) => {
       state = {
@@ -114,6 +115,24 @@ var createTestConnector = (connector, context) => {
       };
     },
     getPosition: async () => currentPosition || null,
+    getOpenPositionPnl: async () => {
+      if (typeof connector.getOpenPositionPnl === "function") {
+        return connector.getOpenPositionPnl();
+      }
+      if (!currentPosition) {
+        return [];
+      }
+      return [
+        {
+          symbol: currentPosition.symbol,
+          qty: currentPosition.qty,
+          price: currentPosition.price,
+          currentPrice: currentPosition.price,
+          unrealizedPnl: 0,
+          direction: currentPosition.direction
+        }
+      ];
+    },
     checkTp: async (candle) => {
       if (!candle || !currentPosition || !currentPosition.qty) {
         return;
@@ -231,7 +250,6 @@ var createTestConnector = (connector, context) => {
 };
 
 // src/testing.ts
-var preloadStart = getTimestamp(PRELOAD_DAYS);
 var createTestingKlineCacheState = () => ({
   coinKlineCache: /* @__PURE__ */ new Map(),
   btcKlineCache: /* @__PURE__ */ new Map(),
@@ -254,7 +272,15 @@ var getTestingKlineCacheState = (cwd = getTradejsProjectCwd()) => {
   };
 };
 var getKlineCacheKey = (params) => {
-  const { userName, connectorName, symbol, end, interval, cacheOnly } = params;
+  const {
+    userName,
+    connectorName,
+    symbol,
+    preloadStart,
+    end,
+    interval,
+    cacheOnly
+  } = params;
   return [
     userName,
     connectorName,
@@ -270,6 +296,7 @@ var getPreparedDataCacheKey = (params) => {
     userName,
     connectorName,
     symbol,
+    preloadStart,
     start,
     end,
     interval,
@@ -280,6 +307,7 @@ var getPreparedDataCacheKey = (params) => {
     userName,
     connectorName,
     symbol,
+    preloadStart,
     start,
     end,
     interval,
@@ -288,7 +316,7 @@ var getPreparedDataCacheKey = (params) => {
   ].join(":");
 };
 var getConnectorCacheKey = (params) => [params.userName, params.connectorName].join(":");
-var splitCandlesForTesting = (candles, start) => {
+var splitCandlesForTesting = (candles, start, preloadStart) => {
   const prevData = [];
   const testData = [];
   for (const candle of candles) {
@@ -349,6 +377,7 @@ var testing = async ({
   if (!start) {
     throw new Error("no start");
   }
+  const preloadStart = getBacktestPreloadStart(start);
   const startedAt = Date.now();
   const formatTimeoutMessage = (stage) => `Test ${name} (${symbol}) timed out after ${timeoutMs}ms during ${stage}`;
   const getRemainingTimeoutMs = (stage) => {
@@ -435,6 +464,7 @@ var testing = async ({
     userName,
     connectorName,
     symbol,
+    preloadStart,
     end,
     interval,
     cacheOnly
@@ -443,6 +473,7 @@ var testing = async ({
     userName,
     connectorName,
     symbol: "BTCUSDT",
+    preloadStart,
     end,
     interval,
     cacheOnly
@@ -455,6 +486,7 @@ var testing = async ({
     userName,
     connectorName: btcBinanceConnectorName,
     symbol: "BTCUSDT",
+    preloadStart,
     end,
     interval,
     cacheOnly
@@ -463,6 +495,7 @@ var testing = async ({
     userName,
     connectorName: btcCoinbaseConnectorName,
     symbol: "BTCUSDT",
+    preloadStart,
     end,
     interval,
     cacheOnly
@@ -473,6 +506,7 @@ var testing = async ({
     userName,
     connectorName,
     symbol,
+    preloadStart,
     start,
     end,
     interval,
@@ -530,15 +564,17 @@ var testing = async ({
     if (!cachedBtcCoinbaseData) {
       state.btcCoinbaseKlineCache.set(btcCoinbaseCacheKey, btcCoinbaseData);
     }
-    const { prevData: prevDataRaw, testData: testDataRaw } = splitCandlesForTesting(data, start);
-    const { prevData: btcPrevDataRaw, testData: btcTestDataRaw } = splitCandlesForTesting(btcData, start);
+    const { prevData: prevDataRaw, testData: testDataRaw } = splitCandlesForTesting(data, start, preloadStart);
+    const { prevData: btcPrevDataRaw, testData: btcTestDataRaw } = splitCandlesForTesting(btcData, start, preloadStart);
     const { prevData: btcBinancePrevDataRaw } = splitCandlesForTesting(
       btcBinanceData,
-      start
+      start,
+      preloadStart
     );
     const { prevData: btcCoinbasePrevDataRaw } = splitCandlesForTesting(
       btcCoinbaseData,
-      start
+      start,
+      preloadStart
     );
     const { alignedCoinCandles: prevData2, alignedBtcCandles: btcPrevData2 } = alignSortedCandlesByTimestamp(prevDataRaw, btcPrevDataRaw);
     const { alignedCoinCandles: testData2, alignedBtcCandles: btcTestData2 } = alignSortedCandlesByTimestamp(testDataRaw, btcTestDataRaw);
@@ -585,6 +621,7 @@ var testing = async ({
   );
   const pendingMlPayloadBySignalId = /* @__PURE__ */ new Map();
   const pendingAiRowBySignalId = /* @__PURE__ */ new Map();
+  const replaySignalEvaluations = [];
   const flushClosedResultsBatch = async () => {
     if (!ml && !ai) return;
     const batch = await testConnector.drainMlResultsBatch();
@@ -629,6 +666,47 @@ var testing = async ({
       "strategy signal",
       strategy(candle, btcCandle)
     );
+    if (!signal || typeof signal === "string") {
+      replaySignalEvaluations.push({
+        evaluationId: `${testId}:${strategyName}:${symbol}:${candle.timestamp}`,
+        userName,
+        strategy: strategyName,
+        symbol,
+        interval,
+        timestamp: candle.timestamp,
+        evaluatedAt: candle.timestamp,
+        status: "skip",
+        reason: typeof signal === "string" && signal.trim() ? signal : "NO_SIGNAL"
+      });
+    } else {
+      replaySignalEvaluations.push({
+        evaluationId: `${signal.signalId || testId}:${strategyName}:${symbol}:${signal.timestamp || candle.timestamp}`,
+        userName,
+        strategy: signal.strategy || strategyName,
+        symbol: signal.symbol || symbol,
+        interval: signal.interval || interval,
+        timestamp: typeof signal.timestamp === "number" && Number.isFinite(signal.timestamp) ? signal.timestamp : candle.timestamp,
+        evaluatedAt: candle.timestamp,
+        status: "signal",
+        reason: signal.orderSkipReason || signal.orderStatus,
+        signalId: signal.signalId,
+        direction: signal.direction,
+        orderStatus: signal.orderStatus,
+        orderSkipReason: signal.orderSkipReason,
+        aiAnalysis: signal.aiAnalysis ?? null,
+        ml: signal.ml
+      });
+    }
+    const shouldCapturePayload = signal && typeof signal !== "string" && signal.signalId && (ml || ai);
+    if (shouldCapturePayload) {
+      await withTimeout(
+        "derivatives context",
+        enrichSignalWithDerivativesContext({
+          signal,
+          env: "BACKTEST"
+        })
+      );
+    }
     if (ml && signal && typeof signal !== "string" && signal.signalId) {
       const payload = buildMlPayload({
         signal,
@@ -661,7 +739,11 @@ var testing = async ({
     }
   }
   await withTimeout("flush closed results", flushClosedResultsBatch());
-  return await withTimeout("collect result", testConnector.getResult());
+  const result = await withTimeout("collect result", testConnector.getResult());
+  return {
+    ...result,
+    inlineReplaySignalEvaluations: replaySignalEvaluations
+  };
 };
 export {
   createTestConnector,