backtest-kit 1.5.0 → 1.5.2

package/build/index.cjs

@@ -25,7 +25,13 @@ const GLOBAL_CONFIG = {
      * Must be greater than trading fees to ensure profitable trades
      * Default: 0.3% (covers 2×0.1% fees + minimum profit margin)
      */
-    CC_MIN_TAKEPROFIT_DISTANCE_PERCENT: 0.1,
+    CC_MIN_TAKEPROFIT_DISTANCE_PERCENT: 0.3,
+    /**
+     * Minimum StopLoss distance from priceOpen (percentage)
+     * Prevents signals from being immediately stopped out due to price volatility
+     * Default: 0.5% (buffer to avoid instant stop loss on normal market fluctuations)
+     */
+    CC_MIN_STOPLOSS_DISTANCE_PERCENT: 0.5,
     /**
      * Maximum StopLoss distance from priceOpen (percentage)
      * Prevents catastrophic losses from extreme StopLoss values
@@ -38,6 +44,15 @@ const GLOBAL_CONFIG = {
      * Default: 1440 minutes (1 day)
      */
     CC_MAX_SIGNAL_LIFETIME_MINUTES: 1440,
+    /**
+     * Maximum time allowed for signal generation (in seconds).
+     * Prevents long-running or stuck signal generation routines from blocking
+     * execution or consuming resources indefinitely. If generation exceeds this
+     * threshold the attempt should be aborted, logged and optionally retried.
+     *
+     * Default: 180 seconds (3 minutes)
+     */
+    CC_MAX_SIGNAL_GENERATION_SECONDS: 180,
     /**
      * Number of retries for getCandles function
      * Default: 3 retries
@@ -1755,6 +1770,7 @@ const INTERVAL_MINUTES$1 = {
     "30m": 30,
     "1h": 60,
 };
+const TIMEOUT_SYMBOL = Symbol('timeout');
 const VALIDATE_SIGNAL_FN = (signal, currentPrice, isScheduled) => {
     const errors = [];
     // ПРОВЕРКА ОБЯЗАТЕЛЬНЫХ ПОЛЕЙ ISignalRow
@@ -1811,18 +1827,30 @@ const VALIDATE_SIGNAL_FN = (signal, currentPrice, isScheduled) => {
         if (signal.priceStopLoss >= signal.priceOpen) {
             errors.push(`Long: priceStopLoss (${signal.priceStopLoss}) must be < priceOpen (${signal.priceOpen})`);
         }
-        // ЗАЩИТА ОТ EDGE CASE: для immediate сигналов проверяем что текущая цена не пробила SL/TP
-        // Для scheduled сигналов эта проверка избыточна т.к. priceOpen уже проверен выше
-        if (!isScheduled) {
-            // Текущая цена уже пробила StopLoss - позиция откроется и сразу закроется по SL
-            if (isFinite(currentPrice) && currentPrice < signal.priceStopLoss) {
-                errors.push(`Long: currentPrice (${currentPrice}) < priceStopLoss (${signal.priceStopLoss}). ` +
-                    `Signal would be immediately cancelled. This signal is invalid.`);
+        // ЗАЩИТА ОТ МОМЕНТАЛЬНОГО ЗАКРЫТИЯ: проверяем что позиция не закроется сразу после открытия
+        if (!isScheduled && isFinite(currentPrice)) {
+            // LONG: currentPrice должна быть МЕЖДУ SL и TP (не пробита ни одна граница)
+            // SL < currentPrice < TP
+            if (currentPrice <= signal.priceStopLoss) {
+                errors.push(`Long immediate: currentPrice (${currentPrice}) <= priceStopLoss (${signal.priceStopLoss}). ` +
+                    `Signal would be immediately closed by stop loss. Cannot open position that is already stopped out.`);
             }
-            // Текущая цена уже достигла TakeProfit - профит упущен
-            if (isFinite(currentPrice) && currentPrice > signal.priceTakeProfit) {
-                errors.push(`Long: currentPrice (${currentPrice}) > priceTakeProfit (${signal.priceTakeProfit}). ` +
-                    `Signal is invalid - the profit opportunity has already passed.`);
+            if (currentPrice >= signal.priceTakeProfit) {
+                errors.push(`Long immediate: currentPrice (${currentPrice}) >= priceTakeProfit (${signal.priceTakeProfit}). ` +
+                    `Signal would be immediately closed by take profit. The profit opportunity has already passed.`);
+            }
+        }
+        // ЗАЩИТА ОТ МОМЕНТАЛЬНОГО ЗАКРЫТИЯ scheduled сигналов
+        if (isScheduled && isFinite(signal.priceOpen)) {
+            // LONG scheduled: priceOpen должен быть МЕЖДУ SL и TP
+            // SL < priceOpen < TP
+            if (signal.priceOpen <= signal.priceStopLoss) {
+                errors.push(`Long scheduled: priceOpen (${signal.priceOpen}) <= priceStopLoss (${signal.priceStopLoss}). ` +
+                    `Signal would be immediately cancelled on activation. Cannot activate position that is already stopped out.`);
+            }
+            if (signal.priceOpen >= signal.priceTakeProfit) {
+                errors.push(`Long scheduled: priceOpen (${signal.priceOpen}) >= priceTakeProfit (${signal.priceTakeProfit}). ` +
+                    `Signal would close immediately on activation. This is logically impossible for LONG position.`);
             }
         }
         // ЗАЩИТА ОТ МИКРО-ПРОФИТА: TakeProfit должен быть достаточно далеко, чтобы покрыть комиссии
@@ -1834,8 +1862,17 @@ const VALIDATE_SIGNAL_FN = (signal, currentPrice, isScheduled) => {
                     `Current: TP=${signal.priceTakeProfit}, Open=${signal.priceOpen}`);
             }
         }
+        // ЗАЩИТА ОТ СЛИШКОМ УЗКОГО STOPLOSS: минимальный буфер для избежания моментального закрытия
+        if (GLOBAL_CONFIG.CC_MIN_STOPLOSS_DISTANCE_PERCENT) {
+            const slDistancePercent = ((signal.priceOpen - signal.priceStopLoss) / signal.priceOpen) * 100;
+            if (slDistancePercent < GLOBAL_CONFIG.CC_MIN_STOPLOSS_DISTANCE_PERCENT) {
+                errors.push(`Long: StopLoss too close to priceOpen (${slDistancePercent.toFixed(3)}%). ` +
+                    `Minimum distance: ${GLOBAL_CONFIG.CC_MIN_STOPLOSS_DISTANCE_PERCENT}% to avoid instant stop out on market volatility. ` +
+                    `Current: SL=${signal.priceStopLoss}, Open=${signal.priceOpen}`);
+            }
+        }
         // ЗАЩИТА ОТ ЭКСТРЕМАЛЬНОГО STOPLOSS: ограничиваем максимальный убыток
-        if (GLOBAL_CONFIG.CC_MAX_STOPLOSS_DISTANCE_PERCENT && GLOBAL_CONFIG.CC_MAX_STOPLOSS_DISTANCE_PERCENT) {
+        if (GLOBAL_CONFIG.CC_MAX_STOPLOSS_DISTANCE_PERCENT) {
             const slDistancePercent = ((signal.priceOpen - signal.priceStopLoss) / signal.priceOpen) * 100;
             if (slDistancePercent > GLOBAL_CONFIG.CC_MAX_STOPLOSS_DISTANCE_PERCENT) {
                 errors.push(`Long: StopLoss too far from priceOpen (${slDistancePercent.toFixed(3)}%). ` +
@@ -1852,18 +1889,30 @@ const VALIDATE_SIGNAL_FN = (signal, currentPrice, isScheduled) => {
         if (signal.priceStopLoss <= signal.priceOpen) {
             errors.push(`Short: priceStopLoss (${signal.priceStopLoss}) must be > priceOpen (${signal.priceOpen})`);
         }
-        // ЗАЩИТА ОТ EDGE CASE: для immediate сигналов проверяем что текущая цена не пробила SL/TP
-        // Для scheduled сигналов эта проверка избыточна т.к. priceOpen уже проверен выше
-        if (!isScheduled) {
-            // Текущая цена уже пробила StopLoss - позиция откроется и сразу закроется по SL
-            if (isFinite(currentPrice) && currentPrice > signal.priceStopLoss) {
-                errors.push(`Short: currentPrice (${currentPrice}) > priceStopLoss (${signal.priceStopLoss}). ` +
-                    `Signal would be immediately cancelled. This signal is invalid.`);
+        // ЗАЩИТА ОТ МОМЕНТАЛЬНОГО ЗАКРЫТИЯ: проверяем что позиция не закроется сразу после открытия
+        if (!isScheduled && isFinite(currentPrice)) {
+            // SHORT: currentPrice должна быть МЕЖДУ TP и SL (не пробита ни одна граница)
+            // TP < currentPrice < SL
+            if (currentPrice >= signal.priceStopLoss) {
+                errors.push(`Short immediate: currentPrice (${currentPrice}) >= priceStopLoss (${signal.priceStopLoss}). ` +
+                    `Signal would be immediately closed by stop loss. Cannot open position that is already stopped out.`);
+            }
+            if (currentPrice <= signal.priceTakeProfit) {
+                errors.push(`Short immediate: currentPrice (${currentPrice}) <= priceTakeProfit (${signal.priceTakeProfit}). ` +
+                    `Signal would be immediately closed by take profit. The profit opportunity has already passed.`);
+            }
+        }
+        // ЗАЩИТА ОТ МОМЕНТАЛЬНОГО ЗАКРЫТИЯ scheduled сигналов
+        if (isScheduled && isFinite(signal.priceOpen)) {
+            // SHORT scheduled: priceOpen должен быть МЕЖДУ TP и SL
+            // TP < priceOpen < SL
+            if (signal.priceOpen >= signal.priceStopLoss) {
+                errors.push(`Short scheduled: priceOpen (${signal.priceOpen}) >= priceStopLoss (${signal.priceStopLoss}). ` +
+                    `Signal would be immediately cancelled on activation. Cannot activate position that is already stopped out.`);
             }
-            // Текущая цена уже достигла TakeProfit - профит упущен
-            if (isFinite(currentPrice) && currentPrice < signal.priceTakeProfit) {
-                errors.push(`Short: currentPrice (${currentPrice}) < priceTakeProfit (${signal.priceTakeProfit}). ` +
-                    `Signal is invalid - the profit opportunity has already passed.`);
+            if (signal.priceOpen <= signal.priceTakeProfit) {
+                errors.push(`Short scheduled: priceOpen (${signal.priceOpen}) <= priceTakeProfit (${signal.priceTakeProfit}). ` +
+                    `Signal would close immediately on activation. This is logically impossible for SHORT position.`);
             }
         }
         // ЗАЩИТА ОТ МИКРО-ПРОФИТА: TakeProfit должен быть достаточно далеко, чтобы покрыть комиссии
@@ -1875,8 +1924,17 @@ const VALIDATE_SIGNAL_FN = (signal, currentPrice, isScheduled) => {
                     `Current: TP=${signal.priceTakeProfit}, Open=${signal.priceOpen}`);
             }
         }
+        // ЗАЩИТА ОТ СЛИШКОМ УЗКОГО STOPLOSS: минимальный буфер для избежания моментального закрытия
+        if (GLOBAL_CONFIG.CC_MIN_STOPLOSS_DISTANCE_PERCENT) {
+            const slDistancePercent = ((signal.priceStopLoss - signal.priceOpen) / signal.priceOpen) * 100;
+            if (slDistancePercent < GLOBAL_CONFIG.CC_MIN_STOPLOSS_DISTANCE_PERCENT) {
+                errors.push(`Short: StopLoss too close to priceOpen (${slDistancePercent.toFixed(3)}%). ` +
+                    `Minimum distance: ${GLOBAL_CONFIG.CC_MIN_STOPLOSS_DISTANCE_PERCENT}% to avoid instant stop out on market volatility. ` +
+                    `Current: SL=${signal.priceStopLoss}, Open=${signal.priceOpen}`);
+            }
+        }
         // ЗАЩИТА ОТ ЭКСТРЕМАЛЬНОГО STOPLOSS: ограничиваем максимальный убыток
-        if (GLOBAL_CONFIG.CC_MAX_STOPLOSS_DISTANCE_PERCENT && GLOBAL_CONFIG.CC_MAX_STOPLOSS_DISTANCE_PERCENT) {
+        if (GLOBAL_CONFIG.CC_MAX_STOPLOSS_DISTANCE_PERCENT) {
             const slDistancePercent = ((signal.priceStopLoss - signal.priceOpen) / signal.priceOpen) * 100;
             if (slDistancePercent > GLOBAL_CONFIG.CC_MAX_STOPLOSS_DISTANCE_PERCENT) {
                 errors.push(`Short: StopLoss too far from priceOpen (${slDistancePercent.toFixed(3)}%). ` +
@@ -1938,7 +1996,14 @@ const GET_SIGNAL_FN = functoolsKit.trycatch(async (self) => {
     }))) {
         return null;
     }
-    const signal = await self.params.getSignal(self.params.execution.context.symbol, self.params.execution.context.when);
+    const timeoutMs = GLOBAL_CONFIG.CC_MAX_SIGNAL_GENERATION_SECONDS * 1000;
+    const signal = await Promise.race([
+        self.params.getSignal(self.params.execution.context.symbol, self.params.execution.context.when),
+        functoolsKit.sleep(timeoutMs).then(() => TIMEOUT_SYMBOL),
+    ]);
+    if (typeof signal === "symbol") {
+        throw new Error(`Timeout for ${self.params.method.context.strategyName} symbol=${self.params.execution.context.symbol}`);
+    }
     if (!signal) {
         return null;
     }
@@ -2224,6 +2289,8 @@ const RETURN_SCHEDULED_SIGNAL_ACTIVE_FN = async (self, scheduled, currentPrice)
         strategyName: self.params.method.context.strategyName,
         exchangeName: self.params.method.context.exchangeName,
         symbol: self.params.execution.context.symbol,
+        percentTp: 0,
+        percentSl: 0,
     };
     if (self.params.callbacks?.onTick) {
         self.params.callbacks.onTick(self.params.execution.context.symbol, result, self.params.execution.context.backtest);
@@ -2350,6 +2417,8 @@ const CLOSE_PENDING_SIGNAL_FN = async (self, signal, currentPrice, closeReason)
     return result;
 };
 const RETURN_PENDING_SIGNAL_ACTIVE_FN = async (self, signal, currentPrice) => {
+    let percentTp = 0;
+    let percentSl = 0;
     // Calculate percentage of path to TP/SL for partial fill/loss callbacks
     {
         if (signal.position === "long") {
@@ -2359,18 +2428,20 @@ const RETURN_PENDING_SIGNAL_ACTIVE_FN = async (self, signal, currentPrice) => {
                 // Moving towards TP
                 const tpDistance = signal.priceTakeProfit - signal.priceOpen;
                 const progressPercent = (currentDistance / tpDistance) * 100;
-                await self.params.partial.profit(self.params.execution.context.symbol, signal, currentPrice, Math.min(progressPercent, 100), self.params.execution.context.backtest, self.params.execution.context.when);
+                percentTp = Math.min(progressPercent, 100);
+                await self.params.partial.profit(self.params.execution.context.symbol, signal, currentPrice, percentTp, self.params.execution.context.backtest, self.params.execution.context.when);
                 if (self.params.callbacks?.onPartialProfit) {
-                    self.params.callbacks.onPartialProfit(self.params.execution.context.symbol, signal, currentPrice, Math.min(progressPercent, 100), self.params.execution.context.backtest);
+                    self.params.callbacks.onPartialProfit(self.params.execution.context.symbol, signal, currentPrice, percentTp, self.params.execution.context.backtest);
                 }
             }
             else if (currentDistance < 0) {
                 // Moving towards SL
                 const slDistance = signal.priceOpen - signal.priceStopLoss;
                 const progressPercent = (Math.abs(currentDistance) / slDistance) * 100;
-                await self.params.partial.loss(self.params.execution.context.symbol, signal, currentPrice, Math.min(progressPercent, 100), self.params.execution.context.backtest, self.params.execution.context.when);
+                percentSl = Math.min(progressPercent, 100);
+                await self.params.partial.loss(self.params.execution.context.symbol, signal, currentPrice, percentSl, self.params.execution.context.backtest, self.params.execution.context.when);
                 if (self.params.callbacks?.onPartialLoss) {
-                    self.params.callbacks.onPartialLoss(self.params.execution.context.symbol, signal, currentPrice, Math.min(progressPercent, 100), self.params.execution.context.backtest);
+                    self.params.callbacks.onPartialLoss(self.params.execution.context.symbol, signal, currentPrice, percentSl, self.params.execution.context.backtest);
                 }
             }
         }
@@ -2381,18 +2452,20 @@ const RETURN_PENDING_SIGNAL_ACTIVE_FN = async (self, signal, currentPrice) => {
                 // Moving towards TP
                 const tpDistance = signal.priceOpen - signal.priceTakeProfit;
                 const progressPercent = (currentDistance / tpDistance) * 100;
-                await self.params.partial.profit(self.params.execution.context.symbol, signal, currentPrice, Math.min(progressPercent, 100), self.params.execution.context.backtest, self.params.execution.context.when);
+                percentTp = Math.min(progressPercent, 100);
+                await self.params.partial.profit(self.params.execution.context.symbol, signal, currentPrice, percentTp, self.params.execution.context.backtest, self.params.execution.context.when);
                 if (self.params.callbacks?.onPartialProfit) {
-                    self.params.callbacks.onPartialProfit(self.params.execution.context.symbol, signal, currentPrice, Math.min(progressPercent, 100), self.params.execution.context.backtest);
+                    self.params.callbacks.onPartialProfit(self.params.execution.context.symbol, signal, currentPrice, percentTp, self.params.execution.context.backtest);
                 }
             }
             if (currentDistance < 0) {
                 // Moving towards SL
                 const slDistance = signal.priceStopLoss - signal.priceOpen;
                 const progressPercent = (Math.abs(currentDistance) / slDistance) * 100;
-                await self.params.partial.loss(self.params.execution.context.symbol, signal, currentPrice, Math.min(progressPercent, 100), self.params.execution.context.backtest, self.params.execution.context.when);
+                percentSl = Math.min(progressPercent, 100);
+                await self.params.partial.loss(self.params.execution.context.symbol, signal, currentPrice, percentSl, self.params.execution.context.backtest, self.params.execution.context.when);
                 if (self.params.callbacks?.onPartialLoss) {
-                    self.params.callbacks.onPartialLoss(self.params.execution.context.symbol, signal, currentPrice, Math.min(progressPercent, 100), self.params.execution.context.backtest);
+                    self.params.callbacks.onPartialLoss(self.params.execution.context.symbol, signal, currentPrice, percentSl, self.params.execution.context.backtest);
                 }
             }
         }
@@ -2404,6 +2477,8 @@ const RETURN_PENDING_SIGNAL_ACTIVE_FN = async (self, signal, currentPrice) => {
         strategyName: self.params.method.context.strategyName,
         exchangeName: self.params.method.context.exchangeName,
         symbol: self.params.execution.context.symbol,
+        percentTp,
+        percentSl,
     };
     if (self.params.callbacks?.onTick) {
         self.params.callbacks.onTick(self.params.execution.context.symbol, result, self.params.execution.context.backtest);
@@ -2550,8 +2625,14 @@ const CLOSE_PENDING_SIGNAL_IN_BACKTEST_FN = async (self, signal, averagePrice, c
 const PROCESS_SCHEDULED_SIGNAL_CANDLES_FN = async (self, scheduled, candles) => {
     const candlesCount = GLOBAL_CONFIG.CC_AVG_PRICE_CANDLES_COUNT;
     const maxTimeToWait = GLOBAL_CONFIG.CC_SCHEDULE_AWAIT_MINUTES * 60 * 1000;
+    const bufferCandlesCount = candlesCount - 1;
     for (let i = 0; i < candles.length; i++) {
         const candle = candles[i];
+        // КРИТИЧНО: Пропускаем первые bufferCandlesCount свечей (буфер для VWAP)
+        // BacktestLogicPrivateService запросил свечи начиная с (when - bufferMinutes)
+        if (i < bufferCandlesCount) {
+            continue;
+        }
         const recentCandles = candles.slice(Math.max(0, i - (candlesCount - 1)), i + 1);
         const averagePrice = GET_AVG_PRICE_FN(recentCandles);
         // КРИТИЧНО: Проверяем timeout ПЕРЕД проверкой цены
@@ -2617,11 +2698,21 @@ const PROCESS_SCHEDULED_SIGNAL_CANDLES_FN = async (self, scheduled, candles) =>
 };
 const PROCESS_PENDING_SIGNAL_CANDLES_FN = async (self, signal, candles) => {
     const candlesCount = GLOBAL_CONFIG.CC_AVG_PRICE_CANDLES_COUNT;
-    for (let i = candlesCount - 1; i < candles.length; i++) {
-        const recentCandles = candles.slice(i - (candlesCount - 1), i + 1);
+    const bufferCandlesCount = candlesCount - 1;
+    // КРИТИЧНО: проверяем TP/SL на КАЖДОЙ свече начиная после буфера
+    // Первые bufferCandlesCount свечей - это буфер для VWAP
+    for (let i = 0; i < candles.length; i++) {
+        const currentCandle = candles[i];
+        const currentCandleTimestamp = currentCandle.timestamp;
+        // КРИТИЧНО: Пропускаем первые bufferCandlesCount свечей (буфер для VWAP)
+        // BacktestLogicPrivateService запросил свечи начиная с (when - bufferMinutes)
+        if (i < bufferCandlesCount) {
+            continue;
+        }
+        // Берем последние candlesCount свечей для VWAP (включая буфер)
+        const startIndex = Math.max(0, i - (candlesCount - 1));
+        const recentCandles = candles.slice(startIndex, i + 1);
         const averagePrice = GET_AVG_PRICE_FN(recentCandles);
-        const currentCandleTimestamp = recentCandles[recentCandles.length - 1].timestamp;
-        const currentCandle = recentCandles[recentCandles.length - 1];
         let shouldClose = false;
         let closeReason;
         // Check time expiration FIRST (КРИТИЧНО!)
@@ -2921,9 +3012,10 @@ class ClientStrategy {
      * 4. If cancelled: returns closed result with closeReason "cancelled"
      *
      * For pending signals:
-     * 1. Iterates through candles checking VWAP against TP/SL on each timeframe
-     * 2. Starts from index 4 (needs 5 candles for VWAP calculation)
-     * 3. Returns closed result (either TP/SL or time_expired)
+     * 1. Iterates through ALL candles starting from the first one
+     * 2. Checks TP/SL using candle.high/low (immediate detection)
+     * 3. VWAP calculated with dynamic window (1 to CC_AVG_PRICE_CANDLES_COUNT candles)
+     * 4. Returns closed result (either TP/SL or time_expired)
      *
      * @param candles - Array of candles to process
      * @returns Promise resolving to closed signal result with PNL
@@ -3000,6 +3092,8 @@ class ClientStrategy {
                         action: "active",
                         signal: scheduled,
                         currentPrice: lastPrice,
+                        percentSl: 0,
+                        percentTp: 0,
                         strategyName: this.params.method.context.strategyName,
                         exchangeName: this.params.method.context.exchangeName,
                         symbol: this.params.execution.context.symbol,
@@ -4877,13 +4971,17 @@ class BacktestLogicPrivateService {
                     minuteEstimatedTime: signal.minuteEstimatedTime,
                 });
                 // Запрашиваем минутные свечи для мониторинга активации/отмены
-                // КРИТИЧНО: запрашиваем CC_SCHEDULE_AWAIT_MINUTES для ожидания активации
-                // + minuteEstimatedTime для работы сигнала ПОСЛЕ активации
-                // +1 потому что when включается как первая свеча (timestamp начинается с when, а не after when)
-                const candlesNeeded = GLOBAL_CONFIG.CC_SCHEDULE_AWAIT_MINUTES + signal.minuteEstimatedTime + 1;
+                // КРИТИЧНО: запрашиваем:
+                // - CC_AVG_PRICE_CANDLES_COUNT-1 для буфера VWAP (ДО when)
+                // - CC_SCHEDULE_AWAIT_MINUTES для ожидания активации
+                // - minuteEstimatedTime для работы сигнала ПОСЛЕ активации
+                // - +1 потому что when включается как первая свеча
+                const bufferMinutes = GLOBAL_CONFIG.CC_AVG_PRICE_CANDLES_COUNT - 1;
+                const bufferStartTime = new Date(when.getTime() - bufferMinutes * 60 * 1000);
+                const candlesNeeded = bufferMinutes + GLOBAL_CONFIG.CC_SCHEDULE_AWAIT_MINUTES + signal.minuteEstimatedTime + 1;
                 let candles;
                 try {
-                    candles = await this.exchangeGlobalService.getNextCandles(symbol, "1m", candlesNeeded, when, true);
+                    candles = await this.exchangeGlobalService.getNextCandles(symbol, "1m", candlesNeeded, bufferStartTime, true);
                 }
                 catch (error) {
                     console.warn(`backtestLogicPrivateService getNextCandles failed for scheduled signal when=${when.toISOString()} symbol=${symbol} strategyName=${this.methodContextService.context.strategyName} exchangeName=${this.methodContextService.context.exchangeName}`);
@@ -4891,6 +4989,7 @@ class BacktestLogicPrivateService {
                         symbol,
                         signalId: signal.id,
                         candlesNeeded,
+                        bufferMinutes,
                         error: functoolsKit.errorData(error), message: functoolsKit.getErrorMessage(error),
                     });
                     await errorEmitter.next(error);
@@ -4963,16 +5062,23 @@ class BacktestLogicPrivateService {
                     signalId: signal.id,
                     minuteEstimatedTime: signal.minuteEstimatedTime,
                 });
-                // Получаем свечи для бектеста
+                // КРИТИЧНО: Получаем свечи включая буфер для VWAP
+                // Сдвигаем начало назад на CC_AVG_PRICE_CANDLES_COUNT-1 минут для буфера VWAP
+                // Запрашиваем minuteEstimatedTime + буфер свечей одним запросом
+                const bufferMinutes = GLOBAL_CONFIG.CC_AVG_PRICE_CANDLES_COUNT - 1;
+                const bufferStartTime = new Date(when.getTime() - bufferMinutes * 60 * 1000);
+                const totalCandles = signal.minuteEstimatedTime + bufferMinutes;
                 let candles;
                 try {
-                    candles = await this.exchangeGlobalService.getNextCandles(symbol, "1m", signal.minuteEstimatedTime, when, true);
+                    candles = await this.exchangeGlobalService.getNextCandles(symbol, "1m", totalCandles, bufferStartTime, true);
                 }
                 catch (error) {
                     console.warn(`backtestLogicPrivateService getNextCandles failed for opened signal when=${when.toISOString()} symbol=${symbol} strategyName=${this.methodContextService.context.strategyName} exchangeName=${this.methodContextService.context.exchangeName}`);
                     this.loggerService.warn("backtestLogicPrivateService getNextCandles failed for opened signal", {
                         symbol,
                         signalId: signal.id,
+                        totalCandles,
+                        bufferMinutes,
                         error: functoolsKit.errorData(error), message: functoolsKit.getErrorMessage(error),
                     });
                     await errorEmitter.next(error);
@@ -5848,14 +5954,33 @@ let ReportStorage$4 = class ReportStorage {
     async getReport(strategyName) {
         const stats = await this.getData();
         if (stats.totalSignals === 0) {
-            return functoolsKit.str.newline(`# Backtest Report: ${strategyName}`, "", "No signals closed yet.");
+            return [
+                `# Backtest Report: ${strategyName}`,
+                "",
+                "No signals closed yet."
+            ].join("\n");
         }
         const header = columns$4.map((col) => col.label);
         const separator = columns$4.map(() => "---");
         const rows = this._signalList.map((closedSignal) => columns$4.map((col) => col.format(closedSignal)));
         const tableData = [header, separator, ...rows];
-        const table = functoolsKit.str.newline(tableData.map(row => `| ${row.join(" | ")} |`));
-        return functoolsKit.str.newline(`# Backtest Report: ${strategyName}`, "", table, "", `**Total signals:** ${stats.totalSignals}`, `**Closed signals:** ${stats.totalSignals}`, `**Win rate:** ${stats.winRate === null ? "N/A" : `${stats.winRate.toFixed(2)}% (${stats.winCount}W / ${stats.lossCount}L) (higher is better)`}`, `**Average PNL:** ${stats.avgPnl === null ? "N/A" : `${stats.avgPnl > 0 ? "+" : ""}${stats.avgPnl.toFixed(2)}% (higher is better)`}`, `**Total PNL:** ${stats.totalPnl === null ? "N/A" : `${stats.totalPnl > 0 ? "+" : ""}${stats.totalPnl.toFixed(2)}% (higher is better)`}`, `**Standard Deviation:** ${stats.stdDev === null ? "N/A" : `${stats.stdDev.toFixed(3)}% (lower is better)`}`, `**Sharpe Ratio:** ${stats.sharpeRatio === null ? "N/A" : `${stats.sharpeRatio.toFixed(3)} (higher is better)`}`, `**Annualized Sharpe Ratio:** ${stats.annualizedSharpeRatio === null ? "N/A" : `${stats.annualizedSharpeRatio.toFixed(3)} (higher is better)`}`, `**Certainty Ratio:** ${stats.certaintyRatio === null ? "N/A" : `${stats.certaintyRatio.toFixed(3)} (higher is better)`}`, `**Expected Yearly Returns:** ${stats.expectedYearlyReturns === null ? "N/A" : `${stats.expectedYearlyReturns > 0 ? "+" : ""}${stats.expectedYearlyReturns.toFixed(2)}% (higher is better)`}`);
+        const table = tableData.map(row => `| ${row.join(" | ")} |`).join("\n");
+        return [
+            `# Backtest Report: ${strategyName}`,
+            "",
+            table,
+            "",
+            `**Total signals:** ${stats.totalSignals}`,
+            `**Closed signals:** ${stats.totalSignals}`,
+            `**Win rate:** ${stats.winRate === null ? "N/A" : `${stats.winRate.toFixed(2)}% (${stats.winCount}W / ${stats.lossCount}L) (higher is better)`}`,
+            `**Average PNL:** ${stats.avgPnl === null ? "N/A" : `${stats.avgPnl > 0 ? "+" : ""}${stats.avgPnl.toFixed(2)}% (higher is better)`}`,
+            `**Total PNL:** ${stats.totalPnl === null ? "N/A" : `${stats.totalPnl > 0 ? "+" : ""}${stats.totalPnl.toFixed(2)}% (higher is better)`}`,
+            `**Standard Deviation:** ${stats.stdDev === null ? "N/A" : `${stats.stdDev.toFixed(3)}% (lower is better)`}`,
+            `**Sharpe Ratio:** ${stats.sharpeRatio === null ? "N/A" : `${stats.sharpeRatio.toFixed(3)} (higher is better)`}`,
+            `**Annualized Sharpe Ratio:** ${stats.annualizedSharpeRatio === null ? "N/A" : `${stats.annualizedSharpeRatio.toFixed(3)} (higher is better)`}`,
+            `**Certainty Ratio:** ${stats.certaintyRatio === null ? "N/A" : `${stats.certaintyRatio.toFixed(3)} (higher is better)`}`,
+            `**Expected Yearly Returns:** ${stats.expectedYearlyReturns === null ? "N/A" : `${stats.expectedYearlyReturns > 0 ? "+" : ""}${stats.expectedYearlyReturns.toFixed(2)}% (higher is better)`}`,
+        ].join("\n");
     }
     /**
      * Saves strategy report to disk.
@@ -6137,6 +6262,16 @@ const columns$3 = [
         label: "Stop Loss",
         format: (data) => data.stopLoss !== undefined ? `${data.stopLoss.toFixed(8)} USD` : "N/A",
     },
+    {
+        key: "percentTp",
+        label: "% to TP",
+        format: (data) => data.percentTp !== undefined ? `${data.percentTp.toFixed(2)}%` : "N/A",
+    },
+    {
+        key: "percentSl",
+        label: "% to SL",
+        format: (data) => data.percentSl !== undefined ? `${data.percentSl.toFixed(2)}%` : "N/A",
+    },
     {
         key: "pnl",
         label: "PNL (net)",
@@ -6239,6 +6374,8 @@ let ReportStorage$3 = class ReportStorage {
             openPrice: data.signal.priceOpen,
             takeProfit: data.signal.priceTakeProfit,
             stopLoss: data.signal.priceStopLoss,
+            percentTp: data.percentTp,
+            percentSl: data.percentSl,
         };
         // Replace existing event or add new one
         if (existingIndex !== -1) {
@@ -6380,14 +6517,33 @@ let ReportStorage$3 = class ReportStorage {
     async getReport(strategyName) {
         const stats = await this.getData();
         if (stats.totalEvents === 0) {
-            return functoolsKit.str.newline(`# Live Trading Report: ${strategyName}`, "", "No events recorded yet.");
+            return [
+                `# Live Trading Report: ${strategyName}`,
+                "",
+                "No events recorded yet."
+            ].join("\n");
         }
         const header = columns$3.map((col) => col.label);
         const separator = columns$3.map(() => "---");
         const rows = this._eventList.map((event) => columns$3.map((col) => col.format(event)));
         const tableData = [header, separator, ...rows];
-        const table = functoolsKit.str.newline(tableData.map(row => `| ${row.join(" | ")} |`));
-        return functoolsKit.str.newline(`# Live Trading Report: ${strategyName}`, "", table, "", `**Total events:** ${stats.totalEvents}`, `**Closed signals:** ${stats.totalClosed}`, `**Win rate:** ${stats.winRate === null ? "N/A" : `${stats.winRate.toFixed(2)}% (${stats.winCount}W / ${stats.lossCount}L) (higher is better)`}`, `**Average PNL:** ${stats.avgPnl === null ? "N/A" : `${stats.avgPnl > 0 ? "+" : ""}${stats.avgPnl.toFixed(2)}% (higher is better)`}`, `**Total PNL:** ${stats.totalPnl === null ? "N/A" : `${stats.totalPnl > 0 ? "+" : ""}${stats.totalPnl.toFixed(2)}% (higher is better)`}`, `**Standard Deviation:** ${stats.stdDev === null ? "N/A" : `${stats.stdDev.toFixed(3)}% (lower is better)`}`, `**Sharpe Ratio:** ${stats.sharpeRatio === null ? "N/A" : `${stats.sharpeRatio.toFixed(3)} (higher is better)`}`, `**Annualized Sharpe Ratio:** ${stats.annualizedSharpeRatio === null ? "N/A" : `${stats.annualizedSharpeRatio.toFixed(3)} (higher is better)`}`, `**Certainty Ratio:** ${stats.certaintyRatio === null ? "N/A" : `${stats.certaintyRatio.toFixed(3)} (higher is better)`}`, `**Expected Yearly Returns:** ${stats.expectedYearlyReturns === null ? "N/A" : `${stats.expectedYearlyReturns > 0 ? "+" : ""}${stats.expectedYearlyReturns.toFixed(2)}% (higher is better)`}`);
+        const table = tableData.map(row => `| ${row.join(" | ")} |`).join("\n");
+        return [
+            `# Live Trading Report: ${strategyName}`,
+            "",
+            table,
+            "",
+            `**Total events:** ${stats.totalEvents}`,
+            `**Closed signals:** ${stats.totalClosed}`,
+            `**Win rate:** ${stats.winRate === null ? "N/A" : `${stats.winRate.toFixed(2)}% (${stats.winCount}W / ${stats.lossCount}L) (higher is better)`}`,
+            `**Average PNL:** ${stats.avgPnl === null ? "N/A" : `${stats.avgPnl > 0 ? "+" : ""}${stats.avgPnl.toFixed(2)}% (higher is better)`}`,
+            `**Total PNL:** ${stats.totalPnl === null ? "N/A" : `${stats.totalPnl > 0 ? "+" : ""}${stats.totalPnl.toFixed(2)}% (higher is better)`}`,
+            `**Standard Deviation:** ${stats.stdDev === null ? "N/A" : `${stats.stdDev.toFixed(3)}% (lower is better)`}`,
+            `**Sharpe Ratio:** ${stats.sharpeRatio === null ? "N/A" : `${stats.sharpeRatio.toFixed(3)} (higher is better)`}`,
+            `**Annualized Sharpe Ratio:** ${stats.annualizedSharpeRatio === null ? "N/A" : `${stats.annualizedSharpeRatio.toFixed(3)} (higher is better)`}`,
+            `**Certainty Ratio:** ${stats.certaintyRatio === null ? "N/A" : `${stats.certaintyRatio.toFixed(3)} (higher is better)`}`,
+            `**Expected Yearly Returns:** ${stats.expectedYearlyReturns === null ? "N/A" : `${stats.expectedYearlyReturns > 0 ? "+" : ""}${stats.expectedYearlyReturns.toFixed(2)}% (higher is better)`}`,
+        ].join("\n");
     }
     /**
      * Saves strategy report to disk.
@@ -6784,14 +6940,28 @@ let ReportStorage$2 = class ReportStorage {
     async getReport(strategyName) {
         const stats = await this.getData();
         if (stats.totalEvents === 0) {
-            return functoolsKit.str.newline(`# Scheduled Signals Report: ${strategyName}`, "", "No scheduled signals recorded yet.");
+            return [
+                `# Scheduled Signals Report: ${strategyName}`,
+                "",
+                "No scheduled signals recorded yet."
+            ].join("\n");
         }
         const header = columns$2.map((col) => col.label);
         const separator = columns$2.map(() => "---");
         const rows = this._eventList.map((event) => columns$2.map((col) => col.format(event)));
         const tableData = [header, separator, ...rows];
-        const table = functoolsKit.str.newline(tableData.map((row) => `| ${row.join(" | ")} |`));
-        return functoolsKit.str.newline(`# Scheduled Signals Report: ${strategyName}`, "", table, "", `**Total events:** ${stats.totalEvents}`, `**Scheduled signals:** ${stats.totalScheduled}`, `**Cancelled signals:** ${stats.totalCancelled}`, `**Cancellation rate:** ${stats.cancellationRate === null ? "N/A" : `${stats.cancellationRate.toFixed(2)}% (lower is better)`}`, `**Average wait time (cancelled):** ${stats.avgWaitTime === null ? "N/A" : `${stats.avgWaitTime.toFixed(2)} minutes`}`);
+        const table = tableData.map((row) => `| ${row.join(" | ")} |`).join("\n");
+        return [
+            `# Scheduled Signals Report: ${strategyName}`,
+            "",
+            table,
+            "",
+            `**Total events:** ${stats.totalEvents}`,
+            `**Scheduled signals:** ${stats.totalScheduled}`,
+            `**Cancelled signals:** ${stats.totalCancelled}`,
+            `**Cancellation rate:** ${stats.cancellationRate === null ? "N/A" : `${stats.cancellationRate.toFixed(2)}% (lower is better)`}`,
+            `**Average wait time (cancelled):** ${stats.avgWaitTime === null ? "N/A" : `${stats.avgWaitTime.toFixed(2)} minutes`}`
+        ].join("\n");
     }
     /**
      * Saves strategy report to disk.
@@ -7109,7 +7279,11 @@ class PerformanceStorage {
     async getReport(strategyName) {
         const stats = await this.getData(strategyName);
         if (stats.totalEvents === 0) {
-            return functoolsKit.str.newline(`# Performance Report: ${strategyName}`, "", "No performance metrics recorded yet.");
+            return [
+                `# Performance Report: ${strategyName}`,
+                "",
+                "No performance metrics recorded yet."
+            ].join("\n");
         }
         // Sort metrics by total duration (descending) to show bottlenecks first
         const sortedMetrics = Object.values(stats.metricStats).sort((a, b) => b.totalDuration - a.totalDuration);
@@ -7146,13 +7320,29 @@ class PerformanceStorage {
             metric.maxWaitTime.toFixed(2),
         ]);
         const summaryTableData = [summaryHeader, summarySeparator, ...summaryRows];
-        const summaryTable = functoolsKit.str.newline(summaryTableData.map((row) => `| ${row.join(" | ")} |`));
+        const summaryTable = summaryTableData.map((row) => `| ${row.join(" | ")} |`).join("\n");
         // Calculate percentage of total time for each metric
         const percentages = sortedMetrics.map((metric) => {
             const pct = (metric.totalDuration / stats.totalDuration) * 100;
             return `- **${metric.metricType}**: ${pct.toFixed(1)}% (${metric.totalDuration.toFixed(2)}ms total)`;
         });
-        return functoolsKit.str.newline(`# Performance Report: ${strategyName}`, "", `**Total events:** ${stats.totalEvents}`, `**Total execution time:** ${stats.totalDuration.toFixed(2)}ms`, `**Number of metric types:** ${Object.keys(stats.metricStats).length}`, "", "## Time Distribution", "", functoolsKit.str.newline(percentages), "", "## Detailed Metrics", "", summaryTable, "", "**Note:** All durations are in milliseconds. P95/P99 represent 95th and 99th percentile response times. Wait times show the interval between consecutive events of the same type.");
+        return [
+            `# Performance Report: ${strategyName}`,
+            "",
+            `**Total events:** ${stats.totalEvents}`,
+            `**Total execution time:** ${stats.totalDuration.toFixed(2)}ms`,
+            `**Number of metric types:** ${Object.keys(stats.metricStats).length}`,
+            "",
+            "## Time Distribution",
+            "",
+            percentages.join("\n"),
+            "",
+            "## Detailed Metrics",
+            "",
+            summaryTable,
+            "",
+            "**Note:** All durations are in milliseconds. P95/P99 represent 95th and 99th percentile response times. Wait times show the interval between consecutive events of the same type."
+        ].join("\n");
     }
     /**
      * Saves performance report to disk.
@@ -7556,7 +7746,7 @@ let ReportStorage$1 = class ReportStorage {
         // Build table rows
         const rows = topStrategies.map((result, index) => columns.map((col) => col.format(result, index)));
         const tableData = [header, separator, ...rows];
-        return functoolsKit.str.newline(tableData.map((row) => `| ${row.join(" | ")} |`));
+        return tableData.map((row) => `| ${row.join(" | ")} |`).join("\n");
     }
     /**
      * Generates PNL table showing all closed signals across all strategies (View).
@@ -7593,7 +7783,7 @@ let ReportStorage$1 = class ReportStorage {
         // Build table rows
         const rows = allSignals.map((signal) => pnlColumns.map((col) => col.format(signal)));
         const tableData = [header, separator, ...rows];
-        return functoolsKit.str.newline(tableData.map((row) => `| ${row.join(" | ")} |`));
+        return tableData.map((row) => `| ${row.join(" | ")} |`).join("\n");
     }
     /**
      * Generates markdown report with all strategy results (View).
@@ -7608,7 +7798,30 @@ let ReportStorage$1 = class ReportStorage {
         const results = await this.getData(symbol, metric, context);
         // Get total signals for best strategy
         const bestStrategySignals = results.bestStats?.totalSignals ?? 0;
-        return functoolsKit.str.newline(`# Walker Comparison Report: ${results.walkerName}`, "", `**Symbol:** ${results.symbol}`, `**Exchange:** ${results.exchangeName}`, `**Frame:** ${results.frameName}`, `**Optimization Metric:** ${results.metric}`, `**Strategies Tested:** ${results.totalStrategies}`, "", `## Best Strategy: ${results.bestStrategy}`, "", `**Best ${results.metric}:** ${formatMetric(results.bestMetric)}`, `**Total Signals:** ${bestStrategySignals}`, "", "## Top Strategies Comparison", "", this.getComparisonTable(metric, 10), "", "## All Signals (PNL Table)", "", this.getPnlTable(), "", "**Note:** Higher values are better for all metrics except Standard Deviation (lower is better).");
+        return [
+            `# Walker Comparison Report: ${results.walkerName}`,
+            "",
+            `**Symbol:** ${results.symbol}`,
+            `**Exchange:** ${results.exchangeName}`,
+            `**Frame:** ${results.frameName}`,
+            `**Optimization Metric:** ${results.metric}`,
+            `**Strategies Tested:** ${results.totalStrategies}`,
+            "",
+            `## Best Strategy: ${results.bestStrategy}`,
+            "",
+            `**Best ${results.metric}:** ${formatMetric(results.bestMetric)}`,
+            `**Total Signals:** ${bestStrategySignals}`,
+            "",
+            "## Top Strategies Comparison",
+            "",
+            this.getComparisonTable(metric, 10),
+            "",
+            "## All Signals (PNL Table)",
+            "",
+            this.getPnlTable(),
+            "",
+            "**Note:** Higher values are better for all metrics except Standard Deviation (lower is better)."
+        ].join("\n");
     }
     /**
      * Saves walker report to disk.
@@ -8122,14 +8335,24 @@ class HeatmapStorage {
     async getReport(strategyName) {
         const data = await this.getData();
         if (data.symbols.length === 0) {
-            return functoolsKit.str.newline(`# Portfolio Heatmap: ${strategyName}`, "", "*No data available*");
+            return [
+                `# Portfolio Heatmap: ${strategyName}`,
+                "",
+                "*No data available*"
+            ].join("\n");
         }
         const header = columns$1.map((col) => col.label);
         const separator = columns$1.map(() => "---");
         const rows = data.symbols.map((row) => columns$1.map((col) => col.format(row)));
         const tableData = [header, separator, ...rows];
-        const table = functoolsKit.str.newline(tableData.map((row) => `| ${row.join(" | ")} |`));
-        return functoolsKit.str.newline(`# Portfolio Heatmap: ${strategyName}`, "", `**Total Symbols:** ${data.totalSymbols} | **Portfolio PNL:** ${data.portfolioTotalPnl !== null ? functoolsKit.str(data.portfolioTotalPnl, "%+.2f%%") : "N/A"} | **Portfolio Sharpe:** ${data.portfolioSharpeRatio !== null ? functoolsKit.str(data.portfolioSharpeRatio, "%.2f") : "N/A"} | **Total Trades:** ${data.portfolioTotalTrades}`, "", table);
+        const table = tableData.map((row) => `| ${row.join(" | ")} |`).join("\n");
+        return [
+            `# Portfolio Heatmap: ${strategyName}`,
+            "",
+            `**Total Symbols:** ${data.totalSymbols} | **Portfolio PNL:** ${data.portfolioTotalPnl !== null ? functoolsKit.str(data.portfolioTotalPnl, "%+.2f%%") : "N/A"} | **Portfolio Sharpe:** ${data.portfolioSharpeRatio !== null ? functoolsKit.str(data.portfolioSharpeRatio, "%.2f") : "N/A"} | **Total Trades:** ${data.portfolioTotalTrades}`,
+            "",
+            table
+        ].join("\n");
     }
     /**
      * Saves heatmap report to disk.
@@ -10687,14 +10910,26 @@ class ReportStorage {
     async getReport(symbol, strategyName) {
         const stats = await this.getData();
         if (stats.totalEvents === 0) {
-            return functoolsKit.str.newline(`# Partial Profit/Loss Report: ${symbol}:${strategyName}`, "", "No partial profit/loss events recorded yet.");
+            return [
+                `# Partial Profit/Loss Report: ${symbol}:${strategyName}`,
+                "",
+                "No partial profit/loss events recorded yet."
+            ].join("\n");
         }
         const header = columns.map((col) => col.label);
         const separator = columns.map(() => "---");
         const rows = this._eventList.map((event) => columns.map((col) => col.format(event)));
         const tableData = [header, separator, ...rows];
-        const table = functoolsKit.str.newline(tableData.map((row) => `| ${row.join(" | ")} |`));
-        return functoolsKit.str.newline(`# Partial Profit/Loss Report: ${symbol}:${strategyName}`, "", table, "", `**Total events:** ${stats.totalEvents}`, `**Profit events:** ${stats.totalProfit}`, `**Loss events:** ${stats.totalLoss}`);
+        const table = tableData.map((row) => `| ${row.join(" | ")} |`).join("\n");
+        return [
+            `# Partial Profit/Loss Report: ${symbol}:${strategyName}`,
+            "",
+            table,
+            "",
+            `**Total events:** ${stats.totalEvents}`,
+            `**Profit events:** ${stats.totalProfit}`,
+            `**Loss events:** ${stats.totalLoss}`
+        ].join("\n");
     }
     /**
      * Saves symbol-strategy report to disk.