backtest-kit 1.5.1 → 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
@@ -1821,18 +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.`);
+            }
+            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.`);
             }
-            // 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 (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
@@ -1844,8 +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)}%). ` +
@@ -1862,18 +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.`);
             }
-            // 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 (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.`);
+            }
+            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
@@ -1885,8 +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)}%). ` +
@@ -2577,8 +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
@@ -2644,11 +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!)
@@ -2948,9 +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
@@ -4906,13 +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}`);
@@ -4920,6 +4989,7 @@ class BacktestLogicPrivateService {
                         symbol,
                         signalId: signal.id,
                         candlesNeeded,
+                        bufferMinutes,
                         error: functoolsKit.errorData(error), message: functoolsKit.getErrorMessage(error),
                     });
                     await errorEmitter.next(error);
@@ -4992,16 +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);

package/build/index.mjs

@@ -23,7 +23,13 @@ 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
@@ -1819,18 +1825,30 @@ 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.`);
+            }
+            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.`);
             }
-            // 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 (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
@@ -1842,8 +1860,17 @@ 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)}%). ` +
@@ -1860,18 +1887,30 @@ 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.`);
             }
-            // 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 (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.`);
+            }
+            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
@@ -1883,8 +1922,17 @@ 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)}%). ` +
@@ -2575,8 +2623,14 @@ 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
@@ -2642,11 +2696,21 @@ 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!)
@@ -2946,9 +3010,10 @@ 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
@@ -4904,13 +4969,17 @@ 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}`);
@@ -4918,6 +4987,7 @@ class BacktestLogicPrivateService {
                         symbol,
                         signalId: signal.id,
                         candlesNeeded,
+                        bufferMinutes,
                         error: errorData(error), message: getErrorMessage(error),
                     });
                     await errorEmitter.next(error);
@@ -4990,16 +5060,23 @@ 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: errorData(error), message: getErrorMessage(error),
                     });
                     await errorEmitter.next(error);

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "backtest-kit",
-  "version": "1.5.1",
+  "version": "1.5.2",
   "description": "A TypeScript library for trading system backtest",
   "author": {
     "name": "Petr Tripolsky",

package/types.d.ts

@@ -19,6 +19,12 @@ declare const GLOBAL_CONFIG: {
      * Default: 0.3% (covers 2×0.1% fees + minimum profit margin)
      */
     CC_MIN_TAKEPROFIT_DISTANCE_PERCENT: number;
+    /**
+     * 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: number;
     /**
      * Maximum StopLoss distance from priceOpen (percentage)
      * Prevents catastrophic losses from extreme StopLoss values