backtest-kit 1.5.30 → 1.5.32

package/build/index.cjs

@@ -1438,7 +1438,7 @@ class LoggerService {
     }
 }
 
-const INTERVAL_MINUTES$2 = {
+const INTERVAL_MINUTES$3 = {
     "1m": 1,
     "3m": 3,
     "5m": 5,
@@ -1583,7 +1583,7 @@ class ClientExchange {
             interval,
             limit,
         });
-        const step = INTERVAL_MINUTES$2[interval];
+        const step = INTERVAL_MINUTES$3[interval];
         const adjust = step * limit - step;
         if (!adjust) {
             throw new Error(`ClientExchange unknown time adjust for interval=${interval}`);
@@ -1621,7 +1621,7 @@ class ClientExchange {
         const since = new Date(this.params.execution.context.when.getTime());
         const now = Date.now();
         // Вычисляем конечное время запроса
-        const step = INTERVAL_MINUTES$2[interval];
+        const step = INTERVAL_MINUTES$3[interval];
         const endTime = since.getTime() + limit * step * 60 * 1000;
         // Проверяем что запрошенный период не заходит за Date.now()
         if (endTime > now) {
@@ -2845,7 +2845,7 @@ var emitters = /*#__PURE__*/Object.freeze({
     walkerStopSubject: walkerStopSubject
 });
 
-const INTERVAL_MINUTES$1 = {
+const INTERVAL_MINUTES$2 = {
     "1m": 1,
     "3m": 3,
     "5m": 5,
@@ -3063,7 +3063,7 @@ const GET_SIGNAL_FN = functoolsKit.trycatch(async (self) => {
     }
     const currentTime = self.params.execution.context.when.getTime();
     {
-        const intervalMinutes = INTERVAL_MINUTES$1[self.params.interval];
+        const intervalMinutes = INTERVAL_MINUTES$2[self.params.interval];
         const intervalMs = intervalMinutes * 60 * 1000;
         // Проверяем что прошел нужный интервал с последнего getSignal
         if (self._lastSignalTimestamp !== null &&
@@ -4451,7 +4451,7 @@ class RiskUtils {
          * }
          * ```
          */
-        this.getData = async (symbol, strategyName, backtest) => {
+        this.getData = async (symbol, strategyName, backtest = false) => {
             backtest$1.loggerService.info(RISK_METHOD_NAME_GET_DATA, {
                 symbol,
                 strategyName,
@@ -4506,7 +4506,7 @@ class RiskUtils {
          * // - my-strategy: 1
          * ```
          */
-        this.getReport = async (symbol, strategyName, backtest, columns) => {
+        this.getReport = async (symbol, strategyName, backtest = false, columns) => {
             backtest$1.loggerService.info(RISK_METHOD_NAME_GET_REPORT, {
                 symbol,
                 strategyName,
@@ -4552,7 +4552,7 @@ class RiskUtils {
          * }
          * ```
          */
-        this.dump = async (symbol, strategyName, backtest, path, columns) => {
+        this.dump = async (symbol, strategyName, backtest = false, path, columns) => {
             backtest$1.loggerService.info(RISK_METHOD_NAME_DUMP, {
                 symbol,
                 strategyName,
@@ -4811,7 +4811,7 @@ class StrategyConnectionService {
  * Maps FrameInterval to minutes for timestamp calculation.
  * Used to generate timeframe arrays with proper spacing.
  */
-const INTERVAL_MINUTES = {
+const INTERVAL_MINUTES$1 = {
     "1m": 1,
     "3m": 3,
     "5m": 5,
@@ -4840,7 +4840,7 @@ const GET_TIMEFRAME_FN = async (symbol, self) => {
         symbol,
     });
     const { interval, startDate, endDate } = self.params;
-    const intervalMinutes = INTERVAL_MINUTES[interval];
+    const intervalMinutes = INTERVAL_MINUTES$1[interval];
     if (!intervalMinutes) {
         throw new Error(`ClientFrame unknown interval: ${interval}`);
     }
@@ -16692,7 +16692,7 @@ class ScheduleUtils {
          * console.log(stats.cancellationRate, stats.avgWaitTime);
          * ```
          */
-        this.getData = async (symbol, strategyName, backtest) => {
+        this.getData = async (symbol, strategyName, backtest = false) => {
             backtest$1.loggerService.info(SCHEDULE_METHOD_NAME_GET_DATA, {
                 symbol,
                 strategyName,
@@ -16720,7 +16720,7 @@ class ScheduleUtils {
          * console.log(markdown);
          * ```
          */
-        this.getReport = async (symbol, strategyName, backtest, columns) => {
+        this.getReport = async (symbol, strategyName, backtest = false, columns) => {
             backtest$1.loggerService.info(SCHEDULE_METHOD_NAME_GET_REPORT, {
                 symbol,
                 strategyName,
@@ -16751,7 +16751,7 @@ class ScheduleUtils {
          * await Schedule.dump("BTCUSDT", "my-strategy", "./custom/path");
          * ```
          */
-        this.dump = async (symbol, strategyName, backtest, path, columns) => {
+        this.dump = async (symbol, strategyName, backtest = false, path, columns) => {
             backtest$1.loggerService.info(SCHEDULE_METHOD_NAME_DUMP, {
                 symbol,
                 strategyName,
@@ -16845,7 +16845,7 @@ class Performance {
      * }
      * ```
      */
-    static async getData(symbol, strategyName, backtest) {
+    static async getData(symbol, strategyName, backtest = false) {
         backtest$1.strategyValidationService.validate(strategyName, PERFORMANCE_METHOD_NAME_GET_DATA);
         {
             const { riskName, riskList } = backtest$1.strategySchemaService.get(strategyName);
@@ -16877,7 +16877,7 @@ class Performance {
      * await fs.writeFile("performance-report.md", markdown);
      * ```
      */
-    static async getReport(symbol, strategyName, backtest, columns) {
+    static async getReport(symbol, strategyName, backtest = false, columns) {
         backtest$1.strategyValidationService.validate(strategyName, PERFORMANCE_METHOD_NAME_GET_REPORT);
         {
             const { riskName, riskList } = backtest$1.strategySchemaService.get(strategyName);
@@ -16906,7 +16906,7 @@ class Performance {
      * await Performance.dump("BTCUSDT", "my-strategy", "./reports/perf");
      * ```
      */
-    static async dump(symbol, strategyName, backtest, path = "./dump/performance", columns) {
+    static async dump(symbol, strategyName, backtest = false, path = "./dump/performance", columns) {
         backtest$1.strategyValidationService.validate(strategyName, PERFORMANCE_METHOD_NAME_DUMP);
         {
             const { riskName, riskList } = backtest$1.strategySchemaService.get(strategyName);
@@ -17544,7 +17544,7 @@ class HeatUtils {
          * });
          * ```
          */
-        this.getData = async (strategyName, backtest) => {
+        this.getData = async (strategyName, backtest = false) => {
             backtest$1.loggerService.info(HEAT_METHOD_NAME_GET_DATA, { strategyName });
             backtest$1.strategyValidationService.validate(strategyName, HEAT_METHOD_NAME_GET_DATA);
             {
@@ -17580,7 +17580,7 @@ class HeatUtils {
          * // ...
          * ```
          */
-        this.getReport = async (strategyName, backtest, columns) => {
+        this.getReport = async (strategyName, backtest = false, columns) => {
             backtest$1.loggerService.info(HEAT_METHOD_NAME_GET_REPORT, { strategyName });
             backtest$1.strategyValidationService.validate(strategyName, HEAT_METHOD_NAME_GET_REPORT);
             {
@@ -17609,7 +17609,7 @@ class HeatUtils {
          * await Heat.dump("my-strategy", "./reports");
          * ```
          */
-        this.dump = async (strategyName, backtest, path, columns) => {
+        this.dump = async (strategyName, backtest = false, path, columns) => {
             backtest$1.loggerService.info(HEAT_METHOD_NAME_DUMP, { strategyName, path });
             backtest$1.strategyValidationService.validate(strategyName, HEAT_METHOD_NAME_DUMP);
             {
@@ -17933,7 +17933,7 @@ class PartialUtils {
          * }
          * ```
          */
-        this.getData = async (symbol, strategyName, backtest) => {
+        this.getData = async (symbol, strategyName, backtest = false) => {
             backtest$1.loggerService.info(PARTIAL_METHOD_NAME_GET_DATA, { symbol, strategyName });
             backtest$1.strategyValidationService.validate(strategyName, PARTIAL_METHOD_NAME_GET_DATA);
             {
@@ -17982,7 +17982,7 @@ class PartialUtils {
          * // **Loss events:** 1
          * ```
          */
-        this.getReport = async (symbol, strategyName, backtest, columns) => {
+        this.getReport = async (symbol, strategyName, backtest = false, columns) => {
             backtest$1.loggerService.info(PARTIAL_METHOD_NAME_GET_REPORT, { symbol, strategyName });
             backtest$1.strategyValidationService.validate(strategyName, PARTIAL_METHOD_NAME_GET_REPORT);
             {
@@ -18024,7 +18024,7 @@ class PartialUtils {
          * }
          * ```
          */
-        this.dump = async (symbol, strategyName, backtest, path, columns) => {
+        this.dump = async (symbol, strategyName, backtest = false, path, columns) => {
             backtest$1.loggerService.info(PARTIAL_METHOD_NAME_DUMP, { symbol, strategyName, path });
             backtest$1.strategyValidationService.validate(strategyName, PARTIAL_METHOD_NAME_DUMP);
             {
@@ -18134,8 +18134,21 @@ class ConstantUtils {
 const Constant = new ConstantUtils();
 
 const EXCHANGE_METHOD_NAME_GET_CANDLES = "ExchangeUtils.getCandles";
+const EXCHANGE_METHOD_NAME_GET_AVERAGE_PRICE = "ExchangeUtils.getAveragePrice";
 const EXCHANGE_METHOD_NAME_FORMAT_QUANTITY = "ExchangeUtils.formatQuantity";
 const EXCHANGE_METHOD_NAME_FORMAT_PRICE = "ExchangeUtils.formatPrice";
+const INTERVAL_MINUTES = {
+    "1m": 1,
+    "3m": 3,
+    "5m": 5,
+    "15m": 15,
+    "30m": 30,
+    "1h": 60,
+    "2h": 120,
+    "4h": 240,
+    "6h": 360,
+    "8h": 480,
+};
 /**
  * Instance class for exchange operations on a specific exchange.
  *
@@ -18147,7 +18160,8 @@ const EXCHANGE_METHOD_NAME_FORMAT_PRICE = "ExchangeUtils.formatPrice";
  * ```typescript
  * const instance = new ExchangeInstance("binance");
  *
- * const candles = await instance.getCandles("BTCUSDT", "1m", new Date(), 100);
+ * const candles = await instance.getCandles("BTCUSDT", "1m", 100);
+ * const vwap = await instance.getAveragePrice("BTCUSDT");
  * const formattedQty = await instance.formatQuantity("BTCUSDT", 0.001);
  * const formattedPrice = await instance.formatPrice("BTCUSDT", 50000.123);
  * ```
@@ -18163,27 +18177,88 @@ class ExchangeInstance {
         /**
          * Fetch candles from data source (API or database).
          *
+         * Automatically calculates the start date based on Date.now() and the requested interval/limit.
+         * Uses the same logic as ClientExchange to ensure backwards compatibility.
+         *
          * @param symbol - Trading pair symbol (e.g., "BTCUSDT")
          * @param interval - Candle time interval (e.g., "1m", "1h")
-         * @param since - Start date for candle fetching
          * @param limit - Maximum number of candles to fetch
          * @returns Promise resolving to array of OHLCV candle data
          *
          * @example
          * ```typescript
          * const instance = new ExchangeInstance("binance");
-         * const candles = await instance.getCandles("BTCUSDT", "1m", new Date(), 100);
+         * const candles = await instance.getCandles("BTCUSDT", "1m", 100);
          * ```
          */
-        this.getCandles = async (symbol, interval, since, limit) => {
+        this.getCandles = async (symbol, interval, limit) => {
             backtest$1.loggerService.info(EXCHANGE_METHOD_NAME_GET_CANDLES, {
                 exchangeName: this.exchangeName,
                 symbol,
                 interval,
-                since,
                 limit,
             });
-            return await this._schema.getCandles(symbol, interval, since, limit);
+            const step = INTERVAL_MINUTES[interval];
+            const adjust = step * limit - step;
+            if (!adjust) {
+                throw new Error(`ExchangeInstance unknown time adjust for interval=${interval}`);
+            }
+            const when = new Date(Date.now());
+            const since = new Date(when.getTime() - adjust * 60 * 1000);
+            const data = await this._schema.getCandles(symbol, interval, since, limit);
+            // Filter candles to strictly match the requested range
+            const whenTimestamp = when.getTime();
+            const sinceTimestamp = since.getTime();
+            const filteredData = data.filter((candle) => candle.timestamp >= sinceTimestamp && candle.timestamp <= whenTimestamp);
+            if (filteredData.length < limit) {
+                backtest$1.loggerService.warn(`ExchangeInstance Expected ${limit} candles, got ${filteredData.length}`);
+            }
+            return filteredData;
+        };
+        /**
+         * Calculates VWAP (Volume Weighted Average Price) from last N 1m candles.
+         * The number of candles is configurable via GLOBAL_CONFIG.CC_AVG_PRICE_CANDLES_COUNT.
+         *
+         * Formula:
+         * - Typical Price = (high + low + close) / 3
+         * - VWAP = sum(typical_price * volume) / sum(volume)
+         *
+         * If volume is zero, returns simple average of close prices.
+         *
+         * @param symbol - Trading pair symbol
+         * @returns Promise resolving to VWAP price
+         * @throws Error if no candles available
+         *
+         * @example
+         * ```typescript
+         * const instance = new ExchangeInstance("binance");
+         * const vwap = await instance.getAveragePrice("BTCUSDT");
+         * console.log(vwap); // 50125.43
+         * ```
+         */
+        this.getAveragePrice = async (symbol) => {
+            backtest$1.loggerService.debug(`ExchangeInstance getAveragePrice`, {
+                exchangeName: this.exchangeName,
+                symbol,
+            });
+            const candles = await this.getCandles(symbol, "1m", GLOBAL_CONFIG.CC_AVG_PRICE_CANDLES_COUNT);
+            if (candles.length === 0) {
+                throw new Error(`ExchangeInstance getAveragePrice: no candles data for symbol=${symbol}`);
+            }
+            // VWAP (Volume Weighted Average Price)
+            // Используем типичную цену (typical price) = (high + low + close) / 3
+            const sumPriceVolume = candles.reduce((acc, candle) => {
+                const typicalPrice = (candle.high + candle.low + candle.close) / 3;
+                return acc + typicalPrice * candle.volume;
+            }, 0);
+            const totalVolume = candles.reduce((acc, candle) => acc + candle.volume, 0);
+            if (totalVolume === 0) {
+                // Если объем нулевой, возвращаем простое среднее close цен
+                const sum = candles.reduce((acc, candle) => acc + candle.close, 0);
+                return sum / candles.length;
+            }
+            const vwap = sumPriceVolume / totalVolume;
+            return vwap;
         };
         /**
          * Format quantity according to exchange precision rules.
@@ -18242,7 +18317,10 @@ class ExchangeInstance {
  * ```typescript
  * import { Exchange } from "./classes/Exchange";
  *
- * const candles = await Exchange.getCandles("BTCUSDT", "1m", new Date(), 100, {
+ * const candles = await Exchange.getCandles("BTCUSDT", "1m", 100, {
+ *   exchangeName: "binance"
+ * });
+ * const vwap = await Exchange.getAveragePrice("BTCUSDT", {
  *   exchangeName: "binance"
  * });
  * const formatted = await Exchange.formatQuantity("BTCUSDT", 0.001, {
@@ -18260,17 +18338,31 @@ class ExchangeUtils {
         /**
          * Fetch candles from data source (API or database).
          *
+         * Automatically calculates the start date based on Date.now() and the requested interval/limit.
+         * Uses the same logic as ClientExchange to ensure backwards compatibility.
+         *
          * @param symbol - Trading pair symbol (e.g., "BTCUSDT")
          * @param interval - Candle time interval (e.g., "1m", "1h")
-         * @param since - Start date for candle fetching
          * @param limit - Maximum number of candles to fetch
          * @param context - Execution context with exchange name
          * @returns Promise resolving to array of OHLCV candle data
          */
-        this.getCandles = async (symbol, interval, since, limit, context) => {
+        this.getCandles = async (symbol, interval, limit, context) => {
             backtest$1.exchangeValidationService.validate(context.exchangeName, EXCHANGE_METHOD_NAME_GET_CANDLES);
             const instance = this._getInstance(context.exchangeName);
-            return await instance.getCandles(symbol, interval, since, limit);
+            return await instance.getCandles(symbol, interval, limit);
+        };
+        /**
+         * Calculates VWAP (Volume Weighted Average Price) from last N 1m candles.
+         *
+         * @param symbol - Trading pair symbol
+         * @param context - Execution context with exchange name
+         * @returns Promise resolving to VWAP price
+         */
+        this.getAveragePrice = async (symbol, context) => {
+            backtest$1.exchangeValidationService.validate(context.exchangeName, EXCHANGE_METHOD_NAME_GET_AVERAGE_PRICE);
+            const instance = this._getInstance(context.exchangeName);
+            return await instance.getAveragePrice(symbol);
         };
         /**
          * Format quantity according to exchange precision rules.
@@ -18308,7 +18400,10 @@ class ExchangeUtils {
  * import { Exchange } from "./classes/Exchange";
  *
  * // Using static-like API with context
- * const candles = await Exchange.getCandles("BTCUSDT", "1m", new Date(), 100, {
+ * const candles = await Exchange.getCandles("BTCUSDT", "1m", 100, {
+ *   exchangeName: "binance"
+ * });
+ * const vwap = await Exchange.getAveragePrice("BTCUSDT", {
  *   exchangeName: "binance"
  * });
  * const qty = await Exchange.formatQuantity("BTCUSDT", 0.001, {
@@ -18320,7 +18415,8 @@ class ExchangeUtils {
  *
  * // Using instance API (no context needed, exchange set in constructor)
  * const binance = new ExchangeInstance("binance");
- * const candles2 = await binance.getCandles("BTCUSDT", "1m", new Date(), 100);
+ * const candles2 = await binance.getCandles("BTCUSDT", "1m", 100);
+ * const vwap2 = await binance.getAveragePrice("BTCUSDT");
  * ```
  */
 const Exchange = new ExchangeUtils();

package/build/index.mjs

@@ -1436,7 +1436,7 @@ class LoggerService {
     }
 }
 
-const INTERVAL_MINUTES$2 = {
+const INTERVAL_MINUTES$3 = {
     "1m": 1,
     "3m": 3,
     "5m": 5,
@@ -1581,7 +1581,7 @@ class ClientExchange {
             interval,
             limit,
         });
-        const step = INTERVAL_MINUTES$2[interval];
+        const step = INTERVAL_MINUTES$3[interval];
         const adjust = step * limit - step;
         if (!adjust) {
             throw new Error(`ClientExchange unknown time adjust for interval=${interval}`);
@@ -1619,7 +1619,7 @@ class ClientExchange {
         const since = new Date(this.params.execution.context.when.getTime());
         const now = Date.now();
         // Вычисляем конечное время запроса
-        const step = INTERVAL_MINUTES$2[interval];
+        const step = INTERVAL_MINUTES$3[interval];
         const endTime = since.getTime() + limit * step * 60 * 1000;
         // Проверяем что запрошенный период не заходит за Date.now()
         if (endTime > now) {
@@ -2843,7 +2843,7 @@ var emitters = /*#__PURE__*/Object.freeze({
     walkerStopSubject: walkerStopSubject
 });
 
-const INTERVAL_MINUTES$1 = {
+const INTERVAL_MINUTES$2 = {
     "1m": 1,
     "3m": 3,
     "5m": 5,
@@ -3061,7 +3061,7 @@ const GET_SIGNAL_FN = trycatch(async (self) => {
     }
     const currentTime = self.params.execution.context.when.getTime();
     {
-        const intervalMinutes = INTERVAL_MINUTES$1[self.params.interval];
+        const intervalMinutes = INTERVAL_MINUTES$2[self.params.interval];
         const intervalMs = intervalMinutes * 60 * 1000;
         // Проверяем что прошел нужный интервал с последнего getSignal
         if (self._lastSignalTimestamp !== null &&
@@ -4449,7 +4449,7 @@ class RiskUtils {
          * }
          * ```
          */
-        this.getData = async (symbol, strategyName, backtest) => {
+        this.getData = async (symbol, strategyName, backtest = false) => {
             backtest$1.loggerService.info(RISK_METHOD_NAME_GET_DATA, {
                 symbol,
                 strategyName,
@@ -4504,7 +4504,7 @@ class RiskUtils {
          * // - my-strategy: 1
          * ```
          */
-        this.getReport = async (symbol, strategyName, backtest, columns) => {
+        this.getReport = async (symbol, strategyName, backtest = false, columns) => {
             backtest$1.loggerService.info(RISK_METHOD_NAME_GET_REPORT, {
                 symbol,
                 strategyName,
@@ -4550,7 +4550,7 @@ class RiskUtils {
          * }
          * ```
          */
-        this.dump = async (symbol, strategyName, backtest, path, columns) => {
+        this.dump = async (symbol, strategyName, backtest = false, path, columns) => {
             backtest$1.loggerService.info(RISK_METHOD_NAME_DUMP, {
                 symbol,
                 strategyName,
@@ -4809,7 +4809,7 @@ class StrategyConnectionService {
  * Maps FrameInterval to minutes for timestamp calculation.
  * Used to generate timeframe arrays with proper spacing.
  */
-const INTERVAL_MINUTES = {
+const INTERVAL_MINUTES$1 = {
     "1m": 1,
     "3m": 3,
     "5m": 5,
@@ -4838,7 +4838,7 @@ const GET_TIMEFRAME_FN = async (symbol, self) => {
         symbol,
     });
     const { interval, startDate, endDate } = self.params;
-    const intervalMinutes = INTERVAL_MINUTES[interval];
+    const intervalMinutes = INTERVAL_MINUTES$1[interval];
     if (!intervalMinutes) {
         throw new Error(`ClientFrame unknown interval: ${interval}`);
     }
@@ -16690,7 +16690,7 @@ class ScheduleUtils {
          * console.log(stats.cancellationRate, stats.avgWaitTime);
          * ```
          */
-        this.getData = async (symbol, strategyName, backtest) => {
+        this.getData = async (symbol, strategyName, backtest = false) => {
             backtest$1.loggerService.info(SCHEDULE_METHOD_NAME_GET_DATA, {
                 symbol,
                 strategyName,
@@ -16718,7 +16718,7 @@ class ScheduleUtils {
          * console.log(markdown);
          * ```
          */
-        this.getReport = async (symbol, strategyName, backtest, columns) => {
+        this.getReport = async (symbol, strategyName, backtest = false, columns) => {
             backtest$1.loggerService.info(SCHEDULE_METHOD_NAME_GET_REPORT, {
                 symbol,
                 strategyName,
@@ -16749,7 +16749,7 @@ class ScheduleUtils {
          * await Schedule.dump("BTCUSDT", "my-strategy", "./custom/path");
          * ```
          */
-        this.dump = async (symbol, strategyName, backtest, path, columns) => {
+        this.dump = async (symbol, strategyName, backtest = false, path, columns) => {
             backtest$1.loggerService.info(SCHEDULE_METHOD_NAME_DUMP, {
                 symbol,
                 strategyName,
@@ -16843,7 +16843,7 @@ class Performance {
      * }
      * ```
      */
-    static async getData(symbol, strategyName, backtest) {
+    static async getData(symbol, strategyName, backtest = false) {
         backtest$1.strategyValidationService.validate(strategyName, PERFORMANCE_METHOD_NAME_GET_DATA);
         {
             const { riskName, riskList } = backtest$1.strategySchemaService.get(strategyName);
@@ -16875,7 +16875,7 @@ class Performance {
      * await fs.writeFile("performance-report.md", markdown);
      * ```
      */
-    static async getReport(symbol, strategyName, backtest, columns) {
+    static async getReport(symbol, strategyName, backtest = false, columns) {
         backtest$1.strategyValidationService.validate(strategyName, PERFORMANCE_METHOD_NAME_GET_REPORT);
         {
             const { riskName, riskList } = backtest$1.strategySchemaService.get(strategyName);
@@ -16904,7 +16904,7 @@ class Performance {
      * await Performance.dump("BTCUSDT", "my-strategy", "./reports/perf");
      * ```
      */
-    static async dump(symbol, strategyName, backtest, path = "./dump/performance", columns) {
+    static async dump(symbol, strategyName, backtest = false, path = "./dump/performance", columns) {
         backtest$1.strategyValidationService.validate(strategyName, PERFORMANCE_METHOD_NAME_DUMP);
         {
             const { riskName, riskList } = backtest$1.strategySchemaService.get(strategyName);
@@ -17542,7 +17542,7 @@ class HeatUtils {
          * });
          * ```
          */
-        this.getData = async (strategyName, backtest) => {
+        this.getData = async (strategyName, backtest = false) => {
             backtest$1.loggerService.info(HEAT_METHOD_NAME_GET_DATA, { strategyName });
             backtest$1.strategyValidationService.validate(strategyName, HEAT_METHOD_NAME_GET_DATA);
             {
@@ -17578,7 +17578,7 @@ class HeatUtils {
          * // ...
          * ```
          */
-        this.getReport = async (strategyName, backtest, columns) => {
+        this.getReport = async (strategyName, backtest = false, columns) => {
             backtest$1.loggerService.info(HEAT_METHOD_NAME_GET_REPORT, { strategyName });
             backtest$1.strategyValidationService.validate(strategyName, HEAT_METHOD_NAME_GET_REPORT);
             {
@@ -17607,7 +17607,7 @@ class HeatUtils {
          * await Heat.dump("my-strategy", "./reports");
          * ```
          */
-        this.dump = async (strategyName, backtest, path, columns) => {
+        this.dump = async (strategyName, backtest = false, path, columns) => {
             backtest$1.loggerService.info(HEAT_METHOD_NAME_DUMP, { strategyName, path });
             backtest$1.strategyValidationService.validate(strategyName, HEAT_METHOD_NAME_DUMP);
             {
@@ -17931,7 +17931,7 @@ class PartialUtils {
          * }
          * ```
          */
-        this.getData = async (symbol, strategyName, backtest) => {
+        this.getData = async (symbol, strategyName, backtest = false) => {
             backtest$1.loggerService.info(PARTIAL_METHOD_NAME_GET_DATA, { symbol, strategyName });
             backtest$1.strategyValidationService.validate(strategyName, PARTIAL_METHOD_NAME_GET_DATA);
             {
@@ -17980,7 +17980,7 @@ class PartialUtils {
          * // **Loss events:** 1
          * ```
          */
-        this.getReport = async (symbol, strategyName, backtest, columns) => {
+        this.getReport = async (symbol, strategyName, backtest = false, columns) => {
             backtest$1.loggerService.info(PARTIAL_METHOD_NAME_GET_REPORT, { symbol, strategyName });
             backtest$1.strategyValidationService.validate(strategyName, PARTIAL_METHOD_NAME_GET_REPORT);
             {
@@ -18022,7 +18022,7 @@ class PartialUtils {
          * }
          * ```
          */
-        this.dump = async (symbol, strategyName, backtest, path, columns) => {
+        this.dump = async (symbol, strategyName, backtest = false, path, columns) => {
             backtest$1.loggerService.info(PARTIAL_METHOD_NAME_DUMP, { symbol, strategyName, path });
             backtest$1.strategyValidationService.validate(strategyName, PARTIAL_METHOD_NAME_DUMP);
             {
@@ -18132,8 +18132,21 @@ class ConstantUtils {
 const Constant = new ConstantUtils();
 
 const EXCHANGE_METHOD_NAME_GET_CANDLES = "ExchangeUtils.getCandles";
+const EXCHANGE_METHOD_NAME_GET_AVERAGE_PRICE = "ExchangeUtils.getAveragePrice";
 const EXCHANGE_METHOD_NAME_FORMAT_QUANTITY = "ExchangeUtils.formatQuantity";
 const EXCHANGE_METHOD_NAME_FORMAT_PRICE = "ExchangeUtils.formatPrice";
+const INTERVAL_MINUTES = {
+    "1m": 1,
+    "3m": 3,
+    "5m": 5,
+    "15m": 15,
+    "30m": 30,
+    "1h": 60,
+    "2h": 120,
+    "4h": 240,
+    "6h": 360,
+    "8h": 480,
+};
 /**
  * Instance class for exchange operations on a specific exchange.
  *
@@ -18145,7 +18158,8 @@ const EXCHANGE_METHOD_NAME_FORMAT_PRICE = "ExchangeUtils.formatPrice";
  * ```typescript
  * const instance = new ExchangeInstance("binance");
  *
- * const candles = await instance.getCandles("BTCUSDT", "1m", new Date(), 100);
+ * const candles = await instance.getCandles("BTCUSDT", "1m", 100);
+ * const vwap = await instance.getAveragePrice("BTCUSDT");
  * const formattedQty = await instance.formatQuantity("BTCUSDT", 0.001);
  * const formattedPrice = await instance.formatPrice("BTCUSDT", 50000.123);
  * ```
@@ -18161,27 +18175,88 @@ class ExchangeInstance {
         /**
          * Fetch candles from data source (API or database).
          *
+         * Automatically calculates the start date based on Date.now() and the requested interval/limit.
+         * Uses the same logic as ClientExchange to ensure backwards compatibility.
+         *
          * @param symbol - Trading pair symbol (e.g., "BTCUSDT")
          * @param interval - Candle time interval (e.g., "1m", "1h")
-         * @param since - Start date for candle fetching
          * @param limit - Maximum number of candles to fetch
          * @returns Promise resolving to array of OHLCV candle data
          *
          * @example
          * ```typescript
          * const instance = new ExchangeInstance("binance");
-         * const candles = await instance.getCandles("BTCUSDT", "1m", new Date(), 100);
+         * const candles = await instance.getCandles("BTCUSDT", "1m", 100);
          * ```
          */
-        this.getCandles = async (symbol, interval, since, limit) => {
+        this.getCandles = async (symbol, interval, limit) => {
             backtest$1.loggerService.info(EXCHANGE_METHOD_NAME_GET_CANDLES, {
                 exchangeName: this.exchangeName,
                 symbol,
                 interval,
-                since,
                 limit,
             });
-            return await this._schema.getCandles(symbol, interval, since, limit);
+            const step = INTERVAL_MINUTES[interval];
+            const adjust = step * limit - step;
+            if (!adjust) {
+                throw new Error(`ExchangeInstance unknown time adjust for interval=${interval}`);
+            }
+            const when = new Date(Date.now());
+            const since = new Date(when.getTime() - adjust * 60 * 1000);
+            const data = await this._schema.getCandles(symbol, interval, since, limit);
+            // Filter candles to strictly match the requested range
+            const whenTimestamp = when.getTime();
+            const sinceTimestamp = since.getTime();
+            const filteredData = data.filter((candle) => candle.timestamp >= sinceTimestamp && candle.timestamp <= whenTimestamp);
+            if (filteredData.length < limit) {
+                backtest$1.loggerService.warn(`ExchangeInstance Expected ${limit} candles, got ${filteredData.length}`);
+            }
+            return filteredData;
+        };
+        /**
+         * Calculates VWAP (Volume Weighted Average Price) from last N 1m candles.
+         * The number of candles is configurable via GLOBAL_CONFIG.CC_AVG_PRICE_CANDLES_COUNT.
+         *
+         * Formula:
+         * - Typical Price = (high + low + close) / 3
+         * - VWAP = sum(typical_price * volume) / sum(volume)
+         *
+         * If volume is zero, returns simple average of close prices.
+         *
+         * @param symbol - Trading pair symbol
+         * @returns Promise resolving to VWAP price
+         * @throws Error if no candles available
+         *
+         * @example
+         * ```typescript
+         * const instance = new ExchangeInstance("binance");
+         * const vwap = await instance.getAveragePrice("BTCUSDT");
+         * console.log(vwap); // 50125.43
+         * ```
+         */
+        this.getAveragePrice = async (symbol) => {
+            backtest$1.loggerService.debug(`ExchangeInstance getAveragePrice`, {
+                exchangeName: this.exchangeName,
+                symbol,
+            });
+            const candles = await this.getCandles(symbol, "1m", GLOBAL_CONFIG.CC_AVG_PRICE_CANDLES_COUNT);
+            if (candles.length === 0) {
+                throw new Error(`ExchangeInstance getAveragePrice: no candles data for symbol=${symbol}`);
+            }
+            // VWAP (Volume Weighted Average Price)
+            // Используем типичную цену (typical price) = (high + low + close) / 3
+            const sumPriceVolume = candles.reduce((acc, candle) => {
+                const typicalPrice = (candle.high + candle.low + candle.close) / 3;
+                return acc + typicalPrice * candle.volume;
+            }, 0);
+            const totalVolume = candles.reduce((acc, candle) => acc + candle.volume, 0);
+            if (totalVolume === 0) {
+                // Если объем нулевой, возвращаем простое среднее close цен
+                const sum = candles.reduce((acc, candle) => acc + candle.close, 0);
+                return sum / candles.length;
+            }
+            const vwap = sumPriceVolume / totalVolume;
+            return vwap;
         };
         /**
          * Format quantity according to exchange precision rules.
@@ -18240,7 +18315,10 @@ class ExchangeInstance {
  * ```typescript
  * import { Exchange } from "./classes/Exchange";
  *
- * const candles = await Exchange.getCandles("BTCUSDT", "1m", new Date(), 100, {
+ * const candles = await Exchange.getCandles("BTCUSDT", "1m", 100, {
+ *   exchangeName: "binance"
+ * });
+ * const vwap = await Exchange.getAveragePrice("BTCUSDT", {
  *   exchangeName: "binance"
  * });
  * const formatted = await Exchange.formatQuantity("BTCUSDT", 0.001, {
@@ -18258,17 +18336,31 @@ class ExchangeUtils {
         /**
          * Fetch candles from data source (API or database).
          *
+         * Automatically calculates the start date based on Date.now() and the requested interval/limit.
+         * Uses the same logic as ClientExchange to ensure backwards compatibility.
+         *
          * @param symbol - Trading pair symbol (e.g., "BTCUSDT")
          * @param interval - Candle time interval (e.g., "1m", "1h")
-         * @param since - Start date for candle fetching
          * @param limit - Maximum number of candles to fetch
          * @param context - Execution context with exchange name
          * @returns Promise resolving to array of OHLCV candle data
          */
-        this.getCandles = async (symbol, interval, since, limit, context) => {
+        this.getCandles = async (symbol, interval, limit, context) => {
             backtest$1.exchangeValidationService.validate(context.exchangeName, EXCHANGE_METHOD_NAME_GET_CANDLES);
             const instance = this._getInstance(context.exchangeName);
-            return await instance.getCandles(symbol, interval, since, limit);
+            return await instance.getCandles(symbol, interval, limit);
+        };
+        /**
+         * Calculates VWAP (Volume Weighted Average Price) from last N 1m candles.
+         *
+         * @param symbol - Trading pair symbol
+         * @param context - Execution context with exchange name
+         * @returns Promise resolving to VWAP price
+         */
+        this.getAveragePrice = async (symbol, context) => {
+            backtest$1.exchangeValidationService.validate(context.exchangeName, EXCHANGE_METHOD_NAME_GET_AVERAGE_PRICE);
+            const instance = this._getInstance(context.exchangeName);
+            return await instance.getAveragePrice(symbol);
         };
         /**
          * Format quantity according to exchange precision rules.
@@ -18306,7 +18398,10 @@ class ExchangeUtils {
  * import { Exchange } from "./classes/Exchange";
  *
  * // Using static-like API with context
- * const candles = await Exchange.getCandles("BTCUSDT", "1m", new Date(), 100, {
+ * const candles = await Exchange.getCandles("BTCUSDT", "1m", 100, {
+ *   exchangeName: "binance"
+ * });
+ * const vwap = await Exchange.getAveragePrice("BTCUSDT", {
  *   exchangeName: "binance"
  * });
  * const qty = await Exchange.formatQuantity("BTCUSDT", 0.001, {
@@ -18318,7 +18413,8 @@ class ExchangeUtils {
  *
  * // Using instance API (no context needed, exchange set in constructor)
  * const binance = new ExchangeInstance("binance");
- * const candles2 = await binance.getCandles("BTCUSDT", "1m", new Date(), 100);
+ * const candles2 = await binance.getCandles("BTCUSDT", "1m", 100);
+ * const vwap2 = await binance.getAveragePrice("BTCUSDT");
  * ```
  */
 const Exchange = new ExchangeUtils();

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "backtest-kit",
-  "version": "1.5.30",
+  "version": "1.5.32",
   "description": "A TypeScript library for trading system backtest",
   "author": {
     "name": "Petr Tripolsky",

package/types.d.ts

@@ -5836,7 +5836,7 @@ declare class ScheduleUtils {
      * console.log(stats.cancellationRate, stats.avgWaitTime);
      * ```
      */
-    getData: (symbol: string, strategyName: StrategyName, backtest: boolean) => Promise<ScheduleStatisticsModel>;
+    getData: (symbol: string, strategyName: StrategyName, backtest?: boolean) => Promise<ScheduleStatisticsModel>;
     /**
      * Generates markdown report with all scheduled events for a symbol-strategy pair.
      *
@@ -5851,7 +5851,7 @@ declare class ScheduleUtils {
      * console.log(markdown);
      * ```
      */
-    getReport: (symbol: string, strategyName: StrategyName, backtest: boolean, columns?: Columns$4[]) => Promise<string>;
+    getReport: (symbol: string, strategyName: StrategyName, backtest?: boolean, columns?: Columns$4[]) => Promise<string>;
     /**
      * Saves strategy report to disk.
      *
@@ -5869,7 +5869,7 @@ declare class ScheduleUtils {
      * await Schedule.dump("BTCUSDT", "my-strategy", "./custom/path");
      * ```
      */
-    dump: (symbol: string, strategyName: StrategyName, backtest: boolean, path?: string, columns?: Columns$4[]) => Promise<void>;
+    dump: (symbol: string, strategyName: StrategyName, backtest?: boolean, path?: string, columns?: Columns$4[]) => Promise<void>;
 }
 /**
  * Singleton instance of ScheduleUtils for convenient scheduled signals reporting.
@@ -6088,7 +6088,7 @@ declare class Performance {
      * }
      * ```
      */
-    static getData(symbol: string, strategyName: string, backtest: boolean): Promise<PerformanceStatisticsModel>;
+    static getData(symbol: string, strategyName: string, backtest?: boolean): Promise<PerformanceStatisticsModel>;
     /**
      * Generates markdown report with performance analysis.
      *
@@ -6112,7 +6112,7 @@ declare class Performance {
      * await fs.writeFile("performance-report.md", markdown);
      * ```
      */
-    static getReport(symbol: string, strategyName: string, backtest: boolean, columns?: Columns$3[]): Promise<string>;
+    static getReport(symbol: string, strategyName: string, backtest?: boolean, columns?: Columns$3[]): Promise<string>;
     /**
      * Saves performance report to disk.
      *
@@ -6133,7 +6133,7 @@ declare class Performance {
      * await Performance.dump("BTCUSDT", "my-strategy", "./reports/perf");
      * ```
      */
-    static dump(symbol: string, strategyName: string, backtest: boolean, path?: string, columns?: Columns$3[]): Promise<void>;
+    static dump(symbol: string, strategyName: string, backtest?: boolean, path?: string, columns?: Columns$3[]): Promise<void>;
 }
 
 /**
@@ -6737,7 +6737,7 @@ declare class HeatUtils {
      * });
      * ```
      */
-    getData: (strategyName: StrategyName, backtest: boolean) => Promise<HeatmapStatisticsModel>;
+    getData: (strategyName: StrategyName, backtest?: boolean) => Promise<HeatmapStatisticsModel>;
     /**
      * Generates markdown report with portfolio heatmap table for a strategy.
      *
@@ -6764,7 +6764,7 @@ declare class HeatUtils {
      * // ...
      * ```
      */
-    getReport: (strategyName: StrategyName, backtest: boolean, columns?: Columns$2[]) => Promise<string>;
+    getReport: (strategyName: StrategyName, backtest?: boolean, columns?: Columns$2[]) => Promise<string>;
     /**
      * Saves heatmap report to disk for a strategy.
      *
@@ -6784,7 +6784,7 @@ declare class HeatUtils {
      * await Heat.dump("my-strategy", "./reports");
      * ```
      */
-    dump: (strategyName: StrategyName, backtest: boolean, path?: string, columns?: Columns$2[]) => Promise<void>;
+    dump: (strategyName: StrategyName, backtest?: boolean, path?: string, columns?: Columns$2[]) => Promise<void>;
 }
 /**
  * Singleton instance of HeatUtils for convenient heatmap operations.
@@ -7218,7 +7218,7 @@ declare class PartialUtils {
      * }
      * ```
      */
-    getData: (symbol: string, strategyName: string, backtest: boolean) => Promise<PartialStatisticsModel>;
+    getData: (symbol: string, strategyName: string, backtest?: boolean) => Promise<PartialStatisticsModel>;
     /**
      * Generates markdown report with all partial profit/loss events for a symbol-strategy pair.
      *
@@ -7258,7 +7258,7 @@ declare class PartialUtils {
      * // **Loss events:** 1
      * ```
      */
-    getReport: (symbol: string, strategyName: string, backtest: boolean, columns?: Columns$1[]) => Promise<string>;
+    getReport: (symbol: string, strategyName: string, backtest?: boolean, columns?: Columns$1[]) => Promise<string>;
     /**
      * Generates and saves markdown report to file.
      *
@@ -7291,7 +7291,7 @@ declare class PartialUtils {
      * }
      * ```
      */
-    dump: (symbol: string, strategyName: string, backtest: boolean, path?: string, columns?: Columns$1[]) => Promise<void>;
+    dump: (symbol: string, strategyName: string, backtest?: boolean, path?: string, columns?: Columns$1[]) => Promise<void>;
 }
 /**
  * Global singleton instance of PartialUtils.
@@ -7617,7 +7617,7 @@ declare class RiskUtils {
      * }
      * ```
      */
-    getData: (symbol: string, strategyName: string, backtest: boolean) => Promise<RiskStatisticsModel>;
+    getData: (symbol: string, strategyName: string, backtest?: boolean) => Promise<RiskStatisticsModel>;
     /**
      * Generates markdown report with all risk rejection events for a symbol-strategy pair.
      *
@@ -7659,7 +7659,7 @@ declare class RiskUtils {
      * // - my-strategy: 1
      * ```
      */
-    getReport: (symbol: string, strategyName: string, backtest: boolean, columns?: Columns[]) => Promise<string>;
+    getReport: (symbol: string, strategyName: string, backtest?: boolean, columns?: Columns[]) => Promise<string>;
     /**
      * Generates and saves markdown report to file.
      *
@@ -7692,7 +7692,7 @@ declare class RiskUtils {
      * }
      * ```
      */
-    dump: (symbol: string, strategyName: string, backtest: boolean, path?: string, columns?: Columns[]) => Promise<void>;
+    dump: (symbol: string, strategyName: string, backtest?: boolean, path?: string, columns?: Columns[]) => Promise<void>;
 }
 /**
  * Global singleton instance of RiskUtils.
@@ -7720,7 +7720,10 @@ declare const Risk: RiskUtils;
  * ```typescript
  * import { Exchange } from "./classes/Exchange";
  *
- * const candles = await Exchange.getCandles("BTCUSDT", "1m", new Date(), 100, {
+ * const candles = await Exchange.getCandles("BTCUSDT", "1m", 100, {
+ *   exchangeName: "binance"
+ * });
+ * const vwap = await Exchange.getAveragePrice("BTCUSDT", {
  *   exchangeName: "binance"
  * });
  * const formatted = await Exchange.formatQuantity("BTCUSDT", 0.001, {
@@ -7737,16 +7740,28 @@ declare class ExchangeUtils {
     /**
      * Fetch candles from data source (API or database).
      *
+     * Automatically calculates the start date based on Date.now() and the requested interval/limit.
+     * Uses the same logic as ClientExchange to ensure backwards compatibility.
+     *
      * @param symbol - Trading pair symbol (e.g., "BTCUSDT")
      * @param interval - Candle time interval (e.g., "1m", "1h")
-     * @param since - Start date for candle fetching
      * @param limit - Maximum number of candles to fetch
      * @param context - Execution context with exchange name
      * @returns Promise resolving to array of OHLCV candle data
      */
-    getCandles: (symbol: string, interval: CandleInterval, since: Date, limit: number, context: {
+    getCandles: (symbol: string, interval: CandleInterval, limit: number, context: {
         exchangeName: ExchangeName;
     }) => Promise<ICandleData[]>;
+    /**
+     * Calculates VWAP (Volume Weighted Average Price) from last N 1m candles.
+     *
+     * @param symbol - Trading pair symbol
+     * @param context - Execution context with exchange name
+     * @returns Promise resolving to VWAP price
+     */
+    getAveragePrice: (symbol: string, context: {
+        exchangeName: ExchangeName;
+    }) => Promise<number>;
     /**
      * Format quantity according to exchange precision rules.
      *
@@ -7778,7 +7793,10 @@ declare class ExchangeUtils {
  * import { Exchange } from "./classes/Exchange";
  *
  * // Using static-like API with context
- * const candles = await Exchange.getCandles("BTCUSDT", "1m", new Date(), 100, {
+ * const candles = await Exchange.getCandles("BTCUSDT", "1m", 100, {
+ *   exchangeName: "binance"
+ * });
+ * const vwap = await Exchange.getAveragePrice("BTCUSDT", {
  *   exchangeName: "binance"
  * });
  * const qty = await Exchange.formatQuantity("BTCUSDT", 0.001, {
@@ -7790,7 +7808,8 @@ declare class ExchangeUtils {
  *
  * // Using instance API (no context needed, exchange set in constructor)
  * const binance = new ExchangeInstance("binance");
- * const candles2 = await binance.getCandles("BTCUSDT", "1m", new Date(), 100);
+ * const candles2 = await binance.getCandles("BTCUSDT", "1m", 100);
+ * const vwap2 = await binance.getAveragePrice("BTCUSDT");
  * ```
  */
 declare const Exchange: ExchangeUtils;