backtest-kit 2.1.2 → 2.2.1
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- package/build/index.cjs +463 -2324
- package/build/index.mjs +465 -2318
- package/package.json +1 -1
- package/types.d.ts +111 -1325
package/build/index.cjs
CHANGED
|
@@ -8,10 +8,8 @@ var path = require('path');
|
|
|
8
8
|
var crypto = require('crypto');
|
|
9
9
|
var os = require('os');
|
|
10
10
|
var fs$1 = require('fs');
|
|
11
|
-
var module$1 = require('module');
|
|
12
11
|
var util = require('util');
|
|
13
12
|
|
|
14
|
-
var _documentCurrentScript = typeof document !== 'undefined' ? document.currentScript : null;
|
|
15
13
|
function _interopNamespaceDefault(e) {
|
|
16
14
|
var n = Object.create(null);
|
|
17
15
|
if (e) {
|
|
@@ -73,7 +71,6 @@ const connectionServices$1 = {
|
|
|
73
71
|
sizingConnectionService: Symbol('sizingConnectionService'),
|
|
74
72
|
riskConnectionService: Symbol('riskConnectionService'),
|
|
75
73
|
actionConnectionService: Symbol('actionConnectionService'),
|
|
76
|
-
optimizerConnectionService: Symbol('optimizerConnectionService'),
|
|
77
74
|
partialConnectionService: Symbol('partialConnectionService'),
|
|
78
75
|
breakevenConnectionService: Symbol('breakevenConnectionService'),
|
|
79
76
|
};
|
|
@@ -85,7 +82,6 @@ const schemaServices$1 = {
|
|
|
85
82
|
sizingSchemaService: Symbol('sizingSchemaService'),
|
|
86
83
|
riskSchemaService: Symbol('riskSchemaService'),
|
|
87
84
|
actionSchemaService: Symbol('actionSchemaService'),
|
|
88
|
-
optimizerSchemaService: Symbol('optimizerSchemaService'),
|
|
89
85
|
};
|
|
90
86
|
const coreServices$1 = {
|
|
91
87
|
exchangeCoreService: Symbol('exchangeCoreService'),
|
|
@@ -96,7 +92,6 @@ const coreServices$1 = {
|
|
|
96
92
|
const globalServices$1 = {
|
|
97
93
|
sizingGlobalService: Symbol('sizingGlobalService'),
|
|
98
94
|
riskGlobalService: Symbol('riskGlobalService'),
|
|
99
|
-
optimizerGlobalService: Symbol('optimizerGlobalService'),
|
|
100
95
|
partialGlobalService: Symbol('partialGlobalService'),
|
|
101
96
|
breakevenGlobalService: Symbol('breakevenGlobalService'),
|
|
102
97
|
};
|
|
@@ -146,16 +141,9 @@ const validationServices$1 = {
|
|
|
146
141
|
sizingValidationService: Symbol('sizingValidationService'),
|
|
147
142
|
riskValidationService: Symbol('riskValidationService'),
|
|
148
143
|
actionValidationService: Symbol('actionValidationService'),
|
|
149
|
-
optimizerValidationService: Symbol('optimizerValidationService'),
|
|
150
144
|
configValidationService: Symbol('configValidationService'),
|
|
151
145
|
columnValidationService: Symbol('columnValidationService'),
|
|
152
146
|
};
|
|
153
|
-
const templateServices$1 = {
|
|
154
|
-
optimizerTemplateService: Symbol('optimizerTemplateService'),
|
|
155
|
-
};
|
|
156
|
-
const promptServices$1 = {
|
|
157
|
-
signalPromptService: Symbol('signalPromptService'),
|
|
158
|
-
};
|
|
159
147
|
const TYPES = {
|
|
160
148
|
...baseServices$1,
|
|
161
149
|
...contextServices$1,
|
|
@@ -169,8 +157,6 @@ const TYPES = {
|
|
|
169
157
|
...markdownServices$1,
|
|
170
158
|
...reportServices$1,
|
|
171
159
|
...validationServices$1,
|
|
172
|
-
...templateServices$1,
|
|
173
|
-
...promptServices$1,
|
|
174
160
|
};
|
|
175
161
|
|
|
176
162
|
/**
|
|
@@ -494,11 +480,6 @@ const progressBacktestEmitter = new functoolsKit.Subject();
|
|
|
494
480
|
* Emits progress updates during walker execution.
|
|
495
481
|
*/
|
|
496
482
|
const progressWalkerEmitter = new functoolsKit.Subject();
|
|
497
|
-
/**
|
|
498
|
-
* Progress emitter for optimizer execution progress.
|
|
499
|
-
* Emits progress updates during optimizer execution.
|
|
500
|
-
*/
|
|
501
|
-
const progressOptimizerEmitter = new functoolsKit.Subject();
|
|
502
483
|
/**
|
|
503
484
|
* Performance emitter for execution metrics.
|
|
504
485
|
* Emits performance metrics for profiling and bottleneck detection.
|
|
@@ -573,7 +554,6 @@ var emitters = /*#__PURE__*/Object.freeze({
|
|
|
573
554
|
partialProfitSubject: partialProfitSubject,
|
|
574
555
|
performanceEmitter: performanceEmitter,
|
|
575
556
|
progressBacktestEmitter: progressBacktestEmitter,
|
|
576
|
-
progressOptimizerEmitter: progressOptimizerEmitter,
|
|
577
557
|
progressWalkerEmitter: progressWalkerEmitter,
|
|
578
558
|
riskSubject: riskSubject,
|
|
579
559
|
schedulePingSubject: schedulePingSubject,
|
|
@@ -1667,6 +1647,7 @@ class PersistCandleUtils {
|
|
|
1667
1647
|
*/
|
|
1668
1648
|
const PersistCandleAdapter = new PersistCandleUtils();
|
|
1669
1649
|
|
|
1650
|
+
const MS_PER_MINUTE$1 = 60000;
|
|
1670
1651
|
const INTERVAL_MINUTES$4 = {
|
|
1671
1652
|
"1m": 1,
|
|
1672
1653
|
"3m": 3,
|
|
@@ -1812,7 +1793,7 @@ const WRITE_CANDLES_CACHE_FN$1 = functoolsKit.trycatch(functoolsKit.queued(async
|
|
|
1812
1793
|
const GET_CANDLES_FN = async (dto, since, self) => {
|
|
1813
1794
|
const step = INTERVAL_MINUTES$4[dto.interval];
|
|
1814
1795
|
const sinceTimestamp = since.getTime();
|
|
1815
|
-
const untilTimestamp = sinceTimestamp + dto.limit * step *
|
|
1796
|
+
const untilTimestamp = sinceTimestamp + dto.limit * step * MS_PER_MINUTE$1;
|
|
1816
1797
|
// Try to read from cache first
|
|
1817
1798
|
const cachedCandles = await READ_CANDLES_CACHE_FN$1(dto, sinceTimestamp, untilTimestamp, self);
|
|
1818
1799
|
if (cachedCandles !== null) {
|
|
@@ -1918,7 +1899,7 @@ class ClientExchange {
|
|
|
1918
1899
|
if (!adjust) {
|
|
1919
1900
|
throw new Error(`ClientExchange unknown time adjust for interval=${interval}`);
|
|
1920
1901
|
}
|
|
1921
|
-
const since = new Date(this.params.execution.context.when.getTime() - adjust *
|
|
1902
|
+
const since = new Date(this.params.execution.context.when.getTime() - adjust * MS_PER_MINUTE$1);
|
|
1922
1903
|
let allData = [];
|
|
1923
1904
|
// If limit exceeds CC_MAX_CANDLES_PER_REQUEST, fetch data in chunks
|
|
1924
1905
|
if (limit > GLOBAL_CONFIG.CC_MAX_CANDLES_PER_REQUEST) {
|
|
@@ -1931,7 +1912,7 @@ class ClientExchange {
|
|
|
1931
1912
|
remaining -= chunkLimit;
|
|
1932
1913
|
if (remaining > 0) {
|
|
1933
1914
|
// Move currentSince forward by the number of candles fetched
|
|
1934
|
-
currentSince = new Date(currentSince.getTime() + chunkLimit * step *
|
|
1915
|
+
currentSince = new Date(currentSince.getTime() + chunkLimit * step * MS_PER_MINUTE$1);
|
|
1935
1916
|
}
|
|
1936
1917
|
}
|
|
1937
1918
|
}
|
|
@@ -1978,7 +1959,7 @@ class ClientExchange {
|
|
|
1978
1959
|
const now = Date.now();
|
|
1979
1960
|
// Вычисляем конечное время запроса
|
|
1980
1961
|
const step = INTERVAL_MINUTES$4[interval];
|
|
1981
|
-
const endTime = since.getTime() + limit * step *
|
|
1962
|
+
const endTime = since.getTime() + limit * step * MS_PER_MINUTE$1;
|
|
1982
1963
|
// Проверяем что запрошенный период не заходит за Date.now()
|
|
1983
1964
|
if (endTime > now) {
|
|
1984
1965
|
return [];
|
|
@@ -1995,7 +1976,7 @@ class ClientExchange {
|
|
|
1995
1976
|
remaining -= chunkLimit;
|
|
1996
1977
|
if (remaining > 0) {
|
|
1997
1978
|
// Move currentSince forward by the number of candles fetched
|
|
1998
|
-
currentSince = new Date(currentSince.getTime() + chunkLimit * step *
|
|
1979
|
+
currentSince = new Date(currentSince.getTime() + chunkLimit * step * MS_PER_MINUTE$1);
|
|
1999
1980
|
}
|
|
2000
1981
|
}
|
|
2001
1982
|
}
|
|
@@ -2090,22 +2071,19 @@ class ClientExchange {
|
|
|
2090
2071
|
/**
|
|
2091
2072
|
* Fetches raw candles with flexible date/limit parameters.
|
|
2092
2073
|
*
|
|
2093
|
-
*
|
|
2094
|
-
* - RAW MODE (sDate + eDate + limit): fetches exactly as specified, NO look-ahead bias protection
|
|
2095
|
-
* - Other modes: respects execution context and prevents look-ahead bias
|
|
2074
|
+
* All modes respect execution context and prevent look-ahead bias.
|
|
2096
2075
|
*
|
|
2097
2076
|
* Parameter combinations:
|
|
2098
|
-
* 1. sDate + eDate + limit:
|
|
2099
|
-
* 2. sDate + eDate: calculates limit from date range, validates
|
|
2100
|
-
* 3. eDate + limit: calculates sDate backward, validates
|
|
2101
|
-
* 4. sDate + limit: fetches forward, validates endTimestamp <= when
|
|
2077
|
+
* 1. sDate + eDate + limit: fetches with explicit parameters, validates eDate <= when
|
|
2078
|
+
* 2. sDate + eDate: calculates limit from date range, validates eDate <= when
|
|
2079
|
+
* 3. eDate + limit: calculates sDate backward, validates eDate <= when
|
|
2080
|
+
* 4. sDate + limit: fetches forward, validates calculated endTimestamp <= when
|
|
2102
2081
|
* 5. Only limit: uses execution.context.when as reference (backward)
|
|
2103
2082
|
*
|
|
2104
2083
|
* Edge cases:
|
|
2105
2084
|
* - If calculated limit is 0 or negative: throws error
|
|
2106
2085
|
* - If sDate >= eDate: throws error
|
|
2107
|
-
* - If
|
|
2108
|
-
* - If endTimestamp > when (non-RAW modes only): throws error to prevent look-ahead bias
|
|
2086
|
+
* - If eDate > when: throws error to prevent look-ahead bias
|
|
2109
2087
|
*
|
|
2110
2088
|
* @param symbol - Trading pair symbol
|
|
2111
2089
|
* @param interval - Candle interval
|
|
@@ -2124,73 +2102,75 @@ class ClientExchange {
|
|
|
2124
2102
|
eDate,
|
|
2125
2103
|
});
|
|
2126
2104
|
const step = INTERVAL_MINUTES$4[interval];
|
|
2127
|
-
|
|
2128
|
-
|
|
2129
|
-
|
|
2130
|
-
|
|
2131
|
-
let
|
|
2132
|
-
let
|
|
2133
|
-
|
|
2134
|
-
|
|
2135
|
-
|
|
2136
|
-
limit !== undefined) {
|
|
2137
|
-
isRawMode = true;
|
|
2105
|
+
if (!step) {
|
|
2106
|
+
throw new Error(`ClientExchange getRawCandles: unknown interval=${interval}`);
|
|
2107
|
+
}
|
|
2108
|
+
const whenTimestamp = this.params.execution.context.when.getTime();
|
|
2109
|
+
let sinceTimestamp;
|
|
2110
|
+
let untilTimestamp;
|
|
2111
|
+
let calculatedLimit;
|
|
2112
|
+
// Case 1: all three parameters provided
|
|
2113
|
+
if (sDate !== undefined && eDate !== undefined && limit !== undefined) {
|
|
2138
2114
|
if (sDate >= eDate) {
|
|
2139
|
-
throw new Error(`ClientExchange getRawCandles: sDate (${sDate}) must be
|
|
2115
|
+
throw new Error(`ClientExchange getRawCandles: sDate (${sDate}) must be < eDate (${eDate})`);
|
|
2140
2116
|
}
|
|
2141
|
-
|
|
2142
|
-
|
|
2143
|
-
|
|
2117
|
+
if (eDate > whenTimestamp) {
|
|
2118
|
+
throw new Error(`ClientExchange getRawCandles: eDate (${eDate}) exceeds execution context when (${whenTimestamp}). Look-ahead bias protection.`);
|
|
2119
|
+
}
|
|
2120
|
+
sinceTimestamp = sDate;
|
|
2121
|
+
untilTimestamp = eDate;
|
|
2122
|
+
calculatedLimit = limit;
|
|
2144
2123
|
}
|
|
2145
|
-
// Case 2: sDate + eDate - calculate limit
|
|
2124
|
+
// Case 2: sDate + eDate (no limit) - calculate limit from date range
|
|
2146
2125
|
else if (sDate !== undefined && eDate !== undefined && limit === undefined) {
|
|
2147
2126
|
if (sDate >= eDate) {
|
|
2148
|
-
throw new Error(`ClientExchange getRawCandles: sDate (${sDate}) must be
|
|
2149
|
-
}
|
|
2150
|
-
|
|
2151
|
-
|
|
2152
|
-
|
|
2153
|
-
|
|
2154
|
-
|
|
2155
|
-
|
|
2156
|
-
|
|
2157
|
-
|
|
2158
|
-
|
|
2159
|
-
|
|
2160
|
-
|
|
2161
|
-
|
|
2162
|
-
|
|
2163
|
-
|
|
2164
|
-
|
|
2165
|
-
|
|
2166
|
-
|
|
2167
|
-
|
|
2168
|
-
|
|
2169
|
-
|
|
2170
|
-
|
|
2171
|
-
|
|
2172
|
-
|
|
2173
|
-
|
|
2174
|
-
|
|
2175
|
-
|
|
2176
|
-
|
|
2177
|
-
else {
|
|
2178
|
-
throw new Error(`ClientExchange getRawCandles: invalid parameter combination. Must provide either (limit), (eDate+limit), (sDate+limit), (sDate+eDate), or (sDate+eDate+limit)`);
|
|
2127
|
+
throw new Error(`ClientExchange getRawCandles: sDate (${sDate}) must be < eDate (${eDate})`);
|
|
2128
|
+
}
|
|
2129
|
+
if (eDate > whenTimestamp) {
|
|
2130
|
+
throw new Error(`ClientExchange getRawCandles: eDate (${eDate}) exceeds execution context when (${whenTimestamp}). Look-ahead bias protection.`);
|
|
2131
|
+
}
|
|
2132
|
+
sinceTimestamp = sDate;
|
|
2133
|
+
untilTimestamp = eDate;
|
|
2134
|
+
calculatedLimit = Math.ceil((eDate - sDate) / (step * MS_PER_MINUTE$1));
|
|
2135
|
+
if (calculatedLimit <= 0) {
|
|
2136
|
+
throw new Error(`ClientExchange getRawCandles: calculated limit is ${calculatedLimit}, must be > 0`);
|
|
2137
|
+
}
|
|
2138
|
+
}
|
|
2139
|
+
// Case 3: eDate + limit (no sDate) - calculate sDate backward from eDate
|
|
2140
|
+
else if (sDate === undefined && eDate !== undefined && limit !== undefined) {
|
|
2141
|
+
if (eDate > whenTimestamp) {
|
|
2142
|
+
throw new Error(`ClientExchange getRawCandles: eDate (${eDate}) exceeds execution context when (${whenTimestamp}). Look-ahead bias protection.`);
|
|
2143
|
+
}
|
|
2144
|
+
untilTimestamp = eDate;
|
|
2145
|
+
sinceTimestamp = eDate - limit * step * MS_PER_MINUTE$1;
|
|
2146
|
+
calculatedLimit = limit;
|
|
2147
|
+
}
|
|
2148
|
+
// Case 4: sDate + limit (no eDate) - calculate eDate forward from sDate
|
|
2149
|
+
else if (sDate !== undefined && eDate === undefined && limit !== undefined) {
|
|
2150
|
+
sinceTimestamp = sDate;
|
|
2151
|
+
untilTimestamp = sDate + limit * step * MS_PER_MINUTE$1;
|
|
2152
|
+
if (untilTimestamp > whenTimestamp) {
|
|
2153
|
+
throw new Error(`ClientExchange getRawCandles: calculated endTimestamp (${untilTimestamp}) exceeds execution context when (${whenTimestamp}). Look-ahead bias protection.`);
|
|
2154
|
+
}
|
|
2155
|
+
calculatedLimit = limit;
|
|
2179
2156
|
}
|
|
2180
|
-
//
|
|
2181
|
-
if (
|
|
2182
|
-
|
|
2157
|
+
// Case 5: Only limit - use execution.context.when as reference (backward like getCandles)
|
|
2158
|
+
else if (sDate === undefined && eDate === undefined && limit !== undefined) {
|
|
2159
|
+
untilTimestamp = whenTimestamp;
|
|
2160
|
+
sinceTimestamp = whenTimestamp - limit * step * MS_PER_MINUTE$1;
|
|
2161
|
+
calculatedLimit = limit;
|
|
2183
2162
|
}
|
|
2184
|
-
//
|
|
2185
|
-
|
|
2186
|
-
|
|
2187
|
-
|
|
2163
|
+
// Invalid: no parameters or only sDate or only eDate
|
|
2164
|
+
else {
|
|
2165
|
+
throw new Error(`ClientExchange getRawCandles: invalid parameter combination. ` +
|
|
2166
|
+
`Provide one of: (sDate+eDate+limit), (sDate+eDate), (eDate+limit), (sDate+limit), or (limit only). ` +
|
|
2167
|
+
`Got: sDate=${sDate}, eDate=${eDate}, limit=${limit}`);
|
|
2188
2168
|
}
|
|
2189
|
-
|
|
2169
|
+
// Fetch candles using existing logic
|
|
2170
|
+
const since = new Date(sinceTimestamp);
|
|
2190
2171
|
let allData = [];
|
|
2191
|
-
|
|
2192
|
-
|
|
2193
|
-
let remaining = candleLimit;
|
|
2172
|
+
if (calculatedLimit > GLOBAL_CONFIG.CC_MAX_CANDLES_PER_REQUEST) {
|
|
2173
|
+
let remaining = calculatedLimit;
|
|
2194
2174
|
let currentSince = new Date(since.getTime());
|
|
2195
2175
|
while (remaining > 0) {
|
|
2196
2176
|
const chunkLimit = Math.min(remaining, GLOBAL_CONFIG.CC_MAX_CANDLES_PER_REQUEST);
|
|
@@ -2198,16 +2178,16 @@ class ClientExchange {
|
|
|
2198
2178
|
allData.push(...chunkData);
|
|
2199
2179
|
remaining -= chunkLimit;
|
|
2200
2180
|
if (remaining > 0) {
|
|
2201
|
-
currentSince = new Date(currentSince.getTime() + chunkLimit *
|
|
2181
|
+
currentSince = new Date(currentSince.getTime() + chunkLimit * step * MS_PER_MINUTE$1);
|
|
2202
2182
|
}
|
|
2203
2183
|
}
|
|
2204
2184
|
}
|
|
2205
2185
|
else {
|
|
2206
|
-
allData = await GET_CANDLES_FN({ symbol, interval, limit:
|
|
2186
|
+
allData = await GET_CANDLES_FN({ symbol, interval, limit: calculatedLimit }, since, this);
|
|
2207
2187
|
}
|
|
2208
2188
|
// Filter candles to strictly match the requested range
|
|
2209
|
-
const filteredData = allData.filter((candle) => candle.timestamp >=
|
|
2210
|
-
candle.timestamp <
|
|
2189
|
+
const filteredData = allData.filter((candle) => candle.timestamp >= sinceTimestamp &&
|
|
2190
|
+
candle.timestamp < untilTimestamp);
|
|
2211
2191
|
// Apply distinct by timestamp to remove duplicates
|
|
2212
2192
|
const uniqueData = Array.from(new Map(filteredData.map((candle) => [candle.timestamp, candle])).values());
|
|
2213
2193
|
if (filteredData.length !== uniqueData.length) {
|
|
@@ -2215,12 +2195,12 @@ class ClientExchange {
|
|
|
2215
2195
|
this.params.logger.warn(msg);
|
|
2216
2196
|
console.warn(msg);
|
|
2217
2197
|
}
|
|
2218
|
-
if (uniqueData.length <
|
|
2219
|
-
const msg = `ClientExchange getRawCandles: Expected ${
|
|
2198
|
+
if (uniqueData.length < calculatedLimit) {
|
|
2199
|
+
const msg = `ClientExchange getRawCandles: Expected ${calculatedLimit} candles, got ${uniqueData.length}`;
|
|
2220
2200
|
this.params.logger.warn(msg);
|
|
2221
2201
|
console.warn(msg);
|
|
2222
2202
|
}
|
|
2223
|
-
await CALL_CANDLE_DATA_CALLBACKS_FN(this, symbol, interval, since,
|
|
2203
|
+
await CALL_CANDLE_DATA_CALLBACKS_FN(this, symbol, interval, since, calculatedLimit, uniqueData);
|
|
2224
2204
|
return uniqueData;
|
|
2225
2205
|
}
|
|
2226
2206
|
/**
|
|
@@ -2242,7 +2222,7 @@ class ClientExchange {
|
|
|
2242
2222
|
});
|
|
2243
2223
|
const to = new Date(this.params.execution.context.when.getTime());
|
|
2244
2224
|
const from = new Date(to.getTime() -
|
|
2245
|
-
GLOBAL_CONFIG.CC_ORDER_BOOK_TIME_OFFSET_MINUTES *
|
|
2225
|
+
GLOBAL_CONFIG.CC_ORDER_BOOK_TIME_OFFSET_MINUTES * MS_PER_MINUTE$1);
|
|
2246
2226
|
return await this.params.getOrderBook(symbol, depth, from, to, this.params.execution.context.backtest);
|
|
2247
2227
|
}
|
|
2248
2228
|
}
|
|
@@ -2433,6 +2413,28 @@ class ExchangeConnectionService {
|
|
|
2433
2413
|
});
|
|
2434
2414
|
return await this.getExchange(this.methodContextService.context.exchangeName).getOrderBook(symbol, depth);
|
|
2435
2415
|
};
|
|
2416
|
+
/**
|
|
2417
|
+
* Fetches raw candles with flexible date/limit parameters.
|
|
2418
|
+
*
|
|
2419
|
+
* Routes to exchange determined by methodContextService.context.exchangeName.
|
|
2420
|
+
*
|
|
2421
|
+
* @param symbol - Trading pair symbol (e.g., "BTCUSDT")
|
|
2422
|
+
* @param interval - Candle interval (e.g., "1h", "1d")
|
|
2423
|
+
* @param limit - Optional number of candles to fetch
|
|
2424
|
+
* @param sDate - Optional start date in milliseconds
|
|
2425
|
+
* @param eDate - Optional end date in milliseconds
|
|
2426
|
+
* @returns Promise resolving to array of candle data
|
|
2427
|
+
*/
|
|
2428
|
+
this.getRawCandles = async (symbol, interval, limit, sDate, eDate) => {
|
|
2429
|
+
this.loggerService.log("exchangeConnectionService getRawCandles", {
|
|
2430
|
+
symbol,
|
|
2431
|
+
interval,
|
|
2432
|
+
limit,
|
|
2433
|
+
sDate,
|
|
2434
|
+
eDate,
|
|
2435
|
+
});
|
|
2436
|
+
return await this.getExchange(this.methodContextService.context.exchangeName).getRawCandles(symbol, interval, limit, sDate, eDate);
|
|
2437
|
+
};
|
|
2436
2438
|
}
|
|
2437
2439
|
}
|
|
2438
2440
|
|
|
@@ -9976,6 +9978,40 @@ class ExchangeCoreService {
|
|
|
9976
9978
|
backtest,
|
|
9977
9979
|
});
|
|
9978
9980
|
};
|
|
9981
|
+
/**
|
|
9982
|
+
* Fetches raw candles with flexible date/limit parameters and execution context.
|
|
9983
|
+
*
|
|
9984
|
+
* @param symbol - Trading pair symbol
|
|
9985
|
+
* @param interval - Candle interval (e.g., "1m", "1h")
|
|
9986
|
+
* @param when - Timestamp for context (used in backtest mode)
|
|
9987
|
+
* @param backtest - Whether running in backtest mode
|
|
9988
|
+
* @param limit - Optional number of candles to fetch
|
|
9989
|
+
* @param sDate - Optional start date in milliseconds
|
|
9990
|
+
* @param eDate - Optional end date in milliseconds
|
|
9991
|
+
* @returns Promise resolving to array of candles
|
|
9992
|
+
*/
|
|
9993
|
+
this.getRawCandles = async (symbol, interval, when, backtest, limit, sDate, eDate) => {
|
|
9994
|
+
this.loggerService.log("exchangeCoreService getRawCandles", {
|
|
9995
|
+
symbol,
|
|
9996
|
+
interval,
|
|
9997
|
+
when,
|
|
9998
|
+
backtest,
|
|
9999
|
+
limit,
|
|
10000
|
+
sDate,
|
|
10001
|
+
eDate,
|
|
10002
|
+
});
|
|
10003
|
+
if (!MethodContextService.hasContext()) {
|
|
10004
|
+
throw new Error("exchangeCoreService getRawCandles requires a method context");
|
|
10005
|
+
}
|
|
10006
|
+
await this.validate(this.methodContextService.context.exchangeName);
|
|
10007
|
+
return await ExecutionContextService.runInContext(async () => {
|
|
10008
|
+
return await this.exchangeConnectionService.getRawCandles(symbol, interval, limit, sDate, eDate);
|
|
10009
|
+
}, {
|
|
10010
|
+
symbol,
|
|
10011
|
+
when,
|
|
10012
|
+
backtest,
|
|
10013
|
+
});
|
|
10014
|
+
};
|
|
9979
10015
|
}
|
|
9980
10016
|
}
|
|
9981
10017
|
|
|
@@ -18365,1469 +18401,120 @@ class ActionValidationService {
|
|
|
18365
18401
|
}
|
|
18366
18402
|
|
|
18367
18403
|
/**
|
|
18368
|
-
*
|
|
18369
|
-
*
|
|
18404
|
+
* Symbol marker indicating that partial state needs initialization.
|
|
18405
|
+
* Used as sentinel value for _states before waitForInit() is called.
|
|
18406
|
+
*/
|
|
18407
|
+
const NEED_FETCH$1 = Symbol("need_fetch");
|
|
18408
|
+
/**
|
|
18409
|
+
* Array of profit level milestones to track (10%, 20%, ..., 100%).
|
|
18410
|
+
* Each level is checked during profit() method to emit events for newly reached levels.
|
|
18411
|
+
*/
|
|
18412
|
+
const PROFIT_LEVELS = [10, 20, 30, 40, 50, 60, 70, 80, 90, 100];
|
|
18413
|
+
/**
|
|
18414
|
+
* Array of loss level milestones to track (-10%, -20%, ..., -100%).
|
|
18415
|
+
* Each level is checked during loss() method to emit events for newly reached levels.
|
|
18416
|
+
*/
|
|
18417
|
+
const LOSS_LEVELS = [10, 20, 30, 40, 50, 60, 70, 80, 90, 100];
|
|
18418
|
+
/**
|
|
18419
|
+
* Internal profit handler function for ClientPartial.
|
|
18370
18420
|
*
|
|
18371
|
-
*
|
|
18372
|
-
*
|
|
18373
|
-
* - JSON structured output for signals
|
|
18374
|
-
* - Debug logging to ./dump/strategy
|
|
18375
|
-
* - CCXT exchange integration
|
|
18376
|
-
* - Walker-based strategy comparison
|
|
18421
|
+
* Checks which profit levels have been reached and emits events for new levels only.
|
|
18422
|
+
* Uses Set-based deduplication to prevent duplicate events.
|
|
18377
18423
|
*
|
|
18378
|
-
*
|
|
18424
|
+
* @param symbol - Trading pair symbol
|
|
18425
|
+
* @param data - Signal row data
|
|
18426
|
+
* @param currentPrice - Current market price
|
|
18427
|
+
* @param revenuePercent - Current profit percentage (positive value)
|
|
18428
|
+
* @param backtest - True if backtest mode
|
|
18429
|
+
* @param when - Event timestamp
|
|
18430
|
+
* @param self - ClientPartial instance reference
|
|
18379
18431
|
*/
|
|
18380
|
-
|
|
18381
|
-
|
|
18382
|
-
|
|
18383
|
-
|
|
18384
|
-
|
|
18385
|
-
|
|
18386
|
-
|
|
18387
|
-
|
|
18388
|
-
|
|
18389
|
-
|
|
18390
|
-
|
|
18391
|
-
|
|
18392
|
-
});
|
|
18393
|
-
return [
|
|
18394
|
-
"#!/usr/bin/env node",
|
|
18395
|
-
"",
|
|
18396
|
-
`import { Ollama } from "ollama";`,
|
|
18397
|
-
`import ccxt from "ccxt";`,
|
|
18398
|
-
`import {`,
|
|
18399
|
-
` addExchangeSchema,`,
|
|
18400
|
-
` addStrategySchema,`,
|
|
18401
|
-
` addFrameSchema,`,
|
|
18402
|
-
` addWalkerSchema,`,
|
|
18403
|
-
` Walker,`,
|
|
18404
|
-
` Backtest,`,
|
|
18405
|
-
` getCandles,`,
|
|
18406
|
-
` listenSignalBacktest,`,
|
|
18407
|
-
` listenWalkerComplete,`,
|
|
18408
|
-
` listenDoneBacktest,`,
|
|
18409
|
-
` listenBacktestProgress,`,
|
|
18410
|
-
` listenWalkerProgress,`,
|
|
18411
|
-
` listenError,`,
|
|
18412
|
-
` Markdown,`,
|
|
18413
|
-
`} from "backtest-kit";`,
|
|
18414
|
-
`import { promises as fs } from "fs";`,
|
|
18415
|
-
`import { v4 as uuid } from "uuid";`,
|
|
18416
|
-
`import path from "path";`,
|
|
18417
|
-
``,
|
|
18418
|
-
`const WARN_KB = 100;`,
|
|
18419
|
-
``,
|
|
18420
|
-
`Markdown.enable()`,
|
|
18421
|
-
].join("\n");
|
|
18422
|
-
};
|
|
18423
|
-
/**
|
|
18424
|
-
* Generates default user message for LLM conversation.
|
|
18425
|
-
* Simple prompt to read and acknowledge data.
|
|
18426
|
-
*
|
|
18427
|
-
* @param symbol - Trading pair symbol
|
|
18428
|
-
* @param data - Fetched data array
|
|
18429
|
-
* @param name - Source name
|
|
18430
|
-
* @returns User message with JSON data
|
|
18431
|
-
*/
|
|
18432
|
-
this.getUserMessage = async (symbol, data, name) => {
|
|
18433
|
-
this.loggerService.log("optimizerTemplateService getUserMessage", {
|
|
18434
|
-
symbol,
|
|
18435
|
-
data,
|
|
18436
|
-
name,
|
|
18437
|
-
});
|
|
18438
|
-
return ["Прочитай данные и скажи ОК", "", JSON.stringify(data)].join("\n");
|
|
18439
|
-
};
|
|
18440
|
-
/**
|
|
18441
|
-
* Generates default assistant message for LLM conversation.
|
|
18442
|
-
* Simple acknowledgment response.
|
|
18443
|
-
*
|
|
18444
|
-
* @param symbol - Trading pair symbol
|
|
18445
|
-
* @param data - Fetched data array
|
|
18446
|
-
* @param name - Source name
|
|
18447
|
-
* @returns Assistant acknowledgment message
|
|
18448
|
-
*/
|
|
18449
|
-
this.getAssistantMessage = async (symbol, data, name) => {
|
|
18450
|
-
this.loggerService.log("optimizerTemplateService getAssistantMessage", {
|
|
18451
|
-
symbol,
|
|
18452
|
-
data,
|
|
18453
|
-
name,
|
|
18454
|
-
});
|
|
18455
|
-
return "ОК";
|
|
18456
|
-
};
|
|
18457
|
-
/**
|
|
18458
|
-
* Generates Walker configuration code.
|
|
18459
|
-
* Compares multiple strategies on test frame.
|
|
18460
|
-
*
|
|
18461
|
-
* @param walkerName - Unique walker identifier
|
|
18462
|
-
* @param exchangeName - Exchange to use for backtesting
|
|
18463
|
-
* @param frameName - Test frame name
|
|
18464
|
-
* @param strategies - Array of strategy names to compare
|
|
18465
|
-
* @returns Generated addWalker() call
|
|
18466
|
-
*/
|
|
18467
|
-
this.getWalkerTemplate = async (walkerName, exchangeName, frameName, strategies) => {
|
|
18468
|
-
this.loggerService.log("optimizerTemplateService getWalkerTemplate", {
|
|
18469
|
-
walkerName,
|
|
18470
|
-
exchangeName,
|
|
18471
|
-
frameName,
|
|
18472
|
-
strategies,
|
|
18473
|
-
});
|
|
18474
|
-
// Escape special characters to prevent code injection
|
|
18475
|
-
const escapedWalkerName = String(walkerName)
|
|
18476
|
-
.replace(/\\/g, '\\\\')
|
|
18477
|
-
.replace(/"/g, '\\"');
|
|
18478
|
-
const escapedExchangeName = String(exchangeName)
|
|
18479
|
-
.replace(/\\/g, '\\\\')
|
|
18480
|
-
.replace(/"/g, '\\"');
|
|
18481
|
-
const escapedFrameName = String(frameName)
|
|
18482
|
-
.replace(/\\/g, '\\\\')
|
|
18483
|
-
.replace(/"/g, '\\"');
|
|
18484
|
-
const escapedStrategies = strategies.map((s) => String(s).replace(/\\/g, '\\\\').replace(/"/g, '\\"'));
|
|
18485
|
-
return [
|
|
18486
|
-
`addWalkerSchema({`,
|
|
18487
|
-
` walkerName: "${escapedWalkerName}",`,
|
|
18488
|
-
` exchangeName: "${escapedExchangeName}",`,
|
|
18489
|
-
` frameName: "${escapedFrameName}",`,
|
|
18490
|
-
` strategies: [${escapedStrategies.map((s) => `"${s}"`).join(", ")}],`,
|
|
18491
|
-
`});`
|
|
18492
|
-
].join("\n");
|
|
18493
|
-
};
|
|
18494
|
-
/**
|
|
18495
|
-
* Generates Strategy configuration with LLM integration.
|
|
18496
|
-
* Includes multi-timeframe analysis and signal generation.
|
|
18497
|
-
*
|
|
18498
|
-
* @param strategyName - Unique strategy identifier
|
|
18499
|
-
* @param interval - Signal throttling interval (e.g., "5m")
|
|
18500
|
-
* @param prompt - Strategy logic from getPrompt()
|
|
18501
|
-
* @returns Generated addStrategy() call with getSignal() function
|
|
18502
|
-
*/
|
|
18503
|
-
this.getStrategyTemplate = async (strategyName, interval, prompt) => {
|
|
18504
|
-
this.loggerService.log("optimizerTemplateService getStrategyTemplate", {
|
|
18505
|
-
strategyName,
|
|
18506
|
-
interval,
|
|
18507
|
-
prompt,
|
|
18508
|
-
});
|
|
18509
|
-
// Convert prompt to plain text first
|
|
18510
|
-
const plainPrompt = toPlainString(prompt);
|
|
18511
|
-
// Escape special characters to prevent code injection
|
|
18512
|
-
const escapedStrategyName = String(strategyName)
|
|
18513
|
-
.replace(/\\/g, '\\\\')
|
|
18514
|
-
.replace(/"/g, '\\"');
|
|
18515
|
-
const escapedInterval = String(interval)
|
|
18516
|
-
.replace(/\\/g, '\\\\')
|
|
18517
|
-
.replace(/"/g, '\\"');
|
|
18518
|
-
const escapedPrompt = String(plainPrompt)
|
|
18519
|
-
.replace(/\\/g, '\\\\')
|
|
18520
|
-
.replace(/`/g, '\\`')
|
|
18521
|
-
.replace(/\$/g, '\\$');
|
|
18522
|
-
return [
|
|
18523
|
-
`addStrategySchema({`,
|
|
18524
|
-
` strategyName: "${escapedStrategyName}",`,
|
|
18525
|
-
` interval: "${escapedInterval}",`,
|
|
18526
|
-
` getSignal: async (symbol) => {`,
|
|
18527
|
-
` const messages = [];`,
|
|
18528
|
-
``,
|
|
18529
|
-
` // Загружаем данные всех таймфреймов`,
|
|
18530
|
-
` const microTermCandles = await getCandles(symbol, "1m", 30);`,
|
|
18531
|
-
` const mainTermCandles = await getCandles(symbol, "5m", 24);`,
|
|
18532
|
-
` const shortTermCandles = await getCandles(symbol, "15m", 24);`,
|
|
18533
|
-
` const mediumTermCandles = await getCandles(symbol, "1h", 24);`,
|
|
18534
|
-
``,
|
|
18535
|
-
` function formatCandles(candles, timeframe) {`,
|
|
18536
|
-
` return candles.map((c) =>`,
|
|
18537
|
-
` \`\${new Date(c.timestamp).toISOString()}[\${timeframe}]: O:\${c.open} H:\${c.high} L:\${c.low} C:\${c.close} V:\${c.volume}\``,
|
|
18538
|
-
` ).join("\\n");`,
|
|
18539
|
-
` }`,
|
|
18540
|
-
``,
|
|
18541
|
-
` // Сообщение 1: Среднесрочный тренд`,
|
|
18542
|
-
` messages.push(`,
|
|
18543
|
-
` {`,
|
|
18544
|
-
` role: "user",`,
|
|
18545
|
-
` content: [`,
|
|
18546
|
-
` \`\${symbol}\`,`,
|
|
18547
|
-
` "Проанализируй свечи 1h:",`,
|
|
18548
|
-
` "",`,
|
|
18549
|
-
` formatCandles(mediumTermCandles, "1h")`,
|
|
18550
|
-
` ].join("\\n"),`,
|
|
18551
|
-
` },`,
|
|
18552
|
-
` {`,
|
|
18553
|
-
` role: "assistant",`,
|
|
18554
|
-
` content: "Тренд 1h проанализирован",`,
|
|
18555
|
-
` }`,
|
|
18556
|
-
` );`,
|
|
18557
|
-
``,
|
|
18558
|
-
` // Сообщение 2: Краткосрочный тренд`,
|
|
18559
|
-
` messages.push(`,
|
|
18560
|
-
` {`,
|
|
18561
|
-
` role: "user",`,
|
|
18562
|
-
` content: [`,
|
|
18563
|
-
` "Проанализируй свечи 15m:",`,
|
|
18564
|
-
` "",`,
|
|
18565
|
-
` formatCandles(shortTermCandles, "15m")`,
|
|
18566
|
-
` ].join("\\n"),`,
|
|
18567
|
-
` },`,
|
|
18568
|
-
` {`,
|
|
18569
|
-
` role: "assistant",`,
|
|
18570
|
-
` content: "Тренд 15m проанализирован",`,
|
|
18571
|
-
` }`,
|
|
18572
|
-
` );`,
|
|
18573
|
-
``,
|
|
18574
|
-
` // Сообщение 3: Основной таймфрейм`,
|
|
18575
|
-
` messages.push(`,
|
|
18576
|
-
` {`,
|
|
18577
|
-
` role: "user",`,
|
|
18578
|
-
` content: [`,
|
|
18579
|
-
` "Проанализируй свечи 5m:",`,
|
|
18580
|
-
` "",`,
|
|
18581
|
-
` formatCandles(mainTermCandles, "5m")`,
|
|
18582
|
-
` ].join("\\n")`,
|
|
18583
|
-
` },`,
|
|
18584
|
-
` {`,
|
|
18585
|
-
` role: "assistant",`,
|
|
18586
|
-
` content: "Таймфрейм 5m проанализирован",`,
|
|
18587
|
-
` }`,
|
|
18588
|
-
` );`,
|
|
18589
|
-
``,
|
|
18590
|
-
` // Сообщение 4: Микро-структура`,
|
|
18591
|
-
` messages.push(`,
|
|
18592
|
-
` {`,
|
|
18593
|
-
` role: "user",`,
|
|
18594
|
-
` content: [`,
|
|
18595
|
-
` "Проанализируй свечи 1m:",`,
|
|
18596
|
-
` "",`,
|
|
18597
|
-
` formatCandles(microTermCandles, "1m")`,
|
|
18598
|
-
` ].join("\\n")`,
|
|
18599
|
-
` },`,
|
|
18600
|
-
` {`,
|
|
18601
|
-
` role: "assistant",`,
|
|
18602
|
-
` content: "Микроструктура 1m проанализирована",`,
|
|
18603
|
-
` }`,
|
|
18604
|
-
` );`,
|
|
18605
|
-
``,
|
|
18606
|
-
` // Сообщение 5: Запрос сигнала`,
|
|
18607
|
-
` messages.push(`,
|
|
18608
|
-
` {`,
|
|
18609
|
-
` role: "user",`,
|
|
18610
|
-
` content: [`,
|
|
18611
|
-
` "Проанализируй все таймфреймы и сгенерируй торговый сигнал согласно этой стратегии. Открывай позицию ТОЛЬКО при четком сигнале.",`,
|
|
18612
|
-
` "",`,
|
|
18613
|
-
` \`${escapedPrompt}\`,`,
|
|
18614
|
-
` "",`,
|
|
18615
|
-
` "Если сигналы противоречивы или тренд слабый то position: wait"`,
|
|
18616
|
-
` ].join("\\n"),`,
|
|
18617
|
-
` }`,
|
|
18618
|
-
` );`,
|
|
18619
|
-
``,
|
|
18620
|
-
` const resultId = uuid();`,
|
|
18621
|
-
``,
|
|
18622
|
-
` const result = await json(messages);`,
|
|
18623
|
-
``,
|
|
18624
|
-
` await dumpJson(resultId, messages, result);`,
|
|
18625
|
-
``,
|
|
18626
|
-
` result.id = resultId;`,
|
|
18627
|
-
``,
|
|
18628
|
-
` return result;`,
|
|
18629
|
-
` },`,
|
|
18630
|
-
`});`
|
|
18631
|
-
].join("\n");
|
|
18632
|
-
};
|
|
18633
|
-
/**
|
|
18634
|
-
* Generates Exchange configuration code.
|
|
18635
|
-
* Uses CCXT Binance with standard formatters.
|
|
18636
|
-
*
|
|
18637
|
-
* @param symbol - Trading pair symbol (unused, for consistency)
|
|
18638
|
-
* @param exchangeName - Unique exchange identifier
|
|
18639
|
-
* @returns Generated addExchange() call with CCXT integration
|
|
18640
|
-
*/
|
|
18641
|
-
this.getExchangeTemplate = async (symbol, exchangeName) => {
|
|
18642
|
-
this.loggerService.log("optimizerTemplateService getExchangeTemplate", {
|
|
18643
|
-
exchangeName,
|
|
18644
|
-
symbol,
|
|
18645
|
-
});
|
|
18646
|
-
// Escape special characters to prevent code injection
|
|
18647
|
-
const escapedExchangeName = String(exchangeName)
|
|
18648
|
-
.replace(/\\/g, '\\\\')
|
|
18649
|
-
.replace(/"/g, '\\"');
|
|
18650
|
-
return [
|
|
18651
|
-
`addExchangeSchema({`,
|
|
18652
|
-
` exchangeName: "${escapedExchangeName}",`,
|
|
18653
|
-
` getCandles: async (symbol, interval, since, limit) => {`,
|
|
18654
|
-
` const exchange = new ccxt.binance();`,
|
|
18655
|
-
` const ohlcv = await exchange.fetchOHLCV(symbol, interval, since.getTime(), limit);`,
|
|
18656
|
-
` return ohlcv.map(([timestamp, open, high, low, close, volume]) => ({`,
|
|
18657
|
-
` timestamp, open, high, low, close, volume`,
|
|
18658
|
-
` }));`,
|
|
18659
|
-
` },`,
|
|
18660
|
-
` formatPrice: async (symbol, price) => price.toFixed(2),`,
|
|
18661
|
-
` formatQuantity: async (symbol, quantity) => quantity.toFixed(8),`,
|
|
18662
|
-
`});`
|
|
18663
|
-
].join("\n");
|
|
18664
|
-
};
|
|
18665
|
-
/**
|
|
18666
|
-
* Generates Frame (timeframe) configuration code.
|
|
18667
|
-
*
|
|
18668
|
-
* @param symbol - Trading pair symbol (unused, for consistency)
|
|
18669
|
-
* @param frameName - Unique frame identifier
|
|
18670
|
-
* @param interval - Candle interval (e.g., "1m")
|
|
18671
|
-
* @param startDate - Frame start date
|
|
18672
|
-
* @param endDate - Frame end date
|
|
18673
|
-
* @returns Generated addFrame() call
|
|
18674
|
-
*/
|
|
18675
|
-
this.getFrameTemplate = async (symbol, frameName, interval, startDate, endDate) => {
|
|
18676
|
-
this.loggerService.log("optimizerTemplateService getFrameTemplate", {
|
|
18677
|
-
symbol,
|
|
18678
|
-
frameName,
|
|
18679
|
-
interval,
|
|
18680
|
-
startDate,
|
|
18681
|
-
endDate,
|
|
18682
|
-
});
|
|
18683
|
-
// Escape special characters to prevent code injection
|
|
18684
|
-
const escapedFrameName = String(frameName)
|
|
18685
|
-
.replace(/\\/g, '\\\\')
|
|
18686
|
-
.replace(/"/g, '\\"');
|
|
18687
|
-
const escapedInterval = String(interval)
|
|
18688
|
-
.replace(/\\/g, '\\\\')
|
|
18689
|
-
.replace(/"/g, '\\"');
|
|
18690
|
-
return [
|
|
18691
|
-
`addFrameSchema({`,
|
|
18692
|
-
` frameName: "${escapedFrameName}",`,
|
|
18693
|
-
` interval: "${escapedInterval}",`,
|
|
18694
|
-
` startDate: new Date("${startDate.toISOString()}"),`,
|
|
18695
|
-
` endDate: new Date("${endDate.toISOString()}"),`,
|
|
18696
|
-
`});`
|
|
18697
|
-
].join("\n");
|
|
18698
|
-
};
|
|
18699
|
-
/**
|
|
18700
|
-
* Generates launcher code to run Walker with event listeners.
|
|
18701
|
-
* Includes progress tracking and completion handlers.
|
|
18702
|
-
*
|
|
18703
|
-
* @param symbol - Trading pair symbol
|
|
18704
|
-
* @param walkerName - Walker name to launch
|
|
18705
|
-
* @returns Generated Walker.background() call with listeners
|
|
18706
|
-
*/
|
|
18707
|
-
this.getLauncherTemplate = async (symbol, walkerName) => {
|
|
18708
|
-
this.loggerService.log("optimizerTemplateService getLauncherTemplate", {
|
|
18709
|
-
symbol,
|
|
18710
|
-
walkerName,
|
|
18711
|
-
});
|
|
18712
|
-
// Escape special characters to prevent code injection
|
|
18713
|
-
const escapedSymbol = String(symbol)
|
|
18714
|
-
.replace(/\\/g, '\\\\')
|
|
18715
|
-
.replace(/"/g, '\\"');
|
|
18716
|
-
const escapedWalkerName = String(walkerName)
|
|
18717
|
-
.replace(/\\/g, '\\\\')
|
|
18718
|
-
.replace(/"/g, '\\"');
|
|
18719
|
-
return [
|
|
18720
|
-
`Walker.background("${escapedSymbol}", {`,
|
|
18721
|
-
` walkerName: "${escapedWalkerName}"`,
|
|
18722
|
-
`});`,
|
|
18723
|
-
``,
|
|
18724
|
-
`listenSignalBacktest((event) => {`,
|
|
18725
|
-
` console.log(event);`,
|
|
18726
|
-
`});`,
|
|
18727
|
-
``,
|
|
18728
|
-
`listenBacktestProgress((event) => {`,
|
|
18729
|
-
` console.log(\`Progress: \${(event.progress * 100).toFixed(2)}%\`);`,
|
|
18730
|
-
` console.log(\`Processed: \${event.processedFrames} / \${event.totalFrames}\`);`,
|
|
18731
|
-
`});`,
|
|
18732
|
-
``,
|
|
18733
|
-
`listenWalkerProgress((event) => {`,
|
|
18734
|
-
` console.log(\`Progress: \${(event.progress * 100).toFixed(2)}%\`);`,
|
|
18735
|
-
` console.log(\`\${event.processedStrategies} / \${event.totalStrategies} strategies\`);`,
|
|
18736
|
-
` console.log(\`Walker: \${event.walkerName}, Symbol: \${event.symbol}\`);`,
|
|
18737
|
-
`});`,
|
|
18738
|
-
``,
|
|
18739
|
-
`listenWalkerComplete((results) => {`,
|
|
18740
|
-
` console.log("Walker completed:", results.bestStrategy);`,
|
|
18741
|
-
` Walker.dump(results.symbol, { walkerName: results.walkerName });`,
|
|
18742
|
-
`});`,
|
|
18743
|
-
``,
|
|
18744
|
-
`listenDoneBacktest((event) => {`,
|
|
18745
|
-
` console.log("Backtest completed:", event.symbol);`,
|
|
18746
|
-
` Backtest.dump(event.symbol, {`,
|
|
18747
|
-
` strategyName: event.strategyName,`,
|
|
18748
|
-
` exchangeName: event.exchangeName,`,
|
|
18749
|
-
` frameName: event.frameName`,
|
|
18750
|
-
` });`,
|
|
18751
|
-
`});`,
|
|
18752
|
-
``,
|
|
18753
|
-
`listenError((error) => {`,
|
|
18754
|
-
` console.error("Error occurred:", error);`,
|
|
18755
|
-
`});`
|
|
18756
|
-
].join("\n");
|
|
18757
|
-
};
|
|
18758
|
-
/**
|
|
18759
|
-
* Generates dumpJson() helper function for debug output.
|
|
18760
|
-
* Saves LLM conversations and results to ./dump/strategy/{resultId}/
|
|
18761
|
-
*
|
|
18762
|
-
* @param symbol - Trading pair symbol (unused, for consistency)
|
|
18763
|
-
* @returns Generated async dumpJson() function
|
|
18764
|
-
*/
|
|
18765
|
-
this.getJsonDumpTemplate = async (symbol) => {
|
|
18766
|
-
this.loggerService.log("optimizerTemplateService getJsonDumpTemplate", {
|
|
18767
|
-
symbol,
|
|
18768
|
-
});
|
|
18769
|
-
return [
|
|
18770
|
-
`async function dumpJson(resultId, history, result, outputDir = "./dump/strategy") {`,
|
|
18771
|
-
` // Extract system messages and system reminders from existing data`,
|
|
18772
|
-
` const systemMessages = history.filter((m) => m.role === "system");`,
|
|
18773
|
-
` const userMessages = history.filter((m) => m.role === "user");`,
|
|
18774
|
-
` const subfolderPath = path.join(outputDir, resultId);`,
|
|
18775
|
-
``,
|
|
18776
|
-
` try {`,
|
|
18777
|
-
` await fs.access(subfolderPath);`,
|
|
18778
|
-
` return;`,
|
|
18779
|
-
` } catch {`,
|
|
18780
|
-
` await fs.mkdir(subfolderPath, { recursive: true });`,
|
|
18781
|
-
` }`,
|
|
18782
|
-
``,
|
|
18783
|
-
` {`,
|
|
18784
|
-
` let summary = "# Outline Result Summary\\n\\n";`,
|
|
18785
|
-
``,
|
|
18786
|
-
` {`,
|
|
18787
|
-
` summary += \`**ResultId**: \${resultId}\\n\\n\`;`,
|
|
18788
|
-
` }`,
|
|
18789
|
-
``,
|
|
18790
|
-
` if (result) {`,
|
|
18791
|
-
` summary += "## Output Data\\n\\n";`,
|
|
18792
|
-
` summary += "\`\`\`json\\n";`,
|
|
18793
|
-
` summary += JSON.stringify(result, null, 2);`,
|
|
18794
|
-
` summary += "\\n\`\`\`\\n\\n";`,
|
|
18795
|
-
` }`,
|
|
18796
|
-
``,
|
|
18797
|
-
` // Add system messages to summary`,
|
|
18798
|
-
` if (systemMessages.length > 0) {`,
|
|
18799
|
-
` summary += "## System Messages\\n\\n";`,
|
|
18800
|
-
` systemMessages.forEach((msg, idx) => {`,
|
|
18801
|
-
` summary += \`### System Message \${idx + 1}\\n\\n\`;`,
|
|
18802
|
-
` summary += msg.content;`,
|
|
18803
|
-
` summary += "\\n\\n";`,
|
|
18804
|
-
` });`,
|
|
18805
|
-
` }`,
|
|
18806
|
-
``,
|
|
18807
|
-
` const summaryFile = path.join(subfolderPath, "00_system_prompt.md");`,
|
|
18808
|
-
` await fs.writeFile(summaryFile, summary, "utf8");`,
|
|
18809
|
-
` }`,
|
|
18810
|
-
``,
|
|
18811
|
-
` {`,
|
|
18812
|
-
` await Promise.all(`,
|
|
18813
|
-
` Array.from(userMessages.entries()).map(async ([idx, message]) => {`,
|
|
18814
|
-
` const messageNum = String(idx + 1).padStart(2, "0");`,
|
|
18815
|
-
` const contentFileName = \`\${messageNum}_user_message.md\`;`,
|
|
18816
|
-
` const contentFilePath = path.join(subfolderPath, contentFileName);`,
|
|
18817
|
-
``,
|
|
18818
|
-
` {`,
|
|
18819
|
-
` const messageSizeBytes = Buffer.byteLength(message.content, "utf8");`,
|
|
18820
|
-
` const messageSizeKb = Math.floor(messageSizeBytes / 1024);`,
|
|
18821
|
-
` if (messageSizeKb > WARN_KB) {`,
|
|
18822
|
-
` console.warn(`,
|
|
18823
|
-
` \`User message \${idx + 1} is \${messageSizeBytes} bytes (\${messageSizeKb}kb), which exceeds warning limit\``,
|
|
18824
|
-
` );`,
|
|
18825
|
-
` }`,
|
|
18826
|
-
` }`,
|
|
18827
|
-
``,
|
|
18828
|
-
` let content = \`# User Input \${idx + 1}\\n\\n\`;`,
|
|
18829
|
-
` content += \`**ResultId**: \${resultId}\\n\\n\`;`,
|
|
18830
|
-
` content += message.content;`,
|
|
18831
|
-
` content += "\\n";`,
|
|
18832
|
-
``,
|
|
18833
|
-
` await fs.writeFile(contentFilePath, content, "utf8");`,
|
|
18834
|
-
` })`,
|
|
18835
|
-
` );`,
|
|
18836
|
-
` }`,
|
|
18837
|
-
``,
|
|
18838
|
-
` {`,
|
|
18839
|
-
` const messageNum = String(userMessages.length + 1).padStart(2, "0");`,
|
|
18840
|
-
` const contentFileName = \`\${messageNum}_llm_output.md\`;`,
|
|
18841
|
-
` const contentFilePath = path.join(subfolderPath, contentFileName);`,
|
|
18842
|
-
``,
|
|
18843
|
-
` let content = "# Full Outline Result\\n\\n";`,
|
|
18844
|
-
` content += \`**ResultId**: \${resultId}\\n\\n\`;`,
|
|
18845
|
-
``,
|
|
18846
|
-
` if (result) {`,
|
|
18847
|
-
` content += "## Output Data\\n\\n";`,
|
|
18848
|
-
` content += "\`\`\`json\\n";`,
|
|
18849
|
-
` content += JSON.stringify(result, null, 2);`,
|
|
18850
|
-
` content += "\\n\`\`\`\\n";`,
|
|
18851
|
-
` }`,
|
|
18852
|
-
``,
|
|
18853
|
-
` await fs.writeFile(contentFilePath, content, "utf8");`,
|
|
18854
|
-
` }`,
|
|
18855
|
-
`}`
|
|
18856
|
-
].join("\n");
|
|
18432
|
+
const HANDLE_PROFIT_FN = async (symbol, data, currentPrice, revenuePercent, backtest, when, self) => {
|
|
18433
|
+
if (self._states === NEED_FETCH$1) {
|
|
18434
|
+
throw new Error("ClientPartial not initialized. Call waitForInit() before using.");
|
|
18435
|
+
}
|
|
18436
|
+
if (data.id !== self.params.signalId) {
|
|
18437
|
+
throw new Error(`Signal ID mismatch: expected ${self.params.signalId}, got ${data.id}`);
|
|
18438
|
+
}
|
|
18439
|
+
let state = self._states.get(data.id);
|
|
18440
|
+
if (!state) {
|
|
18441
|
+
state = {
|
|
18442
|
+
profitLevels: new Set(),
|
|
18443
|
+
lossLevels: new Set(),
|
|
18857
18444
|
};
|
|
18858
|
-
|
|
18859
|
-
|
|
18860
|
-
|
|
18861
|
-
|
|
18862
|
-
|
|
18863
|
-
|
|
18864
|
-
|
|
18865
|
-
|
|
18866
|
-
this.loggerService.log("optimizerTemplateService getTextTemplate", {
|
|
18445
|
+
self._states.set(data.id, state);
|
|
18446
|
+
}
|
|
18447
|
+
let shouldPersist = false;
|
|
18448
|
+
for (const level of PROFIT_LEVELS) {
|
|
18449
|
+
if (revenuePercent >= level && !state.profitLevels.has(level)) {
|
|
18450
|
+
state.profitLevels.add(level);
|
|
18451
|
+
shouldPersist = true;
|
|
18452
|
+
self.params.logger.debug("ClientPartial profit level reached", {
|
|
18867
18453
|
symbol,
|
|
18454
|
+
signalId: data.id,
|
|
18455
|
+
level,
|
|
18456
|
+
revenuePercent,
|
|
18457
|
+
backtest,
|
|
18868
18458
|
});
|
|
18869
|
-
|
|
18870
|
-
|
|
18871
|
-
|
|
18872
|
-
|
|
18873
|
-
|
|
18874
|
-
|
|
18875
|
-
|
|
18876
|
-
|
|
18877
|
-
|
|
18878
|
-
|
|
18879
|
-
|
|
18880
|
-
|
|
18881
|
-
|
|
18882
|
-
|
|
18883
|
-
|
|
18884
|
-
|
|
18885
|
-
|
|
18886
|
-
|
|
18887
|
-
|
|
18888
|
-
|
|
18889
|
-
|
|
18890
|
-
|
|
18891
|
-
|
|
18892
|
-
|
|
18893
|
-
|
|
18894
|
-
|
|
18895
|
-
|
|
18896
|
-
|
|
18897
|
-
|
|
18898
|
-
|
|
18899
|
-
|
|
18900
|
-
|
|
18901
|
-
|
|
18902
|
-
|
|
18903
|
-
` "Предпочтительны LONG или SHORT позиции?",`,
|
|
18904
|
-
` "",`,
|
|
18905
|
-
` "Сделай не сухой технический, а фундаментальный анализ, содержащий стратигическую рекомендацию, например, покупать на низу боковика"`,
|
|
18906
|
-
` ].join("\\n")`,
|
|
18907
|
-
` }`,
|
|
18908
|
-
` ]`,
|
|
18909
|
-
` });`,
|
|
18910
|
-
``,
|
|
18911
|
-
` const content = response.message.content.trim();`,
|
|
18912
|
-
` return content`,
|
|
18913
|
-
` .replace(/\\\\/g, '\\\\\\\\')`,
|
|
18914
|
-
` .replace(/\`/g, '\\\\\`')`,
|
|
18915
|
-
` .replace(/\\$/g, '\\\\$')`,
|
|
18916
|
-
` .replace(/"/g, '\\\\"')`,
|
|
18917
|
-
` .replace(/'/g, "\\\\'");`,
|
|
18918
|
-
`}`
|
|
18919
|
-
].join("\n");
|
|
18459
|
+
await self.params.onProfit(symbol, data.strategyName, data.exchangeName, data.frameName, data, currentPrice, level, backtest, when.getTime());
|
|
18460
|
+
}
|
|
18461
|
+
}
|
|
18462
|
+
if (shouldPersist) {
|
|
18463
|
+
await self._persistState(symbol, data.strategyName, data.exchangeName, self.params.signalId);
|
|
18464
|
+
}
|
|
18465
|
+
};
|
|
18466
|
+
/**
|
|
18467
|
+
* Internal loss handler function for ClientPartial.
|
|
18468
|
+
*
|
|
18469
|
+
* Checks which loss levels have been reached and emits events for new levels only.
|
|
18470
|
+
* Uses Set-based deduplication to prevent duplicate events.
|
|
18471
|
+
* Converts negative lossPercent to absolute value for level comparison.
|
|
18472
|
+
*
|
|
18473
|
+
* @param symbol - Trading pair symbol
|
|
18474
|
+
* @param data - Signal row data
|
|
18475
|
+
* @param currentPrice - Current market price
|
|
18476
|
+
* @param lossPercent - Current loss percentage (negative value)
|
|
18477
|
+
* @param backtest - True if backtest mode
|
|
18478
|
+
* @param when - Event timestamp
|
|
18479
|
+
* @param self - ClientPartial instance reference
|
|
18480
|
+
*/
|
|
18481
|
+
const HANDLE_LOSS_FN = async (symbol, data, currentPrice, lossPercent, backtest, when, self) => {
|
|
18482
|
+
if (self._states === NEED_FETCH$1) {
|
|
18483
|
+
throw new Error("ClientPartial not initialized. Call waitForInit() before using.");
|
|
18484
|
+
}
|
|
18485
|
+
if (data.id !== self.params.signalId) {
|
|
18486
|
+
throw new Error(`Signal ID mismatch: expected ${self.params.signalId}, got ${data.id}`);
|
|
18487
|
+
}
|
|
18488
|
+
let state = self._states.get(data.id);
|
|
18489
|
+
if (!state) {
|
|
18490
|
+
state = {
|
|
18491
|
+
profitLevels: new Set(),
|
|
18492
|
+
lossLevels: new Set(),
|
|
18920
18493
|
};
|
|
18921
|
-
|
|
18922
|
-
|
|
18923
|
-
|
|
18924
|
-
|
|
18925
|
-
|
|
18926
|
-
|
|
18927
|
-
|
|
18928
|
-
|
|
18929
|
-
|
|
18930
|
-
* - priceStopLoss: stop price
|
|
18931
|
-
* - minuteEstimatedTime: expected duration (max 360 min)
|
|
18932
|
-
*
|
|
18933
|
-
* @param symbol - Trading pair symbol (unused, for consistency)
|
|
18934
|
-
* @returns Generated async json() function with signal schema
|
|
18935
|
-
*/
|
|
18936
|
-
this.getJsonTemplate = async (symbol) => {
|
|
18937
|
-
this.loggerService.log("optimizerTemplateService getJsonTemplate", {
|
|
18494
|
+
self._states.set(data.id, state);
|
|
18495
|
+
}
|
|
18496
|
+
const absLoss = Math.abs(lossPercent);
|
|
18497
|
+
let shouldPersist = false;
|
|
18498
|
+
for (const level of LOSS_LEVELS) {
|
|
18499
|
+
if (absLoss >= level && !state.lossLevels.has(level)) {
|
|
18500
|
+
state.lossLevels.add(level);
|
|
18501
|
+
shouldPersist = true;
|
|
18502
|
+
self.params.logger.debug("ClientPartial loss level reached", {
|
|
18938
18503
|
symbol,
|
|
18504
|
+
signalId: data.id,
|
|
18505
|
+
level,
|
|
18506
|
+
lossPercent,
|
|
18507
|
+
backtest,
|
|
18939
18508
|
});
|
|
18940
|
-
|
|
18941
|
-
|
|
18942
|
-
` const ollama = new Ollama({`,
|
|
18943
|
-
` host: "https://ollama.com",`,
|
|
18944
|
-
` headers: {`,
|
|
18945
|
-
` Authorization: \`Bearer \${process.env.OLLAMA_API_KEY}\`,`,
|
|
18946
|
-
` },`,
|
|
18947
|
-
` });`,
|
|
18948
|
-
``,
|
|
18949
|
-
` const response = await ollama.chat({`,
|
|
18950
|
-
` model: "deepseek-v3.1:671b",`,
|
|
18951
|
-
` messages: [`,
|
|
18952
|
-
` {`,
|
|
18953
|
-
` role: "system",`,
|
|
18954
|
-
` content: [`,
|
|
18955
|
-
` "Проанализируй торговую стратегию и верни торговый сигнал.",`,
|
|
18956
|
-
` "",`,
|
|
18957
|
-
` "ПРАВИЛА ОТКРЫТИЯ ПОЗИЦИЙ:",`,
|
|
18958
|
-
` "",`,
|
|
18959
|
-
` "1. ТИПЫ ПОЗИЦИЙ:",`,
|
|
18960
|
-
` " - position='wait': нет четкого сигнала, жди лучших условий",`,
|
|
18961
|
-
` " - position='long': бычий сигнал, цена будет расти",`,
|
|
18962
|
-
` " - position='short': медвежий сигнал, цена будет падать",`,
|
|
18963
|
-
` "",`,
|
|
18964
|
-
` "2. ЦЕНА ВХОДА (priceOpen):",`,
|
|
18965
|
-
` " - Может быть текущей рыночной ценой для немедленного входа",`,
|
|
18966
|
-
` " - Может быть отложенной ценой для входа при достижении уровня",`,
|
|
18967
|
-
` " - Укажи оптимальную цену входа согласно технического анализа",`,
|
|
18968
|
-
` "",`,
|
|
18969
|
-
` "3. УРОВНИ ВЫХОДА:",`,
|
|
18970
|
-
` " - LONG: priceTakeProfit > priceOpen > priceStopLoss",`,
|
|
18971
|
-
` " - SHORT: priceStopLoss > priceOpen > priceTakeProfit",`,
|
|
18972
|
-
` " - Уровни должны иметь техническое обоснование (Fibonacci, S/R, Bollinger)",`,
|
|
18973
|
-
` "",`,
|
|
18974
|
-
` "4. ВРЕМЕННЫЕ РАМКИ:",`,
|
|
18975
|
-
` " - minuteEstimatedTime: прогноз времени до TP (макс 360 минут)",`,
|
|
18976
|
-
` " - Расчет на основе ATR, ADX, MACD, Momentum, Slope",`,
|
|
18977
|
-
` " - Если индикаторов, осциллятор или других метрик нет, посчитай их самостоятельно",`,
|
|
18978
|
-
` ].join("\\n"),`,
|
|
18979
|
-
` },`,
|
|
18980
|
-
` ...messages,`,
|
|
18981
|
-
` ],`,
|
|
18982
|
-
` format: {`,
|
|
18983
|
-
` type: "object",`,
|
|
18984
|
-
` properties: {`,
|
|
18985
|
-
` position: {`,
|
|
18986
|
-
` type: "string",`,
|
|
18987
|
-
` enum: ["wait", "long", "short"],`,
|
|
18988
|
-
` description: "Trade decision: wait (no signal), long (buy), or short (sell)",`,
|
|
18989
|
-
` },`,
|
|
18990
|
-
` note: {`,
|
|
18991
|
-
` type: "string",`,
|
|
18992
|
-
` description: "Professional trading recommendation with price levels",`,
|
|
18993
|
-
` },`,
|
|
18994
|
-
` priceOpen: {`,
|
|
18995
|
-
` type: "number",`,
|
|
18996
|
-
` description: "Entry price (current market price or limit order price)",`,
|
|
18997
|
-
` },`,
|
|
18998
|
-
` priceTakeProfit: {`,
|
|
18999
|
-
` type: "number",`,
|
|
19000
|
-
` description: "Take profit target price",`,
|
|
19001
|
-
` },`,
|
|
19002
|
-
` priceStopLoss: {`,
|
|
19003
|
-
` type: "number",`,
|
|
19004
|
-
` description: "Stop loss exit price",`,
|
|
19005
|
-
` },`,
|
|
19006
|
-
` minuteEstimatedTime: {`,
|
|
19007
|
-
` type: "number",`,
|
|
19008
|
-
` description: "Expected time to reach TP in minutes (max 360)",`,
|
|
19009
|
-
` },`,
|
|
19010
|
-
` },`,
|
|
19011
|
-
` required: ["position", "note", "priceOpen", "priceTakeProfit", "priceStopLoss", "minuteEstimatedTime"],`,
|
|
19012
|
-
` },`,
|
|
19013
|
-
` });`,
|
|
19014
|
-
``,
|
|
19015
|
-
` const jsonResponse = JSON.parse(response.message.content.trim());`,
|
|
19016
|
-
` return jsonResponse;`,
|
|
19017
|
-
`}`
|
|
19018
|
-
].join("\n");
|
|
19019
|
-
};
|
|
18509
|
+
await self.params.onLoss(symbol, data.strategyName, data.exchangeName, data.frameName, data, currentPrice, level, backtest, when.getTime());
|
|
18510
|
+
}
|
|
19020
18511
|
}
|
|
19021
|
-
|
|
19022
|
-
|
|
18512
|
+
if (shouldPersist) {
|
|
18513
|
+
await self._persistState(symbol, data.strategyName, data.exchangeName, self.params.signalId);
|
|
18514
|
+
}
|
|
18515
|
+
};
|
|
19023
18516
|
/**
|
|
19024
|
-
*
|
|
19025
|
-
* Provides validation and registry management for optimizer configurations.
|
|
19026
|
-
*
|
|
19027
|
-
* Uses ToolRegistry for immutable schema storage.
|
|
19028
|
-
*/
|
|
19029
|
-
class OptimizerSchemaService {
|
|
19030
|
-
constructor() {
|
|
19031
|
-
this.loggerService = inject(TYPES.loggerService);
|
|
19032
|
-
this._registry = new functoolsKit.ToolRegistry("optimizerSchema");
|
|
19033
|
-
/**
|
|
19034
|
-
* Registers a new optimizer schema.
|
|
19035
|
-
* Validates required fields before registration.
|
|
19036
|
-
*
|
|
19037
|
-
* @param key - Unique optimizer name
|
|
19038
|
-
* @param value - Optimizer schema configuration
|
|
19039
|
-
* @throws Error if schema validation fails
|
|
19040
|
-
*/
|
|
19041
|
-
this.register = (key, value) => {
|
|
19042
|
-
this.loggerService.log(`optimizerSchemaService register`, { key });
|
|
19043
|
-
this.validateShallow(value);
|
|
19044
|
-
this._registry = this._registry.register(key, value);
|
|
19045
|
-
};
|
|
19046
|
-
/**
|
|
19047
|
-
* Validates optimizer schema structure.
|
|
19048
|
-
* Checks required fields: optimizerName, rangeTrain, source, getPrompt.
|
|
19049
|
-
*
|
|
19050
|
-
* @param optimizerSchema - Schema to validate
|
|
19051
|
-
* @throws Error if validation fails
|
|
19052
|
-
*/
|
|
19053
|
-
this.validateShallow = (optimizerSchema) => {
|
|
19054
|
-
this.loggerService.log(`optimizerTemplateService validateShallow`, {
|
|
19055
|
-
optimizerSchema,
|
|
19056
|
-
});
|
|
19057
|
-
if (typeof optimizerSchema.optimizerName !== "string") {
|
|
19058
|
-
throw new Error(`optimizer template validation failed: missing optimizerName`);
|
|
19059
|
-
}
|
|
19060
|
-
if (!Array.isArray(optimizerSchema.rangeTrain) || optimizerSchema.rangeTrain.length === 0) {
|
|
19061
|
-
throw new Error(`optimizer template validation failed: rangeTrain must be a non-empty array for optimizerName=${optimizerSchema.optimizerName}`);
|
|
19062
|
-
}
|
|
19063
|
-
if (!Array.isArray(optimizerSchema.source) || optimizerSchema.source.length === 0) {
|
|
19064
|
-
throw new Error(`optimizer template validation failed: source must be a non-empty array for optimizerName=${optimizerSchema.optimizerName}`);
|
|
19065
|
-
}
|
|
19066
|
-
if (typeof optimizerSchema.getPrompt !== "function") {
|
|
19067
|
-
throw new Error(`optimizer template validation failed: getPrompt must be a function for optimizerName=${optimizerSchema.optimizerName}`);
|
|
19068
|
-
}
|
|
19069
|
-
};
|
|
19070
|
-
/**
|
|
19071
|
-
* Partially overrides an existing optimizer schema.
|
|
19072
|
-
* Merges provided values with existing schema.
|
|
19073
|
-
*
|
|
19074
|
-
* @param key - Optimizer name to override
|
|
19075
|
-
* @param value - Partial schema values to merge
|
|
19076
|
-
* @returns Updated complete schema
|
|
19077
|
-
* @throws Error if optimizer not found
|
|
19078
|
-
*/
|
|
19079
|
-
this.override = (key, value) => {
|
|
19080
|
-
this.loggerService.log(`optimizerSchemaService override`, { key });
|
|
19081
|
-
this._registry = this._registry.override(key, value);
|
|
19082
|
-
return this._registry.get(key);
|
|
19083
|
-
};
|
|
19084
|
-
/**
|
|
19085
|
-
* Retrieves optimizer schema by name.
|
|
19086
|
-
*
|
|
19087
|
-
* @param key - Optimizer name
|
|
19088
|
-
* @returns Complete optimizer schema
|
|
19089
|
-
* @throws Error if optimizer not found
|
|
19090
|
-
*/
|
|
19091
|
-
this.get = (key) => {
|
|
19092
|
-
this.loggerService.log(`optimizerSchemaService get`, { key });
|
|
19093
|
-
return this._registry.get(key);
|
|
19094
|
-
};
|
|
19095
|
-
}
|
|
19096
|
-
}
|
|
19097
|
-
|
|
19098
|
-
/**
|
|
19099
|
-
* Service for validating optimizer existence and managing optimizer registry.
|
|
19100
|
-
* Maintains a Map of registered optimizers for validation purposes.
|
|
19101
|
-
*
|
|
19102
|
-
* Uses memoization for efficient repeated validation checks.
|
|
19103
|
-
*/
|
|
19104
|
-
class OptimizerValidationService {
|
|
19105
|
-
constructor() {
|
|
19106
|
-
this.loggerService = inject(TYPES.loggerService);
|
|
19107
|
-
this._optimizerMap = new Map();
|
|
19108
|
-
/**
|
|
19109
|
-
* Adds optimizer to validation registry.
|
|
19110
|
-
* Prevents duplicate optimizer names.
|
|
19111
|
-
*
|
|
19112
|
-
* @param optimizerName - Unique optimizer identifier
|
|
19113
|
-
* @param optimizerSchema - Complete optimizer schema
|
|
19114
|
-
* @throws Error if optimizer with same name already exists
|
|
19115
|
-
*/
|
|
19116
|
-
this.addOptimizer = (optimizerName, optimizerSchema) => {
|
|
19117
|
-
this.loggerService.log("optimizerValidationService addOptimizer", {
|
|
19118
|
-
optimizerName,
|
|
19119
|
-
optimizerSchema,
|
|
19120
|
-
});
|
|
19121
|
-
if (this._optimizerMap.has(optimizerName)) {
|
|
19122
|
-
throw new Error(`optimizer ${optimizerName} already exist`);
|
|
19123
|
-
}
|
|
19124
|
-
this._optimizerMap.set(optimizerName, optimizerSchema);
|
|
19125
|
-
};
|
|
19126
|
-
/**
|
|
19127
|
-
* Validates that optimizer exists in registry.
|
|
19128
|
-
* Memoized for performance on repeated checks.
|
|
19129
|
-
*
|
|
19130
|
-
* @param optimizerName - Optimizer name to validate
|
|
19131
|
-
* @param source - Source method name for error messages
|
|
19132
|
-
* @throws Error if optimizer not found
|
|
19133
|
-
*/
|
|
19134
|
-
this.validate = functoolsKit.memoize(([optimizerName]) => optimizerName, (optimizerName, source) => {
|
|
19135
|
-
this.loggerService.log("optimizerValidationService validate", {
|
|
19136
|
-
optimizerName,
|
|
19137
|
-
source,
|
|
19138
|
-
});
|
|
19139
|
-
const optimizer = this._optimizerMap.get(optimizerName);
|
|
19140
|
-
if (!optimizer) {
|
|
19141
|
-
throw new Error(`optimizer ${optimizerName} not found source=${source}`);
|
|
19142
|
-
}
|
|
19143
|
-
return true;
|
|
19144
|
-
});
|
|
19145
|
-
/**
|
|
19146
|
-
* Lists all registered optimizer schemas.
|
|
19147
|
-
*
|
|
19148
|
-
* @returns Array of all optimizer schemas
|
|
19149
|
-
*/
|
|
19150
|
-
this.list = async () => {
|
|
19151
|
-
this.loggerService.log("optimizerValidationService list");
|
|
19152
|
-
return Array.from(this._optimizerMap.values());
|
|
19153
|
-
};
|
|
19154
|
-
}
|
|
19155
|
-
}
|
|
19156
|
-
|
|
19157
|
-
const METHOD_NAME_GET_DATA = "optimizerGlobalService getData";
|
|
19158
|
-
const METHOD_NAME_GET_CODE = "optimizerGlobalService getCode";
|
|
19159
|
-
const METHOD_NAME_DUMP = "optimizerGlobalService dump";
|
|
19160
|
-
/**
|
|
19161
|
-
* Global service for optimizer operations with validation.
|
|
19162
|
-
* Entry point for public API, performs validation before delegating to ConnectionService.
|
|
19163
|
-
*
|
|
19164
|
-
* Workflow:
|
|
19165
|
-
* 1. Log operation
|
|
19166
|
-
* 2. Validate optimizer exists
|
|
19167
|
-
* 3. Delegate to OptimizerConnectionService
|
|
19168
|
-
*/
|
|
19169
|
-
class OptimizerGlobalService {
|
|
19170
|
-
constructor() {
|
|
19171
|
-
this.loggerService = inject(TYPES.loggerService);
|
|
19172
|
-
this.optimizerConnectionService = inject(TYPES.optimizerConnectionService);
|
|
19173
|
-
this.optimizerValidationService = inject(TYPES.optimizerValidationService);
|
|
19174
|
-
/**
|
|
19175
|
-
* Fetches data from all sources and generates strategy metadata.
|
|
19176
|
-
* Validates optimizer existence before execution.
|
|
19177
|
-
*
|
|
19178
|
-
* @param symbol - Trading pair symbol
|
|
19179
|
-
* @param optimizerName - Optimizer identifier
|
|
19180
|
-
* @returns Array of generated strategies with conversation context
|
|
19181
|
-
* @throws Error if optimizer not found
|
|
19182
|
-
*/
|
|
19183
|
-
this.getData = async (symbol, optimizerName) => {
|
|
19184
|
-
this.loggerService.log(METHOD_NAME_GET_DATA, {
|
|
19185
|
-
symbol,
|
|
19186
|
-
optimizerName,
|
|
19187
|
-
});
|
|
19188
|
-
this.optimizerValidationService.validate(optimizerName, METHOD_NAME_GET_DATA);
|
|
19189
|
-
return await this.optimizerConnectionService.getData(symbol, optimizerName);
|
|
19190
|
-
};
|
|
19191
|
-
/**
|
|
19192
|
-
* Generates complete executable strategy code.
|
|
19193
|
-
* Validates optimizer existence before execution.
|
|
19194
|
-
*
|
|
19195
|
-
* @param symbol - Trading pair symbol
|
|
19196
|
-
* @param optimizerName - Optimizer identifier
|
|
19197
|
-
* @returns Generated TypeScript/JavaScript code as string
|
|
19198
|
-
* @throws Error if optimizer not found
|
|
19199
|
-
*/
|
|
19200
|
-
this.getCode = async (symbol, optimizerName) => {
|
|
19201
|
-
this.loggerService.log(METHOD_NAME_GET_CODE, {
|
|
19202
|
-
symbol,
|
|
19203
|
-
optimizerName,
|
|
19204
|
-
});
|
|
19205
|
-
this.optimizerValidationService.validate(optimizerName, METHOD_NAME_GET_CODE);
|
|
19206
|
-
return await this.optimizerConnectionService.getCode(symbol, optimizerName);
|
|
19207
|
-
};
|
|
19208
|
-
/**
|
|
19209
|
-
* Generates and saves strategy code to file.
|
|
19210
|
-
* Validates optimizer existence before execution.
|
|
19211
|
-
*
|
|
19212
|
-
* @param symbol - Trading pair symbol
|
|
19213
|
-
* @param optimizerName - Optimizer identifier
|
|
19214
|
-
* @param path - Output directory path (optional)
|
|
19215
|
-
* @throws Error if optimizer not found
|
|
19216
|
-
*/
|
|
19217
|
-
this.dump = async (symbol, optimizerName, path) => {
|
|
19218
|
-
this.loggerService.log(METHOD_NAME_DUMP, {
|
|
19219
|
-
symbol,
|
|
19220
|
-
optimizerName,
|
|
19221
|
-
path,
|
|
19222
|
-
});
|
|
19223
|
-
this.optimizerValidationService.validate(optimizerName, METHOD_NAME_DUMP);
|
|
19224
|
-
return await this.optimizerConnectionService.dump(symbol, optimizerName, path);
|
|
19225
|
-
};
|
|
19226
|
-
}
|
|
19227
|
-
}
|
|
19228
|
-
|
|
19229
|
-
const ITERATION_LIMIT = 25;
|
|
19230
|
-
const DEFAULT_SOURCE_NAME = "unknown";
|
|
19231
|
-
const CREATE_PREFIX_FN = () => (Math.random() + 1).toString(36).substring(7);
|
|
19232
|
-
/**
|
|
19233
|
-
* Wrapper to call onSourceData callback with error handling.
|
|
19234
|
-
* Catches and logs any errors thrown by the user-provided callback.
|
|
19235
|
-
*/
|
|
19236
|
-
const CALL_SOURCE_DATA_CALLBACKS_FN = functoolsKit.trycatch(async (self, symbol, name, data, startDate, endDate) => {
|
|
19237
|
-
if (self.params.callbacks?.onSourceData) {
|
|
19238
|
-
await self.params.callbacks.onSourceData(symbol, name, data, startDate, endDate);
|
|
19239
|
-
}
|
|
19240
|
-
}, {
|
|
19241
|
-
fallback: (error) => {
|
|
19242
|
-
const message = "ClientOptimizer CALL_SOURCE_DATA_CALLBACKS_FN thrown";
|
|
19243
|
-
const payload = {
|
|
19244
|
-
error: functoolsKit.errorData(error),
|
|
19245
|
-
message: functoolsKit.getErrorMessage(error),
|
|
19246
|
-
};
|
|
19247
|
-
bt.loggerService.warn(message, payload);
|
|
19248
|
-
console.warn(message, payload);
|
|
19249
|
-
errorEmitter.next(error);
|
|
19250
|
-
},
|
|
19251
|
-
});
|
|
19252
|
-
/**
|
|
19253
|
-
* Wrapper to call onData callback with error handling.
|
|
19254
|
-
* Catches and logs any errors thrown by the user-provided callback.
|
|
19255
|
-
*/
|
|
19256
|
-
const CALL_DATA_CALLBACKS_FN = functoolsKit.trycatch(async (self, symbol, strategyList) => {
|
|
19257
|
-
if (self.params.callbacks?.onData) {
|
|
19258
|
-
await self.params.callbacks.onData(symbol, strategyList);
|
|
19259
|
-
}
|
|
19260
|
-
}, {
|
|
19261
|
-
fallback: (error) => {
|
|
19262
|
-
const message = "ClientOptimizer CALL_DATA_CALLBACKS_FN thrown";
|
|
19263
|
-
const payload = {
|
|
19264
|
-
error: functoolsKit.errorData(error),
|
|
19265
|
-
message: functoolsKit.getErrorMessage(error),
|
|
19266
|
-
};
|
|
19267
|
-
bt.loggerService.warn(message, payload);
|
|
19268
|
-
console.warn(message, payload);
|
|
19269
|
-
errorEmitter.next(error);
|
|
19270
|
-
},
|
|
19271
|
-
});
|
|
19272
|
-
/**
|
|
19273
|
-
* Wrapper to call onCode callback with error handling.
|
|
19274
|
-
* Catches and logs any errors thrown by the user-provided callback.
|
|
19275
|
-
*/
|
|
19276
|
-
const CALL_CODE_CALLBACKS_FN = functoolsKit.trycatch(async (self, symbol, code) => {
|
|
19277
|
-
if (self.params.callbacks?.onCode) {
|
|
19278
|
-
await self.params.callbacks.onCode(symbol, code);
|
|
19279
|
-
}
|
|
19280
|
-
}, {
|
|
19281
|
-
fallback: (error) => {
|
|
19282
|
-
const message = "ClientOptimizer CALL_CODE_CALLBACKS_FN thrown";
|
|
19283
|
-
const payload = {
|
|
19284
|
-
error: functoolsKit.errorData(error),
|
|
19285
|
-
message: functoolsKit.getErrorMessage(error),
|
|
19286
|
-
};
|
|
19287
|
-
bt.loggerService.warn(message, payload);
|
|
19288
|
-
console.warn(message, payload);
|
|
19289
|
-
errorEmitter.next(error);
|
|
19290
|
-
},
|
|
19291
|
-
});
|
|
19292
|
-
/**
|
|
19293
|
-
* Wrapper to call onDump callback with error handling.
|
|
19294
|
-
* Catches and logs any errors thrown by the user-provided callback.
|
|
19295
|
-
*/
|
|
19296
|
-
const CALL_DUMP_CALLBACKS_FN = functoolsKit.trycatch(async (self, symbol, filepath) => {
|
|
19297
|
-
if (self.params.callbacks?.onDump) {
|
|
19298
|
-
await self.params.callbacks.onDump(symbol, filepath);
|
|
19299
|
-
}
|
|
19300
|
-
}, {
|
|
19301
|
-
fallback: (error) => {
|
|
19302
|
-
const message = "ClientOptimizer CALL_DUMP_CALLBACKS_FN thrown";
|
|
19303
|
-
const payload = {
|
|
19304
|
-
error: functoolsKit.errorData(error),
|
|
19305
|
-
message: functoolsKit.getErrorMessage(error),
|
|
19306
|
-
};
|
|
19307
|
-
bt.loggerService.warn(message, payload);
|
|
19308
|
-
console.warn(message, payload);
|
|
19309
|
-
errorEmitter.next(error);
|
|
19310
|
-
},
|
|
19311
|
-
});
|
|
19312
|
-
/**
|
|
19313
|
-
* Default user message formatter.
|
|
19314
|
-
* Delegates to template's getUserMessage method.
|
|
19315
|
-
*
|
|
19316
|
-
* @param symbol - Trading pair symbol
|
|
19317
|
-
* @param data - Fetched data array
|
|
19318
|
-
* @param name - Source name
|
|
19319
|
-
* @param self - ClientOptimizer instance
|
|
19320
|
-
* @returns Formatted user message content
|
|
19321
|
-
*/
|
|
19322
|
-
const DEFAULT_USER_FN = async (symbol, data, name, self) => {
|
|
19323
|
-
return await self.params.template.getUserMessage(symbol, data, name);
|
|
19324
|
-
};
|
|
19325
|
-
/**
|
|
19326
|
-
* Default assistant message formatter.
|
|
19327
|
-
* Delegates to template's getAssistantMessage method.
|
|
19328
|
-
*
|
|
19329
|
-
* @param symbol - Trading pair symbol
|
|
19330
|
-
* @param data - Fetched data array
|
|
19331
|
-
* @param name - Source name
|
|
19332
|
-
* @param self - ClientOptimizer instance
|
|
19333
|
-
* @returns Formatted assistant message content
|
|
19334
|
-
*/
|
|
19335
|
-
const DEFAULT_ASSISTANT_FN = async (symbol, data, name, self) => {
|
|
19336
|
-
return await self.params.template.getAssistantMessage(symbol, data, name);
|
|
19337
|
-
};
|
|
19338
|
-
/**
|
|
19339
|
-
* Resolves paginated data from source with deduplication.
|
|
19340
|
-
* Uses iterateDocuments to handle pagination automatically.
|
|
19341
|
-
*
|
|
19342
|
-
* @param fetch - Source fetch function
|
|
19343
|
-
* @param filterData - Filter arguments (symbol, dates)
|
|
19344
|
-
* @returns Deduplicated array of all fetched data
|
|
19345
|
-
*/
|
|
19346
|
-
const RESOLVE_PAGINATION_FN = async (fetch, filterData) => {
|
|
19347
|
-
const iterator = functoolsKit.iterateDocuments({
|
|
19348
|
-
limit: ITERATION_LIMIT,
|
|
19349
|
-
async createRequest({ limit, offset }) {
|
|
19350
|
-
return await fetch({
|
|
19351
|
-
symbol: filterData.symbol,
|
|
19352
|
-
startDate: filterData.startDate,
|
|
19353
|
-
endDate: filterData.endDate,
|
|
19354
|
-
limit,
|
|
19355
|
-
offset,
|
|
19356
|
-
});
|
|
19357
|
-
},
|
|
19358
|
-
});
|
|
19359
|
-
const distinct = functoolsKit.distinctDocuments(iterator, (data) => data.id);
|
|
19360
|
-
return await functoolsKit.resolveDocuments(distinct);
|
|
19361
|
-
};
|
|
19362
|
-
/**
|
|
19363
|
-
* Collects data from all sources and generates strategy metadata.
|
|
19364
|
-
* Iterates through training ranges, fetches data from each source,
|
|
19365
|
-
* builds LLM conversation history, and generates strategy prompts.
|
|
19366
|
-
*
|
|
19367
|
-
* @param symbol - Trading pair symbol
|
|
19368
|
-
* @param self - ClientOptimizer instance
|
|
19369
|
-
* @returns Array of generated strategies with conversation context
|
|
19370
|
-
*/
|
|
19371
|
-
const GET_STRATEGY_DATA_FN = async (symbol, self) => {
|
|
19372
|
-
const strategyList = [];
|
|
19373
|
-
const totalSources = self.params.rangeTrain.length * self.params.source.length;
|
|
19374
|
-
let processedSources = 0;
|
|
19375
|
-
for (const { startDate, endDate } of self.params.rangeTrain) {
|
|
19376
|
-
const messageList = [];
|
|
19377
|
-
for (const source of self.params.source) {
|
|
19378
|
-
// Emit progress event at the start of processing each source
|
|
19379
|
-
await self.onProgress({
|
|
19380
|
-
optimizerName: self.params.optimizerName,
|
|
19381
|
-
symbol,
|
|
19382
|
-
totalSources,
|
|
19383
|
-
processedSources,
|
|
19384
|
-
progress: totalSources > 0 ? processedSources / totalSources : 0,
|
|
19385
|
-
});
|
|
19386
|
-
if (typeof source === "function") {
|
|
19387
|
-
const data = await RESOLVE_PAGINATION_FN(source, {
|
|
19388
|
-
symbol,
|
|
19389
|
-
startDate,
|
|
19390
|
-
endDate,
|
|
19391
|
-
});
|
|
19392
|
-
await CALL_SOURCE_DATA_CALLBACKS_FN(self, symbol, DEFAULT_SOURCE_NAME, data, startDate, endDate);
|
|
19393
|
-
const [userContent, assistantContent] = await Promise.all([
|
|
19394
|
-
DEFAULT_USER_FN(symbol, data, DEFAULT_SOURCE_NAME, self),
|
|
19395
|
-
DEFAULT_ASSISTANT_FN(symbol, data, DEFAULT_SOURCE_NAME, self),
|
|
19396
|
-
]);
|
|
19397
|
-
messageList.push({
|
|
19398
|
-
role: "user",
|
|
19399
|
-
content: userContent,
|
|
19400
|
-
}, {
|
|
19401
|
-
role: "assistant",
|
|
19402
|
-
content: assistantContent,
|
|
19403
|
-
});
|
|
19404
|
-
processedSources++;
|
|
19405
|
-
}
|
|
19406
|
-
else {
|
|
19407
|
-
const { fetch, name = DEFAULT_SOURCE_NAME, assistant = DEFAULT_ASSISTANT_FN, user = DEFAULT_USER_FN, } = source;
|
|
19408
|
-
const data = await RESOLVE_PAGINATION_FN(fetch, {
|
|
19409
|
-
symbol,
|
|
19410
|
-
startDate,
|
|
19411
|
-
endDate,
|
|
19412
|
-
});
|
|
19413
|
-
await CALL_SOURCE_DATA_CALLBACKS_FN(self, symbol, name, data, startDate, endDate);
|
|
19414
|
-
const [userContent, assistantContent] = await Promise.all([
|
|
19415
|
-
user(symbol, data, name, self),
|
|
19416
|
-
assistant(symbol, data, name, self),
|
|
19417
|
-
]);
|
|
19418
|
-
messageList.push({
|
|
19419
|
-
role: "user",
|
|
19420
|
-
content: userContent,
|
|
19421
|
-
}, {
|
|
19422
|
-
role: "assistant",
|
|
19423
|
-
content: assistantContent,
|
|
19424
|
-
});
|
|
19425
|
-
processedSources++;
|
|
19426
|
-
}
|
|
19427
|
-
const name = "name" in source
|
|
19428
|
-
? source.name || DEFAULT_SOURCE_NAME
|
|
19429
|
-
: DEFAULT_SOURCE_NAME;
|
|
19430
|
-
strategyList.push({
|
|
19431
|
-
symbol,
|
|
19432
|
-
name,
|
|
19433
|
-
messages: messageList,
|
|
19434
|
-
strategy: await self.params.getPrompt(symbol, messageList),
|
|
19435
|
-
});
|
|
19436
|
-
}
|
|
19437
|
-
}
|
|
19438
|
-
// Emit final progress event (100%)
|
|
19439
|
-
await self.onProgress({
|
|
19440
|
-
optimizerName: self.params.optimizerName,
|
|
19441
|
-
symbol,
|
|
19442
|
-
totalSources,
|
|
19443
|
-
processedSources: totalSources,
|
|
19444
|
-
progress: 1.0,
|
|
19445
|
-
});
|
|
19446
|
-
await CALL_DATA_CALLBACKS_FN(self, symbol, strategyList);
|
|
19447
|
-
return strategyList;
|
|
19448
|
-
};
|
|
19449
|
-
/**
|
|
19450
|
-
* Generates complete executable strategy code.
|
|
19451
|
-
* Assembles all components: imports, helpers, exchange, frames, strategies, walker, launcher.
|
|
19452
|
-
*
|
|
19453
|
-
* @param symbol - Trading pair symbol
|
|
19454
|
-
* @param self - ClientOptimizer instance
|
|
19455
|
-
* @returns Generated TypeScript/JavaScript code as string
|
|
19456
|
-
*/
|
|
19457
|
-
const GET_STRATEGY_CODE_FN = async (symbol, self) => {
|
|
19458
|
-
const strategyData = await self.getData(symbol);
|
|
19459
|
-
const prefix = CREATE_PREFIX_FN();
|
|
19460
|
-
const sections = [];
|
|
19461
|
-
const exchangeName = `${prefix}_exchange`;
|
|
19462
|
-
// 1. Top banner with imports
|
|
19463
|
-
{
|
|
19464
|
-
sections.push(await self.params.template.getTopBanner(symbol));
|
|
19465
|
-
sections.push("");
|
|
19466
|
-
}
|
|
19467
|
-
// 2. JSON dump helper function
|
|
19468
|
-
{
|
|
19469
|
-
sections.push(await self.params.template.getJsonDumpTemplate(symbol));
|
|
19470
|
-
sections.push("");
|
|
19471
|
-
}
|
|
19472
|
-
// 3. Helper functions (text and json)
|
|
19473
|
-
{
|
|
19474
|
-
sections.push(await self.params.template.getTextTemplate(symbol));
|
|
19475
|
-
sections.push("");
|
|
19476
|
-
}
|
|
19477
|
-
{
|
|
19478
|
-
sections.push(await self.params.template.getJsonTemplate(symbol));
|
|
19479
|
-
sections.push("");
|
|
19480
|
-
}
|
|
19481
|
-
// 4. Exchange template (assuming first strategy has exchange info)
|
|
19482
|
-
{
|
|
19483
|
-
sections.push(await self.params.template.getExchangeTemplate(symbol, exchangeName));
|
|
19484
|
-
sections.push("");
|
|
19485
|
-
}
|
|
19486
|
-
// 5. Train frame templates
|
|
19487
|
-
{
|
|
19488
|
-
for (let i = 0; i < self.params.rangeTrain.length; i++) {
|
|
19489
|
-
const range = self.params.rangeTrain[i];
|
|
19490
|
-
const frameName = `${prefix}_train_frame-${i + 1}`;
|
|
19491
|
-
sections.push(await self.params.template.getFrameTemplate(symbol, frameName, "1m", // default interval
|
|
19492
|
-
range.startDate, range.endDate));
|
|
19493
|
-
sections.push("");
|
|
19494
|
-
}
|
|
19495
|
-
}
|
|
19496
|
-
// 6. Test frame template
|
|
19497
|
-
{
|
|
19498
|
-
const testFrameName = `${prefix}_test_frame`;
|
|
19499
|
-
sections.push(await self.params.template.getFrameTemplate(symbol, testFrameName, "1m", // default interval
|
|
19500
|
-
self.params.rangeTest.startDate, self.params.rangeTest.endDate));
|
|
19501
|
-
sections.push("");
|
|
19502
|
-
}
|
|
19503
|
-
// 7. Strategy templates for each generated strategy
|
|
19504
|
-
{
|
|
19505
|
-
for (let i = 0; i < strategyData.length; i++) {
|
|
19506
|
-
const strategy = strategyData[i];
|
|
19507
|
-
const strategyName = `${prefix}_strategy-${i + 1}`;
|
|
19508
|
-
const interval = "5m"; // default interval
|
|
19509
|
-
sections.push(await self.params.template.getStrategyTemplate(strategyName, interval, strategy.strategy));
|
|
19510
|
-
sections.push("");
|
|
19511
|
-
}
|
|
19512
|
-
}
|
|
19513
|
-
// 8. Walker template (uses test frame for validation)
|
|
19514
|
-
{
|
|
19515
|
-
const walkerName = `${prefix}_walker`;
|
|
19516
|
-
const testFrameName = `${prefix}_test_frame`;
|
|
19517
|
-
const strategies = strategyData.map((_, i) => `${prefix}_strategy-${i + 1}`);
|
|
19518
|
-
sections.push(await self.params.template.getWalkerTemplate(walkerName, `${exchangeName}`, testFrameName, strategies));
|
|
19519
|
-
sections.push("");
|
|
19520
|
-
}
|
|
19521
|
-
// 9. Launcher template
|
|
19522
|
-
{
|
|
19523
|
-
const walkerName = `${prefix}_walker`;
|
|
19524
|
-
sections.push(await self.params.template.getLauncherTemplate(symbol, walkerName));
|
|
19525
|
-
sections.push("");
|
|
19526
|
-
}
|
|
19527
|
-
const code = sections.join("\n");
|
|
19528
|
-
await CALL_CODE_CALLBACKS_FN(self, symbol, code);
|
|
19529
|
-
return code;
|
|
19530
|
-
};
|
|
19531
|
-
/**
|
|
19532
|
-
* Saves generated strategy code to file.
|
|
19533
|
-
* Creates directory if needed, writes .mjs file with generated code.
|
|
19534
|
-
*
|
|
19535
|
-
* @param symbol - Trading pair symbol
|
|
19536
|
-
* @param path - Output directory path
|
|
19537
|
-
* @param self - ClientOptimizer instance
|
|
19538
|
-
*/
|
|
19539
|
-
const GET_STRATEGY_DUMP_FN = async (symbol, path$1, self) => {
|
|
19540
|
-
const report = await self.getCode(symbol);
|
|
19541
|
-
try {
|
|
19542
|
-
const dir = path.join(process.cwd(), path$1);
|
|
19543
|
-
await fs.mkdir(dir, { recursive: true });
|
|
19544
|
-
const filename = `${self.params.optimizerName}_${symbol}.mjs`;
|
|
19545
|
-
const filepath = path.join(dir, filename);
|
|
19546
|
-
await fs.writeFile(filepath, report, "utf-8");
|
|
19547
|
-
self.params.logger.info(`Optimizer report saved: ${filepath}`);
|
|
19548
|
-
await CALL_DUMP_CALLBACKS_FN(self, symbol, filepath);
|
|
19549
|
-
}
|
|
19550
|
-
catch (error) {
|
|
19551
|
-
self.params.logger.warn(`Failed to save optimizer report:`, error);
|
|
19552
|
-
throw error;
|
|
19553
|
-
}
|
|
19554
|
-
};
|
|
19555
|
-
/**
|
|
19556
|
-
* Client implementation for optimizer operations.
|
|
19557
|
-
*
|
|
19558
|
-
* Features:
|
|
19559
|
-
* - Data collection from multiple sources with pagination
|
|
19560
|
-
* - LLM conversation history building
|
|
19561
|
-
* - Strategy code generation with templates
|
|
19562
|
-
* - File export with callbacks
|
|
19563
|
-
*
|
|
19564
|
-
* Used by OptimizerConnectionService to create optimizer instances.
|
|
19565
|
-
*/
|
|
19566
|
-
class ClientOptimizer {
|
|
19567
|
-
constructor(params, onProgress) {
|
|
19568
|
-
this.params = params;
|
|
19569
|
-
this.onProgress = onProgress;
|
|
19570
|
-
/**
|
|
19571
|
-
* Fetches data from all sources and generates strategy metadata.
|
|
19572
|
-
* Processes each training range and builds LLM conversation history.
|
|
19573
|
-
*
|
|
19574
|
-
* @param symbol - Trading pair symbol
|
|
19575
|
-
* @returns Array of generated strategies with conversation context
|
|
19576
|
-
*/
|
|
19577
|
-
this.getData = async (symbol) => {
|
|
19578
|
-
this.params.logger.debug("ClientOptimizer getData", {
|
|
19579
|
-
symbol,
|
|
19580
|
-
});
|
|
19581
|
-
return await GET_STRATEGY_DATA_FN(symbol, this);
|
|
19582
|
-
};
|
|
19583
|
-
/**
|
|
19584
|
-
* Generates complete executable strategy code.
|
|
19585
|
-
* Includes imports, helpers, strategies, walker, and launcher.
|
|
19586
|
-
*
|
|
19587
|
-
* @param symbol - Trading pair symbol
|
|
19588
|
-
* @returns Generated TypeScript/JavaScript code as string
|
|
19589
|
-
*/
|
|
19590
|
-
this.getCode = async (symbol) => {
|
|
19591
|
-
this.params.logger.debug("ClientOptimizer getCode", {
|
|
19592
|
-
symbol,
|
|
19593
|
-
});
|
|
19594
|
-
return await GET_STRATEGY_CODE_FN(symbol, this);
|
|
19595
|
-
};
|
|
19596
|
-
/**
|
|
19597
|
-
* Generates and saves strategy code to file.
|
|
19598
|
-
* Creates directory if needed, writes .mjs file.
|
|
19599
|
-
*
|
|
19600
|
-
* @param symbol - Trading pair symbol
|
|
19601
|
-
* @param path - Output directory path (default: "./")
|
|
19602
|
-
*/
|
|
19603
|
-
this.dump = async (symbol, path = "./") => {
|
|
19604
|
-
this.params.logger.debug("ClientOptimizer dump", {
|
|
19605
|
-
symbol,
|
|
19606
|
-
path,
|
|
19607
|
-
});
|
|
19608
|
-
return await GET_STRATEGY_DUMP_FN(symbol, path, this);
|
|
19609
|
-
};
|
|
19610
|
-
}
|
|
19611
|
-
}
|
|
19612
|
-
|
|
19613
|
-
/**
|
|
19614
|
-
* Callback function for emitting progress events to progressOptimizerEmitter.
|
|
19615
|
-
*/
|
|
19616
|
-
const COMMIT_PROGRESS_FN = async (progress) => progressOptimizerEmitter.next(progress);
|
|
19617
|
-
/**
|
|
19618
|
-
* Service for creating and caching optimizer client instances.
|
|
19619
|
-
* Handles dependency injection and template merging.
|
|
19620
|
-
*
|
|
19621
|
-
* Features:
|
|
19622
|
-
* - Memoized optimizer instances (one per optimizerName)
|
|
19623
|
-
* - Template merging (custom + defaults)
|
|
19624
|
-
* - Logger injection
|
|
19625
|
-
* - Delegates to ClientOptimizer for actual operations
|
|
19626
|
-
*/
|
|
19627
|
-
class OptimizerConnectionService {
|
|
19628
|
-
constructor() {
|
|
19629
|
-
this.loggerService = inject(TYPES.loggerService);
|
|
19630
|
-
this.optimizerSchemaService = inject(TYPES.optimizerSchemaService);
|
|
19631
|
-
this.optimizerTemplateService = inject(TYPES.optimizerTemplateService);
|
|
19632
|
-
/**
|
|
19633
|
-
* Creates or retrieves cached optimizer instance.
|
|
19634
|
-
* Memoized by optimizerName for performance.
|
|
19635
|
-
*
|
|
19636
|
-
* Merges custom templates from schema with defaults from OptimizerTemplateService.
|
|
19637
|
-
*
|
|
19638
|
-
* @param optimizerName - Unique optimizer identifier
|
|
19639
|
-
* @returns ClientOptimizer instance with resolved dependencies
|
|
19640
|
-
*/
|
|
19641
|
-
this.getOptimizer = functoolsKit.memoize(([optimizerName]) => `${optimizerName}`, (optimizerName) => {
|
|
19642
|
-
const { getPrompt, rangeTest, rangeTrain, source, template: rawTemplate = {}, callbacks, } = this.optimizerSchemaService.get(optimizerName);
|
|
19643
|
-
const { getAssistantMessage = this.optimizerTemplateService.getAssistantMessage, getExchangeTemplate = this.optimizerTemplateService.getExchangeTemplate, getFrameTemplate = this.optimizerTemplateService.getFrameTemplate, getJsonDumpTemplate = this.optimizerTemplateService.getJsonDumpTemplate, getJsonTemplate = this.optimizerTemplateService.getJsonTemplate, getLauncherTemplate = this.optimizerTemplateService.getLauncherTemplate, getStrategyTemplate = this.optimizerTemplateService.getStrategyTemplate, getTextTemplate = this.optimizerTemplateService.getTextTemplate, getWalkerTemplate = this.optimizerTemplateService.getWalkerTemplate, getTopBanner = this.optimizerTemplateService.getTopBanner, getUserMessage = this.optimizerTemplateService.getUserMessage, } = rawTemplate;
|
|
19644
|
-
const template = {
|
|
19645
|
-
getAssistantMessage,
|
|
19646
|
-
getExchangeTemplate,
|
|
19647
|
-
getFrameTemplate,
|
|
19648
|
-
getJsonDumpTemplate,
|
|
19649
|
-
getJsonTemplate,
|
|
19650
|
-
getLauncherTemplate,
|
|
19651
|
-
getStrategyTemplate,
|
|
19652
|
-
getTextTemplate,
|
|
19653
|
-
getWalkerTemplate,
|
|
19654
|
-
getTopBanner,
|
|
19655
|
-
getUserMessage,
|
|
19656
|
-
};
|
|
19657
|
-
return new ClientOptimizer({
|
|
19658
|
-
optimizerName,
|
|
19659
|
-
logger: this.loggerService,
|
|
19660
|
-
getPrompt,
|
|
19661
|
-
rangeTest,
|
|
19662
|
-
rangeTrain,
|
|
19663
|
-
source,
|
|
19664
|
-
template,
|
|
19665
|
-
callbacks,
|
|
19666
|
-
}, COMMIT_PROGRESS_FN);
|
|
19667
|
-
});
|
|
19668
|
-
/**
|
|
19669
|
-
* Fetches data from all sources and generates strategy metadata.
|
|
19670
|
-
*
|
|
19671
|
-
* @param symbol - Trading pair symbol
|
|
19672
|
-
* @param optimizerName - Optimizer identifier
|
|
19673
|
-
* @returns Array of generated strategies with conversation context
|
|
19674
|
-
*/
|
|
19675
|
-
this.getData = async (symbol, optimizerName) => {
|
|
19676
|
-
this.loggerService.log("optimizerConnectionService getData", {
|
|
19677
|
-
symbol,
|
|
19678
|
-
optimizerName,
|
|
19679
|
-
});
|
|
19680
|
-
const optimizer = this.getOptimizer(optimizerName);
|
|
19681
|
-
return await optimizer.getData(symbol);
|
|
19682
|
-
};
|
|
19683
|
-
/**
|
|
19684
|
-
* Generates complete executable strategy code.
|
|
19685
|
-
*
|
|
19686
|
-
* @param symbol - Trading pair symbol
|
|
19687
|
-
* @param optimizerName - Optimizer identifier
|
|
19688
|
-
* @returns Generated TypeScript/JavaScript code as string
|
|
19689
|
-
*/
|
|
19690
|
-
this.getCode = async (symbol, optimizerName) => {
|
|
19691
|
-
this.loggerService.log("optimizerConnectionService getCode", {
|
|
19692
|
-
symbol,
|
|
19693
|
-
optimizerName,
|
|
19694
|
-
});
|
|
19695
|
-
const optimizer = this.getOptimizer(optimizerName);
|
|
19696
|
-
return await optimizer.getCode(symbol);
|
|
19697
|
-
};
|
|
19698
|
-
/**
|
|
19699
|
-
* Generates and saves strategy code to file.
|
|
19700
|
-
*
|
|
19701
|
-
* @param symbol - Trading pair symbol
|
|
19702
|
-
* @param optimizerName - Optimizer identifier
|
|
19703
|
-
* @param path - Output directory path (optional)
|
|
19704
|
-
*/
|
|
19705
|
-
this.dump = async (symbol, optimizerName, path) => {
|
|
19706
|
-
this.loggerService.log("optimizerConnectionService getCode", {
|
|
19707
|
-
symbol,
|
|
19708
|
-
optimizerName,
|
|
19709
|
-
});
|
|
19710
|
-
const optimizer = this.getOptimizer(optimizerName);
|
|
19711
|
-
return await optimizer.dump(symbol, path);
|
|
19712
|
-
};
|
|
19713
|
-
}
|
|
19714
|
-
}
|
|
19715
|
-
|
|
19716
|
-
/**
|
|
19717
|
-
* Symbol marker indicating that partial state needs initialization.
|
|
19718
|
-
* Used as sentinel value for _states before waitForInit() is called.
|
|
19719
|
-
*/
|
|
19720
|
-
const NEED_FETCH$1 = Symbol("need_fetch");
|
|
19721
|
-
/**
|
|
19722
|
-
* Array of profit level milestones to track (10%, 20%, ..., 100%).
|
|
19723
|
-
* Each level is checked during profit() method to emit events for newly reached levels.
|
|
19724
|
-
*/
|
|
19725
|
-
const PROFIT_LEVELS = [10, 20, 30, 40, 50, 60, 70, 80, 90, 100];
|
|
19726
|
-
/**
|
|
19727
|
-
* Array of loss level milestones to track (-10%, -20%, ..., -100%).
|
|
19728
|
-
* Each level is checked during loss() method to emit events for newly reached levels.
|
|
19729
|
-
*/
|
|
19730
|
-
const LOSS_LEVELS = [10, 20, 30, 40, 50, 60, 70, 80, 90, 100];
|
|
19731
|
-
/**
|
|
19732
|
-
* Internal profit handler function for ClientPartial.
|
|
19733
|
-
*
|
|
19734
|
-
* Checks which profit levels have been reached and emits events for new levels only.
|
|
19735
|
-
* Uses Set-based deduplication to prevent duplicate events.
|
|
19736
|
-
*
|
|
19737
|
-
* @param symbol - Trading pair symbol
|
|
19738
|
-
* @param data - Signal row data
|
|
19739
|
-
* @param currentPrice - Current market price
|
|
19740
|
-
* @param revenuePercent - Current profit percentage (positive value)
|
|
19741
|
-
* @param backtest - True if backtest mode
|
|
19742
|
-
* @param when - Event timestamp
|
|
19743
|
-
* @param self - ClientPartial instance reference
|
|
19744
|
-
*/
|
|
19745
|
-
const HANDLE_PROFIT_FN = async (symbol, data, currentPrice, revenuePercent, backtest, when, self) => {
|
|
19746
|
-
if (self._states === NEED_FETCH$1) {
|
|
19747
|
-
throw new Error("ClientPartial not initialized. Call waitForInit() before using.");
|
|
19748
|
-
}
|
|
19749
|
-
if (data.id !== self.params.signalId) {
|
|
19750
|
-
throw new Error(`Signal ID mismatch: expected ${self.params.signalId}, got ${data.id}`);
|
|
19751
|
-
}
|
|
19752
|
-
let state = self._states.get(data.id);
|
|
19753
|
-
if (!state) {
|
|
19754
|
-
state = {
|
|
19755
|
-
profitLevels: new Set(),
|
|
19756
|
-
lossLevels: new Set(),
|
|
19757
|
-
};
|
|
19758
|
-
self._states.set(data.id, state);
|
|
19759
|
-
}
|
|
19760
|
-
let shouldPersist = false;
|
|
19761
|
-
for (const level of PROFIT_LEVELS) {
|
|
19762
|
-
if (revenuePercent >= level && !state.profitLevels.has(level)) {
|
|
19763
|
-
state.profitLevels.add(level);
|
|
19764
|
-
shouldPersist = true;
|
|
19765
|
-
self.params.logger.debug("ClientPartial profit level reached", {
|
|
19766
|
-
symbol,
|
|
19767
|
-
signalId: data.id,
|
|
19768
|
-
level,
|
|
19769
|
-
revenuePercent,
|
|
19770
|
-
backtest,
|
|
19771
|
-
});
|
|
19772
|
-
await self.params.onProfit(symbol, data.strategyName, data.exchangeName, data.frameName, data, currentPrice, level, backtest, when.getTime());
|
|
19773
|
-
}
|
|
19774
|
-
}
|
|
19775
|
-
if (shouldPersist) {
|
|
19776
|
-
await self._persistState(symbol, data.strategyName, data.exchangeName, self.params.signalId);
|
|
19777
|
-
}
|
|
19778
|
-
};
|
|
19779
|
-
/**
|
|
19780
|
-
* Internal loss handler function for ClientPartial.
|
|
19781
|
-
*
|
|
19782
|
-
* Checks which loss levels have been reached and emits events for new levels only.
|
|
19783
|
-
* Uses Set-based deduplication to prevent duplicate events.
|
|
19784
|
-
* Converts negative lossPercent to absolute value for level comparison.
|
|
19785
|
-
*
|
|
19786
|
-
* @param symbol - Trading pair symbol
|
|
19787
|
-
* @param data - Signal row data
|
|
19788
|
-
* @param currentPrice - Current market price
|
|
19789
|
-
* @param lossPercent - Current loss percentage (negative value)
|
|
19790
|
-
* @param backtest - True if backtest mode
|
|
19791
|
-
* @param when - Event timestamp
|
|
19792
|
-
* @param self - ClientPartial instance reference
|
|
19793
|
-
*/
|
|
19794
|
-
const HANDLE_LOSS_FN = async (symbol, data, currentPrice, lossPercent, backtest, when, self) => {
|
|
19795
|
-
if (self._states === NEED_FETCH$1) {
|
|
19796
|
-
throw new Error("ClientPartial not initialized. Call waitForInit() before using.");
|
|
19797
|
-
}
|
|
19798
|
-
if (data.id !== self.params.signalId) {
|
|
19799
|
-
throw new Error(`Signal ID mismatch: expected ${self.params.signalId}, got ${data.id}`);
|
|
19800
|
-
}
|
|
19801
|
-
let state = self._states.get(data.id);
|
|
19802
|
-
if (!state) {
|
|
19803
|
-
state = {
|
|
19804
|
-
profitLevels: new Set(),
|
|
19805
|
-
lossLevels: new Set(),
|
|
19806
|
-
};
|
|
19807
|
-
self._states.set(data.id, state);
|
|
19808
|
-
}
|
|
19809
|
-
const absLoss = Math.abs(lossPercent);
|
|
19810
|
-
let shouldPersist = false;
|
|
19811
|
-
for (const level of LOSS_LEVELS) {
|
|
19812
|
-
if (absLoss >= level && !state.lossLevels.has(level)) {
|
|
19813
|
-
state.lossLevels.add(level);
|
|
19814
|
-
shouldPersist = true;
|
|
19815
|
-
self.params.logger.debug("ClientPartial loss level reached", {
|
|
19816
|
-
symbol,
|
|
19817
|
-
signalId: data.id,
|
|
19818
|
-
level,
|
|
19819
|
-
lossPercent,
|
|
19820
|
-
backtest,
|
|
19821
|
-
});
|
|
19822
|
-
await self.params.onLoss(symbol, data.strategyName, data.exchangeName, data.frameName, data, currentPrice, level, backtest, when.getTime());
|
|
19823
|
-
}
|
|
19824
|
-
}
|
|
19825
|
-
if (shouldPersist) {
|
|
19826
|
-
await self._persistState(symbol, data.strategyName, data.exchangeName, self.params.signalId);
|
|
19827
|
-
}
|
|
19828
|
-
};
|
|
19829
|
-
/**
|
|
19830
|
-
* Internal initialization function for ClientPartial.
|
|
18517
|
+
* Internal initialization function for ClientPartial.
|
|
19831
18518
|
*
|
|
19832
18519
|
* Loads persisted partial state from disk and restores in-memory Maps.
|
|
19833
18520
|
* Converts serialized arrays back to Sets for O(1) lookups.
|
|
@@ -22010,162 +20697,6 @@ class BreakevenGlobalService {
|
|
|
22010
20697
|
}
|
|
22011
20698
|
}
|
|
22012
20699
|
|
|
22013
|
-
/**
|
|
22014
|
-
* Warning threshold for message size in kilobytes.
|
|
22015
|
-
* Messages exceeding this size trigger console warnings.
|
|
22016
|
-
*/
|
|
22017
|
-
const WARN_KB = 30;
|
|
22018
|
-
/**
|
|
22019
|
-
* Internal function for dumping signal data to markdown files.
|
|
22020
|
-
* Creates a directory structure with system prompts, user messages, and LLM output.
|
|
22021
|
-
*
|
|
22022
|
-
* @param signalId - Unique identifier for the result
|
|
22023
|
-
* @param history - Array of message models from LLM conversation
|
|
22024
|
-
* @param signal - Signal DTO with trade parameters
|
|
22025
|
-
* @param outputDir - Output directory path (default: "./dump/strategy")
|
|
22026
|
-
* @returns Promise that resolves when all files are written
|
|
22027
|
-
*/
|
|
22028
|
-
const DUMP_SIGNAL_FN = async (signalId, history, signal, outputDir = "./dump/outline") => {
|
|
22029
|
-
// Extract system messages and system reminders from existing data
|
|
22030
|
-
const systemMessages = history.filter((m) => m.role === "system");
|
|
22031
|
-
const userMessages = history.filter((m) => m.role === "user");
|
|
22032
|
-
const subfolderPath = path.join(outputDir, String(signalId));
|
|
22033
|
-
// Generate system prompt markdown
|
|
22034
|
-
{
|
|
22035
|
-
let summary = "# Outline Result Summary\n";
|
|
22036
|
-
{
|
|
22037
|
-
summary += "\n";
|
|
22038
|
-
summary += `**ResultId**: ${String(signalId)}\n`;
|
|
22039
|
-
summary += "\n";
|
|
22040
|
-
}
|
|
22041
|
-
if (signal) {
|
|
22042
|
-
summary += "## Output Data\n\n";
|
|
22043
|
-
summary += "```json\n";
|
|
22044
|
-
summary += JSON.stringify(signal, null, 2);
|
|
22045
|
-
summary += "\n```\n\n";
|
|
22046
|
-
}
|
|
22047
|
-
// Add system messages to summary
|
|
22048
|
-
if (systemMessages.length > 0) {
|
|
22049
|
-
summary += "## System Messages\n\n";
|
|
22050
|
-
systemMessages.forEach((msg, idx) => {
|
|
22051
|
-
summary += `### System Message ${idx + 1}\n\n`;
|
|
22052
|
-
summary += msg.content;
|
|
22053
|
-
summary += "\n";
|
|
22054
|
-
});
|
|
22055
|
-
}
|
|
22056
|
-
await Markdown.writeData("outline", summary, {
|
|
22057
|
-
path: subfolderPath,
|
|
22058
|
-
file: "00_system_prompt.md",
|
|
22059
|
-
symbol: "",
|
|
22060
|
-
signalId: String(signalId),
|
|
22061
|
-
strategyName: "",
|
|
22062
|
-
exchangeName: "",
|
|
22063
|
-
frameName: ""
|
|
22064
|
-
});
|
|
22065
|
-
}
|
|
22066
|
-
// Generate user messages
|
|
22067
|
-
{
|
|
22068
|
-
await Promise.all(Array.from(userMessages.entries()).map(async ([idx, message]) => {
|
|
22069
|
-
const messageNum = String(idx + 1).padStart(2, "0");
|
|
22070
|
-
const contentFileName = `${messageNum}_user_message.md`;
|
|
22071
|
-
{
|
|
22072
|
-
const messageSizeBytes = Buffer.byteLength(message.content, "utf8");
|
|
22073
|
-
const messageSizeKb = Math.floor(messageSizeBytes / 1024);
|
|
22074
|
-
if (messageSizeKb > WARN_KB) {
|
|
22075
|
-
console.warn(`User message ${idx + 1} is ${messageSizeBytes} bytes (${messageSizeKb}kb), which exceeds warning limit`);
|
|
22076
|
-
}
|
|
22077
|
-
}
|
|
22078
|
-
let content = `# User Input ${idx + 1}\n\n`;
|
|
22079
|
-
content += `**ResultId**: ${String(signalId)}\n\n`;
|
|
22080
|
-
content += message.content;
|
|
22081
|
-
content += "\n";
|
|
22082
|
-
await Markdown.writeData("outline", content, {
|
|
22083
|
-
path: subfolderPath,
|
|
22084
|
-
file: contentFileName,
|
|
22085
|
-
signalId: String(signalId),
|
|
22086
|
-
symbol: "",
|
|
22087
|
-
strategyName: "",
|
|
22088
|
-
exchangeName: "",
|
|
22089
|
-
frameName: ""
|
|
22090
|
-
});
|
|
22091
|
-
}));
|
|
22092
|
-
}
|
|
22093
|
-
// Generate LLM output
|
|
22094
|
-
{
|
|
22095
|
-
const messageNum = String(userMessages.length + 1).padStart(2, "0");
|
|
22096
|
-
const contentFileName = `${messageNum}_llm_output.md`;
|
|
22097
|
-
let content = "# Full Outline Result\n\n";
|
|
22098
|
-
content += `**ResultId**: ${String(signalId)}\n\n`;
|
|
22099
|
-
if (signal) {
|
|
22100
|
-
content += "## Output Data\n\n";
|
|
22101
|
-
content += "```json\n";
|
|
22102
|
-
content += JSON.stringify(signal, null, 2);
|
|
22103
|
-
content += "\n```\n";
|
|
22104
|
-
}
|
|
22105
|
-
await Markdown.writeData("outline", content, {
|
|
22106
|
-
path: subfolderPath,
|
|
22107
|
-
file: contentFileName,
|
|
22108
|
-
symbol: "",
|
|
22109
|
-
signalId: String(signalId),
|
|
22110
|
-
strategyName: "",
|
|
22111
|
-
exchangeName: "",
|
|
22112
|
-
frameName: ""
|
|
22113
|
-
});
|
|
22114
|
-
}
|
|
22115
|
-
};
|
|
22116
|
-
/**
|
|
22117
|
-
* Service for generating markdown documentation from LLM outline results.
|
|
22118
|
-
* Used by AI Strategy Optimizer to save debug logs and conversation history.
|
|
22119
|
-
*
|
|
22120
|
-
* Creates directory structure:
|
|
22121
|
-
* - ./dump/strategy/{signalId}/00_system_prompt.md - System messages and output data
|
|
22122
|
-
* - ./dump/strategy/{signalId}/01_user_message.md - First user input
|
|
22123
|
-
* - ./dump/strategy/{signalId}/02_user_message.md - Second user input
|
|
22124
|
-
* - ./dump/strategy/{signalId}/XX_llm_output.md - Final LLM output
|
|
22125
|
-
*/
|
|
22126
|
-
class OutlineMarkdownService {
|
|
22127
|
-
constructor() {
|
|
22128
|
-
/** Logger service injected via DI */
|
|
22129
|
-
this.loggerService = inject(TYPES.loggerService);
|
|
22130
|
-
/**
|
|
22131
|
-
* Dumps signal data and conversation history to markdown files.
|
|
22132
|
-
* Skips if directory already exists to avoid overwriting previous results.
|
|
22133
|
-
*
|
|
22134
|
-
* Generated files:
|
|
22135
|
-
* - 00_system_prompt.md - System messages and output summary
|
|
22136
|
-
* - XX_user_message.md - Each user message in separate file (numbered)
|
|
22137
|
-
* - XX_llm_output.md - Final LLM output with signal data
|
|
22138
|
-
*
|
|
22139
|
-
* @param signalId - Unique identifier for the result (used as directory name)
|
|
22140
|
-
* @param history - Array of message models from LLM conversation
|
|
22141
|
-
* @param signal - Signal DTO with trade parameters (priceOpen, TP, SL, etc.)
|
|
22142
|
-
* @param outputDir - Output directory path (default: "./dump/strategy")
|
|
22143
|
-
* @returns Promise that resolves when all files are written
|
|
22144
|
-
*
|
|
22145
|
-
* @example
|
|
22146
|
-
* ```typescript
|
|
22147
|
-
* await outlineService.dumpSignal(
|
|
22148
|
-
* "strategy-1",
|
|
22149
|
-
* conversationHistory,
|
|
22150
|
-
* { position: "long", priceTakeProfit: 51000, priceStopLoss: 49000, minuteEstimatedTime: 60 }
|
|
22151
|
-
* );
|
|
22152
|
-
* // Creates: ./dump/strategy/strategy-1/00_system_prompt.md
|
|
22153
|
-
* // ./dump/strategy/strategy-1/01_user_message.md
|
|
22154
|
-
* // ./dump/strategy/strategy-1/02_llm_output.md
|
|
22155
|
-
* ```
|
|
22156
|
-
*/
|
|
22157
|
-
this.dumpSignal = async (signalId, history, signal, outputDir = "./dump/strategy") => {
|
|
22158
|
-
this.loggerService.log("outlineMarkdownService dumpSignal", {
|
|
22159
|
-
signalId,
|
|
22160
|
-
history,
|
|
22161
|
-
signal,
|
|
22162
|
-
outputDir,
|
|
22163
|
-
});
|
|
22164
|
-
return await DUMP_SIGNAL_FN(signalId, history, signal, outputDir);
|
|
22165
|
-
};
|
|
22166
|
-
}
|
|
22167
|
-
}
|
|
22168
|
-
|
|
22169
20700
|
/**
|
|
22170
20701
|
* Service for validating GLOBAL_CONFIG parameters to ensure mathematical correctness
|
|
22171
20702
|
* and prevent unprofitable trading configurations.
|
|
@@ -24551,111 +23082,6 @@ class RiskReportService {
|
|
|
24551
23082
|
}
|
|
24552
23083
|
}
|
|
24553
23084
|
|
|
24554
|
-
const require$1 = module$1.createRequire((typeof document === 'undefined' ? require('u' + 'rl').pathToFileURL(__filename).href : (_documentCurrentScript && _documentCurrentScript.tagName.toUpperCase() === 'SCRIPT' && _documentCurrentScript.src || new URL('index.cjs', document.baseURI).href)));
|
|
24555
|
-
/**
|
|
24556
|
-
* Default fallback prompt configuration.
|
|
24557
|
-
* Used when signal.prompt.cjs file is not found.
|
|
24558
|
-
*/
|
|
24559
|
-
const DEFAULT_PROMPT = {
|
|
24560
|
-
user: "",
|
|
24561
|
-
system: [],
|
|
24562
|
-
};
|
|
24563
|
-
/**
|
|
24564
|
-
* Lazy-loads and caches signal prompt configuration.
|
|
24565
|
-
* Attempts to load from config/prompt/signal.prompt.cjs, falls back to DEFAULT_PROMPT if not found.
|
|
24566
|
-
* Uses singleshot pattern to ensure configuration is loaded only once.
|
|
24567
|
-
* @returns Prompt configuration with system and user prompts
|
|
24568
|
-
*/
|
|
24569
|
-
const GET_PROMPT_FN = functoolsKit.singleshot(() => {
|
|
24570
|
-
try {
|
|
24571
|
-
const modulePath = require$1.resolve(path.join(process.cwd(), `./config/prompt/signal.prompt.cjs`));
|
|
24572
|
-
console.log(`Using ${modulePath} implementation as signal.prompt.cjs`);
|
|
24573
|
-
return require$1(modulePath);
|
|
24574
|
-
}
|
|
24575
|
-
catch (error) {
|
|
24576
|
-
console.log(`Using empty fallback for signal.prompt.cjs`, error);
|
|
24577
|
-
return DEFAULT_PROMPT;
|
|
24578
|
-
}
|
|
24579
|
-
});
|
|
24580
|
-
/**
|
|
24581
|
-
* Service for managing signal prompts for AI/LLM integrations.
|
|
24582
|
-
*
|
|
24583
|
-
* Provides access to system and user prompts configured in signal.prompt.cjs.
|
|
24584
|
-
* Supports both static prompt arrays and dynamic prompt functions.
|
|
24585
|
-
*
|
|
24586
|
-
* Key responsibilities:
|
|
24587
|
-
* - Lazy-loads prompt configuration from config/prompt/signal.prompt.cjs
|
|
24588
|
-
* - Resolves system prompts (static arrays or async functions)
|
|
24589
|
-
* - Provides user prompt strings
|
|
24590
|
-
* - Falls back to empty prompts if configuration is missing
|
|
24591
|
-
*
|
|
24592
|
-
* Used for AI-powered signal analysis and strategy recommendations.
|
|
24593
|
-
*/
|
|
24594
|
-
class SignalPromptService {
|
|
24595
|
-
constructor() {
|
|
24596
|
-
this.loggerService = inject(TYPES.loggerService);
|
|
24597
|
-
/**
|
|
24598
|
-
* Retrieves system prompts for AI context.
|
|
24599
|
-
*
|
|
24600
|
-
* System prompts can be:
|
|
24601
|
-
* - Static array of strings (returned directly)
|
|
24602
|
-
* - Async/sync function returning string array (executed and awaited)
|
|
24603
|
-
* - Undefined (returns empty array)
|
|
24604
|
-
*
|
|
24605
|
-
* @param symbol - Trading symbol (e.g., "BTCUSDT")
|
|
24606
|
-
* @param strategyName - Strategy identifier
|
|
24607
|
-
* @param exchangeName - Exchange identifier
|
|
24608
|
-
* @param frameName - Timeframe identifier
|
|
24609
|
-
* @param backtest - Whether running in backtest mode
|
|
24610
|
-
* @returns Promise resolving to array of system prompt strings
|
|
24611
|
-
*/
|
|
24612
|
-
this.getSystemPrompt = async (symbol, strategyName, exchangeName, frameName, backtest) => {
|
|
24613
|
-
this.loggerService.log("signalPromptService getSystemPrompt", {
|
|
24614
|
-
symbol,
|
|
24615
|
-
strategyName,
|
|
24616
|
-
exchangeName,
|
|
24617
|
-
frameName,
|
|
24618
|
-
backtest,
|
|
24619
|
-
});
|
|
24620
|
-
const { system } = GET_PROMPT_FN();
|
|
24621
|
-
if (Array.isArray(system)) {
|
|
24622
|
-
return system;
|
|
24623
|
-
}
|
|
24624
|
-
if (typeof system === "function") {
|
|
24625
|
-
return await system(symbol, strategyName, exchangeName, frameName, backtest);
|
|
24626
|
-
}
|
|
24627
|
-
return [];
|
|
24628
|
-
};
|
|
24629
|
-
/**
|
|
24630
|
-
* Retrieves user prompt string for AI input.
|
|
24631
|
-
*
|
|
24632
|
-
* @param symbol - Trading symbol (e.g., "BTCUSDT")
|
|
24633
|
-
* @param strategyName - Strategy identifier
|
|
24634
|
-
* @param exchangeName - Exchange identifier
|
|
24635
|
-
* @param frameName - Timeframe identifier
|
|
24636
|
-
* @param backtest - Whether running in backtest mode
|
|
24637
|
-
* @returns Promise resolving to user prompt string
|
|
24638
|
-
*/
|
|
24639
|
-
this.getUserPrompt = async (symbol, strategyName, exchangeName, frameName, backtest) => {
|
|
24640
|
-
this.loggerService.log("signalPromptService getUserPrompt", {
|
|
24641
|
-
symbol,
|
|
24642
|
-
strategyName,
|
|
24643
|
-
exchangeName,
|
|
24644
|
-
frameName,
|
|
24645
|
-
backtest,
|
|
24646
|
-
});
|
|
24647
|
-
const { user } = GET_PROMPT_FN();
|
|
24648
|
-
if (typeof user === "string") {
|
|
24649
|
-
return user;
|
|
24650
|
-
}
|
|
24651
|
-
if (typeof user === "function") {
|
|
24652
|
-
return await user(symbol, strategyName, exchangeName, frameName, backtest);
|
|
24653
|
-
}
|
|
24654
|
-
return "";
|
|
24655
|
-
};
|
|
24656
|
-
}
|
|
24657
|
-
}
|
|
24658
|
-
|
|
24659
23085
|
{
|
|
24660
23086
|
provide(TYPES.loggerService, () => new LoggerService());
|
|
24661
23087
|
}
|
|
@@ -24670,7 +23096,6 @@ class SignalPromptService {
|
|
|
24670
23096
|
provide(TYPES.sizingConnectionService, () => new SizingConnectionService());
|
|
24671
23097
|
provide(TYPES.riskConnectionService, () => new RiskConnectionService());
|
|
24672
23098
|
provide(TYPES.actionConnectionService, () => new ActionConnectionService());
|
|
24673
|
-
provide(TYPES.optimizerConnectionService, () => new OptimizerConnectionService());
|
|
24674
23099
|
provide(TYPES.partialConnectionService, () => new PartialConnectionService());
|
|
24675
23100
|
provide(TYPES.breakevenConnectionService, () => new BreakevenConnectionService());
|
|
24676
23101
|
}
|
|
@@ -24682,7 +23107,6 @@ class SignalPromptService {
|
|
|
24682
23107
|
provide(TYPES.sizingSchemaService, () => new SizingSchemaService());
|
|
24683
23108
|
provide(TYPES.riskSchemaService, () => new RiskSchemaService());
|
|
24684
23109
|
provide(TYPES.actionSchemaService, () => new ActionSchemaService());
|
|
24685
|
-
provide(TYPES.optimizerSchemaService, () => new OptimizerSchemaService());
|
|
24686
23110
|
}
|
|
24687
23111
|
{
|
|
24688
23112
|
provide(TYPES.exchangeCoreService, () => new ExchangeCoreService());
|
|
@@ -24693,7 +23117,6 @@ class SignalPromptService {
|
|
|
24693
23117
|
{
|
|
24694
23118
|
provide(TYPES.sizingGlobalService, () => new SizingGlobalService());
|
|
24695
23119
|
provide(TYPES.riskGlobalService, () => new RiskGlobalService());
|
|
24696
|
-
provide(TYPES.optimizerGlobalService, () => new OptimizerGlobalService());
|
|
24697
23120
|
provide(TYPES.partialGlobalService, () => new PartialGlobalService());
|
|
24698
23121
|
provide(TYPES.breakevenGlobalService, () => new BreakevenGlobalService());
|
|
24699
23122
|
}
|
|
@@ -24721,7 +23144,6 @@ class SignalPromptService {
|
|
|
24721
23144
|
provide(TYPES.heatMarkdownService, () => new HeatMarkdownService());
|
|
24722
23145
|
provide(TYPES.partialMarkdownService, () => new PartialMarkdownService());
|
|
24723
23146
|
provide(TYPES.breakevenMarkdownService, () => new BreakevenMarkdownService());
|
|
24724
|
-
provide(TYPES.outlineMarkdownService, () => new OutlineMarkdownService());
|
|
24725
23147
|
provide(TYPES.riskMarkdownService, () => new RiskMarkdownService());
|
|
24726
23148
|
}
|
|
24727
23149
|
{
|
|
@@ -24743,16 +23165,9 @@ class SignalPromptService {
|
|
|
24743
23165
|
provide(TYPES.sizingValidationService, () => new SizingValidationService());
|
|
24744
23166
|
provide(TYPES.riskValidationService, () => new RiskValidationService());
|
|
24745
23167
|
provide(TYPES.actionValidationService, () => new ActionValidationService());
|
|
24746
|
-
provide(TYPES.optimizerValidationService, () => new OptimizerValidationService());
|
|
24747
23168
|
provide(TYPES.configValidationService, () => new ConfigValidationService());
|
|
24748
23169
|
provide(TYPES.columnValidationService, () => new ColumnValidationService());
|
|
24749
23170
|
}
|
|
24750
|
-
{
|
|
24751
|
-
provide(TYPES.optimizerTemplateService, () => new OptimizerTemplateService());
|
|
24752
|
-
}
|
|
24753
|
-
{
|
|
24754
|
-
provide(TYPES.signalPromptService, () => new SignalPromptService());
|
|
24755
|
-
}
|
|
24756
23171
|
|
|
24757
23172
|
const baseServices = {
|
|
24758
23173
|
loggerService: inject(TYPES.loggerService),
|
|
@@ -24768,7 +23183,6 @@ const connectionServices = {
|
|
|
24768
23183
|
sizingConnectionService: inject(TYPES.sizingConnectionService),
|
|
24769
23184
|
riskConnectionService: inject(TYPES.riskConnectionService),
|
|
24770
23185
|
actionConnectionService: inject(TYPES.actionConnectionService),
|
|
24771
|
-
optimizerConnectionService: inject(TYPES.optimizerConnectionService),
|
|
24772
23186
|
partialConnectionService: inject(TYPES.partialConnectionService),
|
|
24773
23187
|
breakevenConnectionService: inject(TYPES.breakevenConnectionService),
|
|
24774
23188
|
};
|
|
@@ -24780,7 +23194,6 @@ const schemaServices = {
|
|
|
24780
23194
|
sizingSchemaService: inject(TYPES.sizingSchemaService),
|
|
24781
23195
|
riskSchemaService: inject(TYPES.riskSchemaService),
|
|
24782
23196
|
actionSchemaService: inject(TYPES.actionSchemaService),
|
|
24783
|
-
optimizerSchemaService: inject(TYPES.optimizerSchemaService),
|
|
24784
23197
|
};
|
|
24785
23198
|
const coreServices = {
|
|
24786
23199
|
exchangeCoreService: inject(TYPES.exchangeCoreService),
|
|
@@ -24791,7 +23204,6 @@ const coreServices = {
|
|
|
24791
23204
|
const globalServices = {
|
|
24792
23205
|
sizingGlobalService: inject(TYPES.sizingGlobalService),
|
|
24793
23206
|
riskGlobalService: inject(TYPES.riskGlobalService),
|
|
24794
|
-
optimizerGlobalService: inject(TYPES.optimizerGlobalService),
|
|
24795
23207
|
partialGlobalService: inject(TYPES.partialGlobalService),
|
|
24796
23208
|
breakevenGlobalService: inject(TYPES.breakevenGlobalService),
|
|
24797
23209
|
};
|
|
@@ -24819,7 +23231,6 @@ const markdownServices = {
|
|
|
24819
23231
|
heatMarkdownService: inject(TYPES.heatMarkdownService),
|
|
24820
23232
|
partialMarkdownService: inject(TYPES.partialMarkdownService),
|
|
24821
23233
|
breakevenMarkdownService: inject(TYPES.breakevenMarkdownService),
|
|
24822
|
-
outlineMarkdownService: inject(TYPES.outlineMarkdownService),
|
|
24823
23234
|
riskMarkdownService: inject(TYPES.riskMarkdownService),
|
|
24824
23235
|
};
|
|
24825
23236
|
const reportServices = {
|
|
@@ -24841,16 +23252,9 @@ const validationServices = {
|
|
|
24841
23252
|
sizingValidationService: inject(TYPES.sizingValidationService),
|
|
24842
23253
|
riskValidationService: inject(TYPES.riskValidationService),
|
|
24843
23254
|
actionValidationService: inject(TYPES.actionValidationService),
|
|
24844
|
-
optimizerValidationService: inject(TYPES.optimizerValidationService),
|
|
24845
23255
|
configValidationService: inject(TYPES.configValidationService),
|
|
24846
23256
|
columnValidationService: inject(TYPES.columnValidationService),
|
|
24847
23257
|
};
|
|
24848
|
-
const templateServices = {
|
|
24849
|
-
optimizerTemplateService: inject(TYPES.optimizerTemplateService),
|
|
24850
|
-
};
|
|
24851
|
-
const promptServices = {
|
|
24852
|
-
signalPromptService: inject(TYPES.signalPromptService),
|
|
24853
|
-
};
|
|
24854
23258
|
const backtest = {
|
|
24855
23259
|
...baseServices,
|
|
24856
23260
|
...contextServices,
|
|
@@ -24864,8 +23268,6 @@ const backtest = {
|
|
|
24864
23268
|
...markdownServices,
|
|
24865
23269
|
...reportServices,
|
|
24866
23270
|
...validationServices,
|
|
24867
|
-
...templateServices,
|
|
24868
|
-
...promptServices,
|
|
24869
23271
|
};
|
|
24870
23272
|
init();
|
|
24871
23273
|
var bt = backtest;
|
|
@@ -24964,18 +23366,6 @@ const getSizingMap = async () => {
|
|
|
24964
23366
|
}
|
|
24965
23367
|
return sizingMap;
|
|
24966
23368
|
};
|
|
24967
|
-
/**
|
|
24968
|
-
* Retrieves all registered optimizers as a map
|
|
24969
|
-
* @private
|
|
24970
|
-
* @returns Map of optimizer names
|
|
24971
|
-
*/
|
|
24972
|
-
const getOptimizerMap = async () => {
|
|
24973
|
-
const optimizerMap = {};
|
|
24974
|
-
for (const { optimizerName } of await bt.optimizerValidationService.list()) {
|
|
24975
|
-
Object.assign(optimizerMap, { [optimizerName]: optimizerName });
|
|
24976
|
-
}
|
|
24977
|
-
return optimizerMap;
|
|
24978
|
-
};
|
|
24979
23369
|
/**
|
|
24980
23370
|
* Retrieves all registered walkers as a map
|
|
24981
23371
|
* @private
|
|
@@ -25002,7 +23392,7 @@ const getWalkerMap = async () => {
|
|
|
25002
23392
|
* @throws {Error} If any entity name is not found in its registry
|
|
25003
23393
|
*/
|
|
25004
23394
|
const validateInternal = async (args) => {
|
|
25005
|
-
const { ExchangeName = await getExchangeMap(), FrameName = await getFrameMap(), StrategyName = await getStrategyMap(), RiskName = await getRiskMap(), ActionName = await getActionMap(), SizingName = await getSizingMap(),
|
|
23395
|
+
const { ExchangeName = await getExchangeMap(), FrameName = await getFrameMap(), StrategyName = await getStrategyMap(), RiskName = await getRiskMap(), ActionName = await getActionMap(), SizingName = await getSizingMap(), WalkerName = await getWalkerMap(), } = args;
|
|
25006
23396
|
for (const exchangeName of Object.values(ExchangeName)) {
|
|
25007
23397
|
bt.exchangeValidationService.validate(exchangeName, METHOD_NAME);
|
|
25008
23398
|
}
|
|
@@ -25021,9 +23411,6 @@ const validateInternal = async (args) => {
|
|
|
25021
23411
|
for (const sizingName of Object.values(SizingName)) {
|
|
25022
23412
|
bt.sizingValidationService.validate(sizingName, METHOD_NAME);
|
|
25023
23413
|
}
|
|
25024
|
-
for (const optimizerName of Object.values(OptimizerName)) {
|
|
25025
|
-
bt.optimizerValidationService.validate(optimizerName, METHOD_NAME);
|
|
25026
|
-
}
|
|
25027
23414
|
for (const walkerName of Object.values(WalkerName)) {
|
|
25028
23415
|
bt.walkerValidationService.validate(walkerName, METHOD_NAME);
|
|
25029
23416
|
}
|
|
@@ -25032,7 +23419,7 @@ const validateInternal = async (args) => {
|
|
|
25032
23419
|
* Validates the existence of all provided entity names across validation services.
|
|
25033
23420
|
*
|
|
25034
23421
|
* This function accepts enum objects for various entity types (exchanges, frames,
|
|
25035
|
-
* strategies, risks, sizings,
|
|
23422
|
+
* strategies, risks, sizings, walkers) and validates that each entity
|
|
25036
23423
|
* name exists in its respective registry. Validation results are memoized for performance.
|
|
25037
23424
|
*
|
|
25038
23425
|
* If no arguments are provided (or specific entity types are omitted), the function
|
|
@@ -25092,7 +23479,6 @@ const GET_FRAME_METHOD_NAME = "get.getFrameSchema";
|
|
|
25092
23479
|
const GET_WALKER_METHOD_NAME = "get.getWalkerSchema";
|
|
25093
23480
|
const GET_SIZING_METHOD_NAME = "get.getSizingSchema";
|
|
25094
23481
|
const GET_RISK_METHOD_NAME = "get.getRiskSchema";
|
|
25095
|
-
const GET_OPTIMIZER_METHOD_NAME = "get.getOptimizerSchema";
|
|
25096
23482
|
const GET_ACTION_METHOD_NAME = "get.getActionSchema";
|
|
25097
23483
|
/**
|
|
25098
23484
|
* Retrieves a registered strategy schema by name.
|
|
@@ -25224,29 +23610,6 @@ function getRiskSchema(riskName) {
|
|
|
25224
23610
|
bt.riskValidationService.validate(riskName, GET_RISK_METHOD_NAME);
|
|
25225
23611
|
return bt.riskSchemaService.get(riskName);
|
|
25226
23612
|
}
|
|
25227
|
-
/**
|
|
25228
|
-
* Retrieves a registered optimizer schema by name.
|
|
25229
|
-
*
|
|
25230
|
-
* @param optimizerName - Unique optimizer identifier
|
|
25231
|
-
* @returns The optimizer schema configuration object
|
|
25232
|
-
* @throws Error if optimizer is not registered
|
|
25233
|
-
*
|
|
25234
|
-
* @example
|
|
25235
|
-
* ```typescript
|
|
25236
|
-
* const optimizer = getOptimizer("llm-strategy-generator");
|
|
25237
|
-
* console.log(optimizer.rangeTrain); // Array of training ranges
|
|
25238
|
-
* console.log(optimizer.rangeTest); // Testing range
|
|
25239
|
-
* console.log(optimizer.source); // Array of data sources
|
|
25240
|
-
* console.log(optimizer.getPrompt); // async function
|
|
25241
|
-
* ```
|
|
25242
|
-
*/
|
|
25243
|
-
function getOptimizerSchema(optimizerName) {
|
|
25244
|
-
bt.loggerService.log(GET_OPTIMIZER_METHOD_NAME, {
|
|
25245
|
-
optimizerName,
|
|
25246
|
-
});
|
|
25247
|
-
bt.optimizerValidationService.validate(optimizerName, GET_OPTIMIZER_METHOD_NAME);
|
|
25248
|
-
return bt.optimizerSchemaService.get(optimizerName);
|
|
25249
|
-
}
|
|
25250
23613
|
/**
|
|
25251
23614
|
* Retrieves a registered action schema by name.
|
|
25252
23615
|
*
|
|
@@ -25279,6 +23642,7 @@ const GET_SYMBOL_METHOD_NAME = "exchange.getSymbol";
|
|
|
25279
23642
|
const GET_CONTEXT_METHOD_NAME = "exchange.getContext";
|
|
25280
23643
|
const HAS_TRADE_CONTEXT_METHOD_NAME = "exchange.hasTradeContext";
|
|
25281
23644
|
const GET_ORDER_BOOK_METHOD_NAME = "exchange.getOrderBook";
|
|
23645
|
+
const GET_RAW_CANDLES_METHOD_NAME = "exchange.getRawCandles";
|
|
25282
23646
|
/**
|
|
25283
23647
|
* Checks if trade context is active (execution and method contexts).
|
|
25284
23648
|
*
|
|
@@ -25519,22 +23883,69 @@ async function getContext() {
|
|
|
25519
23883
|
* console.log(orderBook.bids); // [{ price: "50000.00", quantity: "0.5" }, ...]
|
|
25520
23884
|
* console.log(orderBook.asks); // [{ price: "50001.00", quantity: "0.3" }, ...]
|
|
25521
23885
|
*
|
|
25522
|
-
* // Fetch deeper order book
|
|
25523
|
-
* const deepBook = await getOrderBook("BTCUSDT", 100);
|
|
23886
|
+
* // Fetch deeper order book
|
|
23887
|
+
* const deepBook = await getOrderBook("BTCUSDT", 100);
|
|
23888
|
+
* ```
|
|
23889
|
+
*/
|
|
23890
|
+
async function getOrderBook(symbol, depth) {
|
|
23891
|
+
bt.loggerService.info(GET_ORDER_BOOK_METHOD_NAME, {
|
|
23892
|
+
symbol,
|
|
23893
|
+
depth,
|
|
23894
|
+
});
|
|
23895
|
+
if (!ExecutionContextService.hasContext()) {
|
|
23896
|
+
throw new Error("getOrderBook requires an execution context");
|
|
23897
|
+
}
|
|
23898
|
+
if (!MethodContextService.hasContext()) {
|
|
23899
|
+
throw new Error("getOrderBook requires a method context");
|
|
23900
|
+
}
|
|
23901
|
+
return await bt.exchangeConnectionService.getOrderBook(symbol, depth);
|
|
23902
|
+
}
|
|
23903
|
+
/**
|
|
23904
|
+
* Fetches raw candles with flexible date/limit parameters.
|
|
23905
|
+
*
|
|
23906
|
+
* All modes respect execution context and prevent look-ahead bias.
|
|
23907
|
+
*
|
|
23908
|
+
* Parameter combinations:
|
|
23909
|
+
* 1. sDate + eDate + limit: fetches with explicit parameters, validates eDate <= when
|
|
23910
|
+
* 2. sDate + eDate: calculates limit from date range, validates eDate <= when
|
|
23911
|
+
* 3. eDate + limit: calculates sDate backward, validates eDate <= when
|
|
23912
|
+
* 4. sDate + limit: fetches forward, validates calculated endTimestamp <= when
|
|
23913
|
+
* 5. Only limit: uses execution.context.when as reference (backward)
|
|
23914
|
+
*
|
|
23915
|
+
* @param symbol - Trading pair symbol (e.g., "BTCUSDT")
|
|
23916
|
+
* @param interval - Candle interval ("1m" | "3m" | "5m" | "15m" | "30m" | "1h" | "2h" | "4h" | "6h" | "8h")
|
|
23917
|
+
* @param limit - Optional number of candles to fetch
|
|
23918
|
+
* @param sDate - Optional start date in milliseconds
|
|
23919
|
+
* @param eDate - Optional end date in milliseconds
|
|
23920
|
+
* @returns Promise resolving to array of candle data
|
|
23921
|
+
*
|
|
23922
|
+
* @example
|
|
23923
|
+
* ```typescript
|
|
23924
|
+
* // Fetch 100 candles backward from current context time
|
|
23925
|
+
* const candles = await getRawCandles("BTCUSDT", "1m", 100);
|
|
23926
|
+
*
|
|
23927
|
+
* // Fetch candles for specific date range
|
|
23928
|
+
* const rangeCandles = await getRawCandles("BTCUSDT", "1h", undefined, startMs, endMs);
|
|
23929
|
+
*
|
|
23930
|
+
* // Fetch with all parameters specified
|
|
23931
|
+
* const exactCandles = await getRawCandles("BTCUSDT", "1m", 100, startMs, endMs);
|
|
25524
23932
|
* ```
|
|
25525
23933
|
*/
|
|
25526
|
-
async function
|
|
25527
|
-
bt.loggerService.info(
|
|
23934
|
+
async function getRawCandles(symbol, interval, limit, sDate, eDate) {
|
|
23935
|
+
bt.loggerService.info(GET_RAW_CANDLES_METHOD_NAME, {
|
|
25528
23936
|
symbol,
|
|
25529
|
-
|
|
23937
|
+
interval,
|
|
23938
|
+
limit,
|
|
23939
|
+
sDate,
|
|
23940
|
+
eDate,
|
|
25530
23941
|
});
|
|
25531
23942
|
if (!ExecutionContextService.hasContext()) {
|
|
25532
|
-
throw new Error("
|
|
23943
|
+
throw new Error("getRawCandles requires an execution context");
|
|
25533
23944
|
}
|
|
25534
23945
|
if (!MethodContextService.hasContext()) {
|
|
25535
|
-
throw new Error("
|
|
23946
|
+
throw new Error("getRawCandles requires a method context");
|
|
25536
23947
|
}
|
|
25537
|
-
return await bt.exchangeConnectionService.
|
|
23948
|
+
return await bt.exchangeConnectionService.getRawCandles(symbol, interval, limit, sDate, eDate);
|
|
25538
23949
|
}
|
|
25539
23950
|
|
|
25540
23951
|
const CANCEL_SCHEDULED_METHOD_NAME = "strategy.commitCancelScheduled";
|
|
@@ -26059,7 +24470,6 @@ const ADD_FRAME_METHOD_NAME = "add.addFrameSchema";
|
|
|
26059
24470
|
const ADD_WALKER_METHOD_NAME = "add.addWalkerSchema";
|
|
26060
24471
|
const ADD_SIZING_METHOD_NAME = "add.addSizingSchema";
|
|
26061
24472
|
const ADD_RISK_METHOD_NAME = "add.addRiskSchema";
|
|
26062
|
-
const ADD_OPTIMIZER_METHOD_NAME = "add.addOptimizerSchema";
|
|
26063
24473
|
const ADD_ACTION_METHOD_NAME = "add.addActionSchema";
|
|
26064
24474
|
/**
|
|
26065
24475
|
* Registers a trading strategy in the framework.
|
|
@@ -26352,100 +24762,6 @@ function addRiskSchema(riskSchema) {
|
|
|
26352
24762
|
bt.riskValidationService.addRisk(riskSchema.riskName, riskSchema);
|
|
26353
24763
|
bt.riskSchemaService.register(riskSchema.riskName, riskSchema);
|
|
26354
24764
|
}
|
|
26355
|
-
/**
|
|
26356
|
-
* Registers an optimizer configuration in the framework.
|
|
26357
|
-
*
|
|
26358
|
-
* The optimizer generates trading strategies by:
|
|
26359
|
-
* - Collecting data from multiple sources across training periods
|
|
26360
|
-
* - Building LLM conversation history with fetched data
|
|
26361
|
-
* - Generating strategy prompts using getPrompt()
|
|
26362
|
-
* - Creating executable backtest code with templates
|
|
26363
|
-
*
|
|
26364
|
-
* The optimizer produces a complete .mjs file containing:
|
|
26365
|
-
* - Exchange, Frame, Strategy, and Walker configurations
|
|
26366
|
-
* - Multi-timeframe analysis logic
|
|
26367
|
-
* - LLM integration for signal generation
|
|
26368
|
-
* - Event listeners for progress tracking
|
|
26369
|
-
*
|
|
26370
|
-
* @param optimizerSchema - Optimizer configuration object
|
|
26371
|
-
* @param optimizerSchema.optimizerName - Unique optimizer identifier
|
|
26372
|
-
* @param optimizerSchema.rangeTrain - Array of training time ranges (each generates a strategy variant)
|
|
26373
|
-
* @param optimizerSchema.rangeTest - Testing time range for strategy validation
|
|
26374
|
-
* @param optimizerSchema.source - Array of data sources (functions or source objects with custom formatters)
|
|
26375
|
-
* @param optimizerSchema.getPrompt - Function to generate strategy prompt from conversation history
|
|
26376
|
-
* @param optimizerSchema.template - Optional custom template overrides (top banner, helpers, strategy logic, etc.)
|
|
26377
|
-
* @param optimizerSchema.callbacks - Optional lifecycle callbacks (onData, onCode, onDump, onSourceData)
|
|
26378
|
-
*
|
|
26379
|
-
* @example
|
|
26380
|
-
* ```typescript
|
|
26381
|
-
* // Basic optimizer with single data source
|
|
26382
|
-
* addOptimizer({
|
|
26383
|
-
* optimizerName: "llm-strategy-generator",
|
|
26384
|
-
* rangeTrain: [
|
|
26385
|
-
* {
|
|
26386
|
-
* note: "Bull market period",
|
|
26387
|
-
* startDate: new Date("2024-01-01"),
|
|
26388
|
-
* endDate: new Date("2024-01-31"),
|
|
26389
|
-
* },
|
|
26390
|
-
* {
|
|
26391
|
-
* note: "Bear market period",
|
|
26392
|
-
* startDate: new Date("2024-02-01"),
|
|
26393
|
-
* endDate: new Date("2024-02-28"),
|
|
26394
|
-
* },
|
|
26395
|
-
* ],
|
|
26396
|
-
* rangeTest: {
|
|
26397
|
-
* note: "Validation period",
|
|
26398
|
-
* startDate: new Date("2024-03-01"),
|
|
26399
|
-
* endDate: new Date("2024-03-31"),
|
|
26400
|
-
* },
|
|
26401
|
-
* source: [
|
|
26402
|
-
* {
|
|
26403
|
-
* name: "historical-backtests",
|
|
26404
|
-
* fetch: async ({ symbol, startDate, endDate, limit, offset }) => {
|
|
26405
|
-
* // Fetch historical backtest results from database
|
|
26406
|
-
* return await db.backtests.find({
|
|
26407
|
-
* symbol,
|
|
26408
|
-
* date: { $gte: startDate, $lte: endDate },
|
|
26409
|
-
* })
|
|
26410
|
-
* .skip(offset)
|
|
26411
|
-
* .limit(limit);
|
|
26412
|
-
* },
|
|
26413
|
-
* user: async (symbol, data, name) => {
|
|
26414
|
-
* return `Analyze these ${data.length} backtest results for ${symbol}:\n${JSON.stringify(data)}`;
|
|
26415
|
-
* },
|
|
26416
|
-
* assistant: async (symbol, data, name) => {
|
|
26417
|
-
* return "Historical data analyzed successfully";
|
|
26418
|
-
* },
|
|
26419
|
-
* },
|
|
26420
|
-
* ],
|
|
26421
|
-
* getPrompt: async (symbol, messages) => {
|
|
26422
|
-
* // Generate strategy prompt from conversation
|
|
26423
|
-
* return `"Analyze ${symbol} using RSI and MACD. Enter LONG when RSI < 30 and MACD crosses above signal."`;
|
|
26424
|
-
* },
|
|
26425
|
-
* callbacks: {
|
|
26426
|
-
* onData: (symbol, strategyData) => {
|
|
26427
|
-
* console.log(`Generated ${strategyData.length} strategies for ${symbol}`);
|
|
26428
|
-
* },
|
|
26429
|
-
* onCode: (symbol, code) => {
|
|
26430
|
-
* console.log(`Generated ${code.length} characters of code for ${symbol}`);
|
|
26431
|
-
* },
|
|
26432
|
-
* onDump: (symbol, filepath) => {
|
|
26433
|
-
* console.log(`Saved strategy to ${filepath}`);
|
|
26434
|
-
* },
|
|
26435
|
-
* onSourceData: (symbol, sourceName, data, startDate, endDate) => {
|
|
26436
|
-
* console.log(`Fetched ${data.length} rows from ${sourceName} for ${symbol}`);
|
|
26437
|
-
* },
|
|
26438
|
-
* },
|
|
26439
|
-
* });
|
|
26440
|
-
* ```
|
|
26441
|
-
*/
|
|
26442
|
-
function addOptimizerSchema(optimizerSchema) {
|
|
26443
|
-
bt.loggerService.info(ADD_OPTIMIZER_METHOD_NAME, {
|
|
26444
|
-
optimizerSchema,
|
|
26445
|
-
});
|
|
26446
|
-
bt.optimizerValidationService.addOptimizer(optimizerSchema.optimizerName, optimizerSchema);
|
|
26447
|
-
bt.optimizerSchemaService.register(optimizerSchema.optimizerName, optimizerSchema);
|
|
26448
|
-
}
|
|
26449
24765
|
/**
|
|
26450
24766
|
* Registers an action handler in the framework.
|
|
26451
24767
|
*
|
|
@@ -26528,7 +24844,6 @@ const METHOD_NAME_OVERRIDE_FRAME = "function.override.overrideFrameSchema";
|
|
|
26528
24844
|
const METHOD_NAME_OVERRIDE_WALKER = "function.override.overrideWalkerSchema";
|
|
26529
24845
|
const METHOD_NAME_OVERRIDE_SIZING = "function.override.overrideSizingSchema";
|
|
26530
24846
|
const METHOD_NAME_OVERRIDE_RISK = "function.override.overrideRiskSchema";
|
|
26531
|
-
const METHOD_NAME_OVERRIDE_OPTIMIZER = "function.override.overrideOptimizerSchema";
|
|
26532
24847
|
const METHOD_NAME_OVERRIDE_ACTION = "function.override.overrideActionSchema";
|
|
26533
24848
|
/**
|
|
26534
24849
|
* Overrides an existing trading strategy in the framework.
|
|
@@ -26701,40 +25016,6 @@ async function overrideRiskSchema(riskSchema) {
|
|
|
26701
25016
|
await bt.riskValidationService.validate(riskSchema.riskName, METHOD_NAME_OVERRIDE_RISK);
|
|
26702
25017
|
return bt.riskSchemaService.override(riskSchema.riskName, riskSchema);
|
|
26703
25018
|
}
|
|
26704
|
-
/**
|
|
26705
|
-
* Overrides an existing optimizer configuration in the framework.
|
|
26706
|
-
*
|
|
26707
|
-
* This function partially updates a previously registered optimizer with new configuration.
|
|
26708
|
-
* Only the provided fields will be updated, other fields remain unchanged.
|
|
26709
|
-
*
|
|
26710
|
-
* @param optimizerSchema - Partial optimizer configuration object
|
|
26711
|
-
* @param optimizerSchema.optimizerName - Unique optimizer identifier (must exist)
|
|
26712
|
-
* @param optimizerSchema.rangeTrain - Optional: Array of training time ranges
|
|
26713
|
-
* @param optimizerSchema.rangeTest - Optional: Testing time range
|
|
26714
|
-
* @param optimizerSchema.source - Optional: Array of data sources
|
|
26715
|
-
* @param optimizerSchema.getPrompt - Optional: Function to generate strategy prompt
|
|
26716
|
-
* @param optimizerSchema.template - Optional: Custom template overrides
|
|
26717
|
-
* @param optimizerSchema.callbacks - Optional: Lifecycle callbacks
|
|
26718
|
-
*
|
|
26719
|
-
* @example
|
|
26720
|
-
* ```typescript
|
|
26721
|
-
* overrideOptimizer({
|
|
26722
|
-
* optimizerName: "llm-strategy-generator",
|
|
26723
|
-
* rangeTest: {
|
|
26724
|
-
* note: "Updated validation period",
|
|
26725
|
-
* startDate: new Date("2024-04-01"),
|
|
26726
|
-
* endDate: new Date("2024-04-30"),
|
|
26727
|
-
* },
|
|
26728
|
-
* });
|
|
26729
|
-
* ```
|
|
26730
|
-
*/
|
|
26731
|
-
async function overrideOptimizerSchema(optimizerSchema) {
|
|
26732
|
-
bt.loggerService.log(METHOD_NAME_OVERRIDE_OPTIMIZER, {
|
|
26733
|
-
optimizerSchema,
|
|
26734
|
-
});
|
|
26735
|
-
await bt.optimizerValidationService.validate(optimizerSchema.optimizerName, METHOD_NAME_OVERRIDE_OPTIMIZER);
|
|
26736
|
-
return bt.optimizerSchemaService.override(optimizerSchema.optimizerName, optimizerSchema);
|
|
26737
|
-
}
|
|
26738
25019
|
/**
|
|
26739
25020
|
* Overrides an existing action handler configuration in the framework.
|
|
26740
25021
|
*
|
|
@@ -26809,7 +25090,6 @@ const LIST_FRAMES_METHOD_NAME = "list.listFrameSchema";
|
|
|
26809
25090
|
const LIST_WALKERS_METHOD_NAME = "list.listWalkerSchema";
|
|
26810
25091
|
const LIST_SIZINGS_METHOD_NAME = "list.listSizingSchema";
|
|
26811
25092
|
const LIST_RISKS_METHOD_NAME = "list.listRiskSchema";
|
|
26812
|
-
const LIST_OPTIMIZERS_METHOD_NAME = "list.listOptimizerSchema";
|
|
26813
25093
|
/**
|
|
26814
25094
|
* Returns a list of all registered exchange schemas.
|
|
26815
25095
|
*
|
|
@@ -27007,46 +25287,6 @@ async function listRiskSchema() {
|
|
|
27007
25287
|
bt.loggerService.log(LIST_RISKS_METHOD_NAME);
|
|
27008
25288
|
return await bt.riskValidationService.list();
|
|
27009
25289
|
}
|
|
27010
|
-
/**
|
|
27011
|
-
* Returns a list of all registered optimizer schemas.
|
|
27012
|
-
*
|
|
27013
|
-
* Retrieves all optimizers that have been registered via addOptimizer().
|
|
27014
|
-
* Useful for debugging, documentation, or building dynamic UIs.
|
|
27015
|
-
*
|
|
27016
|
-
* @returns Array of optimizer schemas with their configurations
|
|
27017
|
-
*
|
|
27018
|
-
* @example
|
|
27019
|
-
* ```typescript
|
|
27020
|
-
* import { listOptimizers, addOptimizer } from "backtest-kit";
|
|
27021
|
-
*
|
|
27022
|
-
* addOptimizer({
|
|
27023
|
-
* optimizerName: "llm-strategy-generator",
|
|
27024
|
-
* note: "Generates trading strategies using LLM",
|
|
27025
|
-
* rangeTrain: [
|
|
27026
|
-
* {
|
|
27027
|
-
* note: "Training period 1",
|
|
27028
|
-
* startDate: new Date("2024-01-01"),
|
|
27029
|
-
* endDate: new Date("2024-01-31"),
|
|
27030
|
-
* },
|
|
27031
|
-
* ],
|
|
27032
|
-
* rangeTest: {
|
|
27033
|
-
* note: "Testing period",
|
|
27034
|
-
* startDate: new Date("2024-02-01"),
|
|
27035
|
-
* endDate: new Date("2024-02-28"),
|
|
27036
|
-
* },
|
|
27037
|
-
* source: [],
|
|
27038
|
-
* getPrompt: async (symbol, messages) => "Generate strategy",
|
|
27039
|
-
* });
|
|
27040
|
-
*
|
|
27041
|
-
* const optimizers = listOptimizers();
|
|
27042
|
-
* console.log(optimizers);
|
|
27043
|
-
* // [{ optimizerName: "llm-strategy-generator", note: "Generates...", ... }]
|
|
27044
|
-
* ```
|
|
27045
|
-
*/
|
|
27046
|
-
async function listOptimizerSchema() {
|
|
27047
|
-
bt.loggerService.log(LIST_OPTIMIZERS_METHOD_NAME);
|
|
27048
|
-
return await bt.optimizerValidationService.list();
|
|
27049
|
-
}
|
|
27050
25290
|
|
|
27051
25291
|
const LISTEN_SIGNAL_METHOD_NAME = "event.listenSignal";
|
|
27052
25292
|
const LISTEN_SIGNAL_ONCE_METHOD_NAME = "event.listenSignalOnce";
|
|
@@ -27064,7 +25304,6 @@ const LISTEN_DONE_WALKER_METHOD_NAME = "event.listenDoneWalker";
|
|
|
27064
25304
|
const LISTEN_DONE_WALKER_ONCE_METHOD_NAME = "event.listenDoneWalkerOnce";
|
|
27065
25305
|
const LISTEN_PROGRESS_METHOD_NAME = "event.listenBacktestProgress";
|
|
27066
25306
|
const LISTEN_PROGRESS_WALKER_METHOD_NAME = "event.listenWalkerProgress";
|
|
27067
|
-
const LISTEN_PROGRESS_OPTIMIZER_METHOD_NAME = "event.listenOptimizerProgress";
|
|
27068
25307
|
const LISTEN_PERFORMANCE_METHOD_NAME = "event.listenPerformance";
|
|
27069
25308
|
const LISTEN_WALKER_METHOD_NAME = "event.listenWalker";
|
|
27070
25309
|
const LISTEN_WALKER_ONCE_METHOD_NAME = "event.listenWalkerOnce";
|
|
@@ -27552,34 +25791,6 @@ function listenWalkerProgress(fn) {
|
|
|
27552
25791
|
bt.loggerService.log(LISTEN_PROGRESS_WALKER_METHOD_NAME);
|
|
27553
25792
|
return progressWalkerEmitter.subscribe(functoolsKit.queued(async (event) => fn(event)));
|
|
27554
25793
|
}
|
|
27555
|
-
/**
|
|
27556
|
-
* Subscribes to optimizer progress events with queued async processing.
|
|
27557
|
-
*
|
|
27558
|
-
* Emits during optimizer execution to track data source processing progress.
|
|
27559
|
-
* Events are processed sequentially in order received, even if callback is async.
|
|
27560
|
-
* Uses queued wrapper to prevent concurrent execution of the callback.
|
|
27561
|
-
*
|
|
27562
|
-
* @param fn - Callback function to handle optimizer progress events
|
|
27563
|
-
* @returns Unsubscribe function to stop listening to events
|
|
27564
|
-
*
|
|
27565
|
-
* @example
|
|
27566
|
-
* ```typescript
|
|
27567
|
-
* import { listenOptimizerProgress } from "backtest-kit";
|
|
27568
|
-
*
|
|
27569
|
-
* const unsubscribe = listenOptimizerProgress((event) => {
|
|
27570
|
-
* console.log(`Progress: ${(event.progress * 100).toFixed(2)}%`);
|
|
27571
|
-
* console.log(`${event.processedSources} / ${event.totalSources} sources`);
|
|
27572
|
-
* console.log(`Optimizer: ${event.optimizerName}, Symbol: ${event.symbol}`);
|
|
27573
|
-
* });
|
|
27574
|
-
*
|
|
27575
|
-
* // Later: stop listening
|
|
27576
|
-
* unsubscribe();
|
|
27577
|
-
* ```
|
|
27578
|
-
*/
|
|
27579
|
-
function listenOptimizerProgress(fn) {
|
|
27580
|
-
bt.loggerService.log(LISTEN_PROGRESS_OPTIMIZER_METHOD_NAME);
|
|
27581
|
-
return progressOptimizerEmitter.subscribe(functoolsKit.queued(async (event) => fn(event)));
|
|
27582
|
-
}
|
|
27583
25794
|
/**
|
|
27584
25795
|
* Subscribes to performance metric events with queued async processing.
|
|
27585
25796
|
*
|
|
@@ -28140,138 +26351,6 @@ function listenActivePingOnce(filterFn, fn) {
|
|
|
28140
26351
|
return activePingSubject.filter(filterFn).once(fn);
|
|
28141
26352
|
}
|
|
28142
26353
|
|
|
28143
|
-
const METHOD_NAME_SIGNAL = "history.commitSignalPromptHistory";
|
|
28144
|
-
/**
|
|
28145
|
-
* Commits signal prompt history to the message array.
|
|
28146
|
-
*
|
|
28147
|
-
* Extracts trading context from ExecutionContext and MethodContext,
|
|
28148
|
-
* then adds signal-specific system prompts at the beginning and user prompt
|
|
28149
|
-
* at the end of the history array if they are not empty.
|
|
28150
|
-
*
|
|
28151
|
-
* Context extraction:
|
|
28152
|
-
* - symbol: Provided as parameter for debugging convenience
|
|
28153
|
-
* - backtest mode: From ExecutionContext
|
|
28154
|
-
* - strategyName, exchangeName, frameName: From MethodContext
|
|
28155
|
-
*
|
|
28156
|
-
* @param symbol - Trading symbol (e.g., "BTCUSDT") for debugging convenience
|
|
28157
|
-
* @param history - Message array to append prompts to
|
|
28158
|
-
* @returns Promise that resolves when prompts are added
|
|
28159
|
-
* @throws Error if ExecutionContext or MethodContext is not active
|
|
28160
|
-
*
|
|
28161
|
-
* @example
|
|
28162
|
-
* ```typescript
|
|
28163
|
-
* const messages: MessageModel[] = [];
|
|
28164
|
-
* await commitSignalPromptHistory("BTCUSDT", messages);
|
|
28165
|
-
* // messages now contains system prompts at start and user prompt at end
|
|
28166
|
-
* ```
|
|
28167
|
-
*/
|
|
28168
|
-
async function commitSignalPromptHistory(symbol, history) {
|
|
28169
|
-
bt.loggerService.log(METHOD_NAME_SIGNAL, {
|
|
28170
|
-
symbol,
|
|
28171
|
-
});
|
|
28172
|
-
if (!ExecutionContextService.hasContext()) {
|
|
28173
|
-
throw new Error("commitSignalPromptHistory requires an execution context");
|
|
28174
|
-
}
|
|
28175
|
-
if (!MethodContextService.hasContext()) {
|
|
28176
|
-
throw new Error("commitSignalPromptHistory requires a method context");
|
|
28177
|
-
}
|
|
28178
|
-
const { backtest: isBacktest } = bt.executionContextService.context;
|
|
28179
|
-
const { strategyName, exchangeName, frameName } = bt.methodContextService.context;
|
|
28180
|
-
const systemPrompts = await bt.signalPromptService.getSystemPrompt(symbol, strategyName, exchangeName, frameName, isBacktest);
|
|
28181
|
-
const userPrompt = await bt.signalPromptService.getUserPrompt(symbol, strategyName, exchangeName, frameName, isBacktest);
|
|
28182
|
-
if (systemPrompts.length > 0) {
|
|
28183
|
-
for (const content of systemPrompts) {
|
|
28184
|
-
history.unshift({
|
|
28185
|
-
role: "system",
|
|
28186
|
-
content,
|
|
28187
|
-
});
|
|
28188
|
-
}
|
|
28189
|
-
}
|
|
28190
|
-
if (userPrompt && userPrompt.trim() !== "") {
|
|
28191
|
-
history.push({
|
|
28192
|
-
role: "user",
|
|
28193
|
-
content: userPrompt,
|
|
28194
|
-
});
|
|
28195
|
-
}
|
|
28196
|
-
}
|
|
28197
|
-
|
|
28198
|
-
const DUMP_SIGNAL_METHOD_NAME = "dump.dumpSignal";
|
|
28199
|
-
/**
|
|
28200
|
-
* Dumps signal data and LLM conversation history to markdown files.
|
|
28201
|
-
* Used by AI-powered strategies to save debug logs for analysis.
|
|
28202
|
-
*
|
|
28203
|
-
* Creates a directory structure with:
|
|
28204
|
-
* - 00_system_prompt.md - System messages and output summary
|
|
28205
|
-
* - XX_user_message.md - Each user message in separate file (numbered)
|
|
28206
|
-
* - XX_llm_output.md - Final LLM output with signal data
|
|
28207
|
-
*
|
|
28208
|
-
* Skips if directory already exists to avoid overwriting previous results.
|
|
28209
|
-
*
|
|
28210
|
-
* @param signalId - Unique identifier for the result (used as directory name, e.g., UUID)
|
|
28211
|
-
* @param history - Array of message models from LLM conversation
|
|
28212
|
-
* @param signal - Signal DTO returned by LLM (position, priceOpen, TP, SL, etc.)
|
|
28213
|
-
* @param outputDir - Output directory path (default: "./dump/strategy")
|
|
28214
|
-
* @returns Promise that resolves when all files are written
|
|
28215
|
-
*
|
|
28216
|
-
* @example
|
|
28217
|
-
* ```typescript
|
|
28218
|
-
* import { dumpSignal, getCandles } from "backtest-kit";
|
|
28219
|
-
* import { v4 as uuid } from "uuid";
|
|
28220
|
-
*
|
|
28221
|
-
* addStrategy({
|
|
28222
|
-
* strategyName: "llm-strategy",
|
|
28223
|
-
* interval: "5m",
|
|
28224
|
-
* getSignal: async (symbol) => {
|
|
28225
|
-
* const messages = [];
|
|
28226
|
-
*
|
|
28227
|
-
* // Build multi-timeframe analysis conversation
|
|
28228
|
-
* const candles1h = await getCandles(symbol, "1h", 24);
|
|
28229
|
-
* messages.push(
|
|
28230
|
-
* { role: "user", content: `Analyze 1h trend:\n${formatCandles(candles1h)}` },
|
|
28231
|
-
* { role: "assistant", content: "Trend analyzed" }
|
|
28232
|
-
* );
|
|
28233
|
-
*
|
|
28234
|
-
* const candles5m = await getCandles(symbol, "5m", 24);
|
|
28235
|
-
* messages.push(
|
|
28236
|
-
* { role: "user", content: `Analyze 5m structure:\n${formatCandles(candles5m)}` },
|
|
28237
|
-
* { role: "assistant", content: "Structure analyzed" }
|
|
28238
|
-
* );
|
|
28239
|
-
*
|
|
28240
|
-
* // Request signal
|
|
28241
|
-
* messages.push({
|
|
28242
|
-
* role: "user",
|
|
28243
|
-
* content: "Generate trading signal. Use position: 'wait' if uncertain."
|
|
28244
|
-
* });
|
|
28245
|
-
*
|
|
28246
|
-
* const resultId = uuid();
|
|
28247
|
-
* const signal = await llmRequest(messages);
|
|
28248
|
-
*
|
|
28249
|
-
* // Save conversation and result for debugging
|
|
28250
|
-
* await dumpSignal(resultId, messages, signal);
|
|
28251
|
-
*
|
|
28252
|
-
* return signal;
|
|
28253
|
-
* }
|
|
28254
|
-
* });
|
|
28255
|
-
*
|
|
28256
|
-
* // Creates: ./dump/strategy/{uuid}/00_system_prompt.md
|
|
28257
|
-
* // ./dump/strategy/{uuid}/01_user_message.md (1h analysis)
|
|
28258
|
-
* // ./dump/strategy/{uuid}/02_assistant_message.md
|
|
28259
|
-
* // ./dump/strategy/{uuid}/03_user_message.md (5m analysis)
|
|
28260
|
-
* // ./dump/strategy/{uuid}/04_assistant_message.md
|
|
28261
|
-
* // ./dump/strategy/{uuid}/05_user_message.md (signal request)
|
|
28262
|
-
* // ./dump/strategy/{uuid}/06_llm_output.md (final signal)
|
|
28263
|
-
* ```
|
|
28264
|
-
*/
|
|
28265
|
-
async function dumpSignalData(signalId, history, signal, outputDir = "./dump/strategy") {
|
|
28266
|
-
bt.loggerService.info(DUMP_SIGNAL_METHOD_NAME, {
|
|
28267
|
-
signalId,
|
|
28268
|
-
history,
|
|
28269
|
-
signal,
|
|
28270
|
-
outputDir,
|
|
28271
|
-
});
|
|
28272
|
-
return await bt.outlineMarkdownService.dumpSignal(signalId, history, signal, outputDir);
|
|
28273
|
-
}
|
|
28274
|
-
|
|
28275
26354
|
const BACKTEST_METHOD_NAME_RUN = "BacktestUtils.run";
|
|
28276
26355
|
const BACKTEST_METHOD_NAME_BACKGROUND = "BacktestUtils.background";
|
|
28277
26356
|
const BACKTEST_METHOD_NAME_STOP = "BacktestUtils.stop";
|
|
@@ -31431,104 +29510,6 @@ PositionSizeUtils.atrBased = async (symbol, accountBalance, priceOpen, atr, cont
|
|
|
31431
29510
|
};
|
|
31432
29511
|
const PositionSize = PositionSizeUtils;
|
|
31433
29512
|
|
|
31434
|
-
const OPTIMIZER_METHOD_NAME_GET_DATA = "OptimizerUtils.getData";
|
|
31435
|
-
const OPTIMIZER_METHOD_NAME_GET_CODE = "OptimizerUtils.getCode";
|
|
31436
|
-
const OPTIMIZER_METHOD_NAME_DUMP = "OptimizerUtils.dump";
|
|
31437
|
-
/**
|
|
31438
|
-
* Public API utilities for optimizer operations.
|
|
31439
|
-
* Provides high-level methods for strategy generation and code export.
|
|
31440
|
-
*
|
|
31441
|
-
* Usage:
|
|
31442
|
-
* ```typescript
|
|
31443
|
-
* import { Optimizer } from "backtest-kit";
|
|
31444
|
-
*
|
|
31445
|
-
* // Get strategy data
|
|
31446
|
-
* const strategies = await Optimizer.getData("BTCUSDT", {
|
|
31447
|
-
* optimizerName: "my-optimizer"
|
|
31448
|
-
* });
|
|
31449
|
-
*
|
|
31450
|
-
* // Generate code
|
|
31451
|
-
* const code = await Optimizer.getCode("BTCUSDT", {
|
|
31452
|
-
* optimizerName: "my-optimizer"
|
|
31453
|
-
* });
|
|
31454
|
-
*
|
|
31455
|
-
* // Save to file
|
|
31456
|
-
* await Optimizer.dump("BTCUSDT", {
|
|
31457
|
-
* optimizerName: "my-optimizer"
|
|
31458
|
-
* }, "./output");
|
|
31459
|
-
* ```
|
|
31460
|
-
*/
|
|
31461
|
-
class OptimizerUtils {
|
|
31462
|
-
constructor() {
|
|
31463
|
-
/**
|
|
31464
|
-
* Fetches data from all sources and generates strategy metadata.
|
|
31465
|
-
* Processes each training range and builds LLM conversation history.
|
|
31466
|
-
*
|
|
31467
|
-
* @param symbol - Trading pair symbol
|
|
31468
|
-
* @param context - Context with optimizerName
|
|
31469
|
-
* @returns Array of generated strategies with conversation context
|
|
31470
|
-
* @throws Error if optimizer not found
|
|
31471
|
-
*/
|
|
31472
|
-
this.getData = async (symbol, context) => {
|
|
31473
|
-
bt.loggerService.info(OPTIMIZER_METHOD_NAME_GET_DATA, {
|
|
31474
|
-
symbol,
|
|
31475
|
-
context,
|
|
31476
|
-
});
|
|
31477
|
-
bt.optimizerValidationService.validate(context.optimizerName, OPTIMIZER_METHOD_NAME_GET_DATA);
|
|
31478
|
-
return await bt.optimizerGlobalService.getData(symbol, context.optimizerName);
|
|
31479
|
-
};
|
|
31480
|
-
/**
|
|
31481
|
-
* Generates complete executable strategy code.
|
|
31482
|
-
* Includes imports, helpers, strategies, walker, and launcher.
|
|
31483
|
-
*
|
|
31484
|
-
* @param symbol - Trading pair symbol
|
|
31485
|
-
* @param context - Context with optimizerName
|
|
31486
|
-
* @returns Generated TypeScript/JavaScript code as string
|
|
31487
|
-
* @throws Error if optimizer not found
|
|
31488
|
-
*/
|
|
31489
|
-
this.getCode = async (symbol, context) => {
|
|
31490
|
-
bt.loggerService.info(OPTIMIZER_METHOD_NAME_GET_CODE, {
|
|
31491
|
-
symbol,
|
|
31492
|
-
context,
|
|
31493
|
-
});
|
|
31494
|
-
bt.optimizerValidationService.validate(context.optimizerName, OPTIMIZER_METHOD_NAME_GET_CODE);
|
|
31495
|
-
return await bt.optimizerGlobalService.getCode(symbol, context.optimizerName);
|
|
31496
|
-
};
|
|
31497
|
-
/**
|
|
31498
|
-
* Generates and saves strategy code to file.
|
|
31499
|
-
* Creates directory if needed, writes .mjs file.
|
|
31500
|
-
*
|
|
31501
|
-
* Format: `{optimizerName}_{symbol}.mjs`
|
|
31502
|
-
*
|
|
31503
|
-
* @param symbol - Trading pair symbol
|
|
31504
|
-
* @param context - Context with optimizerName
|
|
31505
|
-
* @param path - Output directory path (default: "./")
|
|
31506
|
-
* @throws Error if optimizer not found or file write fails
|
|
31507
|
-
*/
|
|
31508
|
-
this.dump = async (symbol, context, path) => {
|
|
31509
|
-
bt.loggerService.info(OPTIMIZER_METHOD_NAME_DUMP, {
|
|
31510
|
-
symbol,
|
|
31511
|
-
context,
|
|
31512
|
-
path,
|
|
31513
|
-
});
|
|
31514
|
-
bt.optimizerValidationService.validate(context.optimizerName, OPTIMIZER_METHOD_NAME_DUMP);
|
|
31515
|
-
await bt.optimizerGlobalService.dump(symbol, context.optimizerName, path);
|
|
31516
|
-
};
|
|
31517
|
-
}
|
|
31518
|
-
}
|
|
31519
|
-
/**
|
|
31520
|
-
* Singleton instance of OptimizerUtils.
|
|
31521
|
-
* Public API for optimizer operations.
|
|
31522
|
-
*
|
|
31523
|
-
* @example
|
|
31524
|
-
* ```typescript
|
|
31525
|
-
* import { Optimizer } from "backtest-kit";
|
|
31526
|
-
*
|
|
31527
|
-
* await Optimizer.dump("BTCUSDT", { optimizerName: "my-optimizer" });
|
|
31528
|
-
* ```
|
|
31529
|
-
*/
|
|
31530
|
-
const Optimizer = new OptimizerUtils();
|
|
31531
|
-
|
|
31532
29513
|
const PARTIAL_METHOD_NAME_GET_DATA = "PartialUtils.getData";
|
|
31533
29514
|
const PARTIAL_METHOD_NAME_GET_REPORT = "PartialUtils.getReport";
|
|
31534
29515
|
const PARTIAL_METHOD_NAME_DUMP = "PartialUtils.dump";
|
|
@@ -31807,6 +29788,8 @@ const EXCHANGE_METHOD_NAME_GET_AVERAGE_PRICE = "ExchangeUtils.getAveragePrice";
|
|
|
31807
29788
|
const EXCHANGE_METHOD_NAME_FORMAT_QUANTITY = "ExchangeUtils.formatQuantity";
|
|
31808
29789
|
const EXCHANGE_METHOD_NAME_FORMAT_PRICE = "ExchangeUtils.formatPrice";
|
|
31809
29790
|
const EXCHANGE_METHOD_NAME_GET_ORDER_BOOK = "ExchangeUtils.getOrderBook";
|
|
29791
|
+
const EXCHANGE_METHOD_NAME_GET_RAW_CANDLES = "ExchangeUtils.getRawCandles";
|
|
29792
|
+
const MS_PER_MINUTE = 60000;
|
|
31810
29793
|
/**
|
|
31811
29794
|
* Gets backtest mode flag from execution context if available.
|
|
31812
29795
|
* Returns false if no execution context exists (live mode).
|
|
@@ -32160,6 +30143,151 @@ class ExchangeInstance {
|
|
|
32160
30143
|
const isBacktest = await GET_BACKTEST_FN();
|
|
32161
30144
|
return await this._methods.getOrderBook(symbol, depth, from, to, isBacktest);
|
|
32162
30145
|
};
|
|
30146
|
+
/**
|
|
30147
|
+
* Fetches raw candles with flexible date/limit parameters.
|
|
30148
|
+
*
|
|
30149
|
+
* Uses Date.now() instead of execution context when for look-ahead bias protection.
|
|
30150
|
+
*
|
|
30151
|
+
* Parameter combinations:
|
|
30152
|
+
* 1. sDate + eDate + limit: fetches with explicit parameters, validates eDate <= now
|
|
30153
|
+
* 2. sDate + eDate: calculates limit from date range, validates eDate <= now
|
|
30154
|
+
* 3. eDate + limit: calculates sDate backward, validates eDate <= now
|
|
30155
|
+
* 4. sDate + limit: fetches forward, validates calculated endTimestamp <= now
|
|
30156
|
+
* 5. Only limit: uses Date.now() as reference (backward)
|
|
30157
|
+
*
|
|
30158
|
+
* @param symbol - Trading pair symbol (e.g., "BTCUSDT")
|
|
30159
|
+
* @param interval - Candle interval (e.g., "1m", "1h")
|
|
30160
|
+
* @param limit - Optional number of candles to fetch
|
|
30161
|
+
* @param sDate - Optional start date in milliseconds
|
|
30162
|
+
* @param eDate - Optional end date in milliseconds
|
|
30163
|
+
* @returns Promise resolving to array of candle data
|
|
30164
|
+
*
|
|
30165
|
+
* @example
|
|
30166
|
+
* ```typescript
|
|
30167
|
+
* const instance = new ExchangeInstance("binance");
|
|
30168
|
+
*
|
|
30169
|
+
* // Fetch 100 candles backward from now
|
|
30170
|
+
* const candles = await instance.getRawCandles("BTCUSDT", "1m", 100);
|
|
30171
|
+
*
|
|
30172
|
+
* // Fetch candles for specific date range
|
|
30173
|
+
* const rangeCandles = await instance.getRawCandles("BTCUSDT", "1h", undefined, startMs, endMs);
|
|
30174
|
+
* ```
|
|
30175
|
+
*/
|
|
30176
|
+
this.getRawCandles = async (symbol, interval, limit, sDate, eDate) => {
|
|
30177
|
+
bt.loggerService.info(EXCHANGE_METHOD_NAME_GET_RAW_CANDLES, {
|
|
30178
|
+
exchangeName: this.exchangeName,
|
|
30179
|
+
symbol,
|
|
30180
|
+
interval,
|
|
30181
|
+
limit,
|
|
30182
|
+
sDate,
|
|
30183
|
+
eDate,
|
|
30184
|
+
});
|
|
30185
|
+
const step = INTERVAL_MINUTES$1[interval];
|
|
30186
|
+
if (!step) {
|
|
30187
|
+
throw new Error(`ExchangeInstance getRawCandles: unknown interval=${interval}`);
|
|
30188
|
+
}
|
|
30189
|
+
const nowTimestamp = Date.now();
|
|
30190
|
+
let sinceTimestamp;
|
|
30191
|
+
let untilTimestamp;
|
|
30192
|
+
let calculatedLimit;
|
|
30193
|
+
// Case 1: all three parameters provided
|
|
30194
|
+
if (sDate !== undefined && eDate !== undefined && limit !== undefined) {
|
|
30195
|
+
if (sDate >= eDate) {
|
|
30196
|
+
throw new Error(`ExchangeInstance getRawCandles: sDate (${sDate}) must be < eDate (${eDate})`);
|
|
30197
|
+
}
|
|
30198
|
+
if (eDate > nowTimestamp) {
|
|
30199
|
+
throw new Error(`ExchangeInstance getRawCandles: eDate (${eDate}) exceeds current time (${nowTimestamp}). Look-ahead bias protection.`);
|
|
30200
|
+
}
|
|
30201
|
+
sinceTimestamp = sDate;
|
|
30202
|
+
untilTimestamp = eDate;
|
|
30203
|
+
calculatedLimit = limit;
|
|
30204
|
+
}
|
|
30205
|
+
// Case 2: sDate + eDate (no limit) - calculate limit from date range
|
|
30206
|
+
else if (sDate !== undefined && eDate !== undefined && limit === undefined) {
|
|
30207
|
+
if (sDate >= eDate) {
|
|
30208
|
+
throw new Error(`ExchangeInstance getRawCandles: sDate (${sDate}) must be < eDate (${eDate})`);
|
|
30209
|
+
}
|
|
30210
|
+
if (eDate > nowTimestamp) {
|
|
30211
|
+
throw new Error(`ExchangeInstance getRawCandles: eDate (${eDate}) exceeds current time (${nowTimestamp}). Look-ahead bias protection.`);
|
|
30212
|
+
}
|
|
30213
|
+
sinceTimestamp = sDate;
|
|
30214
|
+
untilTimestamp = eDate;
|
|
30215
|
+
calculatedLimit = Math.ceil((eDate - sDate) / (step * MS_PER_MINUTE));
|
|
30216
|
+
if (calculatedLimit <= 0) {
|
|
30217
|
+
throw new Error(`ExchangeInstance getRawCandles: calculated limit is ${calculatedLimit}, must be > 0`);
|
|
30218
|
+
}
|
|
30219
|
+
}
|
|
30220
|
+
// Case 3: eDate + limit (no sDate) - calculate sDate backward from eDate
|
|
30221
|
+
else if (sDate === undefined && eDate !== undefined && limit !== undefined) {
|
|
30222
|
+
if (eDate > nowTimestamp) {
|
|
30223
|
+
throw new Error(`ExchangeInstance getRawCandles: eDate (${eDate}) exceeds current time (${nowTimestamp}). Look-ahead bias protection.`);
|
|
30224
|
+
}
|
|
30225
|
+
untilTimestamp = eDate;
|
|
30226
|
+
sinceTimestamp = eDate - limit * step * MS_PER_MINUTE;
|
|
30227
|
+
calculatedLimit = limit;
|
|
30228
|
+
}
|
|
30229
|
+
// Case 4: sDate + limit (no eDate) - calculate eDate forward from sDate
|
|
30230
|
+
else if (sDate !== undefined && eDate === undefined && limit !== undefined) {
|
|
30231
|
+
sinceTimestamp = sDate;
|
|
30232
|
+
untilTimestamp = sDate + limit * step * MS_PER_MINUTE;
|
|
30233
|
+
if (untilTimestamp > nowTimestamp) {
|
|
30234
|
+
throw new Error(`ExchangeInstance getRawCandles: calculated endTimestamp (${untilTimestamp}) exceeds current time (${nowTimestamp}). Look-ahead bias protection.`);
|
|
30235
|
+
}
|
|
30236
|
+
calculatedLimit = limit;
|
|
30237
|
+
}
|
|
30238
|
+
// Case 5: Only limit - use Date.now() as reference (backward)
|
|
30239
|
+
else if (sDate === undefined && eDate === undefined && limit !== undefined) {
|
|
30240
|
+
untilTimestamp = nowTimestamp;
|
|
30241
|
+
sinceTimestamp = nowTimestamp - limit * step * MS_PER_MINUTE;
|
|
30242
|
+
calculatedLimit = limit;
|
|
30243
|
+
}
|
|
30244
|
+
// Invalid: no parameters or only sDate or only eDate
|
|
30245
|
+
else {
|
|
30246
|
+
throw new Error(`ExchangeInstance getRawCandles: invalid parameter combination. ` +
|
|
30247
|
+
`Provide one of: (sDate+eDate+limit), (sDate+eDate), (eDate+limit), (sDate+limit), or (limit only). ` +
|
|
30248
|
+
`Got: sDate=${sDate}, eDate=${eDate}, limit=${limit}`);
|
|
30249
|
+
}
|
|
30250
|
+
// Try to read from cache first
|
|
30251
|
+
const cachedCandles = await READ_CANDLES_CACHE_FN({ symbol, interval, limit: calculatedLimit }, sinceTimestamp, untilTimestamp, this.exchangeName);
|
|
30252
|
+
if (cachedCandles !== null) {
|
|
30253
|
+
return cachedCandles;
|
|
30254
|
+
}
|
|
30255
|
+
// Fetch candles
|
|
30256
|
+
const since = new Date(sinceTimestamp);
|
|
30257
|
+
let allData = [];
|
|
30258
|
+
const isBacktest = await GET_BACKTEST_FN();
|
|
30259
|
+
const getCandles = this._methods.getCandles;
|
|
30260
|
+
if (calculatedLimit > GLOBAL_CONFIG.CC_MAX_CANDLES_PER_REQUEST) {
|
|
30261
|
+
let remaining = calculatedLimit;
|
|
30262
|
+
let currentSince = new Date(since.getTime());
|
|
30263
|
+
while (remaining > 0) {
|
|
30264
|
+
const chunkLimit = Math.min(remaining, GLOBAL_CONFIG.CC_MAX_CANDLES_PER_REQUEST);
|
|
30265
|
+
const chunkData = await getCandles(symbol, interval, currentSince, chunkLimit, isBacktest);
|
|
30266
|
+
allData.push(...chunkData);
|
|
30267
|
+
remaining -= chunkLimit;
|
|
30268
|
+
if (remaining > 0) {
|
|
30269
|
+
currentSince = new Date(currentSince.getTime() + chunkLimit * step * MS_PER_MINUTE);
|
|
30270
|
+
}
|
|
30271
|
+
}
|
|
30272
|
+
}
|
|
30273
|
+
else {
|
|
30274
|
+
allData = await getCandles(symbol, interval, since, calculatedLimit, isBacktest);
|
|
30275
|
+
}
|
|
30276
|
+
// Filter candles to strictly match the requested range
|
|
30277
|
+
const filteredData = allData.filter((candle) => candle.timestamp >= sinceTimestamp &&
|
|
30278
|
+
candle.timestamp < untilTimestamp);
|
|
30279
|
+
// Apply distinct by timestamp to remove duplicates
|
|
30280
|
+
const uniqueData = Array.from(new Map(filteredData.map((candle) => [candle.timestamp, candle])).values());
|
|
30281
|
+
if (filteredData.length !== uniqueData.length) {
|
|
30282
|
+
bt.loggerService.warn(`ExchangeInstance getRawCandles: Removed ${filteredData.length - uniqueData.length} duplicate candles by timestamp`);
|
|
30283
|
+
}
|
|
30284
|
+
if (uniqueData.length < calculatedLimit) {
|
|
30285
|
+
bt.loggerService.warn(`ExchangeInstance getRawCandles: Expected ${calculatedLimit} candles, got ${uniqueData.length}`);
|
|
30286
|
+
}
|
|
30287
|
+
// Write to cache after successful fetch
|
|
30288
|
+
await WRITE_CANDLES_CACHE_FN(uniqueData, { symbol, interval, limit: calculatedLimit }, this.exchangeName);
|
|
30289
|
+
return uniqueData;
|
|
30290
|
+
};
|
|
32163
30291
|
const schema = bt.exchangeSchemaService.get(this.exchangeName);
|
|
32164
30292
|
this._methods = CREATE_EXCHANGE_INSTANCE_FN(schema);
|
|
32165
30293
|
}
|
|
@@ -32264,6 +30392,24 @@ class ExchangeUtils {
|
|
|
32264
30392
|
const instance = this._getInstance(context.exchangeName);
|
|
32265
30393
|
return await instance.getOrderBook(symbol, depth);
|
|
32266
30394
|
};
|
|
30395
|
+
/**
|
|
30396
|
+
* Fetches raw candles with flexible date/limit parameters.
|
|
30397
|
+
*
|
|
30398
|
+
* Uses Date.now() instead of execution context when for look-ahead bias protection.
|
|
30399
|
+
*
|
|
30400
|
+
* @param symbol - Trading pair symbol (e.g., "BTCUSDT")
|
|
30401
|
+
* @param interval - Candle interval (e.g., "1m", "1h")
|
|
30402
|
+
* @param context - Execution context with exchange name
|
|
30403
|
+
* @param limit - Optional number of candles to fetch
|
|
30404
|
+
* @param sDate - Optional start date in milliseconds
|
|
30405
|
+
* @param eDate - Optional end date in milliseconds
|
|
30406
|
+
* @returns Promise resolving to array of candle data
|
|
30407
|
+
*/
|
|
30408
|
+
this.getRawCandles = async (symbol, interval, context, limit, sDate, eDate) => {
|
|
30409
|
+
bt.exchangeValidationService.validate(context.exchangeName, EXCHANGE_METHOD_NAME_GET_RAW_CANDLES);
|
|
30410
|
+
const instance = this._getInstance(context.exchangeName);
|
|
30411
|
+
return await instance.getRawCandles(symbol, interval, limit, sDate, eDate);
|
|
30412
|
+
};
|
|
32267
30413
|
}
|
|
32268
30414
|
}
|
|
32269
30415
|
/**
|
|
@@ -33409,7 +31555,6 @@ exports.MarkdownFileBase = MarkdownFileBase;
|
|
|
33409
31555
|
exports.MarkdownFolderBase = MarkdownFolderBase;
|
|
33410
31556
|
exports.MethodContextService = MethodContextService;
|
|
33411
31557
|
exports.Notification = Notification;
|
|
33412
|
-
exports.Optimizer = Optimizer;
|
|
33413
31558
|
exports.Partial = Partial;
|
|
33414
31559
|
exports.Performance = Performance;
|
|
33415
31560
|
exports.PersistBase = PersistBase;
|
|
@@ -33428,7 +31573,6 @@ exports.Walker = Walker;
|
|
|
33428
31573
|
exports.addActionSchema = addActionSchema;
|
|
33429
31574
|
exports.addExchangeSchema = addExchangeSchema;
|
|
33430
31575
|
exports.addFrameSchema = addFrameSchema;
|
|
33431
|
-
exports.addOptimizerSchema = addOptimizerSchema;
|
|
33432
31576
|
exports.addRiskSchema = addRiskSchema;
|
|
33433
31577
|
exports.addSizingSchema = addSizingSchema;
|
|
33434
31578
|
exports.addStrategySchema = addStrategySchema;
|
|
@@ -33438,10 +31582,8 @@ exports.commitCancelScheduled = commitCancelScheduled;
|
|
|
33438
31582
|
exports.commitClosePending = commitClosePending;
|
|
33439
31583
|
exports.commitPartialLoss = commitPartialLoss;
|
|
33440
31584
|
exports.commitPartialProfit = commitPartialProfit;
|
|
33441
|
-
exports.commitSignalPromptHistory = commitSignalPromptHistory;
|
|
33442
31585
|
exports.commitTrailingStop = commitTrailingStop;
|
|
33443
31586
|
exports.commitTrailingTake = commitTrailingTake;
|
|
33444
|
-
exports.dumpSignalData = dumpSignalData;
|
|
33445
31587
|
exports.emitters = emitters;
|
|
33446
31588
|
exports.formatPrice = formatPrice;
|
|
33447
31589
|
exports.formatQuantity = formatQuantity;
|
|
@@ -33459,8 +31601,8 @@ exports.getDefaultConfig = getDefaultConfig;
|
|
|
33459
31601
|
exports.getExchangeSchema = getExchangeSchema;
|
|
33460
31602
|
exports.getFrameSchema = getFrameSchema;
|
|
33461
31603
|
exports.getMode = getMode;
|
|
33462
|
-
exports.getOptimizerSchema = getOptimizerSchema;
|
|
33463
31604
|
exports.getOrderBook = getOrderBook;
|
|
31605
|
+
exports.getRawCandles = getRawCandles;
|
|
33464
31606
|
exports.getRiskSchema = getRiskSchema;
|
|
33465
31607
|
exports.getSizingSchema = getSizingSchema;
|
|
33466
31608
|
exports.getStrategySchema = getStrategySchema;
|
|
@@ -33470,7 +31612,6 @@ exports.hasTradeContext = hasTradeContext;
|
|
|
33470
31612
|
exports.lib = backtest;
|
|
33471
31613
|
exports.listExchangeSchema = listExchangeSchema;
|
|
33472
31614
|
exports.listFrameSchema = listFrameSchema;
|
|
33473
|
-
exports.listOptimizerSchema = listOptimizerSchema;
|
|
33474
31615
|
exports.listRiskSchema = listRiskSchema;
|
|
33475
31616
|
exports.listSizingSchema = listSizingSchema;
|
|
33476
31617
|
exports.listStrategySchema = listStrategySchema;
|
|
@@ -33488,7 +31629,6 @@ exports.listenDoneWalker = listenDoneWalker;
|
|
|
33488
31629
|
exports.listenDoneWalkerOnce = listenDoneWalkerOnce;
|
|
33489
31630
|
exports.listenError = listenError;
|
|
33490
31631
|
exports.listenExit = listenExit;
|
|
33491
|
-
exports.listenOptimizerProgress = listenOptimizerProgress;
|
|
33492
31632
|
exports.listenPartialLossAvailable = listenPartialLossAvailable;
|
|
33493
31633
|
exports.listenPartialLossAvailableOnce = listenPartialLossAvailableOnce;
|
|
33494
31634
|
exports.listenPartialProfitAvailable = listenPartialProfitAvailable;
|
|
@@ -33512,7 +31652,6 @@ exports.listenWalkerProgress = listenWalkerProgress;
|
|
|
33512
31652
|
exports.overrideActionSchema = overrideActionSchema;
|
|
33513
31653
|
exports.overrideExchangeSchema = overrideExchangeSchema;
|
|
33514
31654
|
exports.overrideFrameSchema = overrideFrameSchema;
|
|
33515
|
-
exports.overrideOptimizerSchema = overrideOptimizerSchema;
|
|
33516
31655
|
exports.overrideRiskSchema = overrideRiskSchema;
|
|
33517
31656
|
exports.overrideSizingSchema = overrideSizingSchema;
|
|
33518
31657
|
exports.overrideStrategySchema = overrideStrategySchema;
|