backtest-kit 2.2.6 → 2.2.7

package/build/index.cjs

@@ -556,10 +556,19 @@ const activePingSubject = new functoolsKit.Subject();
  * Used by StrategyReportService and StrategyMarkdownService for event logging and reporting.
  */
 const strategyCommitSubject = new functoolsKit.Subject();
+/**
+ * ClientStrategy::backtest using return instead of async iterator emitter.
+ * If signal was scheduled to open, emits when the signal is actually opened.
+ *
+ * Allows to yield IStrategyTickResultOpened in addition to IStrategyTickResultClosed | IStrategyTickResultCancelled for
+ * BacktestLogicPrivateService::*run
+ */
+const backtestScheduleOpenSubject = new functoolsKit.Subject();
 
 var emitters = /*#__PURE__*/Object.freeze({
     __proto__: null,
     activePingSubject: activePingSubject,
+    backtestScheduleOpenSubject: backtestScheduleOpenSubject,
     breakevenSubject: breakevenSubject,
     doneBacktestSubject: doneBacktestSubject,
     doneLiveSubject: doneLiveSubject,
@@ -4231,6 +4240,36 @@ const CALL_BREAKEVEN_CLEAR_FN = functoolsKit.trycatch(beginTime(async (self, sym
         errorEmitter.next(error);
     },
 });
+const CALL_BACKTEST_SCHEDULE_OPEN_FN = functoolsKit.trycatch(beginTime(async (self, symbol, signal, timestamp, backtest) => {
+    await ExecutionContextService.runInContext(async () => {
+        backtestScheduleOpenSubject.next({
+            action: "opened",
+            signal: TO_PUBLIC_SIGNAL(signal),
+            strategyName: self.params.method.context.strategyName,
+            exchangeName: self.params.method.context.exchangeName,
+            frameName: self.params.method.context.frameName,
+            symbol: symbol,
+            currentPrice: signal.priceOpen,
+            backtest: true,
+            createdAt: timestamp,
+        });
+    }, {
+        when: new Date(timestamp),
+        symbol: symbol,
+        backtest: backtest,
+    });
+}), {
+    fallback: (error) => {
+        const message = "ClientStrategy CALL_BACKTEST_SCHEDULE_OPEN_FN thrown";
+        const payload = {
+            error: functoolsKit.errorData(error),
+            message: functoolsKit.getErrorMessage(error),
+        };
+        bt.loggerService.warn(message, payload);
+        console.warn(message, payload);
+        errorEmitter.next(error);
+    },
+});
 const RETURN_SCHEDULED_SIGNAL_ACTIVE_FN = async (self, scheduled, currentPrice) => {
     const currentTime = self.params.execution.context.when.getTime();
     await CALL_SCHEDULE_PING_CALLBACKS_FN(self, self.params.execution.context.symbol, scheduled, currentTime, self.params.execution.context.backtest);
@@ -4520,6 +4559,7 @@ const ACTIVATE_SCHEDULED_SIGNAL_IN_BACKTEST_FN = async (self, scheduled, activat
     await self.setPendingSignal(activatedSignal);
     await CALL_RISK_ADD_SIGNAL_FN(self, self.params.execution.context.symbol, activatedSignal, activationTime, self.params.execution.context.backtest);
     await CALL_OPEN_CALLBACKS_FN(self, self.params.execution.context.symbol, activatedSignal, activatedSignal.priceOpen, activationTime, self.params.execution.context.backtest);
+    await CALL_BACKTEST_SCHEDULE_OPEN_FN(self, self.params.execution.context.symbol, activatedSignal, activationTime, self.params.execution.context.backtest);
     return true;
 };
 const CLOSE_PENDING_SIGNAL_IN_BACKTEST_FN = async (self, signal, averagePrice, closeReason, closeTimestamp) => {
@@ -12095,6 +12135,20 @@ class BacktestLogicPrivateService {
                 // backtest() сам обработает scheduled signal: найдет активацию/отмену
                 // и если активируется - продолжит с TP/SL мониторингом
                 let backtestResult;
+                let unScheduleOpen;
+                {
+                    const { strategyName, exchangeName, frameName } = this.methodContextService.context;
+                    unScheduleOpen = backtestScheduleOpenSubject.filter((event) => {
+                        let isOk = true;
+                        {
+                            isOk = isOk && event.strategyName === strategyName;
+                            isOk = isOk && event.exchangeName === exchangeName;
+                            isOk = isOk && event.frameName === frameName;
+                            isOk = isOk && event.symbol === symbol;
+                        }
+                        return isOk;
+                    }).connect(async (tick) => await signalBacktestEmitter.next(tick));
+                }
                 try {
                     backtestResult = await this.strategyCoreService.backtest(symbol, candles, when, true, {
                         strategyName: this.methodContextService.context.strategyName,
@@ -12113,6 +12167,9 @@ class BacktestLogicPrivateService {
                     i++;
                     continue;
                 }
+                finally {
+                    unScheduleOpen && unScheduleOpen();
+                }
                 this.loggerService.info("backtestLogicPrivateService scheduled signal closed", {
                     symbol,
                     signalId: backtestResult.signal.id,

package/build/index.mjs

@@ -536,10 +536,19 @@ const activePingSubject = new Subject();
  * Used by StrategyReportService and StrategyMarkdownService for event logging and reporting.
  */
 const strategyCommitSubject = new Subject();
+/**
+ * ClientStrategy::backtest using return instead of async iterator emitter.
+ * If signal was scheduled to open, emits when the signal is actually opened.
+ *
+ * Allows to yield IStrategyTickResultOpened in addition to IStrategyTickResultClosed | IStrategyTickResultCancelled for
+ * BacktestLogicPrivateService::*run
+ */
+const backtestScheduleOpenSubject = new Subject();
 
 var emitters = /*#__PURE__*/Object.freeze({
     __proto__: null,
     activePingSubject: activePingSubject,
+    backtestScheduleOpenSubject: backtestScheduleOpenSubject,
     breakevenSubject: breakevenSubject,
     doneBacktestSubject: doneBacktestSubject,
     doneLiveSubject: doneLiveSubject,
@@ -4211,6 +4220,36 @@ const CALL_BREAKEVEN_CLEAR_FN = trycatch(beginTime(async (self, symbol, signal,
         errorEmitter.next(error);
     },
 });
+const CALL_BACKTEST_SCHEDULE_OPEN_FN = trycatch(beginTime(async (self, symbol, signal, timestamp, backtest) => {
+    await ExecutionContextService.runInContext(async () => {
+        backtestScheduleOpenSubject.next({
+            action: "opened",
+            signal: TO_PUBLIC_SIGNAL(signal),
+            strategyName: self.params.method.context.strategyName,
+            exchangeName: self.params.method.context.exchangeName,
+            frameName: self.params.method.context.frameName,
+            symbol: symbol,
+            currentPrice: signal.priceOpen,
+            backtest: true,
+            createdAt: timestamp,
+        });
+    }, {
+        when: new Date(timestamp),
+        symbol: symbol,
+        backtest: backtest,
+    });
+}), {
+    fallback: (error) => {
+        const message = "ClientStrategy CALL_BACKTEST_SCHEDULE_OPEN_FN thrown";
+        const payload = {
+            error: errorData(error),
+            message: getErrorMessage(error),
+        };
+        bt.loggerService.warn(message, payload);
+        console.warn(message, payload);
+        errorEmitter.next(error);
+    },
+});
 const RETURN_SCHEDULED_SIGNAL_ACTIVE_FN = async (self, scheduled, currentPrice) => {
     const currentTime = self.params.execution.context.when.getTime();
     await CALL_SCHEDULE_PING_CALLBACKS_FN(self, self.params.execution.context.symbol, scheduled, currentTime, self.params.execution.context.backtest);
@@ -4500,6 +4539,7 @@ const ACTIVATE_SCHEDULED_SIGNAL_IN_BACKTEST_FN = async (self, scheduled, activat
     await self.setPendingSignal(activatedSignal);
     await CALL_RISK_ADD_SIGNAL_FN(self, self.params.execution.context.symbol, activatedSignal, activationTime, self.params.execution.context.backtest);
     await CALL_OPEN_CALLBACKS_FN(self, self.params.execution.context.symbol, activatedSignal, activatedSignal.priceOpen, activationTime, self.params.execution.context.backtest);
+    await CALL_BACKTEST_SCHEDULE_OPEN_FN(self, self.params.execution.context.symbol, activatedSignal, activationTime, self.params.execution.context.backtest);
     return true;
 };
 const CLOSE_PENDING_SIGNAL_IN_BACKTEST_FN = async (self, signal, averagePrice, closeReason, closeTimestamp) => {
@@ -12075,6 +12115,20 @@ class BacktestLogicPrivateService {
                 // backtest() сам обработает scheduled signal: найдет активацию/отмену
                 // и если активируется - продолжит с TP/SL мониторингом
                 let backtestResult;
+                let unScheduleOpen;
+                {
+                    const { strategyName, exchangeName, frameName } = this.methodContextService.context;
+                    unScheduleOpen = backtestScheduleOpenSubject.filter((event) => {
+                        let isOk = true;
+                        {
+                            isOk = isOk && event.strategyName === strategyName;
+                            isOk = isOk && event.exchangeName === exchangeName;
+                            isOk = isOk && event.frameName === frameName;
+                            isOk = isOk && event.symbol === symbol;
+                        }
+                        return isOk;
+                    }).connect(async (tick) => await signalBacktestEmitter.next(tick));
+                }
                 try {
                     backtestResult = await this.strategyCoreService.backtest(symbol, candles, when, true, {
                         strategyName: this.methodContextService.context.strategyName,
@@ -12093,6 +12147,9 @@ class BacktestLogicPrivateService {
                     i++;
                     continue;
                 }
+                finally {
+                    unScheduleOpen && unScheduleOpen();
+                }
                 this.loggerService.info("backtestLogicPrivateService scheduled signal closed", {
                     symbol,
                     signalId: backtestResult.signal.id,

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "backtest-kit",
-  "version": "2.2.6",
+  "version": "2.2.7",
   "description": "A TypeScript library for trading system backtest",
   "author": {
     "name": "Petr Tripolsky",

package/types.d.ts

@@ -14734,8 +14734,17 @@ declare const activePingSubject: Subject<ActivePingContract>;
  * Used by StrategyReportService and StrategyMarkdownService for event logging and reporting.
  */
 declare const strategyCommitSubject: Subject<StrategyCommitContract>;
+/**
+ * ClientStrategy::backtest using return instead of async iterator emitter.
+ * If signal was scheduled to open, emits when the signal is actually opened.
+ *
+ * Allows to yield IStrategyTickResultOpened in addition to IStrategyTickResultClosed | IStrategyTickResultCancelled for
+ * BacktestLogicPrivateService::*run
+ */
+declare const backtestScheduleOpenSubject: Subject<IStrategyTickResultOpened>;
 
 declare const emitters_activePingSubject: typeof activePingSubject;
+declare const emitters_backtestScheduleOpenSubject: typeof backtestScheduleOpenSubject;
 declare const emitters_breakevenSubject: typeof breakevenSubject;
 declare const emitters_doneBacktestSubject: typeof doneBacktestSubject;
 declare const emitters_doneLiveSubject: typeof doneLiveSubject;
@@ -14758,7 +14767,7 @@ declare const emitters_walkerCompleteSubject: typeof walkerCompleteSubject;
 declare const emitters_walkerEmitter: typeof walkerEmitter;
 declare const emitters_walkerStopSubject: typeof walkerStopSubject;
 declare namespace emitters {
-  export { emitters_activePingSubject as activePingSubject, emitters_breakevenSubject as breakevenSubject, emitters_doneBacktestSubject as doneBacktestSubject, emitters_doneLiveSubject as doneLiveSubject, emitters_doneWalkerSubject as doneWalkerSubject, emitters_errorEmitter as errorEmitter, emitters_exitEmitter as exitEmitter, emitters_partialLossSubject as partialLossSubject, emitters_partialProfitSubject as partialProfitSubject, emitters_performanceEmitter as performanceEmitter, emitters_progressBacktestEmitter as progressBacktestEmitter, emitters_progressWalkerEmitter as progressWalkerEmitter, emitters_riskSubject as riskSubject, emitters_schedulePingSubject as schedulePingSubject, emitters_signalBacktestEmitter as signalBacktestEmitter, emitters_signalEmitter as signalEmitter, emitters_signalLiveEmitter as signalLiveEmitter, emitters_strategyCommitSubject as strategyCommitSubject, emitters_validationSubject as validationSubject, emitters_walkerCompleteSubject as walkerCompleteSubject, emitters_walkerEmitter as walkerEmitter, emitters_walkerStopSubject as walkerStopSubject };
+  export { emitters_activePingSubject as activePingSubject, emitters_backtestScheduleOpenSubject as backtestScheduleOpenSubject, emitters_breakevenSubject as breakevenSubject, emitters_doneBacktestSubject as doneBacktestSubject, emitters_doneLiveSubject as doneLiveSubject, emitters_doneWalkerSubject as doneWalkerSubject, emitters_errorEmitter as errorEmitter, emitters_exitEmitter as exitEmitter, emitters_partialLossSubject as partialLossSubject, emitters_partialProfitSubject as partialProfitSubject, emitters_performanceEmitter as performanceEmitter, emitters_progressBacktestEmitter as progressBacktestEmitter, emitters_progressWalkerEmitter as progressWalkerEmitter, emitters_riskSubject as riskSubject, emitters_schedulePingSubject as schedulePingSubject, emitters_signalBacktestEmitter as signalBacktestEmitter, emitters_signalEmitter as signalEmitter, emitters_signalLiveEmitter as signalLiveEmitter, emitters_strategyCommitSubject as strategyCommitSubject, emitters_validationSubject as validationSubject, emitters_walkerCompleteSubject as walkerCompleteSubject, emitters_walkerEmitter as walkerEmitter, emitters_walkerStopSubject as walkerStopSubject };
 }
 
 /**