backtest-kit 3.7.0 → 3.7.1
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/README.md +221 -61
- package/build/index.cjs +665 -141
- package/build/index.mjs +658 -142
- package/package.json +1 -1
- package/types.d.ts +360 -1
package/build/index.cjs
CHANGED
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@@ -463,6 +463,14 @@ const GLOBAL_CONFIG = {
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463
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* Default: true (mutex locking enabled for candle fetching)
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*/
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CC_ENABLE_CANDLE_FETCH_MUTEX: true,
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466
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+
/**
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467
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* Enables DCA (Dollar-Cost Averaging) logic even if antirecord is not broken.
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468
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* Allows to commitAverageBuy if currentPrice is not the lowest price since entry, but still lower than priceOpen.
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469
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* This can help improve average entry price in cases where price has rebounded after entry but is still below priceOpen, without waiting for a new lower price.
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*
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* Default: true (DCA logic enabled everywhere, not just when antirecord is broken)
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*/
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CC_ENABLE_DCA_EVERYWHERE: false,
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};
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const DEFAULT_CONFIG = Object.freeze({ ...GLOBAL_CONFIG });
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@@ -3194,75 +3202,90 @@ class ExchangeConnectionService {
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}
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}
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+
const COST_BASIS_PER_ENTRY$3 = 100;
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/**
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* Returns the effective entry price for price calculations.
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*
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*
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* the simple arithmetic mean of all entry prices (DCA average).
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* Otherwise returns the original signal.priceOpen.
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* Uses harmonic mean (correct for fixed-dollar DCA: $100 per entry).
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*
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*
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*
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* effective averaged price returned by this function.
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* When partial closes exist, replays the partial sequence to reconstruct
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* the running cost basis at each partial — no extra stored fields needed.
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*
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-
*
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*
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* Cost basis replay:
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* costBasis starts at 0
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* for each partial[i]:
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* newEntries = entryCountAtClose[i] - entryCountAtClose[i-1] (or entryCountAtClose[0] for i=0)
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* costBasis += newEntries × $100 ← add DCA entries up to this partial
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* positionCostBasisAtClose[i] = costBasis ← snapshot BEFORE close
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* costBasis × = (1 - percent[i] / 100) ← reduce after close
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*
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* @param signal - Signal row
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* @returns Effective entry price for PNL calculations
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*/
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const getEffectivePriceOpen = (signal) => {
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if (signal._entry
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return signal.
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-
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-
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if (!signal._entry || signal._entry.length === 0)
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return signal.priceOpen;
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const entries = signal._entry;
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const partials = signal._partial ?? [];
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// No partial exits — pure harmonic mean of all entries
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if (partials.length === 0) {
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return harmonicMean(entries.map((e) => e.price));
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}
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// Replay cost basis through all partials to get snapshot at the last one
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let costBasis = 0;
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for (let i = 0; i < partials.length; i++) {
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const prevCount = i === 0 ? 0 : partials[i - 1].entryCountAtClose;
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const newEntryCount = partials[i].entryCountAtClose - prevCount;
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costBasis += newEntryCount * COST_BASIS_PER_ENTRY$3;
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// costBasis is now positionCostBasisAtClose for partials[i]
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if (i < partials.length - 1) {
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costBasis *= 1 - partials[i].percent / 100;
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}
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}
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const lastPartial = partials[partials.length - 1];
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// Dollar cost basis remaining after the last partial close
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const remainingCostBasis = costBasis * (1 - lastPartial.percent / 100);
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// Coins remaining from the old position
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const oldCoins = remainingCostBasis / lastPartial.effectivePrice;
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// New DCA entries added AFTER the last partial close
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const newEntries = entries.slice(lastPartial.entryCountAtClose);
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// Coins from new DCA entries (each costs $100)
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const newCoins = newEntries.reduce((sum, e) => sum + 100 / e.price, 0);
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const totalCoins = oldCoins + newCoins;
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if (totalCoins === 0)
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return lastPartial.effectivePrice;
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const totalCost = remainingCostBasis + newEntries.length * 100;
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return totalCost / totalCoins;
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};
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const harmonicMean = (prices) => {
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if (prices.length === 0)
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return 0;
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return prices.length / prices.reduce((sum, p) => sum + 1 / p, 0);
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};
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+
const COST_BASIS_PER_ENTRY$2 = 100;
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/**
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* Calculates profit/loss for a closed signal with slippage and fees.
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*
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* For signals with partial closes:
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* -
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*
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*
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*
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*
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*
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*
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*
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*
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3231
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*
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*
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*
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3234
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*
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3271
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* - Weights are calculated by ACTUAL DOLLAR VALUE of each partial relative to total invested.
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3272
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* This correctly handles DCA entries that occur before or after partial closes.
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*
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3274
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* Cost basis is reconstructed by replaying the partial sequence via entryCountAtClose + percent:
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3275
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* costBasis = 0
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3276
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* for each partial[i]:
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3277
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* costBasis += (entryCountAtClose[i] - entryCountAtClose[i-1]) × $100
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* partialDollarValue[i] = (percent[i] / 100) × costBasis
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* weight[i] = partialDollarValue[i] / totalInvested
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3280
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* costBasis *= (1 - percent[i] / 100)
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*
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3282
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* Fee structure:
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* - Open fee: CC_PERCENT_FEE (charged once)
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3284
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* - Close fee: CC_PERCENT_FEE × weight × (closeWithSlip / openWithSlip) per partial/remaining
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*
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* @param signal - Closed signal with position details and optional partial history
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* @param priceClose - Actual close price at final exit
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* @returns PNL data with percentage and prices
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3239
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-
*
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3240
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* @example
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3241
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* ```typescript
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* // Signal without partial closes
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* const pnl = toProfitLossDto(
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* {
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* position: "long",
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* priceOpen: 100,
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* },
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* 110 // close at +10%
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* );
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* console.log(pnl.pnlPercentage); // ~9.6% (after slippage and fees)
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3251
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*
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3252
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* // Signal with partial closes
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3253
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* const pnlPartial = toProfitLossDto(
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3254
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* {
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* position: "long",
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* priceOpen: 100,
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* _partial: [
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* { type: "profit", percent: 30, price: 120 }, // +20% on 30%
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* { type: "profit", percent: 40, price: 115 }, // +15% on 40%
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* ],
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* },
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* 105 // final close at +5% for remaining 30%
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3263
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* );
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* // Weighted PNL = 30% × 20% + 40% × 15% + 30% × 5% = 6% + 6% + 1.5% = 13.5% (before fees)
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* ```
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*/
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const toProfitLossDto = (signal, priceClose) => {
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const priceOpen = getEffectivePriceOpen(signal);
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@@ -3271,47 +3294,65 @@ const toProfitLossDto = (signal, priceClose) => {
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let totalWeightedPnl = 0;
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// Open fee is paid once for the whole position
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let totalFees = GLOBAL_CONFIG.CC_PERCENT_FEE;
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-
//
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const
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3276
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-
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3277
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-
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3297
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+
// Total invested capital = number of DCA entries × $100 per entry
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3298
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const totalInvested = signal._entry ? signal._entry.length * 100 : 100;
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3299
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let closedDollarValue = 0;
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+
// Running cost basis — replayed from entryCountAtClose + percent
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3301
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+
let costBasis = 0;
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3302
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// Calculate PNL for each partial close
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3279
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-
for (
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3280
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-
const
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3303
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+
for (let i = 0; i < signal._partial.length; i++) {
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3304
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+
const partial = signal._partial[i];
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3305
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+
// Add DCA entries that existed at this partial but not at the previous one
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3306
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+
const prevCount = i === 0 ? 0 : signal._partial[i - 1].entryCountAtClose;
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3307
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+
const newEntryCount = partial.entryCountAtClose - prevCount;
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3308
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+
costBasis += newEntryCount * COST_BASIS_PER_ENTRY$2;
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3309
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+
// Real dollar value sold in this partial
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3310
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+
const partialDollarValue = (partial.percent / 100) * costBasis;
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3311
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+
// Weight relative to total invested capital
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3312
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+
const weight = partialDollarValue / totalInvested;
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3313
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+
closedDollarValue += partialDollarValue;
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3314
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+
// Reduce cost basis after close
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3315
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+
costBasis *= 1 - partial.percent / 100;
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3316
|
+
// Use the effective entry price snapshot captured at the time of this partial close
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3317
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+
const priceOpenWithSlippage = signal.position === "long"
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3318
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+
? partial.effectivePrice * (1 + GLOBAL_CONFIG.CC_PERCENT_SLIPPAGE / 100)
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3319
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+
: partial.effectivePrice * (1 - GLOBAL_CONFIG.CC_PERCENT_SLIPPAGE / 100);
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3281
3320
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const priceCloseWithSlippage = signal.position === "long"
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3282
3321
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? partial.price * (1 - GLOBAL_CONFIG.CC_PERCENT_SLIPPAGE / 100)
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3283
3322
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: partial.price * (1 + GLOBAL_CONFIG.CC_PERCENT_SLIPPAGE / 100);
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3284
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-
// Calculate PNL for this partial
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3285
3323
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const partialPnl = signal.position === "long"
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3286
3324
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? ((priceCloseWithSlippage - priceOpenWithSlippage) / priceOpenWithSlippage) * 100
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3287
3325
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: ((priceOpenWithSlippage - priceCloseWithSlippage) / priceOpenWithSlippage) * 100;
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3288
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-
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3289
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-
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3290
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-
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3291
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-
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3292
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-
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3293
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-
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-
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3295
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-
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3296
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-
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3297
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-
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3298
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-
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3299
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-
const
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3300
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-
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3326
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+
totalWeightedPnl += weight * partialPnl;
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3327
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+
// Close fee proportional to real dollar weight
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3328
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+
totalFees +=
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3329
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+
GLOBAL_CONFIG.CC_PERCENT_FEE *
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3330
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+
weight *
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3331
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+
(priceCloseWithSlippage / priceOpenWithSlippage);
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3332
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+
}
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3333
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+
if (closedDollarValue > totalInvested + 0.001) {
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3334
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+
throw new Error(`Partial closes dollar value (${closedDollarValue.toFixed(4)}) exceeds total invested (${totalInvested}) — signal id: ${signal.id}`);
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3335
|
+
}
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3336
|
+
// Remaining position
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3337
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+
const remainingDollarValue = totalInvested - closedDollarValue;
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3338
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+
const remainingWeight = remainingDollarValue / totalInvested;
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3339
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+
if (remainingWeight > 0) {
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3340
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+
// Use current effective price — reflects all DCA including post-partial entries
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3341
|
+
const remainingOpenWithSlippage = signal.position === "long"
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3342
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+
? priceOpen * (1 + GLOBAL_CONFIG.CC_PERCENT_SLIPPAGE / 100)
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3343
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+
: priceOpen * (1 - GLOBAL_CONFIG.CC_PERCENT_SLIPPAGE / 100);
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3301
3344
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const priceCloseWithSlippage = signal.position === "long"
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3302
3345
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? priceClose * (1 - GLOBAL_CONFIG.CC_PERCENT_SLIPPAGE / 100)
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3303
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: priceClose * (1 + GLOBAL_CONFIG.CC_PERCENT_SLIPPAGE / 100);
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3304
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-
// Calculate PNL for remaining
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3347
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const remainingPnl = signal.position === "long"
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3306
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-
? ((priceCloseWithSlippage -
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: ((
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3308
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-
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3309
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-
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3310
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-
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3311
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-
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3348
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+
? ((priceCloseWithSlippage - remainingOpenWithSlippage) / remainingOpenWithSlippage) * 100
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3349
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+
: ((remainingOpenWithSlippage - priceCloseWithSlippage) / remainingOpenWithSlippage) * 100;
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|
3350
|
+
totalWeightedPnl += remainingWeight * remainingPnl;
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|
3351
|
+
totalFees +=
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|
3352
|
+
GLOBAL_CONFIG.CC_PERCENT_FEE *
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3353
|
+
remainingWeight *
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|
3354
|
+
(priceCloseWithSlippage / remainingOpenWithSlippage);
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3312
3355
|
}
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|
3313
|
-
// Subtract total fees from weighted PNL
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|
3314
|
-
// totalFees = CC_PERCENT_FEE (open) + Σ CC_PERCENT_FEE × (partialPercent/100) × (closeWithSlip/openWithSlip)
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3315
3356
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const pnlPercentage = totalWeightedPnl - totalFees;
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3316
3357
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return {
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3317
3358
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pnlPercentage,
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|
@@ -3323,33 +3364,24 @@ const toProfitLossDto = (signal, priceClose) => {
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|
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3323
3364
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let priceOpenWithSlippage;
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|
3324
3365
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let priceCloseWithSlippage;
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|
3325
3366
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if (signal.position === "long") {
|
|
3326
|
-
// LONG: покупаем дороже, продаем дешевле
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3327
3367
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priceOpenWithSlippage = priceOpen * (1 + GLOBAL_CONFIG.CC_PERCENT_SLIPPAGE / 100);
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3328
3368
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priceCloseWithSlippage = priceClose * (1 - GLOBAL_CONFIG.CC_PERCENT_SLIPPAGE / 100);
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3329
3369
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}
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|
3330
3370
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else {
|
|
3331
|
-
// SHORT: продаем дешевле, покупаем дороже
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3332
3371
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priceOpenWithSlippage = priceOpen * (1 - GLOBAL_CONFIG.CC_PERCENT_SLIPPAGE / 100);
|
|
3333
3372
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priceCloseWithSlippage = priceClose * (1 + GLOBAL_CONFIG.CC_PERCENT_SLIPPAGE / 100);
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|
3334
3373
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}
|
|
3335
|
-
|
|
3336
|
-
|
|
3374
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+
const totalFee = GLOBAL_CONFIG.CC_PERCENT_FEE *
|
|
3375
|
+
(1 + priceCloseWithSlippage / priceOpenWithSlippage);
|
|
3337
3376
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let pnlPercentage;
|
|
3338
3377
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if (signal.position === "long") {
|
|
3339
|
-
// LONG: прибыль при росте цены
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|
3340
3378
|
pnlPercentage =
|
|
3341
|
-
((priceCloseWithSlippage - priceOpenWithSlippage) /
|
|
3342
|
-
priceOpenWithSlippage) *
|
|
3343
|
-
100;
|
|
3379
|
+
((priceCloseWithSlippage - priceOpenWithSlippage) / priceOpenWithSlippage) * 100;
|
|
3344
3380
|
}
|
|
3345
3381
|
else {
|
|
3346
|
-
// SHORT: прибыль при падении цены
|
|
3347
3382
|
pnlPercentage =
|
|
3348
|
-
((priceOpenWithSlippage - priceCloseWithSlippage) /
|
|
3349
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-
priceOpenWithSlippage) *
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|
3350
|
-
100;
|
|
3383
|
+
((priceOpenWithSlippage - priceCloseWithSlippage) / priceOpenWithSlippage) * 100;
|
|
3351
3384
|
}
|
|
3352
|
-
// Вычитаем комиссии
|
|
3353
3385
|
pnlPercentage -= totalFee;
|
|
3354
3386
|
return {
|
|
3355
3387
|
pnlPercentage,
|
|
@@ -3405,6 +3437,54 @@ const toPlainString = (content) => {
|
|
|
3405
3437
|
return text.trim();
|
|
3406
3438
|
};
|
|
3407
3439
|
|
|
3440
|
+
const COST_BASIS_PER_ENTRY$1 = 100;
|
|
3441
|
+
/**
|
|
3442
|
+
* Returns the total closed state of a position using cost-basis replay.
|
|
3443
|
+
*
|
|
3444
|
+
* Correctly accounts for DCA entries added between partial closes via averageBuy().
|
|
3445
|
+
* Simple percent summation (sum of _partial[i].percent) is INCORRECT when averageBuy()
|
|
3446
|
+
* is called between partials — this function uses the same cost-basis replay as
|
|
3447
|
+
* toProfitLossDto to compute the true dollar-weighted closed fraction.
|
|
3448
|
+
*
|
|
3449
|
+
* Cost-basis replay:
|
|
3450
|
+
* costBasis = 0
|
|
3451
|
+
* for each partial[i]:
|
|
3452
|
+
* costBasis += (entryCountAtClose[i] - entryCountAtClose[i-1]) × $100
|
|
3453
|
+
* closedDollar += (percent[i] / 100) × costBasis
|
|
3454
|
+
* costBasis ×= (1 - percent[i] / 100)
|
|
3455
|
+
* // then add entries added AFTER the last partial
|
|
3456
|
+
* costBasis += (currentEntryCount - lastPartialEntryCount) × $100
|
|
3457
|
+
*
|
|
3458
|
+
* @param signal - Signal row with _partial and _entry arrays
|
|
3459
|
+
* @returns Object with totalClosedPercent (0–100+) and remainingCostBasis (dollar value still open)
|
|
3460
|
+
*/
|
|
3461
|
+
const getTotalClosed = (signal) => {
|
|
3462
|
+
const partials = signal._partial ?? [];
|
|
3463
|
+
const currentEntryCount = signal._entry?.length ?? 1;
|
|
3464
|
+
const totalInvested = currentEntryCount * COST_BASIS_PER_ENTRY$1;
|
|
3465
|
+
if (partials.length === 0) {
|
|
3466
|
+
return {
|
|
3467
|
+
totalClosedPercent: 0,
|
|
3468
|
+
remainingCostBasis: totalInvested,
|
|
3469
|
+
};
|
|
3470
|
+
}
|
|
3471
|
+
let costBasis = 0;
|
|
3472
|
+
let closedDollarValue = 0;
|
|
3473
|
+
for (let i = 0; i < partials.length; i++) {
|
|
3474
|
+
const prevCount = i === 0 ? 0 : partials[i - 1].entryCountAtClose;
|
|
3475
|
+
costBasis += (partials[i].entryCountAtClose - prevCount) * COST_BASIS_PER_ENTRY$1;
|
|
3476
|
+
closedDollarValue += (partials[i].percent / 100) * costBasis;
|
|
3477
|
+
costBasis *= 1 - partials[i].percent / 100;
|
|
3478
|
+
}
|
|
3479
|
+
// Add entries added AFTER the last partial (not yet accounted for in the loop)
|
|
3480
|
+
const lastEntryCount = partials[partials.length - 1].entryCountAtClose;
|
|
3481
|
+
costBasis += (currentEntryCount - lastEntryCount) * COST_BASIS_PER_ENTRY$1;
|
|
3482
|
+
return {
|
|
3483
|
+
totalClosedPercent: totalInvested > 0 ? (closedDollarValue / totalInvested) * 100 : 0,
|
|
3484
|
+
remainingCostBasis: costBasis,
|
|
3485
|
+
};
|
|
3486
|
+
};
|
|
3487
|
+
|
|
3408
3488
|
/**
|
|
3409
3489
|
* Wraps a function to execute it outside of the current execution context if one exists.
|
|
3410
3490
|
*
|
|
@@ -3447,6 +3527,19 @@ const beginTime = (run) => (...args) => {
|
|
|
3447
3527
|
return fn();
|
|
3448
3528
|
};
|
|
3449
3529
|
|
|
3530
|
+
/**
|
|
3531
|
+
* Retrieves the current timestamp for debugging purposes.
|
|
3532
|
+
* If an execution context is active (e.g., during a backtest), it returns the timestamp from the context to ensure consistency with the simulated time.
|
|
3533
|
+
* Can be empty (undefined) if not called from strategy async context, as it's intended for debugging and not critical for logic.
|
|
3534
|
+
* @return {number | undefined} The current timestamp in milliseconds from the execution context, or undefined if not available.
|
|
3535
|
+
*/
|
|
3536
|
+
const getDebugTimestamp = () => {
|
|
3537
|
+
if (ExecutionContextService.hasContext()) {
|
|
3538
|
+
return bt.executionContextService.context.when.getTime();
|
|
3539
|
+
}
|
|
3540
|
+
return undefined;
|
|
3541
|
+
};
|
|
3542
|
+
|
|
3450
3543
|
const INTERVAL_MINUTES$6 = {
|
|
3451
3544
|
"1m": 1,
|
|
3452
3545
|
"3m": 3,
|
|
@@ -3455,6 +3548,7 @@ const INTERVAL_MINUTES$6 = {
|
|
|
3455
3548
|
"30m": 30,
|
|
3456
3549
|
"1h": 60,
|
|
3457
3550
|
};
|
|
3551
|
+
const COST_BASIS_PER_ENTRY = 100;
|
|
3458
3552
|
/**
|
|
3459
3553
|
* Mock value for scheduled signal pendingAt timestamp.
|
|
3460
3554
|
* Used to indicate that the actual pendingAt will be set upon activation.
|
|
@@ -4056,7 +4150,7 @@ const GET_SIGNAL_FN = functoolsKit.trycatch(async (self) => {
|
|
|
4056
4150
|
scheduledAt: currentTime,
|
|
4057
4151
|
pendingAt: currentTime, // Для immediate signal оба времени одинаковые
|
|
4058
4152
|
_isScheduled: false,
|
|
4059
|
-
_entry: [{ price: signal.priceOpen }],
|
|
4153
|
+
_entry: [{ price: signal.priceOpen, debugTimestamp: currentTime }],
|
|
4060
4154
|
};
|
|
4061
4155
|
// Валидируем сигнал перед возвратом
|
|
4062
4156
|
VALIDATE_SIGNAL_FN(signalRow, currentPrice, false);
|
|
@@ -4078,7 +4172,7 @@ const GET_SIGNAL_FN = functoolsKit.trycatch(async (self) => {
|
|
|
4078
4172
|
scheduledAt: currentTime,
|
|
4079
4173
|
pendingAt: SCHEDULED_SIGNAL_PENDING_MOCK, // Временно, обновится при активации
|
|
4080
4174
|
_isScheduled: true,
|
|
4081
|
-
_entry: [{ price: signal.priceOpen }],
|
|
4175
|
+
_entry: [{ price: signal.priceOpen, debugTimestamp: currentTime }],
|
|
4082
4176
|
};
|
|
4083
4177
|
// Валидируем сигнал перед возвратом
|
|
4084
4178
|
VALIDATE_SIGNAL_FN(scheduledSignalRow, currentPrice, true);
|
|
@@ -4096,7 +4190,7 @@ const GET_SIGNAL_FN = functoolsKit.trycatch(async (self) => {
|
|
|
4096
4190
|
scheduledAt: currentTime,
|
|
4097
4191
|
pendingAt: currentTime, // Для immediate signal оба времени одинаковые
|
|
4098
4192
|
_isScheduled: false,
|
|
4099
|
-
_entry: [{ price: currentPrice }],
|
|
4193
|
+
_entry: [{ price: currentPrice, debugTimestamp: currentTime }],
|
|
4100
4194
|
};
|
|
4101
4195
|
// Валидируем сигнал перед возвратом
|
|
4102
4196
|
VALIDATE_SIGNAL_FN(signalRow, currentPrice, false);
|
|
@@ -4170,37 +4264,39 @@ const PARTIAL_PROFIT_FN = (self, signal, percentToClose, currentPrice) => {
|
|
|
4170
4264
|
// Initialize partial array if not present
|
|
4171
4265
|
if (!signal._partial)
|
|
4172
4266
|
signal._partial = [];
|
|
4173
|
-
//
|
|
4174
|
-
const
|
|
4175
|
-
|
|
4176
|
-
|
|
4177
|
-
const
|
|
4178
|
-
|
|
4179
|
-
.
|
|
4180
|
-
const totalClosed = tpClosed + slClosed;
|
|
4181
|
-
// Check if would exceed 100% total closed
|
|
4182
|
-
const newTotalClosed = totalClosed + percentToClose;
|
|
4183
|
-
if (newTotalClosed > 100) {
|
|
4184
|
-
self.params.logger.warn("PARTIAL_PROFIT_FN: would exceed 100% closed, skipping", {
|
|
4267
|
+
// Check if would exceed 100% total closed (dollar-basis, DCA-aware)
|
|
4268
|
+
const { totalClosedPercent, remainingCostBasis } = getTotalClosed(signal);
|
|
4269
|
+
const totalInvested = (signal._entry?.length ?? 1) * COST_BASIS_PER_ENTRY;
|
|
4270
|
+
const newPartialDollar = (percentToClose / 100) * remainingCostBasis;
|
|
4271
|
+
const newTotalClosedDollar = (totalClosedPercent / 100) * totalInvested + newPartialDollar;
|
|
4272
|
+
if (newTotalClosedDollar > totalInvested) {
|
|
4273
|
+
self.params.logger.warn("PARTIAL_PROFIT_FN: would exceed 100% closed (dollar basis), skipping", {
|
|
4185
4274
|
signalId: signal.id,
|
|
4186
|
-
|
|
4275
|
+
totalClosedPercent,
|
|
4276
|
+
remainingCostBasis,
|
|
4187
4277
|
percentToClose,
|
|
4188
|
-
|
|
4278
|
+
newPartialDollar,
|
|
4279
|
+
totalInvested,
|
|
4189
4280
|
});
|
|
4190
4281
|
return false;
|
|
4191
4282
|
}
|
|
4283
|
+
// Capture effective entry price at the moment of partial close (for DCA-aware PNL)
|
|
4284
|
+
const effectivePrice = getEffectivePriceOpen(signal);
|
|
4285
|
+
const entryCountAtClose = signal._entry ? signal._entry.length : 1;
|
|
4192
4286
|
// Add new partial close entry
|
|
4193
4287
|
signal._partial.push({
|
|
4194
4288
|
type: "profit",
|
|
4195
4289
|
percent: percentToClose,
|
|
4290
|
+
entryCountAtClose,
|
|
4196
4291
|
price: currentPrice,
|
|
4292
|
+
debugTimestamp: getDebugTimestamp(),
|
|
4293
|
+
effectivePrice,
|
|
4197
4294
|
});
|
|
4198
4295
|
self.params.logger.info("PARTIAL_PROFIT_FN executed", {
|
|
4199
4296
|
signalId: signal.id,
|
|
4200
4297
|
percentClosed: percentToClose,
|
|
4201
|
-
|
|
4298
|
+
totalClosedPercent: totalClosedPercent + (newPartialDollar / totalInvested) * 100,
|
|
4202
4299
|
currentPrice,
|
|
4203
|
-
tpClosed: tpClosed + percentToClose,
|
|
4204
4300
|
});
|
|
4205
4301
|
return true;
|
|
4206
4302
|
};
|
|
@@ -4208,37 +4304,39 @@ const PARTIAL_LOSS_FN = (self, signal, percentToClose, currentPrice) => {
|
|
|
4208
4304
|
// Initialize partial array if not present
|
|
4209
4305
|
if (!signal._partial)
|
|
4210
4306
|
signal._partial = [];
|
|
4211
|
-
//
|
|
4212
|
-
const
|
|
4213
|
-
|
|
4214
|
-
|
|
4215
|
-
const
|
|
4216
|
-
|
|
4217
|
-
.
|
|
4218
|
-
const totalClosed = tpClosed + slClosed;
|
|
4219
|
-
// Check if would exceed 100% total closed
|
|
4220
|
-
const newTotalClosed = totalClosed + percentToClose;
|
|
4221
|
-
if (newTotalClosed > 100) {
|
|
4222
|
-
self.params.logger.warn("PARTIAL_LOSS_FN: would exceed 100% closed, skipping", {
|
|
4307
|
+
// Check if would exceed 100% total closed (dollar-basis, DCA-aware)
|
|
4308
|
+
const { totalClosedPercent, remainingCostBasis } = getTotalClosed(signal);
|
|
4309
|
+
const totalInvested = (signal._entry?.length ?? 1) * COST_BASIS_PER_ENTRY;
|
|
4310
|
+
const newPartialDollar = (percentToClose / 100) * remainingCostBasis;
|
|
4311
|
+
const newTotalClosedDollar = (totalClosedPercent / 100) * totalInvested + newPartialDollar;
|
|
4312
|
+
if (newTotalClosedDollar > totalInvested) {
|
|
4313
|
+
self.params.logger.warn("PARTIAL_LOSS_FN: would exceed 100% closed (dollar basis), skipping", {
|
|
4223
4314
|
signalId: signal.id,
|
|
4224
|
-
|
|
4315
|
+
totalClosedPercent,
|
|
4316
|
+
remainingCostBasis,
|
|
4225
4317
|
percentToClose,
|
|
4226
|
-
|
|
4318
|
+
newPartialDollar,
|
|
4319
|
+
totalInvested,
|
|
4227
4320
|
});
|
|
4228
4321
|
return false;
|
|
4229
4322
|
}
|
|
4323
|
+
// Capture effective entry price at the moment of partial close (for DCA-aware PNL)
|
|
4324
|
+
const effectivePrice = getEffectivePriceOpen(signal);
|
|
4325
|
+
const entryCountAtClose = signal._entry ? signal._entry.length : 1;
|
|
4230
4326
|
// Add new partial close entry
|
|
4231
4327
|
signal._partial.push({
|
|
4232
4328
|
type: "loss",
|
|
4233
4329
|
percent: percentToClose,
|
|
4234
4330
|
price: currentPrice,
|
|
4331
|
+
entryCountAtClose,
|
|
4332
|
+
effectivePrice,
|
|
4333
|
+
debugTimestamp: getDebugTimestamp(),
|
|
4235
4334
|
});
|
|
4236
4335
|
self.params.logger.warn("PARTIAL_LOSS_FN executed", {
|
|
4237
4336
|
signalId: signal.id,
|
|
4238
4337
|
percentClosed: percentToClose,
|
|
4239
|
-
|
|
4338
|
+
totalClosedPercent: totalClosedPercent + (newPartialDollar / totalInvested) * 100,
|
|
4240
4339
|
currentPrice,
|
|
4241
|
-
slClosed: slClosed + percentToClose,
|
|
4242
4340
|
});
|
|
4243
4341
|
return true;
|
|
4244
4342
|
};
|
|
@@ -4632,12 +4730,12 @@ const BREAKEVEN_FN = (self, signal, currentPrice) => {
|
|
|
4632
4730
|
const AVERAGE_BUY_FN = (self, signal, currentPrice) => {
|
|
4633
4731
|
// Ensure _entry is initialized (handles signals loaded from disk without _entry)
|
|
4634
4732
|
if (!signal._entry || signal._entry.length === 0) {
|
|
4635
|
-
signal._entry = [{ price: signal.priceOpen }];
|
|
4733
|
+
signal._entry = [{ price: signal.priceOpen, debugTimestamp: getDebugTimestamp() }];
|
|
4636
4734
|
}
|
|
4637
4735
|
const lastEntry = signal._entry[signal._entry.length - 1];
|
|
4638
4736
|
if (signal.position === "long") {
|
|
4639
4737
|
// LONG: averaging down = currentPrice must be strictly lower than last entry
|
|
4640
|
-
if (currentPrice >= lastEntry.price) {
|
|
4738
|
+
if (!GLOBAL_CONFIG.CC_ENABLE_DCA_EVERYWHERE && currentPrice >= lastEntry.price) {
|
|
4641
4739
|
self.params.logger.debug("AVERAGE_BUY_FN: rejected — currentPrice >= last entry (LONG)", {
|
|
4642
4740
|
signalId: signal.id,
|
|
4643
4741
|
position: signal.position,
|
|
@@ -4650,7 +4748,7 @@ const AVERAGE_BUY_FN = (self, signal, currentPrice) => {
|
|
|
4650
4748
|
}
|
|
4651
4749
|
else {
|
|
4652
4750
|
// SHORT: averaging down = currentPrice must be strictly higher than last entry
|
|
4653
|
-
if (currentPrice <= lastEntry.price) {
|
|
4751
|
+
if (!GLOBAL_CONFIG.CC_ENABLE_DCA_EVERYWHERE && currentPrice <= lastEntry.price) {
|
|
4654
4752
|
self.params.logger.debug("AVERAGE_BUY_FN: rejected — currentPrice <= last entry (SHORT)", {
|
|
4655
4753
|
signalId: signal.id,
|
|
4656
4754
|
position: signal.position,
|
|
@@ -4661,7 +4759,7 @@ const AVERAGE_BUY_FN = (self, signal, currentPrice) => {
|
|
|
4661
4759
|
return false;
|
|
4662
4760
|
}
|
|
4663
4761
|
}
|
|
4664
|
-
signal._entry.push({ price: currentPrice });
|
|
4762
|
+
signal._entry.push({ price: currentPrice, debugTimestamp: getDebugTimestamp() });
|
|
4665
4763
|
self.params.logger.info("AVERAGE_BUY_FN executed", {
|
|
4666
4764
|
signalId: signal.id,
|
|
4667
4765
|
position: signal.position,
|
|
@@ -6126,6 +6224,52 @@ class ClientStrategy {
|
|
|
6126
6224
|
});
|
|
6127
6225
|
return this._isStopped;
|
|
6128
6226
|
}
|
|
6227
|
+
/**
|
|
6228
|
+
* Returns how much of the position is still held, as a percentage of totalInvested.
|
|
6229
|
+
*
|
|
6230
|
+
* Uses dollar-basis cost-basis replay (DCA-aware).
|
|
6231
|
+
* 100% means nothing was closed yet. Decreases with each partial close.
|
|
6232
|
+
*
|
|
6233
|
+
* Example: 1 entry $100, partialProfit(30%) → returns 70
|
|
6234
|
+
* Example: 2 entries $200, partialProfit(50%) → returns 50
|
|
6235
|
+
*
|
|
6236
|
+
* Returns 100 if no pending signal or no partial closes.
|
|
6237
|
+
*
|
|
6238
|
+
* @param symbol - Trading pair symbol
|
|
6239
|
+
* @returns Promise resolving to held percentage (0–100)
|
|
6240
|
+
*/
|
|
6241
|
+
async getTotalPercentClosed(symbol) {
|
|
6242
|
+
this.params.logger.debug("ClientStrategy getTotalPercentClosed", { symbol });
|
|
6243
|
+
if (!this._pendingSignal) {
|
|
6244
|
+
return null;
|
|
6245
|
+
}
|
|
6246
|
+
const { totalClosedPercent } = getTotalClosed(this._pendingSignal);
|
|
6247
|
+
return 100 - totalClosedPercent;
|
|
6248
|
+
}
|
|
6249
|
+
/**
|
|
6250
|
+
* Returns how many dollars of cost basis are still held (not yet closed by partials).
|
|
6251
|
+
*
|
|
6252
|
+
* Equal to remainingCostBasis from getTotalClosed.
|
|
6253
|
+
* Full position open: equals totalInvested (entries × $100).
|
|
6254
|
+
* Decreases with each partial close, increases with each averageBuy().
|
|
6255
|
+
*
|
|
6256
|
+
* Example: 1 entry $100, no partials → returns 100
|
|
6257
|
+
* Example: 1 entry $100, partialProfit(30%) → returns 70
|
|
6258
|
+
* Example: 2 entries $200, partialProfit(50%) → returns 100
|
|
6259
|
+
*
|
|
6260
|
+
* Returns totalInvested if no pending signal or no partial closes.
|
|
6261
|
+
*
|
|
6262
|
+
* @param symbol - Trading pair symbol
|
|
6263
|
+
* @returns Promise resolving to held cost basis in dollars
|
|
6264
|
+
*/
|
|
6265
|
+
async getTotalCostClosed(symbol) {
|
|
6266
|
+
this.params.logger.debug("ClientStrategy getTotalCostClosed", { symbol });
|
|
6267
|
+
if (!this._pendingSignal) {
|
|
6268
|
+
return null;
|
|
6269
|
+
}
|
|
6270
|
+
const { remainingCostBasis } = getTotalClosed(this._pendingSignal);
|
|
6271
|
+
return remainingCostBasis;
|
|
6272
|
+
}
|
|
6129
6273
|
/**
|
|
6130
6274
|
* Performs a single tick of strategy execution.
|
|
6131
6275
|
*
|
|
@@ -7586,14 +7730,6 @@ class ClientStrategy {
|
|
|
7586
7730
|
if (typeof currentPrice !== "number" || !isFinite(currentPrice) || currentPrice <= 0) {
|
|
7587
7731
|
throw new Error(`ClientStrategy averageBuy: currentPrice must be a positive finite number, got ${currentPrice}`);
|
|
7588
7732
|
}
|
|
7589
|
-
// Reject if any partial closes have already been executed
|
|
7590
|
-
if (this._pendingSignal._partial && this._pendingSignal._partial.length > 0) {
|
|
7591
|
-
this.params.logger.debug("ClientStrategy averageBuy: rejected — partial closes already executed", {
|
|
7592
|
-
symbol,
|
|
7593
|
-
partialCount: this._pendingSignal._partial.length,
|
|
7594
|
-
});
|
|
7595
|
-
return false;
|
|
7596
|
-
}
|
|
7597
7733
|
// Execute averaging logic
|
|
7598
7734
|
const result = AVERAGE_BUY_FN(this, this._pendingSignal, currentPrice);
|
|
7599
7735
|
if (!result) {
|
|
@@ -8272,6 +8408,43 @@ class StrategyConnectionService {
|
|
|
8272
8408
|
const strategy = this.getStrategy(symbol, context.strategyName, context.exchangeName, context.frameName, backtest);
|
|
8273
8409
|
return await strategy.getPendingSignal(symbol);
|
|
8274
8410
|
};
|
|
8411
|
+
/**
|
|
8412
|
+
* Returns the percentage of the position currently held (not closed).
|
|
8413
|
+
* 100 = nothing has been closed (full position), 0 = fully closed.
|
|
8414
|
+
* Correctly accounts for DCA entries between partial closes.
|
|
8415
|
+
*
|
|
8416
|
+
* @param backtest - Whether running in backtest mode
|
|
8417
|
+
* @param symbol - Trading pair symbol
|
|
8418
|
+
* @param context - Execution context with strategyName, exchangeName, frameName
|
|
8419
|
+
* @returns Promise<number> - held percentage (0–100)
|
|
8420
|
+
*/
|
|
8421
|
+
this.getTotalPercentClosed = async (backtest, symbol, context) => {
|
|
8422
|
+
this.loggerService.log("strategyConnectionService getTotalPercentClosed", {
|
|
8423
|
+
symbol,
|
|
8424
|
+
context,
|
|
8425
|
+
backtest,
|
|
8426
|
+
});
|
|
8427
|
+
const strategy = this.getStrategy(symbol, context.strategyName, context.exchangeName, context.frameName, backtest);
|
|
8428
|
+
return await strategy.getTotalPercentClosed(symbol);
|
|
8429
|
+
};
|
|
8430
|
+
/**
|
|
8431
|
+
* Returns the cost basis in dollars of the position currently held (not closed).
|
|
8432
|
+
* Correctly accounts for DCA entries between partial closes.
|
|
8433
|
+
*
|
|
8434
|
+
* @param backtest - Whether running in backtest mode
|
|
8435
|
+
* @param symbol - Trading pair symbol
|
|
8436
|
+
* @param context - Execution context with strategyName, exchangeName, frameName
|
|
8437
|
+
* @returns Promise<number> - held cost basis in dollars
|
|
8438
|
+
*/
|
|
8439
|
+
this.getTotalCostClosed = async (backtest, symbol, context) => {
|
|
8440
|
+
this.loggerService.log("strategyConnectionService getTotalCostClosed", {
|
|
8441
|
+
symbol,
|
|
8442
|
+
context,
|
|
8443
|
+
backtest,
|
|
8444
|
+
});
|
|
8445
|
+
const strategy = this.getStrategy(symbol, context.strategyName, context.exchangeName, context.frameName, backtest);
|
|
8446
|
+
return await strategy.getTotalCostClosed(symbol);
|
|
8447
|
+
};
|
|
8275
8448
|
/**
|
|
8276
8449
|
* Retrieves the currently active scheduled signal for the strategy.
|
|
8277
8450
|
* If no scheduled signal exists, returns null.
|
|
@@ -11675,6 +11848,41 @@ class StrategyCoreService {
|
|
|
11675
11848
|
await this.validate(context);
|
|
11676
11849
|
return await this.strategyConnectionService.getPendingSignal(backtest, symbol, context);
|
|
11677
11850
|
};
|
|
11851
|
+
/**
|
|
11852
|
+
* Returns the percentage of the position currently held (not closed).
|
|
11853
|
+
* 100 = nothing has been closed (full position), 0 = fully closed.
|
|
11854
|
+
* Correctly accounts for DCA entries between partial closes.
|
|
11855
|
+
*
|
|
11856
|
+
* @param backtest - Whether running in backtest mode
|
|
11857
|
+
* @param symbol - Trading pair symbol
|
|
11858
|
+
* @param context - Execution context with strategyName, exchangeName, frameName
|
|
11859
|
+
* @returns Promise<number> - held percentage (0–100)
|
|
11860
|
+
*/
|
|
11861
|
+
this.getTotalPercentClosed = async (backtest, symbol, context) => {
|
|
11862
|
+
this.loggerService.log("strategyCoreService getTotalPercentClosed", {
|
|
11863
|
+
symbol,
|
|
11864
|
+
context,
|
|
11865
|
+
});
|
|
11866
|
+
await this.validate(context);
|
|
11867
|
+
return await this.strategyConnectionService.getTotalPercentClosed(backtest, symbol, context);
|
|
11868
|
+
};
|
|
11869
|
+
/**
|
|
11870
|
+
* Returns the cost basis in dollars of the position currently held (not closed).
|
|
11871
|
+
* Correctly accounts for DCA entries between partial closes.
|
|
11872
|
+
*
|
|
11873
|
+
* @param backtest - Whether running in backtest mode
|
|
11874
|
+
* @param symbol - Trading pair symbol
|
|
11875
|
+
* @param context - Execution context with strategyName, exchangeName, frameName
|
|
11876
|
+
* @returns Promise<number> - held cost basis in dollars
|
|
11877
|
+
*/
|
|
11878
|
+
this.getTotalCostClosed = async (backtest, symbol, context) => {
|
|
11879
|
+
this.loggerService.log("strategyCoreService getTotalCostClosed", {
|
|
11880
|
+
symbol,
|
|
11881
|
+
context,
|
|
11882
|
+
});
|
|
11883
|
+
await this.validate(context);
|
|
11884
|
+
return await this.strategyConnectionService.getTotalCostClosed(backtest, symbol, context);
|
|
11885
|
+
};
|
|
11678
11886
|
/**
|
|
11679
11887
|
* Retrieves the currently active scheduled signal for the symbol.
|
|
11680
11888
|
* If no scheduled signal exists, returns null.
|
|
@@ -28706,6 +28914,11 @@ const TRAILING_PROFIT_METHOD_NAME = "strategy.commitTrailingTake";
|
|
|
28706
28914
|
const BREAKEVEN_METHOD_NAME = "strategy.commitBreakeven";
|
|
28707
28915
|
const ACTIVATE_SCHEDULED_METHOD_NAME = "strategy.commitActivateScheduled";
|
|
28708
28916
|
const AVERAGE_BUY_METHOD_NAME = "strategy.commitAverageBuy";
|
|
28917
|
+
const GET_TOTAL_PERCENT_CLOSED_METHOD_NAME = "strategy.getTotalPercentClosed";
|
|
28918
|
+
const GET_TOTAL_COST_CLOSED_METHOD_NAME = "strategy.getTotalCostClosed";
|
|
28919
|
+
const GET_PENDING_SIGNAL_METHOD_NAME = "strategy.getPendingSignal";
|
|
28920
|
+
const GET_SCHEDULED_SIGNAL_METHOD_NAME = "strategy.getScheduledSignal";
|
|
28921
|
+
const GET_BREAKEVEN_METHOD_NAME = "strategy.getBreakeven";
|
|
28709
28922
|
/**
|
|
28710
28923
|
* Cancels the scheduled signal without stopping the strategy.
|
|
28711
28924
|
*
|
|
@@ -29097,6 +29310,173 @@ async function commitAverageBuy(symbol) {
|
|
|
29097
29310
|
const { exchangeName, frameName, strategyName } = bt.methodContextService.context;
|
|
29098
29311
|
return await bt.strategyCoreService.averageBuy(isBacktest, symbol, currentPrice, { exchangeName, frameName, strategyName });
|
|
29099
29312
|
}
|
|
29313
|
+
/**
|
|
29314
|
+
* Returns the percentage of the position currently held (not closed).
|
|
29315
|
+
* 100 = nothing has been closed (full position), 0 = fully closed.
|
|
29316
|
+
* Correctly accounts for DCA entries between partial closes.
|
|
29317
|
+
*
|
|
29318
|
+
* Automatically detects backtest/live mode from execution context.
|
|
29319
|
+
*
|
|
29320
|
+
* @param symbol - Trading pair symbol
|
|
29321
|
+
* @returns Promise<number> - held percentage (0–100)
|
|
29322
|
+
*
|
|
29323
|
+
* @example
|
|
29324
|
+
* ```typescript
|
|
29325
|
+
* import { getTotalPercentClosed } from "backtest-kit";
|
|
29326
|
+
*
|
|
29327
|
+
* const heldPct = await getTotalPercentClosed("BTCUSDT");
|
|
29328
|
+
* console.log(`Holding ${heldPct}% of position`);
|
|
29329
|
+
* ```
|
|
29330
|
+
*/
|
|
29331
|
+
async function getTotalPercentClosed(symbol) {
|
|
29332
|
+
bt.loggerService.info(GET_TOTAL_PERCENT_CLOSED_METHOD_NAME, {
|
|
29333
|
+
symbol,
|
|
29334
|
+
});
|
|
29335
|
+
if (!ExecutionContextService.hasContext()) {
|
|
29336
|
+
throw new Error("getTotalPercentClosed requires an execution context");
|
|
29337
|
+
}
|
|
29338
|
+
if (!MethodContextService.hasContext()) {
|
|
29339
|
+
throw new Error("getTotalPercentClosed requires a method context");
|
|
29340
|
+
}
|
|
29341
|
+
const { backtest: isBacktest } = bt.executionContextService.context;
|
|
29342
|
+
const { exchangeName, frameName, strategyName } = bt.methodContextService.context;
|
|
29343
|
+
return await bt.strategyCoreService.getTotalPercentClosed(isBacktest, symbol, { exchangeName, frameName, strategyName });
|
|
29344
|
+
}
|
|
29345
|
+
/**
|
|
29346
|
+
* Returns the cost basis in dollars of the position currently held (not closed).
|
|
29347
|
+
* Correctly accounts for DCA entries between partial closes.
|
|
29348
|
+
*
|
|
29349
|
+
* Automatically detects backtest/live mode from execution context.
|
|
29350
|
+
*
|
|
29351
|
+
* @param symbol - Trading pair symbol
|
|
29352
|
+
* @returns Promise<number> - held cost basis in dollars
|
|
29353
|
+
*
|
|
29354
|
+
* @example
|
|
29355
|
+
* ```typescript
|
|
29356
|
+
* import { getTotalCostClosed } from "backtest-kit";
|
|
29357
|
+
*
|
|
29358
|
+
* const heldCost = await getTotalCostClosed("BTCUSDT");
|
|
29359
|
+
* console.log(`Holding $${heldCost} of position`);
|
|
29360
|
+
* ```
|
|
29361
|
+
*/
|
|
29362
|
+
async function getTotalCostClosed(symbol) {
|
|
29363
|
+
bt.loggerService.info(GET_TOTAL_COST_CLOSED_METHOD_NAME, {
|
|
29364
|
+
symbol,
|
|
29365
|
+
});
|
|
29366
|
+
if (!ExecutionContextService.hasContext()) {
|
|
29367
|
+
throw new Error("getTotalCostClosed requires an execution context");
|
|
29368
|
+
}
|
|
29369
|
+
if (!MethodContextService.hasContext()) {
|
|
29370
|
+
throw new Error("getTotalCostClosed requires a method context");
|
|
29371
|
+
}
|
|
29372
|
+
const { backtest: isBacktest } = bt.executionContextService.context;
|
|
29373
|
+
const { exchangeName, frameName, strategyName } = bt.methodContextService.context;
|
|
29374
|
+
return await bt.strategyCoreService.getTotalCostClosed(isBacktest, symbol, { exchangeName, frameName, strategyName });
|
|
29375
|
+
}
|
|
29376
|
+
/**
|
|
29377
|
+
* Returns the currently active pending signal for the strategy.
|
|
29378
|
+
* If no active signal exists, returns null.
|
|
29379
|
+
*
|
|
29380
|
+
* Automatically detects backtest/live mode from execution context.
|
|
29381
|
+
*
|
|
29382
|
+
* @param symbol - Trading pair symbol
|
|
29383
|
+
* @returns Promise resolving to pending signal or null
|
|
29384
|
+
*
|
|
29385
|
+
* @example
|
|
29386
|
+
* ```typescript
|
|
29387
|
+
* import { getPendingSignal } from "backtest-kit";
|
|
29388
|
+
*
|
|
29389
|
+
* const pending = await getPendingSignal("BTCUSDT");
|
|
29390
|
+
* if (pending) {
|
|
29391
|
+
* console.log("Active signal:", pending.id);
|
|
29392
|
+
* }
|
|
29393
|
+
* ```
|
|
29394
|
+
*/
|
|
29395
|
+
async function getPendingSignal(symbol) {
|
|
29396
|
+
bt.loggerService.info(GET_PENDING_SIGNAL_METHOD_NAME, {
|
|
29397
|
+
symbol,
|
|
29398
|
+
});
|
|
29399
|
+
if (!ExecutionContextService.hasContext()) {
|
|
29400
|
+
throw new Error("getPendingSignal requires an execution context");
|
|
29401
|
+
}
|
|
29402
|
+
if (!MethodContextService.hasContext()) {
|
|
29403
|
+
throw new Error("getPendingSignal requires a method context");
|
|
29404
|
+
}
|
|
29405
|
+
const { backtest: isBacktest } = bt.executionContextService.context;
|
|
29406
|
+
const { exchangeName, frameName, strategyName } = bt.methodContextService.context;
|
|
29407
|
+
return await bt.strategyCoreService.getPendingSignal(isBacktest, symbol, { exchangeName, frameName, strategyName });
|
|
29408
|
+
}
|
|
29409
|
+
/**
|
|
29410
|
+
* Returns the currently active scheduled signal for the strategy.
|
|
29411
|
+
* If no scheduled signal exists, returns null.
|
|
29412
|
+
*
|
|
29413
|
+
* Automatically detects backtest/live mode from execution context.
|
|
29414
|
+
*
|
|
29415
|
+
* @param symbol - Trading pair symbol
|
|
29416
|
+
* @returns Promise resolving to scheduled signal or null
|
|
29417
|
+
*
|
|
29418
|
+
* @example
|
|
29419
|
+
* ```typescript
|
|
29420
|
+
* import { getScheduledSignal } from "backtest-kit";
|
|
29421
|
+
*
|
|
29422
|
+
* const scheduled = await getScheduledSignal("BTCUSDT");
|
|
29423
|
+
* if (scheduled) {
|
|
29424
|
+
* console.log("Scheduled signal:", scheduled.id);
|
|
29425
|
+
* }
|
|
29426
|
+
* ```
|
|
29427
|
+
*/
|
|
29428
|
+
async function getScheduledSignal(symbol) {
|
|
29429
|
+
bt.loggerService.info(GET_SCHEDULED_SIGNAL_METHOD_NAME, {
|
|
29430
|
+
symbol,
|
|
29431
|
+
});
|
|
29432
|
+
if (!ExecutionContextService.hasContext()) {
|
|
29433
|
+
throw new Error("getScheduledSignal requires an execution context");
|
|
29434
|
+
}
|
|
29435
|
+
if (!MethodContextService.hasContext()) {
|
|
29436
|
+
throw new Error("getScheduledSignal requires a method context");
|
|
29437
|
+
}
|
|
29438
|
+
const { backtest: isBacktest } = bt.executionContextService.context;
|
|
29439
|
+
const { exchangeName, frameName, strategyName } = bt.methodContextService.context;
|
|
29440
|
+
return await bt.strategyCoreService.getScheduledSignal(isBacktest, symbol, { exchangeName, frameName, strategyName });
|
|
29441
|
+
}
|
|
29442
|
+
/**
|
|
29443
|
+
* Checks if breakeven threshold has been reached for the current pending signal.
|
|
29444
|
+
*
|
|
29445
|
+
* Returns true if price has moved far enough in profit direction to cover
|
|
29446
|
+
* transaction costs. Threshold is calculated as: (CC_PERCENT_SLIPPAGE + CC_PERCENT_FEE) * 2
|
|
29447
|
+
*
|
|
29448
|
+
* Automatically detects backtest/live mode from execution context.
|
|
29449
|
+
*
|
|
29450
|
+
* @param symbol - Trading pair symbol
|
|
29451
|
+
* @param currentPrice - Current market price to check against threshold
|
|
29452
|
+
* @returns Promise<boolean> - true if breakeven threshold reached, false otherwise
|
|
29453
|
+
*
|
|
29454
|
+
* @example
|
|
29455
|
+
* ```typescript
|
|
29456
|
+
* import { getBreakeven, getAveragePrice } from "backtest-kit";
|
|
29457
|
+
*
|
|
29458
|
+
* const price = await getAveragePrice("BTCUSDT");
|
|
29459
|
+
* const canBreakeven = await getBreakeven("BTCUSDT", price);
|
|
29460
|
+
* if (canBreakeven) {
|
|
29461
|
+
* console.log("Breakeven available");
|
|
29462
|
+
* }
|
|
29463
|
+
* ```
|
|
29464
|
+
*/
|
|
29465
|
+
async function getBreakeven(symbol, currentPrice) {
|
|
29466
|
+
bt.loggerService.info(GET_BREAKEVEN_METHOD_NAME, {
|
|
29467
|
+
symbol,
|
|
29468
|
+
currentPrice,
|
|
29469
|
+
});
|
|
29470
|
+
if (!ExecutionContextService.hasContext()) {
|
|
29471
|
+
throw new Error("getBreakeven requires an execution context");
|
|
29472
|
+
}
|
|
29473
|
+
if (!MethodContextService.hasContext()) {
|
|
29474
|
+
throw new Error("getBreakeven requires a method context");
|
|
29475
|
+
}
|
|
29476
|
+
const { backtest: isBacktest } = bt.executionContextService.context;
|
|
29477
|
+
const { exchangeName, frameName, strategyName } = bt.methodContextService.context;
|
|
29478
|
+
return await bt.strategyCoreService.getBreakeven(isBacktest, symbol, currentPrice, { exchangeName, frameName, strategyName });
|
|
29479
|
+
}
|
|
29100
29480
|
|
|
29101
29481
|
const STOP_STRATEGY_METHOD_NAME = "control.stopStrategy";
|
|
29102
29482
|
/**
|
|
@@ -30284,6 +30664,8 @@ const BACKTEST_METHOD_NAME_DUMP = "BacktestUtils.dump";
|
|
|
30284
30664
|
const BACKTEST_METHOD_NAME_TASK = "BacktestUtils.task";
|
|
30285
30665
|
const BACKTEST_METHOD_NAME_GET_STATUS = "BacktestUtils.getStatus";
|
|
30286
30666
|
const BACKTEST_METHOD_NAME_GET_PENDING_SIGNAL = "BacktestUtils.getPendingSignal";
|
|
30667
|
+
const BACKTEST_METHOD_NAME_GET_TOTAL_PERCENT_CLOSED = "BacktestUtils.getTotalPercentClosed";
|
|
30668
|
+
const BACKTEST_METHOD_NAME_GET_TOTAL_COST_CLOSED = "BacktestUtils.getTotalCostClosed";
|
|
30287
30669
|
const BACKTEST_METHOD_NAME_GET_SCHEDULED_SIGNAL = "BacktestUtils.getScheduledSignal";
|
|
30288
30670
|
const BACKTEST_METHOD_NAME_GET_BREAKEVEN = "BacktestUtils.getBreakeven";
|
|
30289
30671
|
const BACKTEST_METHOD_NAME_BREAKEVEN = "Backtest.commitBreakeven";
|
|
@@ -30685,6 +31067,71 @@ class BacktestUtils {
|
|
|
30685
31067
|
}
|
|
30686
31068
|
return await bt.strategyCoreService.getPendingSignal(true, symbol, context);
|
|
30687
31069
|
};
|
|
31070
|
+
/**
|
|
31071
|
+
* Returns the percentage of the position currently held (not closed).
|
|
31072
|
+
* 100 = nothing has been closed (full position), 0 = fully closed.
|
|
31073
|
+
* Correctly accounts for DCA entries between partial closes.
|
|
31074
|
+
*
|
|
31075
|
+
* @param symbol - Trading pair symbol
|
|
31076
|
+
* @param context - Context with strategyName, exchangeName, frameName
|
|
31077
|
+
* @returns Promise<number> - held percentage (0–100)
|
|
31078
|
+
*
|
|
31079
|
+
* @example
|
|
31080
|
+
* ```typescript
|
|
31081
|
+
* const heldPct = await Backtest.getTotalPercentClosed("BTCUSDT", { strategyName, exchangeName, frameName });
|
|
31082
|
+
* console.log(`Holding ${heldPct}% of position`);
|
|
31083
|
+
* ```
|
|
31084
|
+
*/
|
|
31085
|
+
this.getTotalPercentClosed = async (symbol, context) => {
|
|
31086
|
+
bt.loggerService.info(BACKTEST_METHOD_NAME_GET_TOTAL_PERCENT_CLOSED, {
|
|
31087
|
+
symbol,
|
|
31088
|
+
context,
|
|
31089
|
+
});
|
|
31090
|
+
bt.strategyValidationService.validate(context.strategyName, BACKTEST_METHOD_NAME_GET_TOTAL_PERCENT_CLOSED);
|
|
31091
|
+
bt.exchangeValidationService.validate(context.exchangeName, BACKTEST_METHOD_NAME_GET_TOTAL_PERCENT_CLOSED);
|
|
31092
|
+
{
|
|
31093
|
+
const { riskName, riskList, actions } = bt.strategySchemaService.get(context.strategyName);
|
|
31094
|
+
riskName &&
|
|
31095
|
+
bt.riskValidationService.validate(riskName, BACKTEST_METHOD_NAME_GET_TOTAL_PERCENT_CLOSED);
|
|
31096
|
+
riskList &&
|
|
31097
|
+
riskList.forEach((riskName) => bt.riskValidationService.validate(riskName, BACKTEST_METHOD_NAME_GET_TOTAL_PERCENT_CLOSED));
|
|
31098
|
+
actions &&
|
|
31099
|
+
actions.forEach((actionName) => bt.actionValidationService.validate(actionName, BACKTEST_METHOD_NAME_GET_TOTAL_PERCENT_CLOSED));
|
|
31100
|
+
}
|
|
31101
|
+
return await bt.strategyCoreService.getTotalPercentClosed(true, symbol, context);
|
|
31102
|
+
};
|
|
31103
|
+
/**
|
|
31104
|
+
* Returns the cost basis in dollars of the position currently held (not closed).
|
|
31105
|
+
* Correctly accounts for DCA entries between partial closes.
|
|
31106
|
+
*
|
|
31107
|
+
* @param symbol - Trading pair symbol
|
|
31108
|
+
* @param context - Context with strategyName, exchangeName, frameName
|
|
31109
|
+
* @returns Promise<number> - held cost basis in dollars
|
|
31110
|
+
*
|
|
31111
|
+
* @example
|
|
31112
|
+
* ```typescript
|
|
31113
|
+
* const heldCost = await Backtest.getTotalCostClosed("BTCUSDT", { strategyName, exchangeName, frameName });
|
|
31114
|
+
* console.log(`Holding $${heldCost} of position`);
|
|
31115
|
+
* ```
|
|
31116
|
+
*/
|
|
31117
|
+
this.getTotalCostClosed = async (symbol, context) => {
|
|
31118
|
+
bt.loggerService.info(BACKTEST_METHOD_NAME_GET_TOTAL_COST_CLOSED, {
|
|
31119
|
+
symbol,
|
|
31120
|
+
context,
|
|
31121
|
+
});
|
|
31122
|
+
bt.strategyValidationService.validate(context.strategyName, BACKTEST_METHOD_NAME_GET_TOTAL_COST_CLOSED);
|
|
31123
|
+
bt.exchangeValidationService.validate(context.exchangeName, BACKTEST_METHOD_NAME_GET_TOTAL_COST_CLOSED);
|
|
31124
|
+
{
|
|
31125
|
+
const { riskName, riskList, actions } = bt.strategySchemaService.get(context.strategyName);
|
|
31126
|
+
riskName &&
|
|
31127
|
+
bt.riskValidationService.validate(riskName, BACKTEST_METHOD_NAME_GET_TOTAL_COST_CLOSED);
|
|
31128
|
+
riskList &&
|
|
31129
|
+
riskList.forEach((riskName) => bt.riskValidationService.validate(riskName, BACKTEST_METHOD_NAME_GET_TOTAL_COST_CLOSED));
|
|
31130
|
+
actions &&
|
|
31131
|
+
actions.forEach((actionName) => bt.actionValidationService.validate(actionName, BACKTEST_METHOD_NAME_GET_TOTAL_COST_CLOSED));
|
|
31132
|
+
}
|
|
31133
|
+
return await bt.strategyCoreService.getTotalCostClosed(true, symbol, context);
|
|
31134
|
+
};
|
|
30688
31135
|
/**
|
|
30689
31136
|
* Retrieves the currently active scheduled signal for the strategy.
|
|
30690
31137
|
* If no scheduled signal exists, returns null.
|
|
@@ -31400,6 +31847,8 @@ const LIVE_METHOD_NAME_DUMP = "LiveUtils.dump";
|
|
|
31400
31847
|
const LIVE_METHOD_NAME_TASK = "LiveUtils.task";
|
|
31401
31848
|
const LIVE_METHOD_NAME_GET_STATUS = "LiveUtils.getStatus";
|
|
31402
31849
|
const LIVE_METHOD_NAME_GET_PENDING_SIGNAL = "LiveUtils.getPendingSignal";
|
|
31850
|
+
const LIVE_METHOD_NAME_GET_TOTAL_PERCENT_CLOSED = "LiveUtils.getTotalPercentClosed";
|
|
31851
|
+
const LIVE_METHOD_NAME_GET_TOTAL_COST_CLOSED = "LiveUtils.getTotalCostClosed";
|
|
31403
31852
|
const LIVE_METHOD_NAME_GET_SCHEDULED_SIGNAL = "LiveUtils.getScheduledSignal";
|
|
31404
31853
|
const LIVE_METHOD_NAME_GET_BREAKEVEN = "LiveUtils.getBreakeven";
|
|
31405
31854
|
const LIVE_METHOD_NAME_BREAKEVEN = "Live.commitBreakeven";
|
|
@@ -31770,6 +32219,73 @@ class LiveUtils {
|
|
|
31770
32219
|
frameName: "",
|
|
31771
32220
|
});
|
|
31772
32221
|
};
|
|
32222
|
+
/**
|
|
32223
|
+
* Returns the percentage of the position currently held (not closed).
|
|
32224
|
+
* 100 = nothing has been closed (full position), 0 = fully closed.
|
|
32225
|
+
* Correctly accounts for DCA entries between partial closes.
|
|
32226
|
+
*
|
|
32227
|
+
* @param symbol - Trading pair symbol
|
|
32228
|
+
* @param context - Context with strategyName and exchangeName
|
|
32229
|
+
* @returns Promise<number> - held percentage (0–100)
|
|
32230
|
+
*
|
|
32231
|
+
* @example
|
|
32232
|
+
* ```typescript
|
|
32233
|
+
* const heldPct = await Live.getTotalPercentClosed("BTCUSDT", { strategyName, exchangeName });
|
|
32234
|
+
* console.log(`Holding ${heldPct}% of position`);
|
|
32235
|
+
* ```
|
|
32236
|
+
*/
|
|
32237
|
+
this.getTotalPercentClosed = async (symbol, context) => {
|
|
32238
|
+
bt.loggerService.info(LIVE_METHOD_NAME_GET_TOTAL_PERCENT_CLOSED, {
|
|
32239
|
+
symbol,
|
|
32240
|
+
context,
|
|
32241
|
+
});
|
|
32242
|
+
bt.strategyValidationService.validate(context.strategyName, LIVE_METHOD_NAME_GET_TOTAL_PERCENT_CLOSED);
|
|
32243
|
+
bt.exchangeValidationService.validate(context.exchangeName, LIVE_METHOD_NAME_GET_TOTAL_PERCENT_CLOSED);
|
|
32244
|
+
{
|
|
32245
|
+
const { riskName, riskList, actions } = bt.strategySchemaService.get(context.strategyName);
|
|
32246
|
+
riskName && bt.riskValidationService.validate(riskName, LIVE_METHOD_NAME_GET_TOTAL_PERCENT_CLOSED);
|
|
32247
|
+
riskList && riskList.forEach((riskName) => bt.riskValidationService.validate(riskName, LIVE_METHOD_NAME_GET_TOTAL_PERCENT_CLOSED));
|
|
32248
|
+
actions && actions.forEach((actionName) => bt.actionValidationService.validate(actionName, LIVE_METHOD_NAME_GET_TOTAL_PERCENT_CLOSED));
|
|
32249
|
+
}
|
|
32250
|
+
return await bt.strategyCoreService.getTotalPercentClosed(false, symbol, {
|
|
32251
|
+
strategyName: context.strategyName,
|
|
32252
|
+
exchangeName: context.exchangeName,
|
|
32253
|
+
frameName: "",
|
|
32254
|
+
});
|
|
32255
|
+
};
|
|
32256
|
+
/**
|
|
32257
|
+
* Returns the cost basis in dollars of the position currently held (not closed).
|
|
32258
|
+
* Correctly accounts for DCA entries between partial closes.
|
|
32259
|
+
*
|
|
32260
|
+
* @param symbol - Trading pair symbol
|
|
32261
|
+
* @param context - Context with strategyName and exchangeName
|
|
32262
|
+
* @returns Promise<number> - held cost basis in dollars
|
|
32263
|
+
*
|
|
32264
|
+
* @example
|
|
32265
|
+
* ```typescript
|
|
32266
|
+
* const heldCost = await Live.getTotalCostClosed("BTCUSDT", { strategyName, exchangeName });
|
|
32267
|
+
* console.log(`Holding $${heldCost} of position`);
|
|
32268
|
+
* ```
|
|
32269
|
+
*/
|
|
32270
|
+
this.getTotalCostClosed = async (symbol, context) => {
|
|
32271
|
+
bt.loggerService.info(LIVE_METHOD_NAME_GET_TOTAL_COST_CLOSED, {
|
|
32272
|
+
symbol,
|
|
32273
|
+
context,
|
|
32274
|
+
});
|
|
32275
|
+
bt.strategyValidationService.validate(context.strategyName, LIVE_METHOD_NAME_GET_TOTAL_COST_CLOSED);
|
|
32276
|
+
bt.exchangeValidationService.validate(context.exchangeName, LIVE_METHOD_NAME_GET_TOTAL_COST_CLOSED);
|
|
32277
|
+
{
|
|
32278
|
+
const { riskName, riskList, actions } = bt.strategySchemaService.get(context.strategyName);
|
|
32279
|
+
riskName && bt.riskValidationService.validate(riskName, LIVE_METHOD_NAME_GET_TOTAL_COST_CLOSED);
|
|
32280
|
+
riskList && riskList.forEach((riskName) => bt.riskValidationService.validate(riskName, LIVE_METHOD_NAME_GET_TOTAL_COST_CLOSED));
|
|
32281
|
+
actions && actions.forEach((actionName) => bt.actionValidationService.validate(actionName, LIVE_METHOD_NAME_GET_TOTAL_COST_CLOSED));
|
|
32282
|
+
}
|
|
32283
|
+
return await bt.strategyCoreService.getTotalCostClosed(false, symbol, {
|
|
32284
|
+
strategyName: context.strategyName,
|
|
32285
|
+
exchangeName: context.exchangeName,
|
|
32286
|
+
frameName: "",
|
|
32287
|
+
});
|
|
32288
|
+
};
|
|
31773
32289
|
/**
|
|
31774
32290
|
* Retrieves the currently active scheduled signal for the strategy.
|
|
31775
32291
|
* If no scheduled signal exists, returns null.
|
|
@@ -39653,6 +40169,7 @@ exports.getActionSchema = getActionSchema;
|
|
|
39653
40169
|
exports.getAggregatedTrades = getAggregatedTrades;
|
|
39654
40170
|
exports.getAveragePrice = getAveragePrice;
|
|
39655
40171
|
exports.getBacktestTimeframe = getBacktestTimeframe;
|
|
40172
|
+
exports.getBreakeven = getBreakeven;
|
|
39656
40173
|
exports.getCandles = getCandles;
|
|
39657
40174
|
exports.getColumns = getColumns;
|
|
39658
40175
|
exports.getConfig = getConfig;
|
|
@@ -39660,17 +40177,23 @@ exports.getContext = getContext;
|
|
|
39660
40177
|
exports.getDate = getDate;
|
|
39661
40178
|
exports.getDefaultColumns = getDefaultColumns;
|
|
39662
40179
|
exports.getDefaultConfig = getDefaultConfig;
|
|
40180
|
+
exports.getEffectivePriceOpen = getEffectivePriceOpen;
|
|
39663
40181
|
exports.getExchangeSchema = getExchangeSchema;
|
|
39664
40182
|
exports.getFrameSchema = getFrameSchema;
|
|
39665
40183
|
exports.getMode = getMode;
|
|
39666
40184
|
exports.getNextCandles = getNextCandles;
|
|
39667
40185
|
exports.getOrderBook = getOrderBook;
|
|
40186
|
+
exports.getPendingSignal = getPendingSignal;
|
|
39668
40187
|
exports.getRawCandles = getRawCandles;
|
|
39669
40188
|
exports.getRiskSchema = getRiskSchema;
|
|
40189
|
+
exports.getScheduledSignal = getScheduledSignal;
|
|
39670
40190
|
exports.getSizingSchema = getSizingSchema;
|
|
39671
40191
|
exports.getStrategySchema = getStrategySchema;
|
|
39672
40192
|
exports.getSymbol = getSymbol;
|
|
39673
40193
|
exports.getTimestamp = getTimestamp;
|
|
40194
|
+
exports.getTotalClosed = getTotalClosed;
|
|
40195
|
+
exports.getTotalCostClosed = getTotalCostClosed;
|
|
40196
|
+
exports.getTotalPercentClosed = getTotalPercentClosed;
|
|
39674
40197
|
exports.getWalkerSchema = getWalkerSchema;
|
|
39675
40198
|
exports.hasTradeContext = hasTradeContext;
|
|
39676
40199
|
exports.lib = backtest;
|
|
@@ -39730,6 +40253,7 @@ exports.setConfig = setConfig;
|
|
|
39730
40253
|
exports.setLogger = setLogger;
|
|
39731
40254
|
exports.shutdown = shutdown;
|
|
39732
40255
|
exports.stopStrategy = stopStrategy;
|
|
40256
|
+
exports.toProfitLossDto = toProfitLossDto;
|
|
39733
40257
|
exports.validate = validate;
|
|
39734
40258
|
exports.waitForCandle = waitForCandle;
|
|
39735
40259
|
exports.warmCandles = warmCandles;
|