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.mjs
CHANGED
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@@ -443,6 +443,14 @@ const GLOBAL_CONFIG = {
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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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/**
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* Enables DCA (Dollar-Cost Averaging) logic even if antirecord is not broken.
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448
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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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* 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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@@ -3174,75 +3182,90 @@ 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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3192
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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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*
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*
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*
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3214
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*
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* - Weights are calculated by ACTUAL DOLLAR VALUE of each partial relative to total invested.
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3252
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* This correctly handles DCA entries that occur before or after partial closes.
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*
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3254
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* Cost basis is reconstructed by replaying the partial sequence via entryCountAtClose + percent:
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3255
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* costBasis = 0
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* for each partial[i]:
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3257
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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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* costBasis *= (1 - percent[i] / 100)
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*
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3262
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* Fee structure:
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* - Open fee: CC_PERCENT_FEE (charged once)
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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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3219
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-
*
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3220
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* @example
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3221
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* ```typescript
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3222
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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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*
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* // Signal with partial closes
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* const pnlPartial = toProfitLossDto(
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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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* );
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3244
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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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@@ -3251,47 +3274,65 @@ 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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-
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3257
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-
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+
// Total invested capital = number of DCA entries × $100 per entry
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const totalInvested = signal._entry ? signal._entry.length * 100 : 100;
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let closedDollarValue = 0;
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// Running cost basis — replayed from entryCountAtClose + percent
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let costBasis = 0;
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// Calculate PNL for each partial close
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3259
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for (
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3260
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const
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3283
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for (let i = 0; i < signal._partial.length; i++) {
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3284
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const partial = signal._partial[i];
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3285
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+
// Add DCA entries that existed at this partial but not at the previous one
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3286
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+
const prevCount = i === 0 ? 0 : signal._partial[i - 1].entryCountAtClose;
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3287
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const newEntryCount = partial.entryCountAtClose - prevCount;
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costBasis += newEntryCount * COST_BASIS_PER_ENTRY$2;
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3289
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+
// Real dollar value sold in this partial
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3290
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+
const partialDollarValue = (partial.percent / 100) * costBasis;
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3291
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+
// Weight relative to total invested capital
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3292
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+
const weight = partialDollarValue / totalInvested;
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3293
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+
closedDollarValue += partialDollarValue;
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3294
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+
// Reduce cost basis after close
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3295
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+
costBasis *= 1 - partial.percent / 100;
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3296
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+
// Use the effective entry price snapshot captured at the time of this partial close
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3297
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+
const priceOpenWithSlippage = signal.position === "long"
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3298
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+
? partial.effectivePrice * (1 + GLOBAL_CONFIG.CC_PERCENT_SLIPPAGE / 100)
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3299
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: partial.effectivePrice * (1 - GLOBAL_CONFIG.CC_PERCENT_SLIPPAGE / 100);
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3261
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const priceCloseWithSlippage = signal.position === "long"
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3262
3301
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? partial.price * (1 - GLOBAL_CONFIG.CC_PERCENT_SLIPPAGE / 100)
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3263
3302
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: partial.price * (1 + GLOBAL_CONFIG.CC_PERCENT_SLIPPAGE / 100);
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3264
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-
// Calculate PNL for this partial
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3265
3303
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const partialPnl = signal.position === "long"
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3266
3304
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? ((priceCloseWithSlippage - priceOpenWithSlippage) / priceOpenWithSlippage) * 100
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3267
3305
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: ((priceOpenWithSlippage - priceCloseWithSlippage) / priceOpenWithSlippage) * 100;
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3268
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-
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3269
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-
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-
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3271
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-
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3272
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-
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3273
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3274
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-
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3275
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-
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3276
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-
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3277
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-
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3278
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-
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3279
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-
const
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3280
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-
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3306
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+
totalWeightedPnl += weight * partialPnl;
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3307
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+
// Close fee proportional to real dollar weight
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3308
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+
totalFees +=
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3309
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+
GLOBAL_CONFIG.CC_PERCENT_FEE *
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3310
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+
weight *
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3311
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+
(priceCloseWithSlippage / priceOpenWithSlippage);
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3312
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+
}
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3313
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+
if (closedDollarValue > totalInvested + 0.001) {
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3314
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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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3315
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+
}
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3316
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+
// Remaining position
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3317
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+
const remainingDollarValue = totalInvested - closedDollarValue;
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3318
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+
const remainingWeight = remainingDollarValue / totalInvested;
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3319
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+
if (remainingWeight > 0) {
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3320
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+
// Use current effective price — reflects all DCA including post-partial entries
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3321
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+
const remainingOpenWithSlippage = signal.position === "long"
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3322
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+
? priceOpen * (1 + GLOBAL_CONFIG.CC_PERCENT_SLIPPAGE / 100)
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3323
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+
: priceOpen * (1 - GLOBAL_CONFIG.CC_PERCENT_SLIPPAGE / 100);
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3281
3324
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const priceCloseWithSlippage = signal.position === "long"
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3325
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? priceClose * (1 - GLOBAL_CONFIG.CC_PERCENT_SLIPPAGE / 100)
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: priceClose * (1 + GLOBAL_CONFIG.CC_PERCENT_SLIPPAGE / 100);
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3284
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-
// Calculate PNL for remaining
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3327
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const remainingPnl = signal.position === "long"
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3286
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? ((priceCloseWithSlippage -
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3287
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: ((
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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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3328
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+
? ((priceCloseWithSlippage - remainingOpenWithSlippage) / remainingOpenWithSlippage) * 100
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3329
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+
: ((remainingOpenWithSlippage - priceCloseWithSlippage) / remainingOpenWithSlippage) * 100;
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3330
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+
totalWeightedPnl += remainingWeight * remainingPnl;
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3331
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+
totalFees +=
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3332
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+
GLOBAL_CONFIG.CC_PERCENT_FEE *
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3333
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+
remainingWeight *
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3334
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+
(priceCloseWithSlippage / remainingOpenWithSlippage);
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3292
3335
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}
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3293
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-
// Subtract total fees from weighted PNL
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3294
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-
// totalFees = CC_PERCENT_FEE (open) + Σ CC_PERCENT_FEE × (partialPercent/100) × (closeWithSlip/openWithSlip)
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3295
3336
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const pnlPercentage = totalWeightedPnl - totalFees;
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3296
3337
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return {
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3297
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pnlPercentage,
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@@ -3303,33 +3344,24 @@ const toProfitLossDto = (signal, priceClose) => {
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3303
3344
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let priceOpenWithSlippage;
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3304
3345
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let priceCloseWithSlippage;
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3305
3346
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if (signal.position === "long") {
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3306
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-
// LONG: покупаем дороже, продаем дешевле
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3307
3347
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priceOpenWithSlippage = priceOpen * (1 + GLOBAL_CONFIG.CC_PERCENT_SLIPPAGE / 100);
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3308
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priceCloseWithSlippage = priceClose * (1 - GLOBAL_CONFIG.CC_PERCENT_SLIPPAGE / 100);
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3309
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}
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3310
3350
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else {
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3311
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-
// SHORT: продаем дешевле, покупаем дороже
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3312
3351
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priceOpenWithSlippage = priceOpen * (1 - GLOBAL_CONFIG.CC_PERCENT_SLIPPAGE / 100);
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3313
3352
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priceCloseWithSlippage = priceClose * (1 + GLOBAL_CONFIG.CC_PERCENT_SLIPPAGE / 100);
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3314
3353
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}
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3315
|
-
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3316
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-
|
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3354
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+
const totalFee = GLOBAL_CONFIG.CC_PERCENT_FEE *
|
|
3355
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+
(1 + priceCloseWithSlippage / priceOpenWithSlippage);
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3317
3356
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let pnlPercentage;
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3318
3357
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if (signal.position === "long") {
|
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3319
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-
// LONG: прибыль при росте цены
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3320
3358
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pnlPercentage =
|
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3321
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-
((priceCloseWithSlippage - priceOpenWithSlippage) /
|
|
3322
|
-
priceOpenWithSlippage) *
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3323
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-
100;
|
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3359
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+
((priceCloseWithSlippage - priceOpenWithSlippage) / priceOpenWithSlippage) * 100;
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3324
3360
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}
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3325
3361
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else {
|
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3326
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-
// SHORT: прибыль при падении цены
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|
3327
3362
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pnlPercentage =
|
|
3328
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-
((priceOpenWithSlippage - priceCloseWithSlippage) /
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|
3329
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-
priceOpenWithSlippage) *
|
|
3330
|
-
100;
|
|
3363
|
+
((priceOpenWithSlippage - priceCloseWithSlippage) / priceOpenWithSlippage) * 100;
|
|
3331
3364
|
}
|
|
3332
|
-
// Вычитаем комиссии
|
|
3333
3365
|
pnlPercentage -= totalFee;
|
|
3334
3366
|
return {
|
|
3335
3367
|
pnlPercentage,
|
|
@@ -3385,6 +3417,54 @@ const toPlainString = (content) => {
|
|
|
3385
3417
|
return text.trim();
|
|
3386
3418
|
};
|
|
3387
3419
|
|
|
3420
|
+
const COST_BASIS_PER_ENTRY$1 = 100;
|
|
3421
|
+
/**
|
|
3422
|
+
* Returns the total closed state of a position using cost-basis replay.
|
|
3423
|
+
*
|
|
3424
|
+
* Correctly accounts for DCA entries added between partial closes via averageBuy().
|
|
3425
|
+
* Simple percent summation (sum of _partial[i].percent) is INCORRECT when averageBuy()
|
|
3426
|
+
* is called between partials — this function uses the same cost-basis replay as
|
|
3427
|
+
* toProfitLossDto to compute the true dollar-weighted closed fraction.
|
|
3428
|
+
*
|
|
3429
|
+
* Cost-basis replay:
|
|
3430
|
+
* costBasis = 0
|
|
3431
|
+
* for each partial[i]:
|
|
3432
|
+
* costBasis += (entryCountAtClose[i] - entryCountAtClose[i-1]) × $100
|
|
3433
|
+
* closedDollar += (percent[i] / 100) × costBasis
|
|
3434
|
+
* costBasis ×= (1 - percent[i] / 100)
|
|
3435
|
+
* // then add entries added AFTER the last partial
|
|
3436
|
+
* costBasis += (currentEntryCount - lastPartialEntryCount) × $100
|
|
3437
|
+
*
|
|
3438
|
+
* @param signal - Signal row with _partial and _entry arrays
|
|
3439
|
+
* @returns Object with totalClosedPercent (0–100+) and remainingCostBasis (dollar value still open)
|
|
3440
|
+
*/
|
|
3441
|
+
const getTotalClosed = (signal) => {
|
|
3442
|
+
const partials = signal._partial ?? [];
|
|
3443
|
+
const currentEntryCount = signal._entry?.length ?? 1;
|
|
3444
|
+
const totalInvested = currentEntryCount * COST_BASIS_PER_ENTRY$1;
|
|
3445
|
+
if (partials.length === 0) {
|
|
3446
|
+
return {
|
|
3447
|
+
totalClosedPercent: 0,
|
|
3448
|
+
remainingCostBasis: totalInvested,
|
|
3449
|
+
};
|
|
3450
|
+
}
|
|
3451
|
+
let costBasis = 0;
|
|
3452
|
+
let closedDollarValue = 0;
|
|
3453
|
+
for (let i = 0; i < partials.length; i++) {
|
|
3454
|
+
const prevCount = i === 0 ? 0 : partials[i - 1].entryCountAtClose;
|
|
3455
|
+
costBasis += (partials[i].entryCountAtClose - prevCount) * COST_BASIS_PER_ENTRY$1;
|
|
3456
|
+
closedDollarValue += (partials[i].percent / 100) * costBasis;
|
|
3457
|
+
costBasis *= 1 - partials[i].percent / 100;
|
|
3458
|
+
}
|
|
3459
|
+
// Add entries added AFTER the last partial (not yet accounted for in the loop)
|
|
3460
|
+
const lastEntryCount = partials[partials.length - 1].entryCountAtClose;
|
|
3461
|
+
costBasis += (currentEntryCount - lastEntryCount) * COST_BASIS_PER_ENTRY$1;
|
|
3462
|
+
return {
|
|
3463
|
+
totalClosedPercent: totalInvested > 0 ? (closedDollarValue / totalInvested) * 100 : 0,
|
|
3464
|
+
remainingCostBasis: costBasis,
|
|
3465
|
+
};
|
|
3466
|
+
};
|
|
3467
|
+
|
|
3388
3468
|
/**
|
|
3389
3469
|
* Wraps a function to execute it outside of the current execution context if one exists.
|
|
3390
3470
|
*
|
|
@@ -3427,6 +3507,19 @@ const beginTime = (run) => (...args) => {
|
|
|
3427
3507
|
return fn();
|
|
3428
3508
|
};
|
|
3429
3509
|
|
|
3510
|
+
/**
|
|
3511
|
+
* Retrieves the current timestamp for debugging purposes.
|
|
3512
|
+
* 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.
|
|
3513
|
+
* Can be empty (undefined) if not called from strategy async context, as it's intended for debugging and not critical for logic.
|
|
3514
|
+
* @return {number | undefined} The current timestamp in milliseconds from the execution context, or undefined if not available.
|
|
3515
|
+
*/
|
|
3516
|
+
const getDebugTimestamp = () => {
|
|
3517
|
+
if (ExecutionContextService.hasContext()) {
|
|
3518
|
+
return bt.executionContextService.context.when.getTime();
|
|
3519
|
+
}
|
|
3520
|
+
return undefined;
|
|
3521
|
+
};
|
|
3522
|
+
|
|
3430
3523
|
const INTERVAL_MINUTES$6 = {
|
|
3431
3524
|
"1m": 1,
|
|
3432
3525
|
"3m": 3,
|
|
@@ -3435,6 +3528,7 @@ const INTERVAL_MINUTES$6 = {
|
|
|
3435
3528
|
"30m": 30,
|
|
3436
3529
|
"1h": 60,
|
|
3437
3530
|
};
|
|
3531
|
+
const COST_BASIS_PER_ENTRY = 100;
|
|
3438
3532
|
/**
|
|
3439
3533
|
* Mock value for scheduled signal pendingAt timestamp.
|
|
3440
3534
|
* Used to indicate that the actual pendingAt will be set upon activation.
|
|
@@ -4036,7 +4130,7 @@ const GET_SIGNAL_FN = trycatch(async (self) => {
|
|
|
4036
4130
|
scheduledAt: currentTime,
|
|
4037
4131
|
pendingAt: currentTime, // Для immediate signal оба времени одинаковые
|
|
4038
4132
|
_isScheduled: false,
|
|
4039
|
-
_entry: [{ price: signal.priceOpen }],
|
|
4133
|
+
_entry: [{ price: signal.priceOpen, debugTimestamp: currentTime }],
|
|
4040
4134
|
};
|
|
4041
4135
|
// Валидируем сигнал перед возвратом
|
|
4042
4136
|
VALIDATE_SIGNAL_FN(signalRow, currentPrice, false);
|
|
@@ -4058,7 +4152,7 @@ const GET_SIGNAL_FN = trycatch(async (self) => {
|
|
|
4058
4152
|
scheduledAt: currentTime,
|
|
4059
4153
|
pendingAt: SCHEDULED_SIGNAL_PENDING_MOCK, // Временно, обновится при активации
|
|
4060
4154
|
_isScheduled: true,
|
|
4061
|
-
_entry: [{ price: signal.priceOpen }],
|
|
4155
|
+
_entry: [{ price: signal.priceOpen, debugTimestamp: currentTime }],
|
|
4062
4156
|
};
|
|
4063
4157
|
// Валидируем сигнал перед возвратом
|
|
4064
4158
|
VALIDATE_SIGNAL_FN(scheduledSignalRow, currentPrice, true);
|
|
@@ -4076,7 +4170,7 @@ const GET_SIGNAL_FN = trycatch(async (self) => {
|
|
|
4076
4170
|
scheduledAt: currentTime,
|
|
4077
4171
|
pendingAt: currentTime, // Для immediate signal оба времени одинаковые
|
|
4078
4172
|
_isScheduled: false,
|
|
4079
|
-
_entry: [{ price: currentPrice }],
|
|
4173
|
+
_entry: [{ price: currentPrice, debugTimestamp: currentTime }],
|
|
4080
4174
|
};
|
|
4081
4175
|
// Валидируем сигнал перед возвратом
|
|
4082
4176
|
VALIDATE_SIGNAL_FN(signalRow, currentPrice, false);
|
|
@@ -4150,37 +4244,39 @@ const PARTIAL_PROFIT_FN = (self, signal, percentToClose, currentPrice) => {
|
|
|
4150
4244
|
// Initialize partial array if not present
|
|
4151
4245
|
if (!signal._partial)
|
|
4152
4246
|
signal._partial = [];
|
|
4153
|
-
//
|
|
4154
|
-
const
|
|
4155
|
-
|
|
4156
|
-
|
|
4157
|
-
const
|
|
4158
|
-
|
|
4159
|
-
.
|
|
4160
|
-
const totalClosed = tpClosed + slClosed;
|
|
4161
|
-
// Check if would exceed 100% total closed
|
|
4162
|
-
const newTotalClosed = totalClosed + percentToClose;
|
|
4163
|
-
if (newTotalClosed > 100) {
|
|
4164
|
-
self.params.logger.warn("PARTIAL_PROFIT_FN: would exceed 100% closed, skipping", {
|
|
4247
|
+
// Check if would exceed 100% total closed (dollar-basis, DCA-aware)
|
|
4248
|
+
const { totalClosedPercent, remainingCostBasis } = getTotalClosed(signal);
|
|
4249
|
+
const totalInvested = (signal._entry?.length ?? 1) * COST_BASIS_PER_ENTRY;
|
|
4250
|
+
const newPartialDollar = (percentToClose / 100) * remainingCostBasis;
|
|
4251
|
+
const newTotalClosedDollar = (totalClosedPercent / 100) * totalInvested + newPartialDollar;
|
|
4252
|
+
if (newTotalClosedDollar > totalInvested) {
|
|
4253
|
+
self.params.logger.warn("PARTIAL_PROFIT_FN: would exceed 100% closed (dollar basis), skipping", {
|
|
4165
4254
|
signalId: signal.id,
|
|
4166
|
-
|
|
4255
|
+
totalClosedPercent,
|
|
4256
|
+
remainingCostBasis,
|
|
4167
4257
|
percentToClose,
|
|
4168
|
-
|
|
4258
|
+
newPartialDollar,
|
|
4259
|
+
totalInvested,
|
|
4169
4260
|
});
|
|
4170
4261
|
return false;
|
|
4171
4262
|
}
|
|
4263
|
+
// Capture effective entry price at the moment of partial close (for DCA-aware PNL)
|
|
4264
|
+
const effectivePrice = getEffectivePriceOpen(signal);
|
|
4265
|
+
const entryCountAtClose = signal._entry ? signal._entry.length : 1;
|
|
4172
4266
|
// Add new partial close entry
|
|
4173
4267
|
signal._partial.push({
|
|
4174
4268
|
type: "profit",
|
|
4175
4269
|
percent: percentToClose,
|
|
4270
|
+
entryCountAtClose,
|
|
4176
4271
|
price: currentPrice,
|
|
4272
|
+
debugTimestamp: getDebugTimestamp(),
|
|
4273
|
+
effectivePrice,
|
|
4177
4274
|
});
|
|
4178
4275
|
self.params.logger.info("PARTIAL_PROFIT_FN executed", {
|
|
4179
4276
|
signalId: signal.id,
|
|
4180
4277
|
percentClosed: percentToClose,
|
|
4181
|
-
|
|
4278
|
+
totalClosedPercent: totalClosedPercent + (newPartialDollar / totalInvested) * 100,
|
|
4182
4279
|
currentPrice,
|
|
4183
|
-
tpClosed: tpClosed + percentToClose,
|
|
4184
4280
|
});
|
|
4185
4281
|
return true;
|
|
4186
4282
|
};
|
|
@@ -4188,37 +4284,39 @@ const PARTIAL_LOSS_FN = (self, signal, percentToClose, currentPrice) => {
|
|
|
4188
4284
|
// Initialize partial array if not present
|
|
4189
4285
|
if (!signal._partial)
|
|
4190
4286
|
signal._partial = [];
|
|
4191
|
-
//
|
|
4192
|
-
const
|
|
4193
|
-
|
|
4194
|
-
|
|
4195
|
-
const
|
|
4196
|
-
|
|
4197
|
-
.
|
|
4198
|
-
const totalClosed = tpClosed + slClosed;
|
|
4199
|
-
// Check if would exceed 100% total closed
|
|
4200
|
-
const newTotalClosed = totalClosed + percentToClose;
|
|
4201
|
-
if (newTotalClosed > 100) {
|
|
4202
|
-
self.params.logger.warn("PARTIAL_LOSS_FN: would exceed 100% closed, skipping", {
|
|
4287
|
+
// Check if would exceed 100% total closed (dollar-basis, DCA-aware)
|
|
4288
|
+
const { totalClosedPercent, remainingCostBasis } = getTotalClosed(signal);
|
|
4289
|
+
const totalInvested = (signal._entry?.length ?? 1) * COST_BASIS_PER_ENTRY;
|
|
4290
|
+
const newPartialDollar = (percentToClose / 100) * remainingCostBasis;
|
|
4291
|
+
const newTotalClosedDollar = (totalClosedPercent / 100) * totalInvested + newPartialDollar;
|
|
4292
|
+
if (newTotalClosedDollar > totalInvested) {
|
|
4293
|
+
self.params.logger.warn("PARTIAL_LOSS_FN: would exceed 100% closed (dollar basis), skipping", {
|
|
4203
4294
|
signalId: signal.id,
|
|
4204
|
-
|
|
4295
|
+
totalClosedPercent,
|
|
4296
|
+
remainingCostBasis,
|
|
4205
4297
|
percentToClose,
|
|
4206
|
-
|
|
4298
|
+
newPartialDollar,
|
|
4299
|
+
totalInvested,
|
|
4207
4300
|
});
|
|
4208
4301
|
return false;
|
|
4209
4302
|
}
|
|
4303
|
+
// Capture effective entry price at the moment of partial close (for DCA-aware PNL)
|
|
4304
|
+
const effectivePrice = getEffectivePriceOpen(signal);
|
|
4305
|
+
const entryCountAtClose = signal._entry ? signal._entry.length : 1;
|
|
4210
4306
|
// Add new partial close entry
|
|
4211
4307
|
signal._partial.push({
|
|
4212
4308
|
type: "loss",
|
|
4213
4309
|
percent: percentToClose,
|
|
4214
4310
|
price: currentPrice,
|
|
4311
|
+
entryCountAtClose,
|
|
4312
|
+
effectivePrice,
|
|
4313
|
+
debugTimestamp: getDebugTimestamp(),
|
|
4215
4314
|
});
|
|
4216
4315
|
self.params.logger.warn("PARTIAL_LOSS_FN executed", {
|
|
4217
4316
|
signalId: signal.id,
|
|
4218
4317
|
percentClosed: percentToClose,
|
|
4219
|
-
|
|
4318
|
+
totalClosedPercent: totalClosedPercent + (newPartialDollar / totalInvested) * 100,
|
|
4220
4319
|
currentPrice,
|
|
4221
|
-
slClosed: slClosed + percentToClose,
|
|
4222
4320
|
});
|
|
4223
4321
|
return true;
|
|
4224
4322
|
};
|
|
@@ -4612,12 +4710,12 @@ const BREAKEVEN_FN = (self, signal, currentPrice) => {
|
|
|
4612
4710
|
const AVERAGE_BUY_FN = (self, signal, currentPrice) => {
|
|
4613
4711
|
// Ensure _entry is initialized (handles signals loaded from disk without _entry)
|
|
4614
4712
|
if (!signal._entry || signal._entry.length === 0) {
|
|
4615
|
-
signal._entry = [{ price: signal.priceOpen }];
|
|
4713
|
+
signal._entry = [{ price: signal.priceOpen, debugTimestamp: getDebugTimestamp() }];
|
|
4616
4714
|
}
|
|
4617
4715
|
const lastEntry = signal._entry[signal._entry.length - 1];
|
|
4618
4716
|
if (signal.position === "long") {
|
|
4619
4717
|
// LONG: averaging down = currentPrice must be strictly lower than last entry
|
|
4620
|
-
if (currentPrice >= lastEntry.price) {
|
|
4718
|
+
if (!GLOBAL_CONFIG.CC_ENABLE_DCA_EVERYWHERE && currentPrice >= lastEntry.price) {
|
|
4621
4719
|
self.params.logger.debug("AVERAGE_BUY_FN: rejected — currentPrice >= last entry (LONG)", {
|
|
4622
4720
|
signalId: signal.id,
|
|
4623
4721
|
position: signal.position,
|
|
@@ -4630,7 +4728,7 @@ const AVERAGE_BUY_FN = (self, signal, currentPrice) => {
|
|
|
4630
4728
|
}
|
|
4631
4729
|
else {
|
|
4632
4730
|
// SHORT: averaging down = currentPrice must be strictly higher than last entry
|
|
4633
|
-
if (currentPrice <= lastEntry.price) {
|
|
4731
|
+
if (!GLOBAL_CONFIG.CC_ENABLE_DCA_EVERYWHERE && currentPrice <= lastEntry.price) {
|
|
4634
4732
|
self.params.logger.debug("AVERAGE_BUY_FN: rejected — currentPrice <= last entry (SHORT)", {
|
|
4635
4733
|
signalId: signal.id,
|
|
4636
4734
|
position: signal.position,
|
|
@@ -4641,7 +4739,7 @@ const AVERAGE_BUY_FN = (self, signal, currentPrice) => {
|
|
|
4641
4739
|
return false;
|
|
4642
4740
|
}
|
|
4643
4741
|
}
|
|
4644
|
-
signal._entry.push({ price: currentPrice });
|
|
4742
|
+
signal._entry.push({ price: currentPrice, debugTimestamp: getDebugTimestamp() });
|
|
4645
4743
|
self.params.logger.info("AVERAGE_BUY_FN executed", {
|
|
4646
4744
|
signalId: signal.id,
|
|
4647
4745
|
position: signal.position,
|
|
@@ -6106,6 +6204,52 @@ class ClientStrategy {
|
|
|
6106
6204
|
});
|
|
6107
6205
|
return this._isStopped;
|
|
6108
6206
|
}
|
|
6207
|
+
/**
|
|
6208
|
+
* Returns how much of the position is still held, as a percentage of totalInvested.
|
|
6209
|
+
*
|
|
6210
|
+
* Uses dollar-basis cost-basis replay (DCA-aware).
|
|
6211
|
+
* 100% means nothing was closed yet. Decreases with each partial close.
|
|
6212
|
+
*
|
|
6213
|
+
* Example: 1 entry $100, partialProfit(30%) → returns 70
|
|
6214
|
+
* Example: 2 entries $200, partialProfit(50%) → returns 50
|
|
6215
|
+
*
|
|
6216
|
+
* Returns 100 if no pending signal or no partial closes.
|
|
6217
|
+
*
|
|
6218
|
+
* @param symbol - Trading pair symbol
|
|
6219
|
+
* @returns Promise resolving to held percentage (0–100)
|
|
6220
|
+
*/
|
|
6221
|
+
async getTotalPercentClosed(symbol) {
|
|
6222
|
+
this.params.logger.debug("ClientStrategy getTotalPercentClosed", { symbol });
|
|
6223
|
+
if (!this._pendingSignal) {
|
|
6224
|
+
return null;
|
|
6225
|
+
}
|
|
6226
|
+
const { totalClosedPercent } = getTotalClosed(this._pendingSignal);
|
|
6227
|
+
return 100 - totalClosedPercent;
|
|
6228
|
+
}
|
|
6229
|
+
/**
|
|
6230
|
+
* Returns how many dollars of cost basis are still held (not yet closed by partials).
|
|
6231
|
+
*
|
|
6232
|
+
* Equal to remainingCostBasis from getTotalClosed.
|
|
6233
|
+
* Full position open: equals totalInvested (entries × $100).
|
|
6234
|
+
* Decreases with each partial close, increases with each averageBuy().
|
|
6235
|
+
*
|
|
6236
|
+
* Example: 1 entry $100, no partials → returns 100
|
|
6237
|
+
* Example: 1 entry $100, partialProfit(30%) → returns 70
|
|
6238
|
+
* Example: 2 entries $200, partialProfit(50%) → returns 100
|
|
6239
|
+
*
|
|
6240
|
+
* Returns totalInvested if no pending signal or no partial closes.
|
|
6241
|
+
*
|
|
6242
|
+
* @param symbol - Trading pair symbol
|
|
6243
|
+
* @returns Promise resolving to held cost basis in dollars
|
|
6244
|
+
*/
|
|
6245
|
+
async getTotalCostClosed(symbol) {
|
|
6246
|
+
this.params.logger.debug("ClientStrategy getTotalCostClosed", { symbol });
|
|
6247
|
+
if (!this._pendingSignal) {
|
|
6248
|
+
return null;
|
|
6249
|
+
}
|
|
6250
|
+
const { remainingCostBasis } = getTotalClosed(this._pendingSignal);
|
|
6251
|
+
return remainingCostBasis;
|
|
6252
|
+
}
|
|
6109
6253
|
/**
|
|
6110
6254
|
* Performs a single tick of strategy execution.
|
|
6111
6255
|
*
|
|
@@ -7566,14 +7710,6 @@ class ClientStrategy {
|
|
|
7566
7710
|
if (typeof currentPrice !== "number" || !isFinite(currentPrice) || currentPrice <= 0) {
|
|
7567
7711
|
throw new Error(`ClientStrategy averageBuy: currentPrice must be a positive finite number, got ${currentPrice}`);
|
|
7568
7712
|
}
|
|
7569
|
-
// Reject if any partial closes have already been executed
|
|
7570
|
-
if (this._pendingSignal._partial && this._pendingSignal._partial.length > 0) {
|
|
7571
|
-
this.params.logger.debug("ClientStrategy averageBuy: rejected — partial closes already executed", {
|
|
7572
|
-
symbol,
|
|
7573
|
-
partialCount: this._pendingSignal._partial.length,
|
|
7574
|
-
});
|
|
7575
|
-
return false;
|
|
7576
|
-
}
|
|
7577
7713
|
// Execute averaging logic
|
|
7578
7714
|
const result = AVERAGE_BUY_FN(this, this._pendingSignal, currentPrice);
|
|
7579
7715
|
if (!result) {
|
|
@@ -8252,6 +8388,43 @@ class StrategyConnectionService {
|
|
|
8252
8388
|
const strategy = this.getStrategy(symbol, context.strategyName, context.exchangeName, context.frameName, backtest);
|
|
8253
8389
|
return await strategy.getPendingSignal(symbol);
|
|
8254
8390
|
};
|
|
8391
|
+
/**
|
|
8392
|
+
* Returns the percentage of the position currently held (not closed).
|
|
8393
|
+
* 100 = nothing has been closed (full position), 0 = fully closed.
|
|
8394
|
+
* Correctly accounts for DCA entries between partial closes.
|
|
8395
|
+
*
|
|
8396
|
+
* @param backtest - Whether running in backtest mode
|
|
8397
|
+
* @param symbol - Trading pair symbol
|
|
8398
|
+
* @param context - Execution context with strategyName, exchangeName, frameName
|
|
8399
|
+
* @returns Promise<number> - held percentage (0–100)
|
|
8400
|
+
*/
|
|
8401
|
+
this.getTotalPercentClosed = async (backtest, symbol, context) => {
|
|
8402
|
+
this.loggerService.log("strategyConnectionService getTotalPercentClosed", {
|
|
8403
|
+
symbol,
|
|
8404
|
+
context,
|
|
8405
|
+
backtest,
|
|
8406
|
+
});
|
|
8407
|
+
const strategy = this.getStrategy(symbol, context.strategyName, context.exchangeName, context.frameName, backtest);
|
|
8408
|
+
return await strategy.getTotalPercentClosed(symbol);
|
|
8409
|
+
};
|
|
8410
|
+
/**
|
|
8411
|
+
* Returns the cost basis in dollars of the position currently held (not closed).
|
|
8412
|
+
* Correctly accounts for DCA entries between partial closes.
|
|
8413
|
+
*
|
|
8414
|
+
* @param backtest - Whether running in backtest mode
|
|
8415
|
+
* @param symbol - Trading pair symbol
|
|
8416
|
+
* @param context - Execution context with strategyName, exchangeName, frameName
|
|
8417
|
+
* @returns Promise<number> - held cost basis in dollars
|
|
8418
|
+
*/
|
|
8419
|
+
this.getTotalCostClosed = async (backtest, symbol, context) => {
|
|
8420
|
+
this.loggerService.log("strategyConnectionService getTotalCostClosed", {
|
|
8421
|
+
symbol,
|
|
8422
|
+
context,
|
|
8423
|
+
backtest,
|
|
8424
|
+
});
|
|
8425
|
+
const strategy = this.getStrategy(symbol, context.strategyName, context.exchangeName, context.frameName, backtest);
|
|
8426
|
+
return await strategy.getTotalCostClosed(symbol);
|
|
8427
|
+
};
|
|
8255
8428
|
/**
|
|
8256
8429
|
* Retrieves the currently active scheduled signal for the strategy.
|
|
8257
8430
|
* If no scheduled signal exists, returns null.
|
|
@@ -11655,6 +11828,41 @@ class StrategyCoreService {
|
|
|
11655
11828
|
await this.validate(context);
|
|
11656
11829
|
return await this.strategyConnectionService.getPendingSignal(backtest, symbol, context);
|
|
11657
11830
|
};
|
|
11831
|
+
/**
|
|
11832
|
+
* Returns the percentage of the position currently held (not closed).
|
|
11833
|
+
* 100 = nothing has been closed (full position), 0 = fully closed.
|
|
11834
|
+
* Correctly accounts for DCA entries between partial closes.
|
|
11835
|
+
*
|
|
11836
|
+
* @param backtest - Whether running in backtest mode
|
|
11837
|
+
* @param symbol - Trading pair symbol
|
|
11838
|
+
* @param context - Execution context with strategyName, exchangeName, frameName
|
|
11839
|
+
* @returns Promise<number> - held percentage (0–100)
|
|
11840
|
+
*/
|
|
11841
|
+
this.getTotalPercentClosed = async (backtest, symbol, context) => {
|
|
11842
|
+
this.loggerService.log("strategyCoreService getTotalPercentClosed", {
|
|
11843
|
+
symbol,
|
|
11844
|
+
context,
|
|
11845
|
+
});
|
|
11846
|
+
await this.validate(context);
|
|
11847
|
+
return await this.strategyConnectionService.getTotalPercentClosed(backtest, symbol, context);
|
|
11848
|
+
};
|
|
11849
|
+
/**
|
|
11850
|
+
* Returns the cost basis in dollars of the position currently held (not closed).
|
|
11851
|
+
* Correctly accounts for DCA entries between partial closes.
|
|
11852
|
+
*
|
|
11853
|
+
* @param backtest - Whether running in backtest mode
|
|
11854
|
+
* @param symbol - Trading pair symbol
|
|
11855
|
+
* @param context - Execution context with strategyName, exchangeName, frameName
|
|
11856
|
+
* @returns Promise<number> - held cost basis in dollars
|
|
11857
|
+
*/
|
|
11858
|
+
this.getTotalCostClosed = async (backtest, symbol, context) => {
|
|
11859
|
+
this.loggerService.log("strategyCoreService getTotalCostClosed", {
|
|
11860
|
+
symbol,
|
|
11861
|
+
context,
|
|
11862
|
+
});
|
|
11863
|
+
await this.validate(context);
|
|
11864
|
+
return await this.strategyConnectionService.getTotalCostClosed(backtest, symbol, context);
|
|
11865
|
+
};
|
|
11658
11866
|
/**
|
|
11659
11867
|
* Retrieves the currently active scheduled signal for the symbol.
|
|
11660
11868
|
* If no scheduled signal exists, returns null.
|
|
@@ -28686,6 +28894,11 @@ const TRAILING_PROFIT_METHOD_NAME = "strategy.commitTrailingTake";
|
|
|
28686
28894
|
const BREAKEVEN_METHOD_NAME = "strategy.commitBreakeven";
|
|
28687
28895
|
const ACTIVATE_SCHEDULED_METHOD_NAME = "strategy.commitActivateScheduled";
|
|
28688
28896
|
const AVERAGE_BUY_METHOD_NAME = "strategy.commitAverageBuy";
|
|
28897
|
+
const GET_TOTAL_PERCENT_CLOSED_METHOD_NAME = "strategy.getTotalPercentClosed";
|
|
28898
|
+
const GET_TOTAL_COST_CLOSED_METHOD_NAME = "strategy.getTotalCostClosed";
|
|
28899
|
+
const GET_PENDING_SIGNAL_METHOD_NAME = "strategy.getPendingSignal";
|
|
28900
|
+
const GET_SCHEDULED_SIGNAL_METHOD_NAME = "strategy.getScheduledSignal";
|
|
28901
|
+
const GET_BREAKEVEN_METHOD_NAME = "strategy.getBreakeven";
|
|
28689
28902
|
/**
|
|
28690
28903
|
* Cancels the scheduled signal without stopping the strategy.
|
|
28691
28904
|
*
|
|
@@ -29077,6 +29290,173 @@ async function commitAverageBuy(symbol) {
|
|
|
29077
29290
|
const { exchangeName, frameName, strategyName } = bt.methodContextService.context;
|
|
29078
29291
|
return await bt.strategyCoreService.averageBuy(isBacktest, symbol, currentPrice, { exchangeName, frameName, strategyName });
|
|
29079
29292
|
}
|
|
29293
|
+
/**
|
|
29294
|
+
* Returns the percentage of the position currently held (not closed).
|
|
29295
|
+
* 100 = nothing has been closed (full position), 0 = fully closed.
|
|
29296
|
+
* Correctly accounts for DCA entries between partial closes.
|
|
29297
|
+
*
|
|
29298
|
+
* Automatically detects backtest/live mode from execution context.
|
|
29299
|
+
*
|
|
29300
|
+
* @param symbol - Trading pair symbol
|
|
29301
|
+
* @returns Promise<number> - held percentage (0–100)
|
|
29302
|
+
*
|
|
29303
|
+
* @example
|
|
29304
|
+
* ```typescript
|
|
29305
|
+
* import { getTotalPercentClosed } from "backtest-kit";
|
|
29306
|
+
*
|
|
29307
|
+
* const heldPct = await getTotalPercentClosed("BTCUSDT");
|
|
29308
|
+
* console.log(`Holding ${heldPct}% of position`);
|
|
29309
|
+
* ```
|
|
29310
|
+
*/
|
|
29311
|
+
async function getTotalPercentClosed(symbol) {
|
|
29312
|
+
bt.loggerService.info(GET_TOTAL_PERCENT_CLOSED_METHOD_NAME, {
|
|
29313
|
+
symbol,
|
|
29314
|
+
});
|
|
29315
|
+
if (!ExecutionContextService.hasContext()) {
|
|
29316
|
+
throw new Error("getTotalPercentClosed requires an execution context");
|
|
29317
|
+
}
|
|
29318
|
+
if (!MethodContextService.hasContext()) {
|
|
29319
|
+
throw new Error("getTotalPercentClosed requires a method context");
|
|
29320
|
+
}
|
|
29321
|
+
const { backtest: isBacktest } = bt.executionContextService.context;
|
|
29322
|
+
const { exchangeName, frameName, strategyName } = bt.methodContextService.context;
|
|
29323
|
+
return await bt.strategyCoreService.getTotalPercentClosed(isBacktest, symbol, { exchangeName, frameName, strategyName });
|
|
29324
|
+
}
|
|
29325
|
+
/**
|
|
29326
|
+
* Returns the cost basis in dollars of the position currently held (not closed).
|
|
29327
|
+
* Correctly accounts for DCA entries between partial closes.
|
|
29328
|
+
*
|
|
29329
|
+
* Automatically detects backtest/live mode from execution context.
|
|
29330
|
+
*
|
|
29331
|
+
* @param symbol - Trading pair symbol
|
|
29332
|
+
* @returns Promise<number> - held cost basis in dollars
|
|
29333
|
+
*
|
|
29334
|
+
* @example
|
|
29335
|
+
* ```typescript
|
|
29336
|
+
* import { getTotalCostClosed } from "backtest-kit";
|
|
29337
|
+
*
|
|
29338
|
+
* const heldCost = await getTotalCostClosed("BTCUSDT");
|
|
29339
|
+
* console.log(`Holding $${heldCost} of position`);
|
|
29340
|
+
* ```
|
|
29341
|
+
*/
|
|
29342
|
+
async function getTotalCostClosed(symbol) {
|
|
29343
|
+
bt.loggerService.info(GET_TOTAL_COST_CLOSED_METHOD_NAME, {
|
|
29344
|
+
symbol,
|
|
29345
|
+
});
|
|
29346
|
+
if (!ExecutionContextService.hasContext()) {
|
|
29347
|
+
throw new Error("getTotalCostClosed requires an execution context");
|
|
29348
|
+
}
|
|
29349
|
+
if (!MethodContextService.hasContext()) {
|
|
29350
|
+
throw new Error("getTotalCostClosed requires a method context");
|
|
29351
|
+
}
|
|
29352
|
+
const { backtest: isBacktest } = bt.executionContextService.context;
|
|
29353
|
+
const { exchangeName, frameName, strategyName } = bt.methodContextService.context;
|
|
29354
|
+
return await bt.strategyCoreService.getTotalCostClosed(isBacktest, symbol, { exchangeName, frameName, strategyName });
|
|
29355
|
+
}
|
|
29356
|
+
/**
|
|
29357
|
+
* Returns the currently active pending signal for the strategy.
|
|
29358
|
+
* If no active signal exists, returns null.
|
|
29359
|
+
*
|
|
29360
|
+
* Automatically detects backtest/live mode from execution context.
|
|
29361
|
+
*
|
|
29362
|
+
* @param symbol - Trading pair symbol
|
|
29363
|
+
* @returns Promise resolving to pending signal or null
|
|
29364
|
+
*
|
|
29365
|
+
* @example
|
|
29366
|
+
* ```typescript
|
|
29367
|
+
* import { getPendingSignal } from "backtest-kit";
|
|
29368
|
+
*
|
|
29369
|
+
* const pending = await getPendingSignal("BTCUSDT");
|
|
29370
|
+
* if (pending) {
|
|
29371
|
+
* console.log("Active signal:", pending.id);
|
|
29372
|
+
* }
|
|
29373
|
+
* ```
|
|
29374
|
+
*/
|
|
29375
|
+
async function getPendingSignal(symbol) {
|
|
29376
|
+
bt.loggerService.info(GET_PENDING_SIGNAL_METHOD_NAME, {
|
|
29377
|
+
symbol,
|
|
29378
|
+
});
|
|
29379
|
+
if (!ExecutionContextService.hasContext()) {
|
|
29380
|
+
throw new Error("getPendingSignal requires an execution context");
|
|
29381
|
+
}
|
|
29382
|
+
if (!MethodContextService.hasContext()) {
|
|
29383
|
+
throw new Error("getPendingSignal requires a method context");
|
|
29384
|
+
}
|
|
29385
|
+
const { backtest: isBacktest } = bt.executionContextService.context;
|
|
29386
|
+
const { exchangeName, frameName, strategyName } = bt.methodContextService.context;
|
|
29387
|
+
return await bt.strategyCoreService.getPendingSignal(isBacktest, symbol, { exchangeName, frameName, strategyName });
|
|
29388
|
+
}
|
|
29389
|
+
/**
|
|
29390
|
+
* Returns the currently active scheduled signal for the strategy.
|
|
29391
|
+
* If no scheduled signal exists, returns null.
|
|
29392
|
+
*
|
|
29393
|
+
* Automatically detects backtest/live mode from execution context.
|
|
29394
|
+
*
|
|
29395
|
+
* @param symbol - Trading pair symbol
|
|
29396
|
+
* @returns Promise resolving to scheduled signal or null
|
|
29397
|
+
*
|
|
29398
|
+
* @example
|
|
29399
|
+
* ```typescript
|
|
29400
|
+
* import { getScheduledSignal } from "backtest-kit";
|
|
29401
|
+
*
|
|
29402
|
+
* const scheduled = await getScheduledSignal("BTCUSDT");
|
|
29403
|
+
* if (scheduled) {
|
|
29404
|
+
* console.log("Scheduled signal:", scheduled.id);
|
|
29405
|
+
* }
|
|
29406
|
+
* ```
|
|
29407
|
+
*/
|
|
29408
|
+
async function getScheduledSignal(symbol) {
|
|
29409
|
+
bt.loggerService.info(GET_SCHEDULED_SIGNAL_METHOD_NAME, {
|
|
29410
|
+
symbol,
|
|
29411
|
+
});
|
|
29412
|
+
if (!ExecutionContextService.hasContext()) {
|
|
29413
|
+
throw new Error("getScheduledSignal requires an execution context");
|
|
29414
|
+
}
|
|
29415
|
+
if (!MethodContextService.hasContext()) {
|
|
29416
|
+
throw new Error("getScheduledSignal requires a method context");
|
|
29417
|
+
}
|
|
29418
|
+
const { backtest: isBacktest } = bt.executionContextService.context;
|
|
29419
|
+
const { exchangeName, frameName, strategyName } = bt.methodContextService.context;
|
|
29420
|
+
return await bt.strategyCoreService.getScheduledSignal(isBacktest, symbol, { exchangeName, frameName, strategyName });
|
|
29421
|
+
}
|
|
29422
|
+
/**
|
|
29423
|
+
* Checks if breakeven threshold has been reached for the current pending signal.
|
|
29424
|
+
*
|
|
29425
|
+
* Returns true if price has moved far enough in profit direction to cover
|
|
29426
|
+
* transaction costs. Threshold is calculated as: (CC_PERCENT_SLIPPAGE + CC_PERCENT_FEE) * 2
|
|
29427
|
+
*
|
|
29428
|
+
* Automatically detects backtest/live mode from execution context.
|
|
29429
|
+
*
|
|
29430
|
+
* @param symbol - Trading pair symbol
|
|
29431
|
+
* @param currentPrice - Current market price to check against threshold
|
|
29432
|
+
* @returns Promise<boolean> - true if breakeven threshold reached, false otherwise
|
|
29433
|
+
*
|
|
29434
|
+
* @example
|
|
29435
|
+
* ```typescript
|
|
29436
|
+
* import { getBreakeven, getAveragePrice } from "backtest-kit";
|
|
29437
|
+
*
|
|
29438
|
+
* const price = await getAveragePrice("BTCUSDT");
|
|
29439
|
+
* const canBreakeven = await getBreakeven("BTCUSDT", price);
|
|
29440
|
+
* if (canBreakeven) {
|
|
29441
|
+
* console.log("Breakeven available");
|
|
29442
|
+
* }
|
|
29443
|
+
* ```
|
|
29444
|
+
*/
|
|
29445
|
+
async function getBreakeven(symbol, currentPrice) {
|
|
29446
|
+
bt.loggerService.info(GET_BREAKEVEN_METHOD_NAME, {
|
|
29447
|
+
symbol,
|
|
29448
|
+
currentPrice,
|
|
29449
|
+
});
|
|
29450
|
+
if (!ExecutionContextService.hasContext()) {
|
|
29451
|
+
throw new Error("getBreakeven requires an execution context");
|
|
29452
|
+
}
|
|
29453
|
+
if (!MethodContextService.hasContext()) {
|
|
29454
|
+
throw new Error("getBreakeven requires a method context");
|
|
29455
|
+
}
|
|
29456
|
+
const { backtest: isBacktest } = bt.executionContextService.context;
|
|
29457
|
+
const { exchangeName, frameName, strategyName } = bt.methodContextService.context;
|
|
29458
|
+
return await bt.strategyCoreService.getBreakeven(isBacktest, symbol, currentPrice, { exchangeName, frameName, strategyName });
|
|
29459
|
+
}
|
|
29080
29460
|
|
|
29081
29461
|
const STOP_STRATEGY_METHOD_NAME = "control.stopStrategy";
|
|
29082
29462
|
/**
|
|
@@ -30264,6 +30644,8 @@ const BACKTEST_METHOD_NAME_DUMP = "BacktestUtils.dump";
|
|
|
30264
30644
|
const BACKTEST_METHOD_NAME_TASK = "BacktestUtils.task";
|
|
30265
30645
|
const BACKTEST_METHOD_NAME_GET_STATUS = "BacktestUtils.getStatus";
|
|
30266
30646
|
const BACKTEST_METHOD_NAME_GET_PENDING_SIGNAL = "BacktestUtils.getPendingSignal";
|
|
30647
|
+
const BACKTEST_METHOD_NAME_GET_TOTAL_PERCENT_CLOSED = "BacktestUtils.getTotalPercentClosed";
|
|
30648
|
+
const BACKTEST_METHOD_NAME_GET_TOTAL_COST_CLOSED = "BacktestUtils.getTotalCostClosed";
|
|
30267
30649
|
const BACKTEST_METHOD_NAME_GET_SCHEDULED_SIGNAL = "BacktestUtils.getScheduledSignal";
|
|
30268
30650
|
const BACKTEST_METHOD_NAME_GET_BREAKEVEN = "BacktestUtils.getBreakeven";
|
|
30269
30651
|
const BACKTEST_METHOD_NAME_BREAKEVEN = "Backtest.commitBreakeven";
|
|
@@ -30665,6 +31047,71 @@ class BacktestUtils {
|
|
|
30665
31047
|
}
|
|
30666
31048
|
return await bt.strategyCoreService.getPendingSignal(true, symbol, context);
|
|
30667
31049
|
};
|
|
31050
|
+
/**
|
|
31051
|
+
* Returns the percentage of the position currently held (not closed).
|
|
31052
|
+
* 100 = nothing has been closed (full position), 0 = fully closed.
|
|
31053
|
+
* Correctly accounts for DCA entries between partial closes.
|
|
31054
|
+
*
|
|
31055
|
+
* @param symbol - Trading pair symbol
|
|
31056
|
+
* @param context - Context with strategyName, exchangeName, frameName
|
|
31057
|
+
* @returns Promise<number> - held percentage (0–100)
|
|
31058
|
+
*
|
|
31059
|
+
* @example
|
|
31060
|
+
* ```typescript
|
|
31061
|
+
* const heldPct = await Backtest.getTotalPercentClosed("BTCUSDT", { strategyName, exchangeName, frameName });
|
|
31062
|
+
* console.log(`Holding ${heldPct}% of position`);
|
|
31063
|
+
* ```
|
|
31064
|
+
*/
|
|
31065
|
+
this.getTotalPercentClosed = async (symbol, context) => {
|
|
31066
|
+
bt.loggerService.info(BACKTEST_METHOD_NAME_GET_TOTAL_PERCENT_CLOSED, {
|
|
31067
|
+
symbol,
|
|
31068
|
+
context,
|
|
31069
|
+
});
|
|
31070
|
+
bt.strategyValidationService.validate(context.strategyName, BACKTEST_METHOD_NAME_GET_TOTAL_PERCENT_CLOSED);
|
|
31071
|
+
bt.exchangeValidationService.validate(context.exchangeName, BACKTEST_METHOD_NAME_GET_TOTAL_PERCENT_CLOSED);
|
|
31072
|
+
{
|
|
31073
|
+
const { riskName, riskList, actions } = bt.strategySchemaService.get(context.strategyName);
|
|
31074
|
+
riskName &&
|
|
31075
|
+
bt.riskValidationService.validate(riskName, BACKTEST_METHOD_NAME_GET_TOTAL_PERCENT_CLOSED);
|
|
31076
|
+
riskList &&
|
|
31077
|
+
riskList.forEach((riskName) => bt.riskValidationService.validate(riskName, BACKTEST_METHOD_NAME_GET_TOTAL_PERCENT_CLOSED));
|
|
31078
|
+
actions &&
|
|
31079
|
+
actions.forEach((actionName) => bt.actionValidationService.validate(actionName, BACKTEST_METHOD_NAME_GET_TOTAL_PERCENT_CLOSED));
|
|
31080
|
+
}
|
|
31081
|
+
return await bt.strategyCoreService.getTotalPercentClosed(true, symbol, context);
|
|
31082
|
+
};
|
|
31083
|
+
/**
|
|
31084
|
+
* Returns the cost basis in dollars of the position currently held (not closed).
|
|
31085
|
+
* Correctly accounts for DCA entries between partial closes.
|
|
31086
|
+
*
|
|
31087
|
+
* @param symbol - Trading pair symbol
|
|
31088
|
+
* @param context - Context with strategyName, exchangeName, frameName
|
|
31089
|
+
* @returns Promise<number> - held cost basis in dollars
|
|
31090
|
+
*
|
|
31091
|
+
* @example
|
|
31092
|
+
* ```typescript
|
|
31093
|
+
* const heldCost = await Backtest.getTotalCostClosed("BTCUSDT", { strategyName, exchangeName, frameName });
|
|
31094
|
+
* console.log(`Holding $${heldCost} of position`);
|
|
31095
|
+
* ```
|
|
31096
|
+
*/
|
|
31097
|
+
this.getTotalCostClosed = async (symbol, context) => {
|
|
31098
|
+
bt.loggerService.info(BACKTEST_METHOD_NAME_GET_TOTAL_COST_CLOSED, {
|
|
31099
|
+
symbol,
|
|
31100
|
+
context,
|
|
31101
|
+
});
|
|
31102
|
+
bt.strategyValidationService.validate(context.strategyName, BACKTEST_METHOD_NAME_GET_TOTAL_COST_CLOSED);
|
|
31103
|
+
bt.exchangeValidationService.validate(context.exchangeName, BACKTEST_METHOD_NAME_GET_TOTAL_COST_CLOSED);
|
|
31104
|
+
{
|
|
31105
|
+
const { riskName, riskList, actions } = bt.strategySchemaService.get(context.strategyName);
|
|
31106
|
+
riskName &&
|
|
31107
|
+
bt.riskValidationService.validate(riskName, BACKTEST_METHOD_NAME_GET_TOTAL_COST_CLOSED);
|
|
31108
|
+
riskList &&
|
|
31109
|
+
riskList.forEach((riskName) => bt.riskValidationService.validate(riskName, BACKTEST_METHOD_NAME_GET_TOTAL_COST_CLOSED));
|
|
31110
|
+
actions &&
|
|
31111
|
+
actions.forEach((actionName) => bt.actionValidationService.validate(actionName, BACKTEST_METHOD_NAME_GET_TOTAL_COST_CLOSED));
|
|
31112
|
+
}
|
|
31113
|
+
return await bt.strategyCoreService.getTotalCostClosed(true, symbol, context);
|
|
31114
|
+
};
|
|
30668
31115
|
/**
|
|
30669
31116
|
* Retrieves the currently active scheduled signal for the strategy.
|
|
30670
31117
|
* If no scheduled signal exists, returns null.
|
|
@@ -31380,6 +31827,8 @@ const LIVE_METHOD_NAME_DUMP = "LiveUtils.dump";
|
|
|
31380
31827
|
const LIVE_METHOD_NAME_TASK = "LiveUtils.task";
|
|
31381
31828
|
const LIVE_METHOD_NAME_GET_STATUS = "LiveUtils.getStatus";
|
|
31382
31829
|
const LIVE_METHOD_NAME_GET_PENDING_SIGNAL = "LiveUtils.getPendingSignal";
|
|
31830
|
+
const LIVE_METHOD_NAME_GET_TOTAL_PERCENT_CLOSED = "LiveUtils.getTotalPercentClosed";
|
|
31831
|
+
const LIVE_METHOD_NAME_GET_TOTAL_COST_CLOSED = "LiveUtils.getTotalCostClosed";
|
|
31383
31832
|
const LIVE_METHOD_NAME_GET_SCHEDULED_SIGNAL = "LiveUtils.getScheduledSignal";
|
|
31384
31833
|
const LIVE_METHOD_NAME_GET_BREAKEVEN = "LiveUtils.getBreakeven";
|
|
31385
31834
|
const LIVE_METHOD_NAME_BREAKEVEN = "Live.commitBreakeven";
|
|
@@ -31750,6 +32199,73 @@ class LiveUtils {
|
|
|
31750
32199
|
frameName: "",
|
|
31751
32200
|
});
|
|
31752
32201
|
};
|
|
32202
|
+
/**
|
|
32203
|
+
* Returns the percentage of the position currently held (not closed).
|
|
32204
|
+
* 100 = nothing has been closed (full position), 0 = fully closed.
|
|
32205
|
+
* Correctly accounts for DCA entries between partial closes.
|
|
32206
|
+
*
|
|
32207
|
+
* @param symbol - Trading pair symbol
|
|
32208
|
+
* @param context - Context with strategyName and exchangeName
|
|
32209
|
+
* @returns Promise<number> - held percentage (0–100)
|
|
32210
|
+
*
|
|
32211
|
+
* @example
|
|
32212
|
+
* ```typescript
|
|
32213
|
+
* const heldPct = await Live.getTotalPercentClosed("BTCUSDT", { strategyName, exchangeName });
|
|
32214
|
+
* console.log(`Holding ${heldPct}% of position`);
|
|
32215
|
+
* ```
|
|
32216
|
+
*/
|
|
32217
|
+
this.getTotalPercentClosed = async (symbol, context) => {
|
|
32218
|
+
bt.loggerService.info(LIVE_METHOD_NAME_GET_TOTAL_PERCENT_CLOSED, {
|
|
32219
|
+
symbol,
|
|
32220
|
+
context,
|
|
32221
|
+
});
|
|
32222
|
+
bt.strategyValidationService.validate(context.strategyName, LIVE_METHOD_NAME_GET_TOTAL_PERCENT_CLOSED);
|
|
32223
|
+
bt.exchangeValidationService.validate(context.exchangeName, LIVE_METHOD_NAME_GET_TOTAL_PERCENT_CLOSED);
|
|
32224
|
+
{
|
|
32225
|
+
const { riskName, riskList, actions } = bt.strategySchemaService.get(context.strategyName);
|
|
32226
|
+
riskName && bt.riskValidationService.validate(riskName, LIVE_METHOD_NAME_GET_TOTAL_PERCENT_CLOSED);
|
|
32227
|
+
riskList && riskList.forEach((riskName) => bt.riskValidationService.validate(riskName, LIVE_METHOD_NAME_GET_TOTAL_PERCENT_CLOSED));
|
|
32228
|
+
actions && actions.forEach((actionName) => bt.actionValidationService.validate(actionName, LIVE_METHOD_NAME_GET_TOTAL_PERCENT_CLOSED));
|
|
32229
|
+
}
|
|
32230
|
+
return await bt.strategyCoreService.getTotalPercentClosed(false, symbol, {
|
|
32231
|
+
strategyName: context.strategyName,
|
|
32232
|
+
exchangeName: context.exchangeName,
|
|
32233
|
+
frameName: "",
|
|
32234
|
+
});
|
|
32235
|
+
};
|
|
32236
|
+
/**
|
|
32237
|
+
* Returns the cost basis in dollars of the position currently held (not closed).
|
|
32238
|
+
* Correctly accounts for DCA entries between partial closes.
|
|
32239
|
+
*
|
|
32240
|
+
* @param symbol - Trading pair symbol
|
|
32241
|
+
* @param context - Context with strategyName and exchangeName
|
|
32242
|
+
* @returns Promise<number> - held cost basis in dollars
|
|
32243
|
+
*
|
|
32244
|
+
* @example
|
|
32245
|
+
* ```typescript
|
|
32246
|
+
* const heldCost = await Live.getTotalCostClosed("BTCUSDT", { strategyName, exchangeName });
|
|
32247
|
+
* console.log(`Holding $${heldCost} of position`);
|
|
32248
|
+
* ```
|
|
32249
|
+
*/
|
|
32250
|
+
this.getTotalCostClosed = async (symbol, context) => {
|
|
32251
|
+
bt.loggerService.info(LIVE_METHOD_NAME_GET_TOTAL_COST_CLOSED, {
|
|
32252
|
+
symbol,
|
|
32253
|
+
context,
|
|
32254
|
+
});
|
|
32255
|
+
bt.strategyValidationService.validate(context.strategyName, LIVE_METHOD_NAME_GET_TOTAL_COST_CLOSED);
|
|
32256
|
+
bt.exchangeValidationService.validate(context.exchangeName, LIVE_METHOD_NAME_GET_TOTAL_COST_CLOSED);
|
|
32257
|
+
{
|
|
32258
|
+
const { riskName, riskList, actions } = bt.strategySchemaService.get(context.strategyName);
|
|
32259
|
+
riskName && bt.riskValidationService.validate(riskName, LIVE_METHOD_NAME_GET_TOTAL_COST_CLOSED);
|
|
32260
|
+
riskList && riskList.forEach((riskName) => bt.riskValidationService.validate(riskName, LIVE_METHOD_NAME_GET_TOTAL_COST_CLOSED));
|
|
32261
|
+
actions && actions.forEach((actionName) => bt.actionValidationService.validate(actionName, LIVE_METHOD_NAME_GET_TOTAL_COST_CLOSED));
|
|
32262
|
+
}
|
|
32263
|
+
return await bt.strategyCoreService.getTotalCostClosed(false, symbol, {
|
|
32264
|
+
strategyName: context.strategyName,
|
|
32265
|
+
exchangeName: context.exchangeName,
|
|
32266
|
+
frameName: "",
|
|
32267
|
+
});
|
|
32268
|
+
};
|
|
31753
32269
|
/**
|
|
31754
32270
|
* Retrieves the currently active scheduled signal for the strategy.
|
|
31755
32271
|
* If no scheduled signal exists, returns null.
|
|
@@ -39566,4 +40082,4 @@ const set = (object, path, value) => {
|
|
|
39566
40082
|
}
|
|
39567
40083
|
};
|
|
39568
40084
|
|
|
39569
|
-
export { ActionBase, Backtest, Breakeven, Cache, Constant, Exchange, ExecutionContextService, Heat, Live, Log, Markdown, MarkdownFileBase, MarkdownFolderBase, MethodContextService, Notification, NotificationBacktest, NotificationLive, Partial, Performance, PersistBase, PersistBreakevenAdapter, PersistCandleAdapter, PersistLogAdapter, PersistMeasureAdapter, PersistNotificationAdapter, PersistPartialAdapter, PersistRiskAdapter, PersistScheduleAdapter, PersistSignalAdapter, PersistStorageAdapter, PositionSize, Report, ReportBase, Risk, Schedule, Storage, StorageBacktest, StorageLive, Strategy, Walker, addActionSchema, addExchangeSchema, addFrameSchema, addRiskSchema, addSizingSchema, addStrategySchema, addWalkerSchema, alignToInterval, checkCandles, commitActivateScheduled, commitAverageBuy, commitBreakeven, commitCancelScheduled, commitClosePending, commitPartialLoss, commitPartialProfit, commitTrailingStop, commitTrailingTake, dumpMessages, emitters, formatPrice, formatQuantity, get, getActionSchema, getAggregatedTrades, getAveragePrice, getBacktestTimeframe, getCandles, getColumns, getConfig, getContext, getDate, getDefaultColumns, getDefaultConfig, getExchangeSchema, getFrameSchema, getMode, getNextCandles, getOrderBook, getRawCandles, getRiskSchema, getSizingSchema, getStrategySchema, getSymbol, getTimestamp, getWalkerSchema, hasTradeContext, backtest as lib, listExchangeSchema, listFrameSchema, listRiskSchema, listSizingSchema, listStrategySchema, listWalkerSchema, listenActivePing, listenActivePingOnce, listenBacktestProgress, listenBreakevenAvailable, listenBreakevenAvailableOnce, listenDoneBacktest, listenDoneBacktestOnce, listenDoneLive, listenDoneLiveOnce, listenDoneWalker, listenDoneWalkerOnce, listenError, listenExit, listenPartialLossAvailable, listenPartialLossAvailableOnce, listenPartialProfitAvailable, listenPartialProfitAvailableOnce, listenPerformance, listenRisk, listenRiskOnce, listenSchedulePing, listenSchedulePingOnce, listenSignal, listenSignalBacktest, listenSignalBacktestOnce, listenSignalLive, listenSignalLiveOnce, listenSignalOnce, listenStrategyCommit, listenStrategyCommitOnce, listenValidation, listenWalker, listenWalkerComplete, listenWalkerOnce, listenWalkerProgress, overrideActionSchema, overrideExchangeSchema, overrideFrameSchema, overrideRiskSchema, overrideSizingSchema, overrideStrategySchema, overrideWalkerSchema, parseArgs, roundTicks, set, setColumns, setConfig, setLogger, shutdown, stopStrategy, validate, waitForCandle, warmCandles };
|
|
40085
|
+
export { ActionBase, Backtest, Breakeven, Cache, Constant, Exchange, ExecutionContextService, Heat, Live, Log, Markdown, MarkdownFileBase, MarkdownFolderBase, MethodContextService, Notification, NotificationBacktest, NotificationLive, Partial, Performance, PersistBase, PersistBreakevenAdapter, PersistCandleAdapter, PersistLogAdapter, PersistMeasureAdapter, PersistNotificationAdapter, PersistPartialAdapter, PersistRiskAdapter, PersistScheduleAdapter, PersistSignalAdapter, PersistStorageAdapter, PositionSize, Report, ReportBase, Risk, Schedule, Storage, StorageBacktest, StorageLive, Strategy, Walker, addActionSchema, addExchangeSchema, addFrameSchema, addRiskSchema, addSizingSchema, addStrategySchema, addWalkerSchema, alignToInterval, checkCandles, commitActivateScheduled, commitAverageBuy, commitBreakeven, commitCancelScheduled, commitClosePending, commitPartialLoss, commitPartialProfit, commitTrailingStop, commitTrailingTake, dumpMessages, emitters, formatPrice, formatQuantity, get, getActionSchema, getAggregatedTrades, getAveragePrice, getBacktestTimeframe, getBreakeven, getCandles, getColumns, getConfig, getContext, getDate, getDefaultColumns, getDefaultConfig, getEffectivePriceOpen, getExchangeSchema, getFrameSchema, getMode, getNextCandles, getOrderBook, getPendingSignal, getRawCandles, getRiskSchema, getScheduledSignal, getSizingSchema, getStrategySchema, getSymbol, getTimestamp, getTotalClosed, getTotalCostClosed, getTotalPercentClosed, getWalkerSchema, hasTradeContext, backtest as lib, listExchangeSchema, listFrameSchema, listRiskSchema, listSizingSchema, listStrategySchema, listWalkerSchema, listenActivePing, listenActivePingOnce, listenBacktestProgress, listenBreakevenAvailable, listenBreakevenAvailableOnce, listenDoneBacktest, listenDoneBacktestOnce, listenDoneLive, listenDoneLiveOnce, listenDoneWalker, listenDoneWalkerOnce, listenError, listenExit, listenPartialLossAvailable, listenPartialLossAvailableOnce, listenPartialProfitAvailable, listenPartialProfitAvailableOnce, listenPerformance, listenRisk, listenRiskOnce, listenSchedulePing, listenSchedulePingOnce, listenSignal, listenSignalBacktest, listenSignalBacktestOnce, listenSignalLive, listenSignalLiveOnce, listenSignalOnce, listenStrategyCommit, listenStrategyCommitOnce, listenValidation, listenWalker, listenWalkerComplete, listenWalkerOnce, listenWalkerProgress, overrideActionSchema, overrideExchangeSchema, overrideFrameSchema, overrideRiskSchema, overrideSizingSchema, overrideStrategySchema, overrideWalkerSchema, parseArgs, roundTicks, set, setColumns, setConfig, setLogger, shutdown, stopStrategy, toProfitLossDto, validate, waitForCandle, warmCandles };
|