feat: add backtesting functionality with UI and API endpoints
CI / lint-test-build (push) Successful in 2m31s
CI / lint-test-build (push) Successful in 2m31s
- Introduced backtesting page and fragment in the dashboard for running backtests and viewing recent reports. - Implemented backtest run logic with configuration options including event path, starting balances, trade capital, and fee profiles. - Added recent backtest reports storage and retrieval. - Created a new strategy module for statistical arbitrage experiments with validation on configuration parameters. - Updated settings to include parameters for the statistical arbitrage strategy. - Enhanced dashboard controls to support the new strategy mode. - Added unit tests for backtesting functionality and strategy validation. - Updated templates for backtesting UI integration.
This commit is contained in:
@@ -32,65 +32,117 @@ class Settings(BaseSettings):
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)
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alerts_enabled: bool = Field(default=True, alias="ALERTS_ENABLED")
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alert_min_severity: str = Field(default="warning", alias="ALERT_MIN_SEVERITY")
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alert_dedup_seconds: float = Field(default=30.0, alias="ALERT_DEDUP_SECONDS")
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alert_on_trade_events: bool = Field(default=True, alias="ALERT_ON_TRADE_EVENTS")
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alert_on_error_events: bool = Field(default=True, alias="ALERT_ON_ERROR_EVENTS")
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alert_on_threshold_events: bool = Field(default=True, alias="ALERT_ON_THRESHOLD_EVENTS")
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alert_on_system_events: bool = Field(default=True, alias="ALERT_ON_SYSTEM_EVENTS")
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alert_min_severity: str = Field(
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default="warning", alias="ALERT_MIN_SEVERITY")
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alert_dedup_seconds: float = Field(
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default=30.0, alias="ALERT_DEDUP_SECONDS")
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alert_on_trade_events: bool = Field(
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default=True, alias="ALERT_ON_TRADE_EVENTS")
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alert_on_error_events: bool = Field(
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default=True, alias="ALERT_ON_ERROR_EVENTS")
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alert_on_threshold_events: bool = Field(
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default=True, alias="ALERT_ON_THRESHOLD_EVENTS")
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alert_on_system_events: bool = Field(
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default=True, alias="ALERT_ON_SYSTEM_EVENTS")
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telegram_alerts_enabled: bool = Field(default=False, alias="TELEGRAM_ALERTS_ENABLED")
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telegram_bot_token: str | None = Field(default=None, alias="TELEGRAM_BOT_TOKEN")
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telegram_chat_id: str | None = Field(default=None, alias="TELEGRAM_CHAT_ID")
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telegram_alerts_enabled: bool = Field(
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default=False, alias="TELEGRAM_ALERTS_ENABLED")
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telegram_bot_token: str | None = Field(
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default=None, alias="TELEGRAM_BOT_TOKEN")
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telegram_chat_id: str | None = Field(
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default=None, alias="TELEGRAM_CHAT_ID")
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discord_alerts_enabled: bool = Field(default=False, alias="DISCORD_ALERTS_ENABLED")
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discord_webhook_url: str | None = Field(default=None, alias="DISCORD_WEBHOOK_URL")
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discord_alerts_enabled: bool = Field(
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default=False, alias="DISCORD_ALERTS_ENABLED")
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discord_webhook_url: str | None = Field(
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default=None, alias="DISCORD_WEBHOOK_URL")
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email_alerts_enabled: bool = Field(default=False, alias="EMAIL_ALERTS_ENABLED")
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email_alerts_enabled: bool = Field(
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default=False, alias="EMAIL_ALERTS_ENABLED")
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email_smtp_host: str | None = Field(default=None, alias="EMAIL_SMTP_HOST")
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email_smtp_port: int = Field(default=587, alias="EMAIL_SMTP_PORT")
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email_smtp_username: str | None = Field(default=None, alias="EMAIL_SMTP_USERNAME")
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email_smtp_password: str | None = Field(default=None, alias="EMAIL_SMTP_PASSWORD")
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email_alert_from: str | None = Field(default=None, alias="EMAIL_ALERT_FROM")
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email_smtp_username: str | None = Field(
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default=None, alias="EMAIL_SMTP_USERNAME")
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email_smtp_password: str | None = Field(
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default=None, alias="EMAIL_SMTP_PASSWORD")
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email_alert_from: str | None = Field(
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default=None, alias="EMAIL_ALERT_FROM")
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email_alert_to: str | None = Field(default=None, alias="EMAIL_ALERT_TO")
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email_smtp_use_tls: bool = Field(default=True, alias="EMAIL_SMTP_USE_TLS")
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duckdb_path: Path = Field(default=Path("./data/arbitrade.duckdb"), alias="DUCKDB_PATH")
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duckdb_path: Path = Field(default=Path(
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"./data/arbitrade.duckdb"), alias="DUCKDB_PATH")
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kraken_rest_url: str = Field(default="https://api.kraken.com", alias="KRAKEN_REST_URL")
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kraken_ws_url: str = Field(default="wss://ws.kraken.com/v2", alias="KRAKEN_WS_URL")
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kraken_rest_url: str = Field(
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default="https://api.kraken.com", alias="KRAKEN_REST_URL")
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kraken_ws_url: str = Field(
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default="wss://ws.kraken.com/v2", alias="KRAKEN_WS_URL")
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kraken_private_rate_limit_seconds: float = Field(
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default=1.0, alias="KRAKEN_PRIVATE_RATE_LIMIT_SECONDS"
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)
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kraken_http_timeout_seconds: float = Field(default=10.0, alias="KRAKEN_HTTP_TIMEOUT_SECONDS")
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kraken_retry_attempts: int = Field(default=3, alias="KRAKEN_RETRY_ATTEMPTS")
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kraken_http_timeout_seconds: float = Field(
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default=10.0, alias="KRAKEN_HTTP_TIMEOUT_SECONDS")
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kraken_retry_attempts: int = Field(
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default=3, alias="KRAKEN_RETRY_ATTEMPTS")
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kraken_retry_base_delay_seconds: float = Field(
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default=0.25, alias="KRAKEN_RETRY_BASE_DELAY_SECONDS"
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)
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kraken_api_key: str | None = Field(default=None, alias="KRAKEN_API_KEY")
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kraken_api_secret: str | None = Field(default=None, alias="KRAKEN_API_SECRET")
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kraken_api_secret: str | None = Field(
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default=None, alias="KRAKEN_API_SECRET")
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kraken_api_key_permissions: str = Field(
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default="query,trade",
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alias="KRAKEN_API_KEY_PERMISSIONS",
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)
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ws_heartbeat_timeout_seconds: float = Field(default=20.0, alias="WS_HEARTBEAT_TIMEOUT_SECONDS")
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ws_max_staleness_seconds: float = Field(default=5.0, alias="WS_MAX_STALENESS_SECONDS")
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ws_heartbeat_timeout_seconds: float = Field(
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default=20.0, alias="WS_HEARTBEAT_TIMEOUT_SECONDS")
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ws_max_staleness_seconds: float = Field(
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default=5.0, alias="WS_MAX_STALENESS_SECONDS")
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strategy_enable_stat_arb_experiment: bool = Field(
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default=False,
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alias="STRATEGY_ENABLE_STAT_ARB_EXPERIMENT",
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)
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strategy_stat_arb_lookback_window: int = Field(
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default=120,
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alias="STRATEGY_STAT_ARB_LOOKBACK_WINDOW",
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)
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strategy_stat_arb_entry_zscore: float = Field(
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default=2.0,
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alias="STRATEGY_STAT_ARB_ENTRY_ZSCORE",
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)
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strategy_stat_arb_exit_zscore: float = Field(
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default=0.5,
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alias="STRATEGY_STAT_ARB_EXIT_ZSCORE",
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)
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strategy_stat_arb_max_holding_seconds: float = Field(
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default=900.0,
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alias="STRATEGY_STAT_ARB_MAX_HOLDING_SECONDS",
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)
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paper_trading_mode: bool = Field(default=True, alias="PAPER_TRADING_MODE")
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trade_capital_usd: float = Field(default=100.0, alias="TRADE_CAPITAL_USD")
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max_trade_capital_usd: float = Field(default=100.0, alias="MAX_TRADE_CAPITAL_USD")
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max_concurrent_trades: int | None = Field(default=None, alias="MAX_CONCURRENT_TRADES")
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max_trade_capital_usd: float = Field(
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default=100.0, alias="MAX_TRADE_CAPITAL_USD")
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max_concurrent_trades: int | None = Field(
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default=None, alias="MAX_CONCURRENT_TRADES")
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max_exposure_per_asset_usd: float | None = Field(
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default=None,
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alias="MAX_EXPOSURE_PER_ASSET_USD",
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)
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quote_balance_asset: str = Field(default="USD", alias="QUOTE_BALANCE_ASSET")
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min_order_size_usd: float | None = Field(default=None, alias="MIN_ORDER_SIZE_USD")
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quote_balance_asset: str = Field(
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default="USD", alias="QUOTE_BALANCE_ASSET")
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min_order_size_usd: float | None = Field(
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default=None, alias="MIN_ORDER_SIZE_USD")
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kill_switch_active: bool = Field(default=False, alias="KILL_SWITCH_ACTIVE")
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daily_loss_limit_usd: float | None = Field(default=None, alias="DAILY_LOSS_LIMIT_USD")
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cumulative_loss_limit_usd: float | None = Field(default=None, alias="CUMULATIVE_LOSS_LIMIT_USD")
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max_source_latency_ms: float | None = Field(default=None, alias="MAX_SOURCE_LATENCY_MS")
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max_apply_latency_ms: float | None = Field(default=None, alias="MAX_APPLY_LATENCY_MS")
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max_consecutive_failures: int | None = Field(default=None, alias="MAX_CONSECUTIVE_FAILURES")
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daily_loss_limit_usd: float | None = Field(
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default=None, alias="DAILY_LOSS_LIMIT_USD")
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cumulative_loss_limit_usd: float | None = Field(
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default=None, alias="CUMULATIVE_LOSS_LIMIT_USD")
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max_source_latency_ms: float | None = Field(
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default=None, alias="MAX_SOURCE_LATENCY_MS")
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max_apply_latency_ms: float | None = Field(
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default=None, alias="MAX_APPLY_LATENCY_MS")
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max_consecutive_failures: int | None = Field(
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default=None, alias="MAX_CONSECUTIVE_FAILURES")
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fernet_key: str | None = Field(default=None, alias="FERNET_KEY")
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@@ -107,7 +159,8 @@ class Settings(BaseSettings):
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def _validate_log_level(cls, value: str) -> str:
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normalized = value.strip().upper()
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if normalized not in {"DEBUG", "INFO", "WARNING", "ERROR", "CRITICAL"}:
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raise ValueError("LOG_LEVEL must be one of: DEBUG, INFO, WARNING, ERROR, CRITICAL")
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raise ValueError(
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"LOG_LEVEL must be one of: DEBUG, INFO, WARNING, ERROR, CRITICAL")
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return normalized
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@field_validator("alert_min_severity")
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@@ -115,16 +168,19 @@ class Settings(BaseSettings):
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def _validate_alert_severity(cls, value: str) -> str:
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normalized = value.strip().lower()
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if normalized not in {"info", "warning", "error", "critical"}:
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raise ValueError("ALERT_MIN_SEVERITY must be one of: info, warning, error, critical")
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raise ValueError(
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"ALERT_MIN_SEVERITY must be one of: info, warning, error, critical")
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return normalized
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@model_validator(mode="after")
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def _validate_security_constraints(self) -> Settings:
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if bool(self.dashboard_auth_username) ^ bool(self.dashboard_auth_password):
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raise ValueError("dashboard auth requires both username and password")
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raise ValueError(
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"dashboard auth requires both username and password")
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if bool(self.kraken_api_key) ^ bool(self.kraken_api_secret):
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raise ValueError("Kraken API auth requires both API key and secret")
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raise ValueError(
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"Kraken API auth requires both API key and secret")
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permissions = {
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token.strip().lower()
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@@ -132,13 +188,29 @@ class Settings(BaseSettings):
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if token.strip()
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}
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if permissions and ("query" not in permissions or "trade" not in permissions):
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raise ValueError("KRAKEN_API_KEY_PERMISSIONS must include query and trade")
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raise ValueError(
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"KRAKEN_API_KEY_PERMISSIONS must include query and trade")
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if "withdraw" in permissions or "withdrawals" in permissions:
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raise ValueError("KRAKEN_API_KEY_PERMISSIONS must not include withdrawal scope")
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raise ValueError(
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"KRAKEN_API_KEY_PERMISSIONS must not include withdrawal scope")
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if self.alert_dedup_seconds < 0.0:
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raise ValueError("ALERT_DEDUP_SECONDS must be >= 0")
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if self.strategy_stat_arb_lookback_window < 2:
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raise ValueError("STRATEGY_STAT_ARB_LOOKBACK_WINDOW must be >= 2")
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if self.strategy_stat_arb_entry_zscore <= 0.0:
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raise ValueError("STRATEGY_STAT_ARB_ENTRY_ZSCORE must be > 0")
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if self.strategy_stat_arb_exit_zscore < 0.0:
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raise ValueError("STRATEGY_STAT_ARB_EXIT_ZSCORE must be >= 0")
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if self.strategy_stat_arb_entry_zscore <= self.strategy_stat_arb_exit_zscore:
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raise ValueError(
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"STRATEGY_STAT_ARB_ENTRY_ZSCORE must be greater than STRATEGY_STAT_ARB_EXIT_ZSCORE"
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)
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if self.strategy_stat_arb_max_holding_seconds <= 0.0:
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raise ValueError(
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"STRATEGY_STAT_ARB_MAX_HOLDING_SECONDS must be > 0")
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return self
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