feat: enhance fee management with API integration and audit trail support

scripts/backtest_replay.py

@@ -6,10 +6,31 @@ from collections.abc import Mapping
 from datetime import UTC, datetime
 from pathlib import Path
 
+import duckdb
+
 from arbitrade.backtesting.replay import BacktestConfig, BacktestReplayEngine, load_replay_events
 from arbitrade.detection.graph import CurrencyGraph, TriangularCycle
 
 
+def _resolve_fee_rate(fee_rate: float | None, db_path: str | None = None) -> float:
+    """Resolve fee rate from arg or DB snapshot. Falls back to 0.0026."""
+    if fee_rate is not None:
+        return fee_rate
+    if db_path is not None:
+        try:
+            conn = duckdb.connect(db_path)
+            row = conn.execute("""
+                SELECT maker_fee FROM kraken_account_snapshots
+                ORDER BY snapshot_at DESC LIMIT 1
+            """).fetchone()
+            conn.close()
+            if row is not None and row[0] is not None:
+                return float(row[0])
+        except Exception:
+            pass
+    return 0.0026  # ultimate fallback
+
+
 def _build_graph() -> tuple[dict[str, list[TriangularCycle]], list[str]]:
     graph = CurrencyGraph()
     graph.add_pair("USD", "BTC", "BTC/USD")
@@ -30,19 +51,23 @@ def _parse_balances(raw: str) -> Mapping[str, float]:
 
 
 def main() -> int:
-    parser = argparse.ArgumentParser(description="Run a deterministic replay backtest.")
+    parser = argparse.ArgumentParser(
+        description="Run a deterministic replay backtest.")
     parser.add_argument("--events", type=Path, required=True)
     parser.add_argument("--starting-balances", type=str, default="USD=1000.0")
     parser.add_argument("--trade-capital", type=float, default=100.0)
-    parser.add_argument("--fee-rate", type=float, default=0.0026)
+    parser.add_argument("--fee-rate", type=float, default=None)
     parser.add_argument("--slippage-bps", type=float, default=4.0)
     parser.add_argument("--execution-latency-ms", type=float, default=20.0)
+    parser.add_argument("--db-path", type=str, default=None,
+                        help="DuckDB path for fee lookup")
     args = parser.parse_args()
 
     cycles_by_pair, available_pairs = _build_graph()
     events = load_replay_events(args.events)
+    fee_rate = _resolve_fee_rate(args.fee_rate, args.db_path)
     config = BacktestConfig(
-        fee_rate=args.fee_rate,
+        fee_rate=fee_rate,
         trade_capital=args.trade_capital,
         slippage_bps=args.slippage_bps,
         execution_latency_ms=args.execution_latency_ms,
@@ -55,15 +80,18 @@ def main() -> int:
         started_at=events[0].occurred_at if events else datetime.now(UTC),
     )
     report = asyncio.run(
-        engine.run(events, starting_balances=_parse_balances(args.starting_balances))
+        engine.run(events, starting_balances=_parse_balances(
+            args.starting_balances))
     )
 
     print("Backtest report:")
     print(f"- processed_events: {report.processed_events}")
     print(f"- opportunities_seen: {report.opportunities_seen}")
     print(f"- trades_executed: {report.trades_executed}")
-    print(f"- win_rate: {report.win_rate if report.win_rate is not None else 'n/a'}")
-    print(f"- fill_rate: {report.fill_rate if report.fill_rate is not None else 'n/a'}")
+    print(
+        f"- win_rate: {report.win_rate if report.win_rate is not None else 'n/a'}")
+    print(
+        f"- fill_rate: {report.fill_rate if report.fill_rate is not None else 'n/a'}")
     print(f"- realized_pnl_usd: {report.realized_pnl_usd:.4f}")
     print(f"- max_drawdown_usd: {report.max_drawdown_usd:.4f}")
     print(f"- miss_reasons: {dict(report.miss_reasons)}")