zwitschi
38e1d64437
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- 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.
73 lines
6.1 KiB
Markdown
73 lines
6.1 KiB
Markdown
# Changelog
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## [Unreleased] - 2026-06-01
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### Added
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- Added stop-condition risk controls for abnormal source/apply latency and repeated execution failures.
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- Added a new stop-conditions guard and integration in market feed processing.
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- Added multi-channel alerting infrastructure with Telegram, Discord webhook, and SMTP channel clients.
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- Added alert configuration settings for severity threshold, category routing, and dedup cooldown.
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- Added dashboard alert status surfacing with configured channels and last-send delivery outcome.
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- Added append-only `audit_events` schema plus repository support for insert/query of recent audit records.
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- Added dashboard audit fragment and protected API endpoint for recent audit entries.
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- Added runtime lifecycle manager with startup recovery and graceful shutdown orchestration.
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- Added `runtime_state_snapshots` persistence for control flags, open trade count, and last known balances.
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- Added CI security gates for dependency auditing (`pip-audit --strict`) and a repository/worktree secret scan script.
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- Added strict settings validators for auth pairing, Kraken credential pairing, alert severity bounds, and key-scope policy.
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- Added synthetic latency profiler scenarios and CLI scripts for baseline generation and regression checks.
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- Added latency baseline/threshold artifacts and CI latency guardrail enforcement.
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- Added deterministic replay backtesting engine, CLI script, and unit coverage for JSONL event replay.
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- Added backtesting parameter sweep support (`scripts/backtest_sweep.py`) for theta, trade-capital, pair-universe, and staleness-threshold grid search.
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- Added persisted sweep artifacts with ranked in-sample/out-of-sample results and promotion-ready candidate reporting.
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- Added out-of-sample overfit guards via train/test time-window split and generalization-gap checks.
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- Added dashboard controls for tradable pair universe selection and strategy mode/parameter configuration.
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- Added feature-flagged statistical arbitrage experiment scaffold (`src/arbitrade/strategy/stat_arb.py`) with mean-reversion signal lifecycle.
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- Added strategy feature-flag settings for statistical arbitrage experiment activation and z-score/holding-window controls.
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- Added unit coverage for statistical arbitrage experiment behavior and new strategy settings validation rules.
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- Added dedicated backtesting dashboard page (`/dashboard/backtesting`) with run controls for replay path, fee profile, balances, slippage, and execution latency.
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- Added backtesting run/report endpoints (`/dashboard/backtesting/run`, `/dashboard/api/backtesting/reports`) and recent-report history surfaced in UI.
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### Changed
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- Live execution path now auto-activates the kill switch when configured stop conditions are breached.
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- Added configuration env keys for stop-condition thresholds.
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- WebSocket client now emits system alerts for disconnect/reconnect and heartbeat staleness timeout events.
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- Added explicit Kraken API key permission configuration (`KRAKEN_API_KEY_PERMISSIONS`) and docs for least-privilege key usage.
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- Optimized dashboard metrics aggregation to use DuckDB SQL aggregates/quantiles instead of Python row scans.
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- Added backtesting usage and replay format documentation to README.
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- Dashboard controls now surface tradable pairs and strategy config snapshot values.
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- CI now publishes `git.allucanget.biz/allucanget/arbitrade:latest`, and README now documents Coolify image deployment with runtime environment variables managed in Coolify.
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- Dashboard strategy-mode validation now allows `stat_arb_experiment` only when feature flag is enabled.
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- README now documents deferred cross-exchange architecture requirements, risk assumptions, and promotion milestones for strategy expansion.
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### Removed
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- None.
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### Fixed
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- Added/expanded unit coverage for risk limits and kill-switch enforcement, including stop-condition scenarios.
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- Added partial-fill recovery logic that cancels open orders when possible and hedges residual exposure on timeout or failure.
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- Added deterministic order idempotency via Kraken userref plus reconciliation helpers for Kraken order history responses.
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- Added execution journaling for trades, orders, and estimated P&L, plus a DuckDB startup fallback when the default file path is unavailable.
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- Added a mocked execution integration test that drives the triangular sequencer through the execution journal and DuckDB persistence.
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- Added a DuckDB-backed performance metrics calculator for realized P&L, win rate, trade duration, opportunities/min, fill rate, and latency percentiles.
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- Added dashboard page plus HTMX metrics fragment and SSE metrics stream.
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- Added dashboard live overview panel for status, balances, open trades, realized P&L, and opportunity feed with HTMX refresh and SSE updates.
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- Added dashboard controls for start/stop, config edits, and manual kill-switch triggering via HTMX POST forms.
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- Added Alpine.js interactivity and a Chart.js opportunity trend panel to the dashboard.
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- Added optional HTTP Basic authentication for dashboard routes, fragments, streams, and control endpoints.
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- Added alert wiring for dashboard control actions, execution success/failure, and threshold breaches in risk guards.
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- Added unit/integration tests covering alert notifier behavior and alert emission paths.
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- Added critical system alert emission when live opportunity executor raises an unhandled exception.
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- Added WebSocket and market-feed tests for system-event alerting paths.
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- Added notifier status snapshot tracking and protected alert-status API endpoint for operational visibility.
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- Added audit event writes for dashboard controls and detector/risk/execution decision points.
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- Added tests for audit repository and dashboard audit route coverage.
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- Added startup restart safety guard that halts execution when open trades are detected after restart.
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- Added lifecycle tests for snapshot persistence, worker draining, recovery restore, and startup reconciliation hook.
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- Added unit coverage for security-related settings validation paths.
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- Added latency guardrail unit coverage and documented measured metrics aggregation speedup (`1.14x`).
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- Added deterministic replay tests that exercise the backtesting path without depending on live services.
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