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feat: add backtesting functionality with UI and API endpoints 
- 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.
2026-06-02 09:28:22 +02:00

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Changelog

[Unreleased] - 2026-06-01

Added

  • Added stop-condition risk controls for abnormal source/apply latency and repeated execution failures.
  • Added a new stop-conditions guard and integration in market feed processing.
  • Added multi-channel alerting infrastructure with Telegram, Discord webhook, and SMTP channel clients.
  • Added alert configuration settings for severity threshold, category routing, and dedup cooldown.
  • Added dashboard alert status surfacing with configured channels and last-send delivery outcome.
  • Added append-only audit_events schema plus repository support for insert/query of recent audit records.
  • Added dashboard audit fragment and protected API endpoint for recent audit entries.
  • Added runtime lifecycle manager with startup recovery and graceful shutdown orchestration.
  • Added runtime_state_snapshots persistence for control flags, open trade count, and last known balances.
  • Added CI security gates for dependency auditing (pip-audit --strict) and a repository/worktree secret scan script.
  • Added strict settings validators for auth pairing, Kraken credential pairing, alert severity bounds, and key-scope policy.
  • Added synthetic latency profiler scenarios and CLI scripts for baseline generation and regression checks.
  • Added latency baseline/threshold artifacts and CI latency guardrail enforcement.
  • Added deterministic replay backtesting engine, CLI script, and unit coverage for JSONL event replay.
  • Added backtesting parameter sweep support (scripts/backtest_sweep.py) for theta, trade-capital, pair-universe, and staleness-threshold grid search.
  • Added persisted sweep artifacts with ranked in-sample/out-of-sample results and promotion-ready candidate reporting.
  • Added out-of-sample overfit guards via train/test time-window split and generalization-gap checks.
  • Added dashboard controls for tradable pair universe selection and strategy mode/parameter configuration.
  • Added feature-flagged statistical arbitrage experiment scaffold (src/arbitrade/strategy/stat_arb.py) with mean-reversion signal lifecycle.
  • Added strategy feature-flag settings for statistical arbitrage experiment activation and z-score/holding-window controls.
  • Added unit coverage for statistical arbitrage experiment behavior and new strategy settings validation rules.
  • Added dedicated backtesting dashboard page (/dashboard/backtesting) with run controls for replay path, fee profile, balances, slippage, and execution latency.
  • Added backtesting run/report endpoints (/dashboard/backtesting/run, /dashboard/api/backtesting/reports) and recent-report history surfaced in UI.

Changed

  • Live execution path now auto-activates the kill switch when configured stop conditions are breached.
  • Added configuration env keys for stop-condition thresholds.
  • WebSocket client now emits system alerts for disconnect/reconnect and heartbeat staleness timeout events.
  • Added explicit Kraken API key permission configuration (KRAKEN_API_KEY_PERMISSIONS) and docs for least-privilege key usage.
  • Optimized dashboard metrics aggregation to use DuckDB SQL aggregates/quantiles instead of Python row scans.
  • Added backtesting usage and replay format documentation to README.
  • Dashboard controls now surface tradable pairs and strategy config snapshot values.
  • CI now publishes git.allucanget.biz/allucanget/arbitrade:latest, and README now documents Coolify image deployment with runtime environment variables managed in Coolify.
  • Dashboard strategy-mode validation now allows stat_arb_experiment only when feature flag is enabled.
  • README now documents deferred cross-exchange architecture requirements, risk assumptions, and promotion milestones for strategy expansion.

Removed

  • None.

Fixed

  • Added/expanded unit coverage for risk limits and kill-switch enforcement, including stop-condition scenarios.
  • Added partial-fill recovery logic that cancels open orders when possible and hedges residual exposure on timeout or failure.
  • Added deterministic order idempotency via Kraken userref plus reconciliation helpers for Kraken order history responses.
  • Added execution journaling for trades, orders, and estimated P&L, plus a DuckDB startup fallback when the default file path is unavailable.
  • Added a mocked execution integration test that drives the triangular sequencer through the execution journal and DuckDB persistence.
  • Added a DuckDB-backed performance metrics calculator for realized P&L, win rate, trade duration, opportunities/min, fill rate, and latency percentiles.
  • Added dashboard page plus HTMX metrics fragment and SSE metrics stream.
  • Added dashboard live overview panel for status, balances, open trades, realized P&L, and opportunity feed with HTMX refresh and SSE updates.
  • Added dashboard controls for start/stop, config edits, and manual kill-switch triggering via HTMX POST forms.
  • Added Alpine.js interactivity and a Chart.js opportunity trend panel to the dashboard.
  • Added optional HTTP Basic authentication for dashboard routes, fragments, streams, and control endpoints.
  • Added alert wiring for dashboard control actions, execution success/failure, and threshold breaches in risk guards.
  • Added unit/integration tests covering alert notifier behavior and alert emission paths.
  • Added critical system alert emission when live opportunity executor raises an unhandled exception.
  • Added WebSocket and market-feed tests for system-event alerting paths.
  • Added notifier status snapshot tracking and protected alert-status API endpoint for operational visibility.
  • Added audit event writes for dashboard controls and detector/risk/execution decision points.
  • Added tests for audit repository and dashboard audit route coverage.
  • Added startup restart safety guard that halts execution when open trades are detected after restart.
  • Added lifecycle tests for snapshot persistence, worker draining, recovery restore, and startup reconciliation hook.
  • Added unit coverage for security-related settings validation paths.
  • Added latency guardrail unit coverage and documented measured metrics aggregation speedup (1.14x).
  • Added deterministic replay tests that exercise the backtesting path without depending on live services.
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