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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.
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Current Implementation Snapshot
This document summarizes the code that exists now, not the original plan.
Runtime
- FastAPI app starts from src/arbitrade/api/app.py.
- Settings come from
pydantic-settingsin src/arbitrade/config/settings.py. - DuckDB is initialized and migrated on startup.
- Runtime recovery persists and restores control state and snapshots.
Market Data and Detection
- Kraken market data is handled by native WS and thin REST code.
- Incremental triangular detector is implemented in src/arbitrade/detection/engine.py.
- Currency graph and cycle indexing live in src/arbitrade/detection/graph.py.
Execution and Risk
- Multi-leg execution sequencer exists for triangular cycles.
- Pre-trade validation and trade-limit guards are wired into execution flow.
- Kill switch and stop conditions are supported.
Dashboard
- Server-rendered dashboard uses FastAPI + Jinja2 + HTMX.
- Live metrics, overview, controls, charts, and audit fragments are exposed as separate endpoints.
- Dedicated backtesting page exists at
/dashboard/backtesting.
Backtesting
- Replay engine lives in src/arbitrade/backtesting/replay.py.
- Parameter sweep runner lives in src/arbitrade/backtesting/sweep.py.
- Backtesting UI runs replay from a JSONL file, stores recent reports in app state, and exposes a recent-reports API.
- Experimental stat-arb scaffold lives in src/arbitrade/strategy/stat_arb.py and is gated by feature flag.
Deployment
- Dockerfile installs runtime dependencies from
requirements/latest-runtime.in. - CI publishes
git.allucanget.biz/allucanget/arbitrade:latest. - Coolify deploys the prebuilt image and owns runtime env vars and persistent storage.
Current Gaps
- Cross-exchange arbitrage remains deferred.
- Stat-arb is experimental, not part of default live strategy.
- Backtesting UI is functional but still a single-run/report workflow, not a full job queue.