zwitschi
c8e3daeb57
CI / lint-test-build (push) Failing after 12s
- Consolidated multiline string formatting into single-line for SQL queries in multiple files. - Adjusted argument formatting in function calls for better alignment and readability. - Removed unnecessary line breaks and improved spacing in various sections of the codebase. - Updated test cases to maintain consistency in formatting and improve clarity.
106 lines
3.8 KiB
Python
106 lines
3.8 KiB
Python
from __future__ import annotations
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import argparse
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import asyncio
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from collections.abc import Mapping
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from datetime import UTC, datetime
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from pathlib import Path
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import duckdb
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from arbitrade.backtesting.replay import BacktestConfig, BacktestReplayEngine, load_replay_events
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from arbitrade.detection.graph import CurrencyGraph, TriangularCycle
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def _resolve_fee_rate(fee_rate: float | None, db_path: str | None = None) -> float:
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"""Resolve fee rate from arg or DB snapshot. Falls back to 0.0026."""
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if fee_rate is not None:
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return fee_rate
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if db_path is not None:
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try:
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conn = duckdb.connect(db_path)
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row = conn.execute(
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"""
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SELECT maker_fee FROM kraken_account_snapshots
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ORDER BY snapshot_at DESC LIMIT 1
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"""
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).fetchone()
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conn.close()
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if row is not None and row[0] is not None:
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return float(row[0])
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except Exception:
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pass
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return 0.0026 # ultimate fallback
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def _build_graph() -> tuple[dict[str, list[TriangularCycle]], list[str]]:
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graph = CurrencyGraph()
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graph.add_pair("USD", "BTC", "BTC/USD")
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graph.add_pair("BTC", "ETH", "ETH/BTC")
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graph.add_pair("ETH", "USD", "ETH/USD")
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cycles = graph.triangular_cycles()
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return graph.index_cycles_by_pair(cycles), ["BTC/USD", "ETH/BTC", "ETH/USD"]
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def _parse_balances(raw: str) -> Mapping[str, float]:
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balances: dict[str, float] = {}
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for entry in raw.split(","):
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if not entry.strip():
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continue
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asset, value = entry.split("=", 1)
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balances[asset.strip().upper()] = float(value)
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return balances
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def main() -> int:
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parser = argparse.ArgumentParser(description="Run a deterministic replay backtest.")
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parser.add_argument("--events", type=Path, required=True)
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parser.add_argument("--starting-balances", type=str, default="USD=1000.0")
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parser.add_argument("--trade-capital", type=float, default=100.0)
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parser.add_argument("--fee-rate", type=float, default=None)
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parser.add_argument("--slippage-bps", type=float, default=4.0)
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parser.add_argument("--execution-latency-ms", type=float, default=20.0)
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parser.add_argument("--db-path", type=str, default=None, help="DuckDB path for fee lookup")
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args = parser.parse_args()
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cycles_by_pair, available_pairs = _build_graph()
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events = load_replay_events(args.events)
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fee_rate = _resolve_fee_rate(args.fee_rate, args.db_path)
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config = BacktestConfig(
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fee_rate=fee_rate,
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trade_capital=args.trade_capital,
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slippage_bps=args.slippage_bps,
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execution_latency_ms=args.execution_latency_ms,
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)
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engine = BacktestReplayEngine(
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cycles_by_pair=cycles_by_pair,
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available_pairs=available_pairs,
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config=config,
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started_at=events[0].occurred_at if events else datetime.now(UTC),
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)
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report = asyncio.run(
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engine.run(events, starting_balances=_parse_balances(args.starting_balances))
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)
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print("Backtest report:")
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print(f"- processed_events: {report.processed_events}")
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print(f"- opportunities_seen: {report.opportunities_seen}")
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print(f"- trades_executed: {report.trades_executed}")
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print(f"- win_rate: {report.win_rate if report.win_rate is not None else 'n/a'}")
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print(f"- fill_rate: {report.fill_rate if report.fill_rate is not None else 'n/a'}")
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print(f"- realized_pnl_usd: {report.realized_pnl_usd:.4f}")
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print(f"- max_drawdown_usd: {report.max_drawdown_usd:.4f}")
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print(f"- miss_reasons: {dict(report.miss_reasons)}")
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print(
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"- execution_latency_ms: "
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f"p50={report.execution_latency_p50_ms or 0.0:.4f}, "
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f"p95={report.execution_latency_p95_ms or 0.0:.4f}, "
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f"p99={report.execution_latency_p99_ms or 0.0:.4f}"
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)
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return 0
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if __name__ == "__main__":
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raise SystemExit(main())
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