Implement Backtest Engine - Historical Data Replay
Implements issue #7 - Backtest Engine for historical strategy testing. Changes: - Created AveCloudClient for fetching klines from AVE Cloud Data API - Implemented BacktestEngine with condition matching (price_drop, price_rise, volume_spike, price_level) - Implemented signal generation and portfolio simulation - Calculates metrics: total_return, win_rate, max_drawdown, sharpe_ratio, total_trades - Implemented async/background backtest execution via FastAPI BackgroundTasks - Stores results in backtests table and signals table - All backtest API endpoints with JWT auth and ownership validation API Endpoints: - POST /api/bots/{id}/backtest - Start backtest - GET /api/bots/{id}/backtest/{run_id} - Get status/results - GET /api/bots/{id}/backtests - List all backtests - POST /api/bots/{id}/backtest/{run_id}/stop - Stop running backtest
This commit is contained in:
shokollm
@@ -1,36 +1,219 @@
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from fastapi import APIRouter, Depends, HTTPException, status
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import uuid
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import asyncio
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from datetime import datetime
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from fastapi import APIRouter, Depends, HTTPException, status, BackgroundTasks
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from sqlalchemy.orm import Session
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from typing import List
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from typing import List, Dict, Any, Optional
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from concurrent.futures import ThreadPoolExecutor
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from .auth import get_current_user
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from ..core.database import get_db
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from ..core.config import get_settings
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from ..db.schemas import BacktestCreate, BacktestResponse
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from ..db.models import Bot, Backtest, Signal, User
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router = APIRouter()
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running_backtests: Dict[str, Any] = {}
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executor = ThreadPoolExecutor(max_workers=4)
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@router.post("/bots/{bot_id}/backtest", response_model=BacktestResponse)
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def start_backtest(bot_id: str, config: BacktestCreate, db: Session = Depends(get_db)):
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raise HTTPException(
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status_code=status.HTTP_501_NOT_IMPLEMENTED, detail="Not implemented"
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def run_backtest_sync(
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backtest_id: str, db_url: str, bot_id: str, config: Dict[str, Any]
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):
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import asyncio
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from ..services.backtest.engine import BacktestEngine
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from ..core.database import SessionLocal
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async def _run():
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engine = BacktestEngine(config)
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engine.run_id = backtest_id
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running_backtests[backtest_id] = engine
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try:
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results = await engine.run()
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db = SessionLocal()
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try:
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backtest = db.query(Backtest).filter(Backtest.id == backtest_id).first()
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if backtest:
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backtest.status = engine.status
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backtest.ended_at = datetime.utcnow()
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backtest.result = results
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db.commit()
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for signal in engine.signals:
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db_signal = Signal(
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id=signal["id"],
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bot_id=signal["bot_id"],
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run_id=signal["run_id"],
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signal_type=signal["signal_type"],
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token=signal["token"],
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price=signal["price"],
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confidence=signal.get("confidence"),
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reasoning=signal.get("reasoning"),
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executed=signal.get("executed", False),
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created_at=signal["created_at"],
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)
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db.add(db_signal)
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db.commit()
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finally:
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db.close()
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finally:
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if backtest_id in running_backtests:
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del running_backtests[backtest_id]
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asyncio.run(_run())
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@router.post(
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"/bots/{bot_id}/backtest",
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response_model=BacktestResponse,
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status_code=status.HTTP_201_CREATED,
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)
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async def start_backtest(
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bot_id: str,
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config: BacktestCreate,
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background_tasks: BackgroundTasks,
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current_user: User = Depends(get_current_user),
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db: Session = Depends(get_db),
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):
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bot = db.query(Bot).filter(Bot.id == bot_id).first()
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if not bot:
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raise HTTPException(
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status_code=status.HTTP_404_NOT_FOUND, detail="Bot not found"
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)
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if bot.user_id != current_user.id:
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raise HTTPException(
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status_code=status.HTTP_403_FORBIDDEN, detail="Not authorized"
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)
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settings = get_settings()
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backtest_id = str(uuid.uuid4())
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backtest_config = {
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"bot_id": bot_id,
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"token": config.token,
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"chain": config.chain,
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"timeframe": config.timeframe,
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"start_date": config.start_date,
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"end_date": config.end_date,
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"strategy_config": bot.strategy_config,
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"ave_api_key": settings.AVE_API_KEY,
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"ave_api_plan": settings.AVE_API_PLAN,
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"initial_balance": 10000.0,
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}
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backtest = Backtest(
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id=backtest_id,
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bot_id=bot_id,
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started_at=datetime.utcnow(),
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status="running",
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config={
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"token": config.token,
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"chain": config.chain,
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"timeframe": config.timeframe,
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"start_date": config.start_date,
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"end_date": config.end_date,
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},
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)
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db.add(backtest)
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db.commit()
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db.refresh(backtest)
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db_url = str(settings.DATABASE_URL)
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background_tasks.add_task(
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run_backtest_sync, backtest_id, db_url, bot_id, backtest_config
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)
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return backtest
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@router.get("/bots/{bot_id}/backtest/{run_id}", response_model=BacktestResponse)
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def get_backtest(bot_id: str, run_id: str, db: Session = Depends(get_db)):
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raise HTTPException(
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status_code=status.HTTP_501_NOT_IMPLEMENTED, detail="Not implemented"
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def get_backtest(
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bot_id: str,
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run_id: str,
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current_user: User = Depends(get_current_user),
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db: Session = Depends(get_db),
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):
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bot = db.query(Bot).filter(Bot.id == bot_id).first()
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if not bot:
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raise HTTPException(
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status_code=status.HTTP_404_NOT_FOUND, detail="Bot not found"
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)
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if bot.user_id != current_user.id:
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raise HTTPException(
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status_code=status.HTTP_403_FORBIDDEN, detail="Not authorized"
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)
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backtest = (
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db.query(Backtest)
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.filter(Backtest.id == run_id, Backtest.bot_id == bot_id)
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.first()
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)
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if not backtest:
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raise HTTPException(
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status_code=status.HTTP_404_NOT_FOUND, detail="Backtest not found"
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)
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return backtest
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@router.get("/bots/{bot_id}/backtests", response_model=List[BacktestResponse])
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def list_backtests(bot_id: str, db: Session = Depends(get_db)):
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raise HTTPException(
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status_code=status.HTTP_501_NOT_IMPLEMENTED, detail="Not implemented"
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def list_backtests(
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bot_id: str,
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current_user: User = Depends(get_current_user),
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db: Session = Depends(get_db),
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):
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bot = db.query(Bot).filter(Bot.id == bot_id).first()
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if not bot:
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raise HTTPException(
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status_code=status.HTTP_404_NOT_FOUND, detail="Bot not found"
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)
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if bot.user_id != current_user.id:
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raise HTTPException(
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status_code=status.HTTP_403_FORBIDDEN, detail="Not authorized"
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)
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backtests = (
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db.query(Backtest)
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.filter(Backtest.bot_id == bot_id)
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.order_by(Backtest.started_at.desc())
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.all()
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)
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return backtests
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@router.post("/bots/{bot_id}/backtest/{run_id}/stop")
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def stop_backtest(bot_id: str, run_id: str, db: Session = Depends(get_db)):
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raise HTTPException(
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status_code=status.HTTP_501_NOT_IMPLEMENTED, detail="Not implemented"
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def stop_backtest(
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bot_id: str,
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run_id: str,
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current_user: User = Depends(get_current_user),
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db: Session = Depends(get_db),
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):
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bot = db.query(Bot).filter(Bot.id == bot_id).first()
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if not bot:
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raise HTTPException(
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status_code=status.HTTP_404_NOT_FOUND, detail="Bot not found"
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)
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if bot.user_id != current_user.id:
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raise HTTPException(
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status_code=status.HTTP_403_FORBIDDEN, detail="Not authorized"
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)
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backtest = (
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db.query(Backtest)
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.filter(Backtest.id == run_id, Backtest.bot_id == bot_id)
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.first()
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)
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if not backtest:
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raise HTTPException(
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status_code=status.HTTP_404_NOT_FOUND, detail="Backtest not found"
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)
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if run_id in running_backtests:
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engine = running_backtests[run_id]
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asyncio.create_task(engine.stop())
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backtest.status = "stopped"
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backtest.ended_at = datetime.utcnow()
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db.commit()
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return {"status": "stopping", "run_id": run_id}
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