matitos
9c3bee87ac
FastAPI backend with a single-strategy async engine, paper and Binance brokers, pure-python indicators, a backtester that shares the engine's portfolio math, and a Vue dashboard with a live WebSocket feed. Adds the Gitea Actions CI/CD workflow that deploys to Traefik via docker_default.
101 lines
3.1 KiB
Python
101 lines
3.1 KiB
Python
from __future__ import annotations
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from dataclasses import dataclass
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from app.models import PositionSide
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# All functions here are pure and shared by the live engine and the backtester
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# so both compute cash, P&L and risk exits identically.
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@dataclass
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class OpenPosition:
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"""Lightweight position used by the backtester (the engine uses a DB row)."""
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side: PositionSide
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qty: float
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entry_price: float
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entry_fee: float = 0.0
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stop_loss: float | None = None
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take_profit: float | None = None
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entry_ts: int = 0
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def apply_open(cash: float, side: PositionSide, qty: float, price: float, fee: float) -> float:
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"""Cash after opening a position (buying long / selling short)."""
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notional = qty * price
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if side == PositionSide.LONG:
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return cash - notional - fee
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return cash + notional - fee
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def apply_close(cash: float, side: PositionSide, qty: float, price: float, fee: float) -> float:
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"""Cash after closing a position (selling long / buying back short)."""
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notional = qty * price
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if side == PositionSide.LONG:
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return cash + notional - fee
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return cash - notional - fee
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def realized_pnl(
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side: PositionSide,
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entry_price: float,
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exit_price: float,
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qty: float,
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entry_fee: float,
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exit_fee: float,
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) -> float:
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gross = (
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(exit_price - entry_price) * qty
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if side == PositionSide.LONG
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else (entry_price - exit_price) * qty
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)
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return gross - entry_fee - exit_fee
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def unrealized_pnl(side: PositionSide, entry_price: float, mark: float, qty: float) -> float:
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if side == PositionSide.LONG:
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return (mark - entry_price) * qty
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return (entry_price - mark) * qty
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def position_value(side: PositionSide, qty: float, mark: float) -> float:
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"""Mark-to-market value of the position as an asset (negative for shorts)."""
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return qty * mark if side == PositionSide.LONG else -qty * mark
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def account_equity(cash: float, side: PositionSide, qty: float, mark: float) -> float:
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return cash + position_value(side, qty, mark)
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def order_qty(equity: float, size: float, side: PositionSide, cash: float, price: float) -> float:
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"""Position size as a fraction of equity, capped by available cash for longs."""
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if price <= 0:
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return 0.0
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size = max(0.0, min(size, 1.0))
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notional = equity * size
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if side == PositionSide.LONG:
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notional = min(notional, cash * 0.99)
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return notional / price
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def risk_exit(
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side: PositionSide,
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stop_loss: float | None,
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take_profit: float | None,
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high: float,
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low: float,
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) -> tuple[str, float] | None:
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"""Return (reason, exit_price) if a stop/take level was hit within the bar."""
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if side == PositionSide.LONG:
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if stop_loss is not None and low <= stop_loss:
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return "stop loss", stop_loss
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if take_profit is not None and high >= take_profit:
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return "take profit", take_profit
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else:
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if stop_loss is not None and high >= stop_loss:
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return "stop loss", stop_loss
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if take_profit is not None and low <= take_profit:
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return "take profit", take_profit
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return None
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