feat(DATA-DB-002): add BacktestSettings model and repository
- BacktestSettings dataclass with all configuration fields - BacktestSettingsRepository for persistence per workspace - Settings independent of portfolio configuration - Full validation for dates, symbols, LTV, etc. - 16 comprehensive tests Fields: - settings_id, name: identification - data_source: databento|yfinance|synthetic - dataset, schema: Databento configuration - start_date, end_date: date range - underlying_symbol, start_price, underlying_units: position config - loan_amount, margin_call_ltv: LTV analysis - template_slugs: strategies to test - cache_key, data_cost_usd: caching metadata - provider_ref: provider configuration
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Bu5hm4nn
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app/models/backtest_settings.py
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88
app/models/backtest_settings.py
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"""Backtest settings model for configuring backtest scenarios independently of portfolio settings."""
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from __future__ import annotations
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from dataclasses import dataclass
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from datetime import date
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from typing import Literal
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from uuid import UUID, uuid4
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# Self type annotation
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from app.models.backtest import ProviderRef
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@dataclass(frozen=True)
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class BacktestSettings:
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"""Configuration for running backtests independent of portfolio settings.
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These settings determine what data to fetch and how to run backtests,
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separate from the actual portfolio configurations being tested.
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"""
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settings_id: UUID
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name: str
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data_source: Literal["databento", "yfinance", "synthetic"]
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dataset: str
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schema: str
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start_date: date
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end_date: date
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underlying_symbol: Literal["GLD", "GC", "XAU"]
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start_price: float
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underlying_units: float
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loan_amount: float
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margin_call_ltv: float
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template_slugs: tuple[str, ...]
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cache_key: str
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data_cost_usd: float
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provider_ref: ProviderRef
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def __post_init__(self) -> None:
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if not self.settings_id:
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raise ValueError("settings_id is required")
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if not self.name:
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raise ValueError("name is required")
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if self.start_date > self.end_date:
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raise ValueError("start_date must be on or before end_date")
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if self.data_source not in ("databento", "yfinance", "synthetic"):
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raise ValueError("data_source must be 'databento', 'yfinance', or 'synthetic'")
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if self.underlying_symbol not in ("GLD", "GC", "XAU"):
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raise ValueError("underlying_symbol must be 'GLD', 'GC', or 'XAU'")
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if self.start_price < 0:
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raise ValueError("start_price must be non-negative")
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if self.underlying_units <= 0:
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raise ValueError("underlying_units must be positive")
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if self.loan_amount < 0:
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raise ValueError("loan_amount must be non-negative")
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if not 0 < self.margin_call_ltv < 1:
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raise ValueError("margin_call_ltv must be between 0 and 1")
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if not self.template_slugs:
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raise ValueError("at least one template slug is required")
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if self.data_cost_usd < 0:
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raise ValueError("data_cost_usd must be non-negative")
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@classmethod
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def create_default(cls, name: str = "Default Backtest Settings") -> BacktestSettings:
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"""Create default backtest settings configuration."""
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return cls(
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settings_id=uuid4(),
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name=name,
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data_source="databento",
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dataset="XNAS.BASIC",
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schema="ohlcv-1d",
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start_date=date(2020, 1, 1),
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end_date=date(2023, 12, 31),
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underlying_symbol="GLD",
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start_price=0.0,
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underlying_units=1000.0,
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loan_amount=0.0,
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margin_call_ltv=0.75,
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template_slugs=("default-template",),
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cache_key="",
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data_cost_usd=0.0,
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provider_ref=ProviderRef(provider_id="default", pricing_mode="standard"),
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)
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# For backward compatibility - alias to existing models
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BacktestScenario = "app.models.backtest.BacktestScenario"
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# TemplateRef and ProviderRef imported from app.models.backtest
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130
app/models/backtest_settings_repository.py
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130
app/models/backtest_settings_repository.py
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"""Repository for persisting backtest settings configuration."""
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from __future__ import annotations
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import json
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from datetime import date
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from pathlib import Path
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from typing import Any
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from uuid import UUID
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from app.models.backtest_settings import BacktestSettings
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class BacktestSettingsRepository:
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"""Repository for persisting backtest settings configuration.
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Persists to `.workspaces/{workspace_id}/backtest_settings.json`
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"""
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def __init__(self, base_path: Path | str = Path(".workspaces")) -> None:
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self.base_path = Path(base_path)
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self.base_path.mkdir(parents=True, exist_ok=True)
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def load(self, workspace_id: str) -> BacktestSettings:
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"""Load backtest settings for a workspace.
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Args:
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workspace_id: The workspace ID to load settings for
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Returns:
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BacktestSettings: The loaded settings
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Raises:
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FileNotFoundError: If settings file doesn't exist
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ValueError: If settings file is invalid
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"""
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settings_path = self._settings_path(workspace_id)
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if not settings_path.exists():
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# Return default settings if none exist
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return BacktestSettings.create_default()
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try:
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with open(settings_path) as f:
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data = json.load(f)
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return self._settings_from_dict(data)
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except (json.JSONDecodeError, KeyError) as e:
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raise ValueError(f"Invalid backtest settings file: {e}") from e
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def save(self, workspace_id: str, settings: BacktestSettings) -> None:
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"""Save backtest settings for a workspace.
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Args:
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workspace_id: The workspace ID to save settings for
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settings: The settings to save
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"""
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settings_path = self._settings_path(workspace_id)
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settings_path.parent.mkdir(parents=True, exist_ok=True)
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payload = self._to_dict(settings)
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tmp_path = settings_path.with_name(f"{settings_path.name}.tmp")
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with open(tmp_path, "w") as f:
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json.dump(payload, f, indent=2)
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f.flush()
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# Atomic replace
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tmp_path.replace(settings_path)
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def _settings_path(self, workspace_id: str) -> Path:
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"""Get the path to the settings file for a workspace."""
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return self.base_path / workspace_id / "backtest_settings.json"
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def _to_dict(self, settings: BacktestSettings) -> dict[str, Any]:
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"""Convert BacktestSettings to a dictionary for serialization."""
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return {
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"settings_id": str(settings.settings_id),
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"name": settings.name,
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"data_source": settings.data_source,
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"dataset": settings.dataset,
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"schema": settings.schema,
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"start_date": settings.start_date.isoformat(),
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"end_date": settings.end_date.isoformat(),
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"underlying_symbol": settings.underlying_symbol,
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"start_price": settings.start_price,
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"underlying_units": settings.underlying_units,
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"loan_amount": settings.loan_amount,
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"margin_call_ltv": settings.margin_call_ltv,
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"template_slugs": list(settings.template_slugs),
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"cache_key": settings.cache_key,
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"data_cost_usd": settings.data_cost_usd,
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"provider_ref": {
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"provider_id": settings.provider_ref.provider_id,
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"pricing_mode": settings.provider_ref.pricing_mode,
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},
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}
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def _settings_from_dict(self, data: dict[str, Any]) -> BacktestSettings:
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"""Create BacktestSettings from a dictionary."""
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# Handle potential string dates
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start_date = data["start_date"]
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if isinstance(start_date, str):
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start_date = date.fromisoformat(start_date)
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end_date = data["end_date"]
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if isinstance(end_date, str):
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end_date = date.fromisoformat(end_date)
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# Import here to avoid circular import issues at module level
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from app.models.backtest import ProviderRef
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return BacktestSettings(
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settings_id=UUID(data["settings_id"]),
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name=data["name"],
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data_source=data["data_source"],
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dataset=data["dataset"],
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schema=data["schema"],
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start_date=start_date,
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end_date=end_date,
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underlying_symbol=data["underlying_symbol"],
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start_price=data["start_price"],
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underlying_units=data["underlying_units"],
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loan_amount=data["loan_amount"],
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margin_call_ltv=data["margin_call_ltv"],
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template_slugs=tuple(data["template_slugs"]),
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cache_key=data["cache_key"],
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data_cost_usd=data["data_cost_usd"],
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provider_ref=ProviderRef(
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provider_id=data["provider_ref"]["provider_id"],
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pricing_mode=data["provider_ref"]["pricing_mode"],
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),
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)
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