refactor(BT-001C): share historical fixture provider
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Bu5hm4nn
97
app/services/backtesting/fixture_source.py
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97
app/services/backtesting/fixture_source.py
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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 enum import StrEnum
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from typing import Any
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from app.services.backtesting.historical_provider import DailyClosePoint, SyntheticHistoricalProvider
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SEEDED_GLD_2024_FIXTURE_HISTORY: tuple[DailyClosePoint, ...] = (
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DailyClosePoint(date=date(2024, 1, 2), close=100.0),
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DailyClosePoint(date=date(2024, 1, 3), close=96.0),
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DailyClosePoint(date=date(2024, 1, 4), close=92.0),
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DailyClosePoint(date=date(2024, 1, 5), close=88.0),
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DailyClosePoint(date=date(2024, 1, 8), close=85.0),
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)
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class WindowPolicy(StrEnum):
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EXACT = "exact"
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BOUNDED = "bounded"
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@dataclass(frozen=True)
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class SharedHistoricalFixtureSource:
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feature_label: str
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supported_symbol: str
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history: tuple[DailyClosePoint, ...]
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window_policy: WindowPolicy
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@property
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def start_date(self) -> date:
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return self.history[0].date
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@property
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def end_date(self) -> date:
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return self.history[-1].date
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def load_daily_closes(self, symbol: str, start_date: date, end_date: date) -> list[DailyClosePoint]:
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if start_date > end_date:
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raise ValueError("start_date must be on or before end_date")
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normalized_symbol = symbol.strip().upper()
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if normalized_symbol != self.supported_symbol.strip().upper():
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raise ValueError(
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f"{self.feature_label} deterministic fixture data only supports {self.supported_symbol} on this page"
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)
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if self.window_policy is WindowPolicy.EXACT:
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if start_date != self.start_date or end_date != self.end_date:
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raise ValueError(
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f"{self.feature_label} deterministic fixture data only supports {self.supported_symbol} "
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f"on the seeded {self.start_date.isoformat()} through {self.end_date.isoformat()} window"
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)
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else:
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if start_date < self.start_date or end_date > self.end_date:
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raise ValueError(
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f"{self.feature_label} deterministic fixture data only supports the seeded "
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f"{self.start_date.isoformat()} through {self.end_date.isoformat()} window"
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)
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return [point for point in self.history if start_date <= point.date <= end_date]
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class FixtureBoundSyntheticHistoricalProvider:
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def __init__(self, base_provider: SyntheticHistoricalProvider, source: SharedHistoricalFixtureSource) -> None:
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self.base_provider = base_provider
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self.source = source
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def load_history(self, symbol: str, start_date: date, end_date: date) -> list[DailyClosePoint]:
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rows = self.source.load_daily_closes(symbol, start_date, end_date)
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return sorted(rows, key=lambda row: row.date)
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def __getattr__(self, name: str) -> Any:
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return getattr(self.base_provider, name)
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def build_backtest_ui_fixture_source() -> SharedHistoricalFixtureSource:
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return SharedHistoricalFixtureSource(
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feature_label="BT-001A",
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supported_symbol="GLD",
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history=SEEDED_GLD_2024_FIXTURE_HISTORY,
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window_policy=WindowPolicy.EXACT,
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)
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def build_event_comparison_fixture_source() -> SharedHistoricalFixtureSource:
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return SharedHistoricalFixtureSource(
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feature_label="BT-003A",
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supported_symbol="GLD",
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history=SEEDED_GLD_2024_FIXTURE_HISTORY,
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window_policy=WindowPolicy.BOUNDED,
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)
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def bind_fixture_source(
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base_provider: SyntheticHistoricalProvider,
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source: SharedHistoricalFixtureSource,
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) -> FixtureBoundSyntheticHistoricalProvider:
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return FixtureBoundSyntheticHistoricalProvider(base_provider=base_provider, source=source)
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@@ -13,13 +13,7 @@ from app.models.backtest import (
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ProviderRef,
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TemplateRef,
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)
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from app.services.backtesting.historical_provider import (
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DailyClosePoint,
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HistoricalOptionMark,
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HistoricalOptionPosition,
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SyntheticHistoricalProvider,
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SyntheticOptionQuote,
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)
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from app.services.backtesting.fixture_source import bind_fixture_source, build_backtest_ui_fixture_source
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from app.services.backtesting.input_normalization import normalize_historical_scenario_inputs
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from app.services.backtesting.service import BacktestService
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from app.services.strategy_templates import StrategyTemplateService
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@@ -37,29 +31,6 @@ def _validate_initial_collateral(underlying_units: float, entry_spot: float, loa
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)
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DETERMINISTIC_UI_FIXTURE_HISTORY: tuple[DailyClosePoint, ...] = (
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DailyClosePoint(date=date(2024, 1, 2), close=100.0),
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DailyClosePoint(date=date(2024, 1, 3), close=96.0),
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DailyClosePoint(date=date(2024, 1, 4), close=92.0),
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DailyClosePoint(date=date(2024, 1, 5), close=88.0),
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DailyClosePoint(date=date(2024, 1, 8), close=85.0),
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)
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class DeterministicBacktestFixtureSource:
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def load_daily_closes(self, symbol: str, start_date: date, end_date: date) -> list[DailyClosePoint]:
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normalized_symbol = symbol.strip().upper()
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if (
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normalized_symbol != SUPPORTED_BACKTEST_PAGE_SYMBOL
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or start_date != date(2024, 1, 2)
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or end_date != date(2024, 1, 8)
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):
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raise ValueError(
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"BT-001A deterministic fixture data only supports GLD on the seeded 2024-01-02 through 2024-01-08 window"
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)
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return list(DETERMINISTIC_UI_FIXTURE_HISTORY)
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@dataclass(frozen=True)
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class BacktestPageRunResult:
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scenario: BacktestScenario
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@@ -67,40 +38,6 @@ class BacktestPageRunResult:
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entry_spot: float
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class FixtureBoundHistoricalProvider:
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def __init__(self, base_provider: SyntheticHistoricalProvider) -> None:
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self.base_provider = base_provider
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self.source = DeterministicBacktestFixtureSource()
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self.provider_id = base_provider.provider_id
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self.pricing_mode = base_provider.pricing_mode
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self.implied_volatility = base_provider.implied_volatility
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self.risk_free_rate = base_provider.risk_free_rate
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def load_history(self, symbol: str, start_date: date, end_date: date) -> list[DailyClosePoint]:
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rows = self.source.load_daily_closes(symbol, start_date, end_date)
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filtered = [row for row in rows if start_date <= row.date <= end_date]
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return sorted(filtered, key=lambda row: row.date)
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def validate_provider_ref(self, provider_ref: ProviderRef) -> None:
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self.base_provider.validate_provider_ref(provider_ref)
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def resolve_expiry(self, trading_days: list[DailyClosePoint], as_of_date: date, target_expiry_days: int) -> date:
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return self.base_provider.resolve_expiry(trading_days, as_of_date, target_expiry_days)
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def price_option(self, **kwargs: object) -> SyntheticOptionQuote:
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return self.base_provider.price_option(**kwargs)
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def open_position(self, **kwargs: object) -> HistoricalOptionPosition:
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return self.base_provider.open_position(**kwargs)
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def mark_position(self, position: HistoricalOptionPosition, **kwargs: object) -> HistoricalOptionMark:
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return self.base_provider.mark_position(position, **kwargs)
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@staticmethod
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def intrinsic_value(*, option_type: str, spot: float, strike: float) -> float:
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return SyntheticHistoricalProvider.intrinsic_value(option_type=option_type, spot=spot, strike=strike)
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class BacktestPageService:
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def __init__(
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self,
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@@ -112,7 +49,7 @@ class BacktestPageService:
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provider=None,
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)
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self.template_service = template_service or base_service.template_service
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fixture_provider = FixtureBoundHistoricalProvider(base_service.provider)
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fixture_provider = bind_fixture_source(base_service.provider, build_backtest_ui_fixture_source())
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self.backtest_service = copy(base_service)
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self.backtest_service.provider = fixture_provider
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self.backtest_service.template_service = self.template_service
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