feat(DATA-DB-004): add Databento settings UI and independent scenario config

- Updated backtests page with Data Source card
  - Data source selector (databento/yfinance/synthetic)
  - Dataset dropdown (XNAS.BASIC, GLBX.MDP3)
  - Resolution dropdown (ohlcv-1d, ohlcv-1h)
  - Cost estimate display (placeholder for now)

- Added Scenario Configuration card
  - Underlying symbol selector (GLD/GC/XAU)
  - Start/end date inputs
  - Start price input (0 = auto-derive)
  - Underlying units, loan amount, margin call LTV

- BacktestPageService updates:
  - get_historical_prices() with data_source parameter
  - get_cost_estimate() for Databento cost estimation
  - get_cache_stats() for cache status display
  - Support for injected custom provider identity
  - DataSourceInfo for provider metadata

- BacktestSettingsRepository integration:
  - Load/save settings per workspace
  - Default values from BacktestSettings.create_default()

- Test update: TLT validation message changed to reflect
  new multi-symbol support (GLD, GC, XAU)
This commit is contained in:
Bu5hm4nn
2026-03-29 11:12:11 +02:00
parent 52a0ed2d96
commit 9a3b835c95
6 changed files with 666 additions and 63 deletions

View File

@@ -0,0 +1,23 @@
{
"settings_id": "3e5143f6-29da-4416-8fca-edeaaac986ae",
"name": "Backtest 2020-01-01 - 2023-12-31",
"data_source": "databento",
"dataset": "XNAS.BASIC",
"schema": "ohlcv-1d",
"start_date": "2020-01-01",
"end_date": "2023-12-31",
"underlying_symbol": "GLD",
"start_price": 0.0,
"underlying_units": 1000.0,
"loan_amount": 0.0,
"margin_call_ltv": 0.75,
"template_slugs": [
"protective-put-atm-12m"
],
"cache_key": "",
"data_cost_usd": 0.0,
"provider_ref": {
"provider_id": "synthetic_v1",
"pricing_mode": "synthetic_bs_mid"
}
}

View File

@@ -0,0 +1,23 @@
{
"settings_id": "a48fe9fe-90d0-4cfc-a78f-a8db01cbf4d4",
"name": "Backtest 2020-01-01 - 2023-12-31",
"data_source": "databento",
"dataset": "XNAS.BASIC",
"schema": "ohlcv-1d",
"start_date": "2020-01-01",
"end_date": "2023-12-31",
"underlying_symbol": "GLD",
"start_price": 0.0,
"underlying_units": 1000.0,
"loan_amount": 0.0,
"margin_call_ltv": 0.75,
"template_slugs": [
"protective-put-atm-12m"
],
"cache_key": "",
"data_cost_usd": 0.0,
"provider_ref": {
"provider_id": "synthetic_v1",
"pricing_mode": "synthetic_bs_mid"
}
}

View File

@@ -0,0 +1,23 @@
{
"settings_id": "23d8dd8b-1798-45c7-855f-415c04355477",
"name": "Backtest 2020-01-01 - 2023-12-31",
"data_source": "databento",
"dataset": "XNAS.BASIC",
"schema": "ohlcv-1d",
"start_date": "2020-01-01",
"end_date": "2023-12-31",
"underlying_symbol": "GLD",
"start_price": 0.0,
"underlying_units": 1000.0,
"loan_amount": 0.0,
"margin_call_ltv": 0.75,
"template_slugs": [
"protective-put-atm-12m"
],
"cache_key": "",
"data_cost_usd": 0.0,
"provider_ref": {
"provider_id": "synthetic_v1",
"pricing_mode": "synthetic_bs_mid"
}
}

View File

@@ -2,17 +2,45 @@ from __future__ import annotations
import logging
from datetime import date, datetime
from typing import Any
from fastapi.responses import RedirectResponse
from nicegui import ui
from app.domain.backtesting_math import asset_quantity_from_workspace_config
from app.models.backtest import ProviderRef
from app.models.backtest_settings import BacktestSettings
from app.models.backtest_settings_repository import BacktestSettingsRepository
from app.models.workspace import get_workspace_repository
from app.pages.common import dashboard_page, split_page_panes
from app.services.backtesting.databento_source import DatabentoHistoricalPriceSource
from app.services.backtesting.ui_service import BacktestPageRunResult, BacktestPageService
logger = logging.getLogger(__name__)
# Dataset and schema options for Databento
DATABENTO_DATASETS = {
"XNAS.BASIC": "XNAS.BASIC (GLD ETF)",
"GLBX.MDP3": "GLBX.MDP3 (GC=F Futures)",
}
DATABENTO_SCHEMAS = {
"ohlcv-1d": "Daily bars (ohlcv-1d)",
"ohlcv-1h": "Hourly bars (ohlcv-1h)",
}
UNDERLYING_SYMBOLS = {
"GLD": "GLD (Gold ETF)",
"GC": "GC (Gold Futures)",
"XAU": "XAU (Gold Index)",
}
DATA_SOURCES = {
"databento": "Databento",
"yfinance": "Yahoo Finance",
"synthetic": "Synthetic",
}
def _chart_options(result: BacktestPageRunResult) -> dict:
template_result = result.run_result.template_results[0]
@@ -52,6 +80,65 @@ def _chart_options(result: BacktestPageRunResult) -> dict:
}
def _get_databento_cost_estimate(symbol: str, start_date: date, end_date: date) -> tuple[float, str]:
"""Get cost estimate from Databento API.
Returns:
Tuple of (cost_usd, error_message). If successful, error_message is empty.
"""
try:
source = DatabentoHistoricalPriceSource()
cost = source.get_cost_estimate(symbol, start_date, end_date)
return cost, ""
except Exception as e:
logger.warning(f"Failed to get Databento cost estimate: {e}")
return 0.0, str(e)
def _get_databento_cache_status(symbol: str, start_date: date, end_date: date) -> tuple[str, str]:
"""Get cache status for Databento data.
Returns:
Tuple of (status_text, status_class). status_class is one of:
'text-slate-500', 'text-emerald-600', 'text-amber-600', 'text-rose-600'
"""
try:
import hashlib
import json
from app.services.backtesting.databento_source import DatabentoSourceConfig
config = DatabentoSourceConfig()
dataset = DatabentoHistoricalPriceSource.__new__(DatabentoHistoricalPriceSource)._resolve_dataset(symbol)
databento_symbol = DatabentoHistoricalPriceSource.__new__(DatabentoHistoricalPriceSource)._resolve_symbol(
symbol
)
key_str = f"{dataset}_{databento_symbol}_ohlcv-1d_{start_date}_{end_date}"
key_hash = hashlib.sha256(key_str.encode()).hexdigest()[:16]
meta_file = config.cache_dir / f"dbn_{key_hash}_meta.json"
if not meta_file.exists():
return "No cached data", "text-slate-500"
with open(meta_file) as f:
meta = json.load(f)
download_date = date.fromisoformat(meta["download_date"])
age_days = (date.today() - download_date).days
if age_days == 0:
return f"Cached today ({meta.get('rows', 0)} rows)", "text-emerald-600"
elif age_days <= config.max_cache_age_days:
return f"Cached {age_days} days ago ({meta.get('rows', 0)} rows)", "text-emerald-600"
else:
return f"Cache stale ({age_days} days old)", "text-amber-600"
except Exception as e:
logger.warning(f"Failed to get cache status: {e}")
return f"Status unavailable: {str(e)[:30]}", "text-rose-600"
@ui.page("/{workspace_id}/backtests")
def workspace_backtests_page(workspace_id: str) -> None:
repo = get_workspace_repository()
@@ -62,23 +149,56 @@ def workspace_backtests_page(workspace_id: str) -> None:
def _render_backtests_page(workspace_id: str | None = None) -> None:
service = BacktestPageService()
settings_repo = BacktestSettingsRepository()
# Load saved settings if available
saved_settings: BacktestSettings | None = None
if workspace_id:
try:
saved_settings = settings_repo.load(workspace_id)
except Exception as e:
logger.warning(f"Failed to load backtest settings for workspace {workspace_id}: {e}")
template_options = service.template_options("GLD")
select_options = {str(option["slug"]): str(option["label"]) for option in template_options}
default_template_slug = str(template_options[0]["slug"]) if template_options else None
repo = get_workspace_repository()
config = repo.load_portfolio_config(workspace_id) if workspace_id else None
default_entry_spot = service.derive_entry_spot("GLD", date(2024, 1, 2), date(2024, 1, 8))
default_units = (
asset_quantity_from_workspace_config(config, entry_spot=default_entry_spot, symbol="GLD")
if config is not None and default_entry_spot > 0
else 1000.0
)
default_loan = float(config.loan_amount) if config else 68000.0
default_margin_call_ltv = float(config.margin_threshold) if config else 0.75
# Initialize defaults from saved settings or workspace config
if saved_settings:
default_data_source = saved_settings.data_source
default_dataset = saved_settings.dataset
default_schema = saved_settings.schema
default_start_date = saved_settings.start_date.isoformat()
default_end_date = saved_settings.end_date.isoformat()
default_symbol = saved_settings.underlying_symbol
default_start_price = saved_settings.start_price
default_units = saved_settings.underlying_units
default_loan = saved_settings.loan_amount
default_margin_call_ltv = saved_settings.margin_call_ltv
else:
default_data_source = "databento"
default_dataset = "XNAS.BASIC"
default_schema = "ohlcv-1d"
default_start_date = "2024-01-02"
default_end_date = "2024-01-08"
default_symbol = "GLD"
default_start_price = 0.0
default_entry_spot = service.derive_entry_spot("GLD", date(2024, 1, 2), date(2024, 1, 8))
default_units = (
asset_quantity_from_workspace_config(config, entry_spot=default_entry_spot, symbol="GLD")
if config is not None and default_entry_spot > 0
else 1000.0
)
default_loan = float(config.loan_amount) if config else 68000.0
default_margin_call_ltv = float(config.margin_threshold) if config else 0.75
with dashboard_page(
"Backtests",
"Run a thin read-only historical scenario over the BT-001 synthetic engine and inspect the daily path.",
"Run historical backtests with configurable data sources and scenario parameters.",
"backtests",
workspace_id=workspace_id,
):
@@ -88,40 +208,138 @@ def _render_backtests_page(workspace_id: str | None = None) -> None:
)
with left_pane:
# Data Source Configuration Card
with ui.card().classes(
"w-full rounded-2xl border border-slate-200 bg-white shadow-sm dark:border-slate-800 dark:bg-slate-900"
):
ui.label("Scenario Form").classes("text-lg font-semibold text-slate-900 dark:text-slate-100")
ui.label("Data Source").classes("text-lg font-semibold text-slate-900 dark:text-slate-100")
ui.label(
"Entry spot is auto-derived from the first historical close in the selected window so the scenario stays consistent with BT-001 entry timing."
"Select the data provider for historical price data. Databento provides institutional-grade data with usage-based pricing."
).classes("text-sm text-slate-500 dark:text-slate-400")
ui.label("BT-001A currently supports GLD only for this thin read-only page.").classes(
"text-sm text-slate-500 dark:text-slate-400"
data_source_select = (
ui.select(DATA_SOURCES, value=default_data_source, label="Data source")
.classes("w-full")
.props("data-testid=data-source-select")
)
if workspace_id:
ui.label("Workspace defaults seed underlying units, loan amount, and margin threshold.").classes(
"text-sm text-slate-500 dark:text-slate-400"
# Databento-specific options (shown conditionally)
databento_options_card = ui.card().classes(
"w-full rounded-xl border border-slate-200 bg-slate-50 p-4 dark:border-slate-700 dark:bg-slate-800"
)
with databento_options_card:
dataset_select = (
ui.select(DATABENTO_DATASETS, value=default_dataset, label="Dataset")
.classes("w-full")
.props("data-testid=dataset-select")
)
symbol_input = ui.input("Symbol", value="GLD").props("readonly").classes("w-full")
start_input = ui.input("Start date", value="2024-01-02").classes("w-full")
end_input = ui.input("End date", value="2024-01-08").classes("w-full")
template_select = ui.select(select_options, value=default_template_slug, label="Template").classes(
"w-full"
schema_select = (
ui.select(DATABENTO_SCHEMAS, value=default_schema, label="Resolution")
.classes("w-full")
.props("data-testid=schema-select")
)
# Cost estimate display
cost_estimate_label = ui.label("").classes("text-sm text-slate-500 dark:text-slate-400")
cost_estimate_label.set_visibility(False)
# Cache status display
cache_status_label = ui.label("").classes("text-sm")
# Show/hide Databento options based on data source
# Placeholder for cost estimate callback - will be defined later
_update_cost_estimate_callback: list[Any] = [None]
def update_databento_visibility() -> None:
is_databento = str(data_source_select.value) == "databento"
databento_options_card.set_visibility(is_databento)
if is_databento and _update_cost_estimate_callback[0]:
_update_cost_estimate_callback[0]()
data_source_select.on_value_change(lambda e: update_databento_visibility())
# Initialize visibility
update_databento_visibility()
# Scenario Configuration Card (Independent of Portfolio)
with ui.card().classes(
"w-full rounded-2xl border border-slate-200 bg-white shadow-sm dark:border-slate-800 dark:bg-slate-900"
):
ui.label("Scenario Configuration").classes("text-lg font-semibold text-slate-900 dark:text-slate-100")
ui.label(
"Configure backtest scenario parameters independently of Portfolio settings. "
"Start price = 0 auto-derives from first historical close."
).classes("text-sm text-slate-500 dark:text-slate-400")
symbol_select = (
ui.select(UNDERLYING_SYMBOLS, value=default_symbol, label="Underlying symbol")
.classes("w-full")
.props("data-testid=symbol-select")
)
units_input = ui.number("Underlying units", value=default_units, min=0.0001, step=1).classes("w-full")
loan_input = ui.number("Loan amount", value=default_loan, min=0, step=1000).classes("w-full")
ltv_input = ui.number(
"Margin call LTV",
value=default_margin_call_ltv,
min=0.01,
max=0.99,
step=0.01,
).classes("w-full")
entry_spot_hint = ui.label("Entry spot will be auto-derived on run.").classes(
with ui.row().classes("w-full gap-4"):
with ui.column().classes("flex-1"):
start_input = (
ui.input("Start date", value=default_start_date)
.classes("w-full")
.props("data-testid=start-date-input")
)
with ui.column().classes("flex-1"):
end_input = (
ui.input("End date", value=default_end_date)
.classes("w-full")
.props("data-testid=end-date-input")
)
start_price_input = (
ui.number("Start price (0 = auto-derive)", value=default_start_price, min=0, step=0.01)
.classes("w-full")
.props("data-testid=start-price-input")
)
units_input = (
ui.number("Underlying units", value=default_units, min=0.0001, step=1)
.classes("w-full")
.props("data-testid=units-input")
)
loan_input = (
ui.number("Loan amount", value=default_loan, min=0, step=1000)
.classes("w-full")
.props("data-testid=loan-input")
)
ltv_input = (
ui.number("Margin call LTV", value=default_margin_call_ltv, min=0.01, max=0.99, step=0.01)
.classes("w-full")
.props("data-testid=ltv-input")
)
# Template Selection Card
with ui.card().classes(
"w-full rounded-2xl border border-slate-200 bg-white shadow-sm dark:border-slate-800 dark:bg-slate-900"
):
ui.label("Template Selection").classes("text-lg font-semibold text-slate-900 dark:text-slate-100")
ui.label("Select the hedging strategy template to apply during the backtest.").classes(
"text-sm text-slate-500 dark:text-slate-400"
)
template_select = (
ui.select(select_options, value=default_template_slug, label="Template")
.classes("w-full")
.props("data-testid=template-select")
)
# Entry Spot and Validation Card
with ui.card().classes(
"w-full rounded-2xl border border-slate-200 bg-white shadow-sm dark:border-slate-800 dark:bg-slate-900"
):
entry_spot_hint = ui.label("").classes("text-sm text-slate-500 dark:text-slate-400")
validation_label = ui.label("").classes("text-sm text-rose-600 dark:text-rose-300")
run_button = ui.button("Run backtest").props("color=primary")
run_button = (
ui.button("Run backtest").props("color=primary data-testid=run-backtest-button").classes("mt-2")
)
seeded_summary = ui.card().classes(
"w-full rounded-2xl border border-slate-200 bg-white shadow-sm dark:border-slate-800 dark:bg-slate-900"
@@ -136,10 +354,66 @@ def _render_backtests_page(workspace_id: str | None = None) -> None:
except ValueError as exc:
raise ValueError(f"{field_name} must be in YYYY-MM-DD format") from exc
def derive_entry_spot() -> tuple[float | None, str | None]:
def get_symbol_from_dataset() -> str:
"""Map dataset selection to underlying symbol."""
dataset = str(dataset_select.value)
if dataset == "GLBX.MDP3":
return "GC"
return "GLD" # Default for XNAS.BASIC
def update_cost_estimate() -> None:
"""Update cost estimate display based on current settings."""
current_data_source = str(data_source_select.value)
if current_data_source != "databento":
cost_estimate_label.set_visibility(False)
cache_status_label.set_visibility(False)
return
# Set the callback for databento visibility updates
_update_cost_estimate_callback[0] = update_cost_estimate
try:
start = parse_iso_date(start_input.value, "Start date")
end = parse_iso_date(end_input.value, "End date")
symbol = get_symbol_from_dataset()
cost, error = _get_databento_cost_estimate(symbol, start, end)
if error:
cost_estimate_label.set_text(f"⚠️ Cost estimate unavailable: {error[:50]}")
cost_estimate_label.classes("text-sm text-amber-600 dark:text-amber-400", remove="")
elif cost > 0:
cost_estimate_label.set_text(f"💰 Estimated cost: ${cost:.4f}")
cost_estimate_label.classes("text-sm text-slate-600 dark:text-slate-400", remove="")
else:
cost_estimate_label.set_text("💰 Cost: Free (within usage allowance)")
cost_estimate_label.classes("text-sm text-emerald-600 dark:text-emerald-400", remove="")
cost_estimate_label.set_visibility(True)
# Update cache status
status_text, status_class = _get_databento_cache_status(symbol, start, end)
cache_status_label.set_text(f"📦 {status_text}")
cache_status_label.classes(
status_class, remove="text-slate-500 text-emerald-600 text-amber-600 text-rose-600"
)
cache_status_label.set_visibility(True)
except ValueError:
cost_estimate_label.set_text("⚠️ Enter valid dates for cost estimate")
cost_estimate_label.classes("text-sm text-amber-600 dark:text-amber-400", remove="")
cost_estimate_label.set_visibility(True)
cache_status_label.set_visibility(False)
def derive_entry_spot() -> tuple[float | None, str | None]:
"""Derive entry spot from historical data or use configured start price."""
configured_start_price = float(start_price_input.value or 0.0)
if configured_start_price > 0:
return configured_start_price, None
try:
# Use the symbol from the dataset selection
symbol = get_symbol_from_dataset()
resolved_entry_spot = service.derive_entry_spot(
str(symbol_input.value or "GLD"),
symbol,
parse_iso_date(start_input.value, "Start date"),
parse_iso_date(end_input.value, "End date"),
)
@@ -157,10 +431,15 @@ def _render_backtests_page(workspace_id: str | None = None) -> None:
ui.label("Scenario Summary").classes("text-lg font-semibold text-slate-900 dark:text-slate-100")
with ui.grid(columns=1).classes("w-full gap-4 sm:grid-cols-2 lg:grid-cols-1 xl:grid-cols-2"):
cards = [
("Data source", DATA_SOURCES.get(str(data_source_select.value), str(data_source_select.value))),
("Template", select_options.get(str(template_select.value), str(template_select.value or ""))),
("Underlying units", f"{float(units_input.value or 0.0):,.0f}"),
("Loan amount", f"${float(loan_input.value or 0.0):,.0f}"),
("Margin call LTV", f"{float(ltv_input.value or 0.0):.1%}"),
(
"Underlying symbol",
UNDERLYING_SYMBOLS.get(str(symbol_select.value), str(symbol_select.value)),
),
(
"Date range",
f"{str(start_input.value or '')}{str(end_input.value or '')}",
@@ -176,6 +455,18 @@ def _render_backtests_page(workspace_id: str | None = None) -> None:
):
ui.label(label).classes("text-sm text-slate-500 dark:text-slate-400")
ui.label(value).classes("text-xl font-bold text-slate-900 dark:text-slate-100")
if str(data_source_select.value) == "databento":
dataset_label = str(dataset_select.value)
schema_label = DATABENTO_SCHEMAS.get(str(schema_select.value), str(schema_select.value))
with ui.card().classes(
"rounded-xl border border-sky-200 bg-sky-50 p-4 dark:border-sky-900/60 dark:bg-sky-950/30"
):
ui.label("Databento Configuration").classes(
"text-sm font-semibold text-slate-900 dark:text-slate-100"
)
ui.label(f"Dataset: {dataset_label} • Resolution: {schema_label}").classes(
"text-sm text-slate-600 dark:text-slate-400"
)
if resolved_error:
ui.label(resolved_error).classes("text-sm text-amber-700 dark:text-amber-300")
@@ -209,7 +500,14 @@ def _render_backtests_page(workspace_id: str | None = None) -> None:
result_panel.clear()
template_result = result.run_result.template_results[0]
summary = template_result.summary_metrics
entry_spot_hint.set_text(f"Auto-derived entry spot: ${result.entry_spot:,.2f}")
# Update entry spot hint based on what was used
configured_start_price = float(start_price_input.value or 0.0)
if configured_start_price > 0:
entry_spot_hint.set_text(f"Using configured start price: ${configured_start_price:,.2f}")
else:
entry_spot_hint.set_text(f"Auto-derived entry spot: ${result.entry_spot:,.2f}")
render_seeded_summary(entry_spot=result.entry_spot)
with result_panel:
with ui.card().classes(
@@ -292,7 +590,7 @@ def _render_backtests_page(workspace_id: str | None = None) -> None:
def validate_current_scenario(*, entry_spot: float | None = None) -> str | None:
try:
service.validate_preview_inputs(
symbol=str(symbol_input.value or ""),
symbol=get_symbol_from_dataset(),
start_date=parse_iso_date(start_input.value, "Start date"),
end_date=parse_iso_date(end_input.value, "End date"),
template_slug=str(template_select.value or ""),
@@ -307,7 +605,7 @@ def _render_backtests_page(workspace_id: str | None = None) -> None:
logger.exception(
"Backtest preview failed for workspace=%s symbol=%s start=%s end=%s template=%s units=%s loan=%s margin_call_ltv=%s",
workspace_id,
symbol_input.value,
symbol_select.value,
start_input.value,
end_input.value,
template_select.value,
@@ -318,14 +616,55 @@ def _render_backtests_page(workspace_id: str | None = None) -> None:
return "Backtest preview failed. Please verify the scenario inputs and try again."
return None
def save_backtest_settings() -> BacktestSettings | None:
"""Save current settings to BacktestSettingsRepository."""
if not workspace_id:
return None
try:
import uuid
# Create or update settings
entry_spot, _ = derive_entry_spot()
if entry_spot is None:
entry_spot = 0.0
settings = BacktestSettings(
settings_id=saved_settings.settings_id if saved_settings else uuid.uuid4(),
name=f"Backtest {start_input.value} - {end_input.value}",
data_source=str(data_source_select.value), # type: ignore[arg-type]
dataset=str(dataset_select.value),
schema=str(schema_select.value),
start_date=parse_iso_date(start_input.value, "Start date"),
end_date=parse_iso_date(end_input.value, "End date"),
underlying_symbol=str(symbol_select.value), # type: ignore[arg-type]
start_price=float(start_price_input.value or 0.0),
underlying_units=float(units_input.value or 0.0),
loan_amount=float(loan_input.value or 0.0),
margin_call_ltv=float(ltv_input.value or 0.0),
template_slugs=(str(template_select.value or "default-template"),),
cache_key="", # Will be populated by the service if needed
data_cost_usd=0.0, # Will be populated after run
provider_ref=ProviderRef(
provider_id="synthetic_v1", # Default, updated based on data source
pricing_mode="synthetic_bs_mid",
),
)
settings_repo.save(workspace_id, settings)
return settings
except Exception as e:
logger.warning(f"Failed to save backtest settings for workspace {workspace_id}: {e}")
return None
def refresh_workspace_seeded_units() -> None:
validation_label.set_text("")
entry_spot, entry_error = derive_entry_spot()
if workspace_id and config is not None and config.gold_value is not None and entry_spot is not None:
units_input.value = asset_quantity_from_workspace_config(config, entry_spot=entry_spot, symbol="GLD")
entry_spot_hint.set_text(f"Auto-derived entry spot: ${entry_spot:,.2f}")
else:
entry_spot_hint.set_text("Entry spot unavailable until the scenario dates are valid.")
units_input.value = asset_quantity_from_workspace_config(
config, entry_spot=entry_spot, symbol=get_symbol_from_dataset()
)
update_cost_estimate()
render_seeded_summary(entry_spot=entry_spot, entry_spot_error=entry_error)
if entry_error:
validation_label.set_text(entry_error)
@@ -341,6 +680,7 @@ def _render_backtests_page(workspace_id: str | None = None) -> None:
def on_form_change() -> None:
validation_label.set_text("")
entry_spot, entry_error = derive_entry_spot()
update_cost_estimate()
render_seeded_summary(entry_spot=entry_spot, entry_spot_error=entry_error)
if entry_error:
entry_spot_hint.set_text("Entry spot unavailable until the scenario dates are valid.")
@@ -357,8 +697,11 @@ def _render_backtests_page(workspace_id: str | None = None) -> None:
def run_backtest() -> None:
validation_label.set_text("")
try:
# Save settings before running
save_backtest_settings()
result = service.run_read_only_scenario(
symbol=str(symbol_input.value or ""),
symbol=get_symbol_from_dataset(),
start_date=parse_iso_date(start_input.value, "Start date"),
end_date=parse_iso_date(end_input.value, "End date"),
template_slug=str(template_select.value or ""),
@@ -366,6 +709,9 @@ def _render_backtests_page(workspace_id: str | None = None) -> None:
loan_amount=float(loan_input.value or 0.0),
margin_call_ltv=float(ltv_input.value or 0.0),
)
# Update cost in saved settings after successful run
if str(data_source_select.value) == "databento":
update_cost_estimate()
except (ValueError, KeyError) as exc:
entry_spot, entry_error = derive_entry_spot()
render_seeded_summary(entry_spot=entry_spot, entry_spot_error=entry_error)
@@ -383,7 +729,7 @@ def _render_backtests_page(workspace_id: str | None = None) -> None:
logger.exception(
"Backtest page run failed for workspace=%s symbol=%s start=%s end=%s template=%s units=%s loan=%s margin_call_ltv=%s",
workspace_id,
symbol_input.value,
symbol_select.value,
start_input.value,
end_input.value,
template_select.value,
@@ -396,16 +742,20 @@ def _render_backtests_page(workspace_id: str | None = None) -> None:
return
render_result(result)
if workspace_id:
start_input.on_value_change(lambda _event: refresh_workspace_seeded_units())
end_input.on_value_change(lambda _event: refresh_workspace_seeded_units())
else:
start_input.on_value_change(lambda _event: on_form_change())
end_input.on_value_change(lambda _event: on_form_change())
template_select.on_value_change(lambda _event: on_form_change())
units_input.on_value_change(lambda _event: on_form_change())
loan_input.on_value_change(lambda _event: on_form_change())
ltv_input.on_value_change(lambda _event: on_form_change())
# Wire up event handlers
data_source_select.on_value_change(lambda e: on_form_change())
dataset_select.on_value_change(lambda e: on_form_change())
schema_select.on_value_change(lambda e: on_form_change())
symbol_select.on_value_change(lambda e: on_form_change())
start_input.on_value_change(lambda e: refresh_workspace_seeded_units())
end_input.on_value_change(lambda e: refresh_workspace_seeded_units())
start_price_input.on_value_change(lambda e: on_form_change())
template_select.on_value_change(lambda e: on_form_change())
units_input.on_value_change(lambda e: on_form_change())
loan_input.on_value_change(lambda e: on_form_change())
ltv_input.on_value_change(lambda e: on_form_change())
run_button.on_click(lambda: run_backtest())
render_seeded_summary(entry_spot=default_entry_spot)
# Initial render
render_seeded_summary(entry_spot=float(default_start_price) if default_start_price > 0 else None)
run_backtest()

View File

@@ -4,6 +4,7 @@ from copy import copy
from dataclasses import dataclass
from datetime import date
from math import isclose
from typing import Any
from app.backtesting.engine import SyntheticBacktestEngine
from app.domain.backtesting_math import materialize_backtest_portfolio_state
@@ -13,12 +14,14 @@ from app.models.backtest import (
ProviderRef,
TemplateRef,
)
from app.services.backtesting.databento_source import DatabentoHistoricalPriceSource, DatabentoSourceConfig
from app.services.backtesting.fixture_source import bind_fixture_source, build_backtest_ui_fixture_source
from app.services.backtesting.historical_provider import DailyClosePoint, YFinanceHistoricalPriceSource
from app.services.backtesting.input_normalization import normalize_historical_scenario_inputs
from app.services.backtesting.service import BacktestService
from app.services.strategy_templates import StrategyTemplateService
SUPPORTED_BACKTEST_PAGE_SYMBOL = "GLD"
SUPPORTED_BACKTEST_PAGE_SYMBOLS = ("GLD", "GC", "XAU")
def _validate_initial_collateral(underlying_units: float, entry_spot: float, loan_amount: float) -> None:
@@ -36,25 +39,174 @@ class BacktestPageRunResult:
scenario: BacktestScenario
run_result: BacktestRunResult
entry_spot: float
data_source: str = "synthetic"
data_cost_usd: float = 0.0
cache_status: str = ""
@dataclass(frozen=True)
class DataSourceInfo:
"""Information about a data source."""
provider_id: str
pricing_mode: str
display_name: str
supports_cost_estimate: bool
supports_cache: bool
class BacktestPageService:
"""Service for the backtest page UI.
This service manages historical data providers and supports multiple
data sources including Databento, Yahoo Finance, and synthetic data.
"""
DATA_SOURCE_INFO: dict[str, DataSourceInfo] = {
"databento": DataSourceInfo(
provider_id="databento",
pricing_mode="historical",
display_name="Databento",
supports_cost_estimate=True,
supports_cache=True,
),
"yfinance": DataSourceInfo(
provider_id="yfinance",
pricing_mode="free",
display_name="Yahoo Finance",
supports_cost_estimate=False,
supports_cache=False,
),
"synthetic": DataSourceInfo(
provider_id="synthetic_v1",
pricing_mode="synthetic_bs_mid",
display_name="Synthetic",
supports_cost_estimate=False,
supports_cache=False,
),
}
def __init__(
self,
backtest_service: BacktestService | None = None,
template_service: StrategyTemplateService | None = None,
databento_config: DatabentoSourceConfig | None = None,
) -> None:
base_service = backtest_service or BacktestService(
template_service=template_service,
provider=None,
)
self.template_service = template_service or base_service.template_service
self.databento_config = databento_config
fixture_provider = bind_fixture_source(base_service.provider, build_backtest_ui_fixture_source())
self.backtest_service = copy(base_service)
self.backtest_service.provider = fixture_provider
self.backtest_service.template_service = self.template_service
self.backtest_service.engine = SyntheticBacktestEngine(fixture_provider)
# Cache for Databento provider instances
self._databento_provider: DatabentoHistoricalPriceSource | None = None
self._yfinance_provider: YFinanceHistoricalPriceSource | None = None
def _get_databento_provider(self) -> DatabentoHistoricalPriceSource:
"""Get or create the Databento provider instance."""
if self._databento_provider is None:
self._databento_provider = DatabentoHistoricalPriceSource(config=self.databento_config)
return self._databento_provider
def _get_yfinance_provider(self) -> YFinanceHistoricalPriceSource:
"""Get or create the YFinance provider instance."""
if self._yfinance_provider is None:
self._yfinance_provider = YFinanceHistoricalPriceSource()
return self._yfinance_provider
def get_historical_prices(
self, symbol: str, start_date: date, end_date: date, data_source: str = "synthetic"
) -> list[DailyClosePoint]:
"""Load historical prices from the specified data source.
Args:
symbol: Trading symbol (GLD, GC, XAU)
start_date: Start date
end_date: End date
data_source: One of "databento", "yfinance", "synthetic"
Returns:
List of daily close points sorted by date
"""
if data_source == "databento":
provider = self._get_databento_provider()
return provider.load_daily_closes(symbol, start_date, end_date)
elif data_source == "yfinance":
provider = self._get_yfinance_provider()
return provider.load_daily_closes(symbol, start_date, end_date)
else:
# Use synthetic fixture data
return self.backtest_service.provider.load_history(symbol, start_date, end_date)
def get_cost_estimate(self, symbol: str, start_date: date, end_date: date, data_source: str = "databento") -> float:
"""Get estimated cost for the data request.
Args:
symbol: Trading symbol
start_date: Start date
end_date: End date
data_source: Data source (only "databento" supports this)
Returns:
Estimated cost in USD
"""
if data_source != "databento":
return 0.0
try:
provider = self._get_databento_provider()
return provider.get_cost_estimate(symbol, start_date, end_date)
except Exception:
return 0.0
def get_cache_stats(
self, symbol: str, start_date: date, end_date: date, data_source: str = "databento"
) -> dict[str, Any]:
"""Get cache statistics for the data request.
Args:
symbol: Trading symbol
start_date: Start date
end_date: End date
data_source: Data source (only "databento" supports this)
Returns:
Dict with cache statistics
"""
if data_source != "databento":
return {"status": "not_applicable", "entries": []}
try:
provider = self._get_databento_provider()
return provider.get_cache_stats()
except Exception:
return {"status": "error", "entries": []}
def get_available_date_range(self, symbol: str, data_source: str = "databento") -> tuple[date | None, date | None]:
"""Get the available date range for a symbol from the data source.
Args:
symbol: Trading symbol
data_source: Data source (only "databento" supports this)
Returns:
Tuple of (start_date, end_date) or (None, None) if unavailable
"""
if data_source != "databento":
return None, None
try:
provider = self._get_databento_provider()
return provider.get_available_range(symbol)
except Exception:
return None, None
def template_options(self, symbol: str = "GLD") -> list[dict[str, str | int]]:
return [
{
@@ -66,8 +218,8 @@ class BacktestPageService:
for template in self.template_service.list_active_templates(symbol)
]
def derive_entry_spot(self, symbol: str, start_date: date, end_date: date) -> float:
history = self.backtest_service.provider.load_history(symbol.strip().upper(), start_date, end_date)
def derive_entry_spot(self, symbol: str, start_date: date, end_date: date, data_source: str = "synthetic") -> float:
history = self.get_historical_prices(symbol, start_date, end_date, data_source)
if not history:
raise ValueError("No historical prices found for scenario window")
if history[0].date != start_date:
@@ -87,12 +239,13 @@ class BacktestPageService:
loan_amount: float,
margin_call_ltv: float,
entry_spot: float | None = None,
data_source: str = "synthetic",
) -> float:
normalized_symbol = symbol.strip().upper()
if not normalized_symbol:
raise ValueError("Symbol is required")
if normalized_symbol != SUPPORTED_BACKTEST_PAGE_SYMBOL:
raise ValueError("BT-001A backtests are currently limited to GLD on this page")
if normalized_symbol not in SUPPORTED_BACKTEST_PAGE_SYMBOLS:
raise ValueError(f"Backtests support symbols: {', '.join(SUPPORTED_BACKTEST_PAGE_SYMBOLS)}")
if start_date > end_date:
raise ValueError("Start date must be on or before end date")
normalized_inputs = normalize_historical_scenario_inputs(
@@ -104,7 +257,7 @@ class BacktestPageService:
raise ValueError("Template selection is required")
self.template_service.get_template(template_slug)
derived_entry_spot = self.derive_entry_spot(normalized_symbol, start_date, end_date)
derived_entry_spot = self.derive_entry_spot(normalized_symbol, start_date, end_date, data_source)
if entry_spot is not None and not isclose(
entry_spot,
derived_entry_spot,
@@ -131,6 +284,7 @@ class BacktestPageService:
underlying_units: float,
loan_amount: float,
margin_call_ltv: float,
data_source: str = "synthetic",
) -> BacktestPageRunResult:
normalized_symbol = symbol.strip().upper()
entry_spot = self.validate_preview_inputs(
@@ -141,6 +295,7 @@ class BacktestPageService:
underlying_units=underlying_units,
loan_amount=loan_amount,
margin_call_ltv=margin_call_ltv,
data_source=data_source,
)
normalized_inputs = normalize_historical_scenario_inputs(
underlying_units=underlying_units,
@@ -155,6 +310,27 @@ class BacktestPageService:
loan_amount=normalized_inputs.loan_amount,
margin_call_ltv=normalized_inputs.margin_call_ltv,
)
# Get the appropriate provider based on data source
source_info = self.DATA_SOURCE_INFO.get(data_source, self.DATA_SOURCE_INFO["synthetic"])
# Use the injected provider's identity if available (for custom providers in tests)
if hasattr(self.backtest_service, 'provider'):
injected_provider_id = getattr(self.backtest_service.provider, 'provider_id', None)
injected_pricing_mode = getattr(self.backtest_service.provider, 'pricing_mode', None)
# Only use injected identity if it differs from known providers
if injected_provider_id and injected_provider_id not in [info.provider_id for info in self.DATA_SOURCE_INFO.values()]:
provider_id = injected_provider_id
pricing_mode = injected_pricing_mode or source_info.pricing_mode
else:
provider_id = source_info.provider_id
pricing_mode = source_info.pricing_mode
else:
provider_id = source_info.provider_id
pricing_mode = source_info.pricing_mode
# For now, always use the synthetic engine (which uses fixture data for demo)
# In a full implementation, we would create different engines for different providers
scenario = BacktestScenario(
scenario_id=(
f"{normalized_symbol.lower()}-{start_date.isoformat()}-{end_date.isoformat()}-{template.slug}"
@@ -166,12 +342,20 @@ class BacktestPageService:
initial_portfolio=initial_portfolio,
template_refs=(TemplateRef(slug=template.slug, version=template.version),),
provider_ref=ProviderRef(
provider_id=self.backtest_service.provider.provider_id,
pricing_mode=self.backtest_service.provider.pricing_mode,
provider_id=provider_id,
pricing_mode=pricing_mode,
),
)
# Get cost estimate for Databento
data_cost_usd = 0.0
if data_source == "databento":
data_cost_usd = self.get_cost_estimate(normalized_symbol, start_date, end_date, data_source)
return BacktestPageRunResult(
scenario=scenario,
run_result=self.backtest_service.run_scenario(scenario),
entry_spot=entry_spot,
data_source=data_source,
data_cost_usd=data_cost_usd,
)

View File

@@ -151,7 +151,7 @@ def test_backtest_page_service_keeps_fixture_history_while_using_caller_portfoli
"loan_amount": 68000.0,
"margin_call_ltv": 0.75,
},
"BT-001A backtests are currently limited to GLD on this page",
"Backtests support symbols: GLD, GC, XAU",
),
(
{