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)
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Bu5hm4nn
@@ -4,6 +4,7 @@ from copy import copy
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from dataclasses import dataclass
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from datetime import date
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from math import isclose
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from typing import Any
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from app.backtesting.engine import SyntheticBacktestEngine
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from app.domain.backtesting_math import materialize_backtest_portfolio_state
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@@ -13,12 +14,14 @@ 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.databento_source import DatabentoHistoricalPriceSource, DatabentoSourceConfig
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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.historical_provider import DailyClosePoint, YFinanceHistoricalPriceSource
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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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SUPPORTED_BACKTEST_PAGE_SYMBOL = "GLD"
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SUPPORTED_BACKTEST_PAGE_SYMBOLS = ("GLD", "GC", "XAU")
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def _validate_initial_collateral(underlying_units: float, entry_spot: float, loan_amount: float) -> None:
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@@ -36,25 +39,174 @@ class BacktestPageRunResult:
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scenario: BacktestScenario
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run_result: BacktestRunResult
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entry_spot: float
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data_source: str = "synthetic"
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data_cost_usd: float = 0.0
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cache_status: str = ""
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@dataclass(frozen=True)
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class DataSourceInfo:
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"""Information about a data source."""
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provider_id: str
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pricing_mode: str
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display_name: str
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supports_cost_estimate: bool
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supports_cache: bool
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class BacktestPageService:
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"""Service for the backtest page UI.
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This service manages historical data providers and supports multiple
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data sources including Databento, Yahoo Finance, and synthetic data.
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"""
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DATA_SOURCE_INFO: dict[str, DataSourceInfo] = {
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"databento": DataSourceInfo(
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provider_id="databento",
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pricing_mode="historical",
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display_name="Databento",
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supports_cost_estimate=True,
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supports_cache=True,
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),
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"yfinance": DataSourceInfo(
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provider_id="yfinance",
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pricing_mode="free",
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display_name="Yahoo Finance",
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supports_cost_estimate=False,
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supports_cache=False,
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),
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"synthetic": DataSourceInfo(
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provider_id="synthetic_v1",
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pricing_mode="synthetic_bs_mid",
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display_name="Synthetic",
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supports_cost_estimate=False,
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supports_cache=False,
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),
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}
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def __init__(
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self,
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backtest_service: BacktestService | None = None,
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template_service: StrategyTemplateService | None = None,
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databento_config: DatabentoSourceConfig | None = None,
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) -> None:
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base_service = backtest_service or BacktestService(
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template_service=template_service,
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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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self.databento_config = databento_config
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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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self.backtest_service.engine = SyntheticBacktestEngine(fixture_provider)
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# Cache for Databento provider instances
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self._databento_provider: DatabentoHistoricalPriceSource | None = None
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self._yfinance_provider: YFinanceHistoricalPriceSource | None = None
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def _get_databento_provider(self) -> DatabentoHistoricalPriceSource:
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"""Get or create the Databento provider instance."""
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if self._databento_provider is None:
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self._databento_provider = DatabentoHistoricalPriceSource(config=self.databento_config)
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return self._databento_provider
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def _get_yfinance_provider(self) -> YFinanceHistoricalPriceSource:
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"""Get or create the YFinance provider instance."""
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if self._yfinance_provider is None:
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self._yfinance_provider = YFinanceHistoricalPriceSource()
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return self._yfinance_provider
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def get_historical_prices(
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self, symbol: str, start_date: date, end_date: date, data_source: str = "synthetic"
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) -> list[DailyClosePoint]:
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"""Load historical prices from the specified data source.
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Args:
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symbol: Trading symbol (GLD, GC, XAU)
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start_date: Start date
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end_date: End date
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data_source: One of "databento", "yfinance", "synthetic"
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Returns:
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List of daily close points sorted by date
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"""
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if data_source == "databento":
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provider = self._get_databento_provider()
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return provider.load_daily_closes(symbol, start_date, end_date)
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elif data_source == "yfinance":
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provider = self._get_yfinance_provider()
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return provider.load_daily_closes(symbol, start_date, end_date)
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else:
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# Use synthetic fixture data
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return self.backtest_service.provider.load_history(symbol, start_date, end_date)
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def get_cost_estimate(self, symbol: str, start_date: date, end_date: date, data_source: str = "databento") -> float:
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"""Get estimated cost for the data request.
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Args:
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symbol: Trading symbol
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start_date: Start date
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end_date: End date
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data_source: Data source (only "databento" supports this)
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Returns:
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Estimated cost in USD
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"""
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if data_source != "databento":
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return 0.0
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try:
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provider = self._get_databento_provider()
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return provider.get_cost_estimate(symbol, start_date, end_date)
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except Exception:
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return 0.0
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def get_cache_stats(
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self, symbol: str, start_date: date, end_date: date, data_source: str = "databento"
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) -> dict[str, Any]:
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"""Get cache statistics for the data request.
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Args:
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symbol: Trading symbol
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start_date: Start date
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end_date: End date
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data_source: Data source (only "databento" supports this)
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Returns:
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Dict with cache statistics
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"""
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if data_source != "databento":
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return {"status": "not_applicable", "entries": []}
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try:
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provider = self._get_databento_provider()
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return provider.get_cache_stats()
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except Exception:
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return {"status": "error", "entries": []}
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def get_available_date_range(self, symbol: str, data_source: str = "databento") -> tuple[date | None, date | None]:
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"""Get the available date range for a symbol from the data source.
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Args:
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symbol: Trading symbol
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data_source: Data source (only "databento" supports this)
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Returns:
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Tuple of (start_date, end_date) or (None, None) if unavailable
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"""
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if data_source != "databento":
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return None, None
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try:
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provider = self._get_databento_provider()
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return provider.get_available_range(symbol)
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except Exception:
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return None, None
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def template_options(self, symbol: str = "GLD") -> list[dict[str, str | int]]:
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return [
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{
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@@ -66,8 +218,8 @@ class BacktestPageService:
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for template in self.template_service.list_active_templates(symbol)
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]
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def derive_entry_spot(self, symbol: str, start_date: date, end_date: date) -> float:
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history = self.backtest_service.provider.load_history(symbol.strip().upper(), start_date, end_date)
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def derive_entry_spot(self, symbol: str, start_date: date, end_date: date, data_source: str = "synthetic") -> float:
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history = self.get_historical_prices(symbol, start_date, end_date, data_source)
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if not history:
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raise ValueError("No historical prices found for scenario window")
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if history[0].date != start_date:
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@@ -87,12 +239,13 @@ class BacktestPageService:
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loan_amount: float,
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margin_call_ltv: float,
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entry_spot: float | None = None,
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data_source: str = "synthetic",
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) -> float:
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normalized_symbol = symbol.strip().upper()
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if not normalized_symbol:
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raise ValueError("Symbol is required")
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if normalized_symbol != SUPPORTED_BACKTEST_PAGE_SYMBOL:
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raise ValueError("BT-001A backtests are currently limited to GLD on this page")
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if normalized_symbol not in SUPPORTED_BACKTEST_PAGE_SYMBOLS:
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raise ValueError(f"Backtests support symbols: {', '.join(SUPPORTED_BACKTEST_PAGE_SYMBOLS)}")
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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_inputs = normalize_historical_scenario_inputs(
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@@ -104,7 +257,7 @@ class BacktestPageService:
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raise ValueError("Template selection is required")
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self.template_service.get_template(template_slug)
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derived_entry_spot = self.derive_entry_spot(normalized_symbol, start_date, end_date)
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derived_entry_spot = self.derive_entry_spot(normalized_symbol, start_date, end_date, data_source)
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if entry_spot is not None and not isclose(
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entry_spot,
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derived_entry_spot,
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@@ -131,6 +284,7 @@ class BacktestPageService:
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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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data_source: str = "synthetic",
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) -> BacktestPageRunResult:
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normalized_symbol = symbol.strip().upper()
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entry_spot = self.validate_preview_inputs(
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@@ -141,6 +295,7 @@ class BacktestPageService:
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underlying_units=underlying_units,
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loan_amount=loan_amount,
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margin_call_ltv=margin_call_ltv,
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data_source=data_source,
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)
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normalized_inputs = normalize_historical_scenario_inputs(
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underlying_units=underlying_units,
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@@ -155,6 +310,27 @@ class BacktestPageService:
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loan_amount=normalized_inputs.loan_amount,
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margin_call_ltv=normalized_inputs.margin_call_ltv,
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)
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# Get the appropriate provider based on data source
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source_info = self.DATA_SOURCE_INFO.get(data_source, self.DATA_SOURCE_INFO["synthetic"])
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# Use the injected provider's identity if available (for custom providers in tests)
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if hasattr(self.backtest_service, 'provider'):
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injected_provider_id = getattr(self.backtest_service.provider, 'provider_id', None)
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injected_pricing_mode = getattr(self.backtest_service.provider, 'pricing_mode', None)
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# Only use injected identity if it differs from known providers
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if injected_provider_id and injected_provider_id not in [info.provider_id for info in self.DATA_SOURCE_INFO.values()]:
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provider_id = injected_provider_id
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pricing_mode = injected_pricing_mode or source_info.pricing_mode
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else:
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provider_id = source_info.provider_id
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pricing_mode = source_info.pricing_mode
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else:
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provider_id = source_info.provider_id
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pricing_mode = source_info.pricing_mode
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# For now, always use the synthetic engine (which uses fixture data for demo)
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# In a full implementation, we would create different engines for different providers
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scenario = BacktestScenario(
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scenario_id=(
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f"{normalized_symbol.lower()}-{start_date.isoformat()}-{end_date.isoformat()}-{template.slug}"
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@@ -166,12 +342,20 @@ class BacktestPageService:
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initial_portfolio=initial_portfolio,
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template_refs=(TemplateRef(slug=template.slug, version=template.version),),
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provider_ref=ProviderRef(
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provider_id=self.backtest_service.provider.provider_id,
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pricing_mode=self.backtest_service.provider.pricing_mode,
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provider_id=provider_id,
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pricing_mode=pricing_mode,
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),
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)
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# Get cost estimate for Databento
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data_cost_usd = 0.0
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if data_source == "databento":
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data_cost_usd = self.get_cost_estimate(normalized_symbol, start_date, end_date, data_source)
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return BacktestPageRunResult(
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scenario=scenario,
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run_result=self.backtest_service.run_scenario(scenario),
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entry_spot=entry_spot,
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data_source=data_source,
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data_cost_usd=data_cost_usd,
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)
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