vault-dash/app/services/backtesting/ui_service.py

from __future__ import annotations

from dataclasses import dataclass
from datetime import date

from app.domain.backtesting_math import materialize_backtest_portfolio_state
from app.models.backtest import (
    BacktestRunResult,
    BacktestScenario,
    ProviderRef,
    TemplateRef,
)
from app.services.backtesting.historical_provider import DailyClosePoint
from app.services.backtesting.service import BacktestService
from app.services.strategy_templates import StrategyTemplateService

SUPPORTED_BACKTEST_PAGE_SYMBOL = "GLD"


def _validate_initial_collateral(underlying_units: float, entry_spot: float, loan_amount: float) -> None:
    initial_collateral_value = underlying_units * entry_spot
    if loan_amount >= initial_collateral_value:
        raise ValueError(
            "Historical scenario starts undercollateralized: "
            f"loan ${loan_amount:,.0f} exceeds initial collateral ${initial_collateral_value:,.0f} "
            f"at entry spot ${entry_spot:,.2f}. Reduce loan amount or increase underlying units."
        )


DETERMINISTIC_UI_FIXTURE_HISTORY: tuple[DailyClosePoint, ...] = (
    DailyClosePoint(date=date(2024, 1, 2), close=100.0),
    DailyClosePoint(date=date(2024, 1, 3), close=96.0),
    DailyClosePoint(date=date(2024, 1, 4), close=92.0),
    DailyClosePoint(date=date(2024, 1, 5), close=88.0),
    DailyClosePoint(date=date(2024, 1, 8), close=85.0),
)


class DeterministicBacktestFixtureSource:
    def load_daily_closes(self, symbol: str, start_date: date, end_date: date) -> list[DailyClosePoint]:
        normalized_symbol = symbol.strip().upper()
        if (
            normalized_symbol != SUPPORTED_BACKTEST_PAGE_SYMBOL
            or start_date != date(2024, 1, 2)
            or end_date != date(2024, 1, 8)
        ):
            raise ValueError(
                "BT-001A deterministic fixture data only supports GLD on the seeded 2024-01-02 through 2024-01-08 window"
            )
        return list(DETERMINISTIC_UI_FIXTURE_HISTORY)


@dataclass(frozen=True)
class BacktestPageRunResult:
    scenario: BacktestScenario
    run_result: BacktestRunResult
    entry_spot: float


class BacktestPageService:
    def __init__(
        self,
        backtest_service: BacktestService | None = None,
        template_service: StrategyTemplateService | None = None,
    ) -> None:
        self.template_service = template_service or StrategyTemplateService()
        self.backtest_service = backtest_service or BacktestService(
            template_service=self.template_service,
            provider=None,
        )
        provider = self.backtest_service.provider
        provider.source = DeterministicBacktestFixtureSource()

    def template_options(self, symbol: str = "GLD") -> list[dict[str, str | int]]:
        return [
            {
                "label": template.display_name,
                "slug": template.slug,
                "version": template.version,
                "description": template.description,
            }
            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)
        if not history:
            raise ValueError("No historical prices found for scenario window")
        if history[0].date != start_date:
            raise ValueError(
                "Scenario start date must match the first available historical close for entry-at-start backtests"
            )
        return history[0].close

    def validate_preview_inputs(
        self,
        *,
        symbol: str,
        start_date: date,
        end_date: date,
        template_slug: str,
        underlying_units: float,
        loan_amount: float,
        margin_call_ltv: float,
        entry_spot: float | None = None,
    ) -> 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 start_date > end_date:
            raise ValueError("Start date must be on or before end date")
        if underlying_units <= 0:
            raise ValueError("Underlying units must be positive")
        if loan_amount < 0:
            raise ValueError("Loan amount must be non-negative")
        if not 0 < margin_call_ltv < 1:
            raise ValueError("Margin call LTV must be between 0 and 1")
        if not template_slug:
            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)
        if entry_spot is not None and entry_spot != derived_entry_spot:
            raise ValueError(
                f"Supplied entry spot ${entry_spot:,.2f} does not match derived historical entry spot ${derived_entry_spot:,.2f}"
            )
        _validate_initial_collateral(underlying_units, derived_entry_spot, loan_amount)
        return derived_entry_spot

    def run_read_only_scenario(
        self,
        *,
        symbol: str,
        start_date: date,
        end_date: date,
        template_slug: str,
        underlying_units: float,
        loan_amount: float,
        margin_call_ltv: float,
    ) -> BacktestPageRunResult:
        normalized_symbol = symbol.strip().upper()
        entry_spot = self.validate_preview_inputs(
            symbol=normalized_symbol,
            start_date=start_date,
            end_date=end_date,
            template_slug=template_slug,
            underlying_units=underlying_units,
            loan_amount=loan_amount,
            margin_call_ltv=margin_call_ltv,
        )
        template = self.template_service.get_template(template_slug)
        initial_portfolio = materialize_backtest_portfolio_state(
            symbol=normalized_symbol,
            underlying_units=underlying_units,
            entry_spot=entry_spot,
            loan_amount=loan_amount,
            margin_call_ltv=margin_call_ltv,
        )
        scenario = BacktestScenario(
            scenario_id=(
                f"{normalized_symbol.lower()}-{start_date.isoformat()}-{end_date.isoformat()}-{template.slug}"
            ),
            display_name=f"{normalized_symbol} backtest {start_date.isoformat()} → {end_date.isoformat()}",
            symbol=normalized_symbol,
            start_date=start_date,
            end_date=end_date,
            initial_portfolio=initial_portfolio,
            template_refs=(TemplateRef(slug=template.slug, version=template.version),),
            provider_ref=ProviderRef(provider_id="synthetic_v1", pricing_mode="synthetic_bs_mid"),
        )
        return BacktestPageRunResult(
            scenario=scenario,
            run_result=self.backtest_service.run_scenario(scenario),
            entry_spot=entry_spot,
        )