d835544e58
- Fix BacktestPageRunResult serialization in jobs.py to correctly access nested fields from scenario and run_result objects - Add test_backtest_job.py with comprehensive tests for job execution - Add conftest_playwright.py with ServerManager that starts FastAPI server for Playwright tests using uvicorn - Add test_playwright_server.py with E2E tests using the server fixture The job serialization bug was causing backtest results to fail silently because it was trying to access non-existent fields on BacktestPageRunResult.
356 lines
12 KiB
Python
356 lines
12 KiB
Python
"""Async backtest job execution with progress tracking.
|
|
|
|
This module provides a non-blocking backtest execution system:
|
|
1. Jobs are submitted and run in background threads
|
|
2. Progress is tracked with stages (validating, fetching_prices, calculating, complete)
|
|
3. UI polls for status updates
|
|
4. Results are cached for retrieval
|
|
"""
|
|
|
|
from __future__ import annotations
|
|
|
|
import logging
|
|
import threading
|
|
import uuid
|
|
from dataclasses import dataclass, field
|
|
from datetime import date, datetime
|
|
from enum import Enum
|
|
from typing import TYPE_CHECKING, Any
|
|
|
|
if TYPE_CHECKING:
|
|
from app.services.backtesting.ui_service import BacktestPageService
|
|
|
|
logger = logging.getLogger(__name__)
|
|
|
|
|
|
class JobStatus(str, Enum):
|
|
"""Status of a backtest job."""
|
|
|
|
PENDING = "pending"
|
|
RUNNING = "running"
|
|
COMPLETE = "complete"
|
|
FAILED = "failed"
|
|
|
|
|
|
class JobStage(str, Enum):
|
|
"""Execution stages with user-friendly labels."""
|
|
|
|
VALIDATING = "validating"
|
|
FETCHING_PRICES = "fetching_prices"
|
|
CALCULATING = "calculating"
|
|
COMPLETE = "complete"
|
|
FAILED = "failed"
|
|
|
|
@property
|
|
def label(self) -> str:
|
|
"""Human-readable stage label."""
|
|
labels = {
|
|
JobStage.VALIDATING: "Validating inputs...",
|
|
JobStage.FETCHING_PRICES: "Fetching historical prices...",
|
|
JobStage.CALCULATING: "Running backtest calculations...",
|
|
JobStage.COMPLETE: "Complete",
|
|
JobStage.FAILED: "Failed",
|
|
}
|
|
return labels.get(self, self.value)
|
|
|
|
|
|
@dataclass
|
|
class BacktestJob:
|
|
"""Represents a backtest job with progress tracking."""
|
|
|
|
job_id: str
|
|
status: JobStatus = JobStatus.PENDING
|
|
stage: JobStage = JobStage.VALIDATING
|
|
progress: int = 0 # 0-100
|
|
message: str = ""
|
|
result: dict[str, Any] | None = None
|
|
error: str | None = None
|
|
created_at: datetime = field(default_factory=datetime.utcnow)
|
|
completed_at: datetime | None = None
|
|
|
|
def to_dict(self) -> dict[str, Any]:
|
|
"""Serialize job for JSON response."""
|
|
return {
|
|
"job_id": self.job_id,
|
|
"status": self.status.value,
|
|
"stage": self.stage.value,
|
|
"stage_label": self.stage.label,
|
|
"progress": self.progress,
|
|
"message": self.message,
|
|
"has_result": self.result is not None,
|
|
"error": self.error,
|
|
"created_at": self.created_at.isoformat(),
|
|
"completed_at": self.completed_at.isoformat() if self.completed_at else None,
|
|
}
|
|
|
|
|
|
class BacktestJobStore:
|
|
"""In-memory store for backtest jobs.
|
|
|
|
Jobs are stored in a dict keyed by workspace_id -> job_id.
|
|
Each workspace only has one active job at a time (latest replaces previous).
|
|
"""
|
|
|
|
def __init__(self) -> None:
|
|
self._jobs: dict[str, BacktestJob] = {} # workspace_id -> job
|
|
self._results: dict[str, dict[str, Any]] = {} # job_id -> result
|
|
self._lock = threading.Lock()
|
|
|
|
def create_job(self, workspace_id: str) -> BacktestJob:
|
|
"""Create a new job for a workspace, replacing any existing one."""
|
|
job = BacktestJob(job_id=str(uuid.uuid4()))
|
|
with self._lock:
|
|
self._jobs[workspace_id] = job
|
|
logger.info(f"Created job {job.job_id} for workspace {workspace_id}")
|
|
return job
|
|
|
|
def get_job(self, workspace_id: str) -> BacktestJob | None:
|
|
"""Get the current job for a workspace."""
|
|
with self._lock:
|
|
return self._jobs.get(workspace_id)
|
|
|
|
def update_job(
|
|
self,
|
|
workspace_id: str,
|
|
*,
|
|
status: JobStatus | None = None,
|
|
stage: JobStage | None = None,
|
|
progress: int | None = None,
|
|
message: str | None = None,
|
|
result: dict[str, Any] | None = None,
|
|
error: str | None = None,
|
|
) -> None:
|
|
"""Update job state."""
|
|
with self._lock:
|
|
job = self._jobs.get(workspace_id)
|
|
if not job:
|
|
return
|
|
if status:
|
|
job.status = status
|
|
if stage:
|
|
job.stage = stage
|
|
if progress is not None:
|
|
job.progress = progress
|
|
if message is not None:
|
|
job.message = message
|
|
if result is not None:
|
|
job.result = result
|
|
self._results[job.job_id] = result
|
|
if error:
|
|
job.error = error
|
|
if stage == JobStage.COMPLETE or stage == JobStage.FAILED:
|
|
job.completed_at = datetime.utcnow()
|
|
|
|
def get_result(self, job_id: str) -> dict[str, Any] | None:
|
|
"""Get cached result by job ID."""
|
|
with self._lock:
|
|
return self._results.get(job_id)
|
|
|
|
def clear_job(self, workspace_id: str) -> None:
|
|
"""Remove job from store."""
|
|
with self._lock:
|
|
if workspace_id in self._jobs:
|
|
del self._jobs[workspace_id]
|
|
|
|
|
|
# Global job store singleton
|
|
job_store = BacktestJobStore()
|
|
|
|
|
|
def run_backtest_job(
|
|
workspace_id: str,
|
|
job: BacktestJob,
|
|
service: "BacktestPageService",
|
|
symbol: str,
|
|
start_date: date,
|
|
end_date: date,
|
|
template_slug: str,
|
|
underlying_units: float,
|
|
loan_amount: float,
|
|
margin_call_ltv: float,
|
|
data_source: str,
|
|
) -> None:
|
|
"""Execute backtest in background thread with progress updates.
|
|
|
|
This function runs in a background thread and updates the job state
|
|
as it progresses through stages.
|
|
"""
|
|
try:
|
|
# Stage 1: Validating
|
|
job_store.update_job(
|
|
workspace_id,
|
|
status=JobStatus.RUNNING,
|
|
stage=JobStage.VALIDATING,
|
|
progress=10,
|
|
message="Validating inputs...",
|
|
)
|
|
|
|
# Stage 2: Fetching prices
|
|
job_store.update_job(
|
|
workspace_id,
|
|
stage=JobStage.FETCHING_PRICES,
|
|
progress=30,
|
|
message=f"Fetching prices for {symbol}...",
|
|
)
|
|
|
|
# Run the backtest (this includes price fetching)
|
|
result = service.run_read_only_scenario(
|
|
symbol=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,
|
|
data_source=data_source,
|
|
)
|
|
|
|
# Stage 3: Calculating (already done by run_read_only_scenario)
|
|
job_store.update_job(
|
|
workspace_id,
|
|
stage=JobStage.CALCULATING,
|
|
progress=70,
|
|
message="Processing results...",
|
|
)
|
|
|
|
# Convert result to dict for serialization
|
|
# BacktestPageRunResult has: scenario, run_result, entry_spot, data_source, data_cost_usd
|
|
template_results = result.run_result.template_results
|
|
first_template = template_results[0] if template_results else None
|
|
summary = first_template.summary_metrics if first_template else None
|
|
|
|
result_dict = {
|
|
"scenario_id": result.scenario.scenario_id,
|
|
"scenario_name": result.scenario.display_name,
|
|
"symbol": result.scenario.symbol,
|
|
"start_date": result.scenario.start_date.isoformat(),
|
|
"end_date": result.scenario.end_date.isoformat(),
|
|
"entry_spot": result.entry_spot,
|
|
"underlying_units": result.scenario.initial_portfolio.underlying_units,
|
|
"loan_amount": result.scenario.initial_portfolio.loan_amount,
|
|
"margin_call_ltv": result.scenario.initial_portfolio.margin_call_ltv,
|
|
"data_source": result.data_source,
|
|
"data_cost_usd": result.data_cost_usd,
|
|
# Summary metrics from first template result
|
|
"start_value": summary.start_value if summary else 0.0,
|
|
"end_value_hedged_net": summary.end_value_hedged_net if summary else 0.0,
|
|
"total_hedge_cost": summary.total_hedge_cost if summary else 0.0,
|
|
"max_ltv_hedged": summary.max_ltv_hedged if summary else 0.0,
|
|
"max_ltv_unhedged": summary.max_ltv_unhedged if summary else 0.0,
|
|
"margin_call_days_hedged": summary.margin_call_days_hedged if summary else 0,
|
|
"margin_call_days_unhedged": summary.margin_call_days_unhedged if summary else 0,
|
|
"margin_threshold_breached_hedged": summary.margin_threshold_breached_hedged if summary else False,
|
|
"margin_threshold_breached_unhedged": summary.margin_threshold_breached_unhedged if summary else False,
|
|
# Template results with full daily path
|
|
"template_results": [
|
|
{
|
|
"template_slug": tr.template_slug,
|
|
"template_name": tr.template_name,
|
|
"summary_metrics": {
|
|
"start_value": tr.summary_metrics.start_value,
|
|
"end_value_hedged_net": tr.summary_metrics.end_value_hedged_net,
|
|
"total_hedge_cost": tr.summary_metrics.total_hedge_cost,
|
|
"max_ltv_hedged": tr.summary_metrics.max_ltv_hedged,
|
|
"max_ltv_unhedged": tr.summary_metrics.max_ltv_unhedged,
|
|
"margin_call_days_hedged": tr.summary_metrics.margin_call_days_hedged,
|
|
"margin_call_days_unhedged": tr.summary_metrics.margin_call_days_unhedged,
|
|
},
|
|
"daily_path": [
|
|
{
|
|
"date": dp.date.isoformat(),
|
|
"spot_close": dp.spot_close,
|
|
"underlying_value": dp.underlying_value,
|
|
"option_market_value": dp.option_market_value,
|
|
"net_portfolio_value": dp.net_portfolio_value,
|
|
"ltv_hedged": dp.ltv_hedged,
|
|
"ltv_unhedged": dp.ltv_unhedged,
|
|
"margin_call_hedged": dp.margin_call_hedged,
|
|
"margin_call_unhedged": dp.margin_call_unhedged,
|
|
}
|
|
for dp in tr.daily_path
|
|
],
|
|
}
|
|
for tr in template_results
|
|
],
|
|
}
|
|
|
|
# Stage 4: Complete
|
|
job_store.update_job(
|
|
workspace_id,
|
|
status=JobStatus.COMPLETE,
|
|
stage=JobStage.COMPLETE,
|
|
progress=100,
|
|
message="Backtest complete!",
|
|
result=result_dict,
|
|
)
|
|
|
|
logger.info(f"Job {job.job_id} completed successfully")
|
|
|
|
except Exception as e:
|
|
logger.exception(f"Job {job.job_id} failed: {e}")
|
|
error_msg = str(e)
|
|
|
|
# Check for Databento API errors
|
|
if "data_start_before_available_start" in error_msg:
|
|
import re
|
|
|
|
match = re.search(r"available start of dataset [^(]+\('([^']+)'", error_msg)
|
|
if match:
|
|
available_start = match.group(1).split()[0]
|
|
error_msg = (
|
|
f"Data not available before {available_start}. Please set start date to {available_start} or later."
|
|
)
|
|
else:
|
|
error_msg = "Selected start date is before data is available for this dataset."
|
|
elif "BentoClientError" in error_msg or "422" in error_msg:
|
|
error_msg = f"Data source error: {error_msg}"
|
|
|
|
job_store.update_job(
|
|
workspace_id,
|
|
status=JobStatus.FAILED,
|
|
stage=JobStage.FAILED,
|
|
progress=0,
|
|
error=error_msg,
|
|
)
|
|
|
|
|
|
def start_backtest_job(
|
|
workspace_id: str,
|
|
service: "BacktestPageService",
|
|
symbol: str,
|
|
start_date: date,
|
|
end_date: date,
|
|
template_slug: str,
|
|
underlying_units: float,
|
|
loan_amount: float,
|
|
margin_call_ltv: float,
|
|
data_source: str,
|
|
) -> BacktestJob:
|
|
"""Start a backtest job in a background thread.
|
|
|
|
Returns immediately with the job ID. The job runs in the background
|
|
and can be polled for status.
|
|
"""
|
|
job = job_store.create_job(workspace_id)
|
|
|
|
thread = threading.Thread(
|
|
target=run_backtest_job,
|
|
kwargs={
|
|
"workspace_id": workspace_id,
|
|
"job": job,
|
|
"service": service,
|
|
"symbol": 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,
|
|
"data_source": data_source,
|
|
},
|
|
daemon=True,
|
|
)
|
|
thread.start()
|
|
|
|
return job
|