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Improve perf for backtests

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This commit is contained in:
cryptooda
2025-11-10 02:15:43 +07:00
parent 7e52b7a734
commit 51a227e27e
24 changed files with 1327 additions and 443 deletions
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27
src/Managing.Application/Bots/TradingBotBase.cs
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@@ -14,6 +14,7 @@ using Managing.Domain.Indicators;
using Managing.Domain.Scenarios;
using Managing.Domain.Shared.Helpers;
using Managing.Domain.Strategies;
using Managing.Domain.Strategies.Base;
using Managing.Domain.Synth.Models;
using Managing.Domain.Trades;
using Microsoft.Extensions.DependencyInjection;
@@ -28,7 +29,9 @@ public class TradingBotBase : ITradingBot
public readonly ILogger<TradingBotBase> Logger;
private readonly IServiceScopeFactory _scopeFactory;
private const int NEW_POSITION_GRACE_SECONDS = 45; // grace window before evaluating missing orders
private const int CLOSE_POSITION_GRACE_MS = 20000; // grace window before closing position to allow broker processing (20 seconds)
private const int
CLOSE_POSITION_GRACE_MS = 20000; // grace window before closing position to allow broker processing (20 seconds)
public TradingBotConfig Config { get; set; }
public Account Account { get; set; }
@@ -42,6 +45,12 @@ public class TradingBotBase : ITradingBot
public Candle LastCandle { get; set; }
public DateTime? LastPositionClosingTime { get; set; }
/// <summary>
/// Pre-calculated indicator values for backtesting optimization.
/// Key is IndicatorType, Value is the calculated indicator result.
/// </summary>
public Dictionary<IndicatorType, IndicatorsResultBase> PreCalculatedIndicatorValues { get; set; }
public TradingBotBase(
ILogger<TradingBotBase> logger,
@@ -56,6 +65,7 @@ public class TradingBotBase : ITradingBot
Positions = new Dictionary<Guid, Position>();
WalletBalances = new Dictionary<DateTime, decimal>();
PreloadSince = CandleHelpers.GetBotPreloadSinceFromTimeframe(config.Timeframe);
PreCalculatedIndicatorValues = new Dictionary<IndicatorType, IndicatorsResultBase>();
}
public async Task Start(BotStatus previousStatus)
@@ -269,7 +279,8 @@ public class TradingBotBase : ITradingBot
if (Config.IsForBacktest && candles != null)
{
var backtestSignal =
TradingBox.GetSignal(candles, Config.Scenario, Signals, Config.Scenario.LoopbackPeriod);
TradingBox.GetSignal(candles, Config.Scenario, Signals, Config.Scenario.LoopbackPeriod,
PreCalculatedIndicatorValues);
if (backtestSignal == null) return;
await AddSignal(backtestSignal);
}
@@ -768,7 +779,8 @@ public class TradingBotBase : ITradingBot
await LogInformation(
$"⏰ Time Limit Close\nClosing position due to time limit: `{Config.MaxPositionTimeHours}h` exceeded\n📈 Position Status: {profitStatus}\n💰 Entry: `${positionForSignal.Open.Price}` → Current: `${lastCandle.Close}`\n📊 Realized PNL: `${currentPnl:F2}` (`{pnlPercentage:F2}%`)");
// Force a market close: compute PnL based on current price instead of SL/TP
await CloseTrade(signal, positionForSignal, positionForSignal.Open, lastCandle.Close, true, true);
await CloseTrade(signal, positionForSignal, positionForSignal.Open, lastCandle.Close, true,
true);
return;
}
}
@@ -1355,7 +1367,8 @@ public class TradingBotBase : ITradingBot
await SetPositionStatus(signal.Identifier, PositionStatus.Finished);
}
await HandleClosedPosition(closedPosition, forceMarketClose ? lastPrice : (decimal?)null, forceMarketClose);
await HandleClosedPosition(closedPosition, forceMarketClose ? lastPrice : (decimal?)null,
forceMarketClose);
}
else
{
@@ -1371,13 +1384,15 @@ public class TradingBotBase : ITradingBot
// Trade close on exchange => Should close trade manually
await SetPositionStatus(signal.Identifier, PositionStatus.Finished);
// Ensure trade dates are properly updated even for canceled/rejected positions
await HandleClosedPosition(position, forceMarketClose ? lastPrice : (decimal?)null, forceMarketClose);
await HandleClosedPosition(position, forceMarketClose ? lastPrice : (decimal?)null,
forceMarketClose);
}
}
}
}
private async Task HandleClosedPosition(Position position, decimal? forcedClosingPrice = null, bool forceMarketClose = false)
private async Task HandleClosedPosition(Position position, decimal? forcedClosingPrice = null,
bool forceMarketClose = false)
{
if (Positions.ContainsKey(position.Identifier))
{