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260 lines
8.3 KiB
Python
260 lines
8.3 KiB
Python
"""Fill simulation for entries and exits."""
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from __future__ import annotations
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import datetime as dt
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import math
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import uuid
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from typing import Any
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from libs.backtest.domain import (
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ExecutionConfig,
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ExitReason,
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FilledTrade,
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OpenPosition,
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PlannedOrder,
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PositionStatus,
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)
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from libs.common.logging import get_logger
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logger = get_logger(__name__)
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# ---------------------------------------------------------------------------
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# Slippage helpers
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# ---------------------------------------------------------------------------
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def _long_entry_fill(open_price: float, slippage_bps: float) -> float:
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"""Buy at open + slippage (pays more)."""
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return open_price * (1.0 + slippage_bps / 10_000)
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def _long_exit_fill(price: float, slippage_bps: float) -> float:
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"""Sell at price - slippage (receives less)."""
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return price * (1.0 - slippage_bps / 10_000)
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# ---------------------------------------------------------------------------
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# Entry simulation
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# ---------------------------------------------------------------------------
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def simulate_entry(
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plan: PlannedOrder,
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bar: dict[str, Any],
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config: ExecutionConfig,
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position_id: str | None = None,
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) -> OpenPosition | None:
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"""Simulate filling a planned entry at the bar's open.
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Returns None (position NOT opened) if bar is missing or open is invalid.
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No zero imputation — missing bar = no entry.
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"""
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if bar is None:
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logger.warning("entry_skip_missing_bar", event_id=plan.candidate.event_id)
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return None
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bar_open = bar.get("open")
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if bar_open is None or bar_open <= 0:
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logger.warning("entry_skip_invalid_open", event_id=plan.candidate.event_id, bar=bar)
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return None
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if plan.skip_reason is not None:
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logger.debug("entry_skip_gate_rejected", reason=plan.skip_reason)
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return None
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if plan.shares <= 0:
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logger.warning("entry_skip_zero_shares", event_id=plan.candidate.event_id)
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return None
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fill_price = _long_entry_fill(float(bar_open), config.slippage_bps_base)
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slippage_bps_actual = (fill_price / float(bar_open) - 1.0) * 10_000
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pid = position_id or str(uuid.uuid4())
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# entry_date here is the bar date (execution_date of the candidate)
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bar_date_raw = bar.get("date")
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if isinstance(bar_date_raw, str):
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entry_date = dt.date.fromisoformat(bar_date_raw)
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elif isinstance(bar_date_raw, dt.date):
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entry_date = bar_date_raw
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else:
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entry_date = plan.candidate.execution_date
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return OpenPosition(
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position_id=pid,
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plan=plan,
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entry_date=entry_date,
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entry_price=fill_price,
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entry_fill_slippage_bps=slippage_bps_actual,
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current_stop=plan.stop_price,
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target_price=plan.target_price,
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peak_price=fill_price,
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shares_open=plan.shares,
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shares_total=plan.shares,
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days_held=0,
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status=PositionStatus.ENTERED,
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)
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# ---------------------------------------------------------------------------
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# Exit simulation
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# ---------------------------------------------------------------------------
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def simulate_exit(
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position: OpenPosition,
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bar: dict[str, Any],
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config: ExecutionConfig,
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current_date: dt.date,
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) -> FilledTrade | None:
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"""Check if position should exit on this bar. Returns FilledTrade or None.
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Handles:
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- Stop loss (low ≤ stop_price)
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- Target (high ≥ target_price)
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- Same-bar conflict (controlled by same_bar_priority)
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- Time exit (days_held >= max_holding_days)
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- Kill switch / missing bar handled upstream
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Slippage is applied in the unfavorable direction for long positions.
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"""
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if bar is None:
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return None
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bar_low = bar.get("low")
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bar_high = bar.get("high")
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bar_close = bar.get("close")
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slippage = config.slippage_bps_base
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stop_hit = bar_low is not None and float(bar_low) <= position.current_stop
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target_hit = bar_high is not None and float(bar_high) >= position.target_price
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exit_reason: ExitReason | None = None
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exit_fill_price: float | None = None
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if stop_hit and target_hit:
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# Same-bar conflict
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if config.same_bar_priority == "stop_first_conservative":
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exit_reason = ExitReason.STOP
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exit_fill_price = _long_exit_fill(position.current_stop, slippage)
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else: # target_first_aggressive
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exit_reason = ExitReason.TARGET
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exit_fill_price = _long_exit_fill(position.target_price, slippage)
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elif stop_hit:
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exit_reason = ExitReason.STOP
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exit_fill_price = _long_exit_fill(position.current_stop, slippage)
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elif target_hit:
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exit_reason = ExitReason.TARGET
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exit_fill_price = _long_exit_fill(position.target_price, slippage)
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elif position.days_held >= config.max_holding_days:
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exit_reason = ExitReason.TIME
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if bar_close is not None and float(bar_close) > 0:
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exit_fill_price = _long_exit_fill(float(bar_close), slippage)
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else:
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exit_fill_price = position.entry_price # fallback (shouldn't happen)
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if exit_reason is None or exit_fill_price is None:
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return None
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return _build_filled_trade(position, exit_fill_price, exit_reason, current_date, config)
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def simulate_kill_switch_exit(
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position: OpenPosition,
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bar: dict[str, Any] | None,
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current_date: dt.date,
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config: ExecutionConfig,
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) -> FilledTrade:
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"""Force-close a position due to kill switch (portfolio drawdown)."""
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slippage = config.slippage_bps_base
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if bar is not None and bar.get("close") is not None:
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exit_price = _long_exit_fill(float(bar["close"]), slippage)
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else:
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exit_price = position.entry_price # last known price fallback
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return _build_filled_trade(
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position, exit_price, ExitReason.KILL_SWITCH, current_date, config
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)
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def simulate_missing_bar_exit(
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position: OpenPosition,
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current_date: dt.date,
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config: ExecutionConfig,
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) -> FilledTrade:
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"""Close a position when bar data is unavailable for too long."""
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return _build_filled_trade(
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position, position.entry_price, ExitReason.MISSING_BAR, current_date, config
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)
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# ---------------------------------------------------------------------------
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# Trailing stop update
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# ---------------------------------------------------------------------------
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def update_trailing_stop(position: OpenPosition, bar: dict[str, Any]) -> None:
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"""Ratchet stop up to bar low (never down). Mutates position in place."""
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bar_low = bar.get("low")
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if bar_low is not None:
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new_stop = max(position.current_stop, float(bar_low))
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position.current_stop = new_stop
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# Track peak price
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bar_high = bar.get("high")
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if bar_high is not None:
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position.peak_price = max(position.peak_price, float(bar_high))
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# ---------------------------------------------------------------------------
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# Internal helpers
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# ---------------------------------------------------------------------------
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def _build_filled_trade(
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position: OpenPosition,
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exit_price: float,
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exit_reason: ExitReason,
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exit_date: dt.date,
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config: ExecutionConfig,
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) -> FilledTrade:
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shares = position.shares_open
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commission = shares * config.commission_per_share * 2 # entry + exit legs
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gross_pnl = (exit_price - position.entry_price) * shares
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net_pnl = gross_pnl - commission
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entry_price = position.entry_price
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pnl_pct = (exit_price - entry_price) / entry_price if entry_price != 0 else 0.0
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# R-multiple uses actual fill price
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stop_distance = entry_price - position.plan.stop_price
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if stop_distance > 0:
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r_multiple = (exit_price - entry_price) / stop_distance
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else:
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r_multiple = 0.0
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holding_days = (exit_date - position.entry_date).days
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trade_id = str(uuid.uuid4())
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return FilledTrade(
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trade_id=trade_id,
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position_id=position.position_id,
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event_id=position.plan.candidate.event_id,
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symbol=position.plan.candidate.symbol,
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entry_date=position.entry_date,
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exit_date=exit_date,
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entry_price=position.entry_price,
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exit_price=exit_price,
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exit_reason=exit_reason,
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shares=shares,
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commission=commission,
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slippage_bps=config.slippage_bps_base,
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gross_pnl=gross_pnl,
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net_pnl=net_pnl,
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pnl_pct=pnl_pct,
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r_multiple=r_multiple,
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holding_days=holding_days,
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)
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