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975 lines
34 KiB
Python
975 lines
34 KiB
Python
"""Intraday backtest API endpoints (ORB / Morning Momentum)."""
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from __future__ import annotations
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import calendar
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import datetime as dt
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import json
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import os
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import re
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import subprocess
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import sys
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import threading
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import uuid
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from datetime import datetime, timezone
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from pathlib import Path
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from typing import Any
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import yaml
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from fastapi import APIRouter, HTTPException
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from pydantic import BaseModel
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from apps.web.dependencies import get_project_root, get_runs_dir
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router = APIRouter(prefix="/intraday", tags=["intraday"])
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# ---------------------------------------------------------------------------
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# Task registry — in-memory + disk persistence
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# ---------------------------------------------------------------------------
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_tasks: dict[str, dict[str, Any]] = {}
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_tasks_lock = threading.Lock()
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_tasks_initialized = False
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_DEFAULT_OUTPUT_DIR_BY_MODE: dict[str, str] = {
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"momentum": "runs/intraday",
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"orb": "runs/intraday_orb",
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}
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_RUN_VALID_UNIVERSES: set[str] = {
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"sp500",
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"nasdaq100",
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"midlarge",
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"largecap",
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"midcap",
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"smallmid",
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"screener",
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"yaml",
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}
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_EDITOR_VALID_UNIVERSES: set[str] = {
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"sp500",
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"nasdaq100",
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"midlarge",
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"largecap",
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"midcap",
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"smallmid",
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}
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# Built-in strategies (read-only presets shipped with the system)
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# All strategies are now directory-based (configs/intraday/strategies/).
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_BUILTIN_STRATEGIES: dict[str, Any] = {}
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# ---------------------------------------------------------------------------
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# Helpers
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# ---------------------------------------------------------------------------
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def _log_dir() -> Path:
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return get_runs_dir() / ".intraday_tasks"
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def _log_file(task_id: str) -> Path:
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return _log_dir() / f"{task_id}.log"
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def _task_file(task_id: str) -> Path:
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return _log_dir() / f"{task_id}.task.json"
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def _strategies_dir() -> Path:
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return get_project_root() / "configs" / "intraday" / "strategies"
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def _persist_task(task: dict[str, Any]) -> None:
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try:
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_log_dir().mkdir(parents=True, exist_ok=True)
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_task_file(task["task_id"]).write_text(json.dumps(task, indent=2))
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except Exception:
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pass
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def _is_pid_alive(pid: int) -> bool:
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try:
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os.kill(pid, 0)
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return True
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except ProcessLookupError:
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return False
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except PermissionError:
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return True
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_ANSI_ESCAPE = re.compile(r'\x1b\[[0-9;]*[A-Za-z]|\x1b\[[0-9;]*m')
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def _strip_ansi(text: str) -> str:
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return _ANSI_ESCAPE.sub('', text)
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def _log_tail_error(log_path: Path, lines: int = 50) -> str:
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"""Return last N lines of a log file as an error message (ANSI stripped)."""
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try:
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if log_path.exists():
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text = _strip_ansi(log_path.read_text(errors="replace"))
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tail = "\n".join(text.splitlines()[-lines:])
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return tail or "(empty log)"
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except Exception:
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pass
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return "(log unavailable)"
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def _detect_result_file(started_at: datetime, output_dir: str | None = None) -> Path | None:
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"""Find the most recent intraday result JSON written after started_at."""
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out_dir_name = output_dir or _DEFAULT_OUTPUT_DIR_BY_MODE["orb"]
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out_dir = get_project_root() / out_dir_name
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if not out_dir.exists():
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return None
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candidates = []
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for f in out_dir.glob("intraday_*.json"):
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try:
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mtime = datetime.fromtimestamp(f.stat().st_mtime, tz=timezone.utc)
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if mtime > started_at:
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candidates.append((mtime, f))
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except Exception:
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pass
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if not candidates:
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return None
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candidates.sort(key=lambda x: x[0], reverse=True)
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return candidates[0][1]
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def _result_summary_from_file(result_path: Path) -> dict[str, Any] | None:
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"""Parse key metrics from an intraday result JSON file."""
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try:
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data = json.loads(result_path.read_text())
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m = data.get("metrics", {})
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return {
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"return_pct": m.get("total_return_pct"),
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"max_dd_pct": m.get("max_drawdown_pct"),
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"sharpe": m.get("sharpe_ratio"),
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"win_rate": (m.get("win_rate") or 0) * 100 if m.get("win_rate") is not None else None,
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"trade_count": m.get("total_trades"),
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"final_equity": m.get("final_equity"),
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"calmar": m.get("calmar_ratio"),
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"loss_containment_score": m.get("loss_containment_score"),
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"avg_loss_day_pct": m.get("avg_loss_day_pct"),
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"tail_loss_20_pct": m.get("tail_loss_20_pct"),
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"worst_day_return_pct": m.get("worst_day_return_pct"),
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}
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except Exception:
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return None
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def _load_strategy_runtime(config_path: str | Path) -> tuple[str, str]:
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"""Return (strategy_mode, output_dir) derived from a config file."""
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raw = yaml.safe_load(Path(config_path).read_text()) or {}
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strategy_mode = str(raw.get("strategy_mode") or "momentum").lower()
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if strategy_mode not in _DEFAULT_OUTPUT_DIR_BY_MODE:
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strategy_mode = "momentum"
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output_dir = str(
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raw.get("output", {}).get("dir")
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or _DEFAULT_OUTPUT_DIR_BY_MODE[strategy_mode]
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)
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return strategy_mode, output_dir
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def _load_strategy_universe(config_path: str | Path) -> tuple[str, str | None]:
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"""Return (universe_source, symbols_file) from a strategy config."""
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raw = yaml.safe_load(Path(config_path).read_text()) or {}
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universe = raw.get("universe", {}) or {}
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source = str(universe.get("source") or "midlarge").lower()
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symbols_file = universe.get("symbols_file")
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return source, str(symbols_file) if symbols_file else None
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def _format_universe_label(source: str, symbols_file: str | None) -> str:
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if source == "yaml" and symbols_file:
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return f"yaml:{Path(symbols_file).name}"
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return source
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def _watch_process(task_id: str, proc: subprocess.Popen) -> None: # type: ignore[type-arg]
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"""Background thread: wait for subprocess to finish, then update task state."""
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import time
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# Mark as running once PID is known
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with _tasks_lock:
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task = _tasks.get(task_id)
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if task:
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task["status"] = "running"
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task["pid"] = proc.pid
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task["started_at"] = datetime.now(timezone.utc).isoformat()
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_persist_task(task)
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# Wait for subprocess
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proc.wait()
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started_at_str = None
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with _tasks_lock:
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task = _tasks.get(task_id)
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if task:
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started_at_str = task.get("started_at")
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started_at = datetime.now(timezone.utc)
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if started_at_str:
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try:
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started_at = datetime.fromisoformat(started_at_str.replace("Z", "+00:00"))
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except Exception:
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pass
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# Allow a brief moment for file system writes to flush
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time.sleep(1)
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result_path = _detect_result_file(started_at, task.get("output_dir") if task else None)
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log_path = _log_file(task_id)
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with _tasks_lock:
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task = _tasks.get(task_id)
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if task is None:
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return
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if task.get("status") == "cancelled":
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_persist_task(task)
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return
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task["pid"] = None
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task["finished_at"] = datetime.now(timezone.utc).isoformat()
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task["returncode"] = proc.returncode
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if proc.returncode == 0 and result_path:
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task["status"] = "completed"
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task["result_file"] = str(result_path)
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summary = _result_summary_from_file(result_path)
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if summary:
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task["result_summary"] = summary
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else:
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task["status"] = "failed"
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task["error"] = _log_tail_error(log_path)
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_persist_task(task)
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def _load_tasks_from_disk() -> None:
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"""Restore persisted tasks on startup."""
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ld = _log_dir()
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if not ld.exists():
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return
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for f in sorted(ld.glob("*.task.json")):
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try:
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data = json.loads(f.read_text())
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task_id = data.get("task_id")
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if not task_id or task_id in _tasks:
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continue
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# Tasks stuck in running/queued get resolved
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if data.get("status") in ("running", "queued"):
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pid = data.get("pid")
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if pid and _is_pid_alive(pid):
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_tasks[task_id] = data
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continue
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# Process dead — check for result
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data["pid"] = None
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if not data.get("finished_at"):
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data["finished_at"] = datetime.now(timezone.utc).isoformat()
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started_at_str = data.get("started_at")
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result_path = None
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if started_at_str:
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try:
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started_at = datetime.fromisoformat(started_at_str.replace("Z", "+00:00"))
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result_path = _detect_result_file(started_at, data.get("output_dir"))
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except Exception:
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pass
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if result_path:
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data["status"] = "completed"
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data["result_file"] = str(result_path)
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summary = _result_summary_from_file(result_path)
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if summary:
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data["result_summary"] = summary
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else:
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data["status"] = "failed"
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data["error"] = "Server restarted while task was running"
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f.write_text(json.dumps(data, indent=2))
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_tasks[task_id] = data
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except Exception:
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pass
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def _ensure_initialized() -> None:
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global _tasks_initialized
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if not _tasks_initialized:
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_tasks_initialized = True
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_load_tasks_from_disk()
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def _slugify(name: str) -> str:
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"""Convert a name to a safe slug (lowercase, underscores, alphanumeric)."""
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s = name.lower().strip()
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s = re.sub(r"[^a-z0-9]+", "_", s)
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s = s.strip("_")
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return s or "strategy"
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def _next_strategy_id() -> int:
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"""Return the next available strategy ID (max existing + 1, starting at 1)."""
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sdir = _strategies_dir()
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used: set[int] = set()
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if sdir.exists():
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for yaml_file in sdir.glob("*.yaml"):
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try:
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raw = yaml.safe_load(yaml_file.read_text()) or {}
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sid = raw.get("_meta", {}).get("id")
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if isinstance(sid, int) and sid > 0:
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used.add(sid)
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except Exception:
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pass
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if not used:
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return 1
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return max(used) + 1
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def _load_user_strategy(slug: str) -> dict[str, Any] | None:
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"""Load a user strategy from its YAML file. Returns None if not found."""
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path = _strategies_dir() / f"{slug}.yaml"
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if not path.exists():
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return None
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try:
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raw = yaml.safe_load(path.read_text()) or {}
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meta = raw.get("_meta", {})
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strategy_mode = str(raw.get("strategy_mode") or "momentum").lower()
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orb = raw.get("orb_strategy", {})
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momentum = raw.get("strategy", {})
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backtest = raw.get("backtest", {})
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universe = raw.get("universe", {})
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base = {
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"slug": slug,
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"id": meta.get("id"),
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"name": meta.get("name", slug),
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"description": meta.get("description", ""),
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"builtin": False,
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"config_path": str(path.relative_to(get_project_root())),
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"days": backtest.get("lookback_trading_days", 200),
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"universe": universe.get("source", "midlarge"),
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"universe_symbols_file": universe.get("symbols_file"),
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"universe_label": _format_universe_label(
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str(universe.get("source", "midlarge")),
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str(universe.get("symbols_file")) if universe.get("symbols_file") else None,
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),
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"strategy_mode": strategy_mode,
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"output_dir": raw.get("output", {}).get(
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"dir",
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_DEFAULT_OUTPUT_DIR_BY_MODE.get(strategy_mode, _DEFAULT_OUTPUT_DIR_BY_MODE["momentum"]),
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),
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}
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if strategy_mode == "orb":
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base.update({
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"initial_capital": orb.get("initial_capital", 10000.0),
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"risk_per_trade_pct": orb.get("risk_per_trade_pct", 0.0025),
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"max_position_pct": orb.get("max_position_pct", 0.20),
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"atr_stop_multiplier": orb.get("atr_stop_multiplier", 0.50),
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"min_rvol": orb.get("min_rvol", 1.0),
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"max_candidates": orb.get("max_candidates", 20),
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"daily_max_loss_pct": orb.get("daily_max_loss_pct", 0.0125),
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"max_stops_per_day": orb.get("max_stops_per_day", 3),
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"breakeven_at_r": orb.get("breakeven_at_r", 1.0),
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"trailing_at_r": orb.get("trailing_at_r", 2.0),
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"trailing_stop_atr_multiplier": orb.get("trailing_stop_atr_multiplier", 0.0),
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"order_timeout_minutes": orb.get("order_timeout_minutes", 45),
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"settlement_days": orb.get("settlement_days", 1),
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"min_candidate_breadth": orb.get("min_candidate_breadth"),
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"max_gap_pct": orb.get("max_gap_pct", 0.10),
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"sim_bar_minutes": orb.get("sim_bar_minutes", 5),
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"orb_minutes": orb.get("orb_minutes", 5),
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"compound_returns": orb.get("compound_returns", True),
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})
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else:
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base.update({
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"initial_capital": momentum.get("initial_capital", 10000.0),
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"entry_minutes_after_open": momentum.get("entry_minutes_after_open", 30),
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"exit_minutes_before_close": momentum.get("exit_minutes_before_close", 30),
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"top_n": momentum.get("top_n", 3),
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"min_morning_gain_pct": momentum.get("min_morning_gain_pct", 0.01),
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"max_morning_gain_pct": momentum.get("max_morning_gain_pct"),
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"min_entry_volume": momentum.get("min_entry_volume"),
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"stop_loss_pct": momentum.get("stop_loss_pct"),
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"trailing_stop_pct": momentum.get("trailing_stop_pct"),
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"ticker_cooldown_days": momentum.get("ticker_cooldown_days", 0),
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"market_regime_spy_threshold": momentum.get("market_regime_spy_threshold"),
|
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"compound_returns": False,
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})
|
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return base
|
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except Exception:
|
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return None
|
|
|
|
|
|
def _save_user_strategy(strat_data: dict[str, Any]) -> None:
|
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"""Write a user strategy dict to its YAML file."""
|
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_strategies_dir().mkdir(parents=True, exist_ok=True)
|
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slug = strat_data["slug"]
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path = _strategies_dir() / f"{slug}.yaml"
|
|
|
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meta_block: dict[str, Any] = {
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"name": strat_data["name"],
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|
"description": strat_data.get("description", ""),
|
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}
|
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if strat_data.get("id") is not None:
|
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meta_block["id"] = strat_data["id"]
|
|
|
|
data: dict[str, Any] = {
|
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"_meta": meta_block,
|
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"strategy_mode": "orb",
|
|
"orb_strategy": {
|
|
"orb_minutes": strat_data.get("orb_minutes", 5),
|
|
"sim_bar_minutes": strat_data.get("sim_bar_minutes", 30),
|
|
"entry_direction": "long_only",
|
|
"order_timeout_minutes": strat_data.get("order_timeout_minutes", 45),
|
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"min_price": 10.0,
|
|
"min_avg_dollar_volume": 25000000,
|
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"min_atr_14": 0.50,
|
|
"min_rvol": strat_data.get("min_rvol", 1.0),
|
|
"max_candidates": strat_data.get("max_candidates", 20),
|
|
"min_candidates_to_trade": 3,
|
|
"weight_rvol": 0.60,
|
|
"weight_gap": 0.25,
|
|
"weight_dollar_vol": 0.15,
|
|
"atr_stop_multiplier": strat_data.get("atr_stop_multiplier", 0.50),
|
|
"breakeven_at_r": strat_data.get("breakeven_at_r", 1.0),
|
|
"trailing_at_r": strat_data.get("trailing_at_r", 2.0),
|
|
"trailing_stop_atr_multiplier": strat_data.get("trailing_stop_atr_multiplier", 0.0),
|
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"risk_per_trade_pct": strat_data.get("risk_per_trade_pct", 0.0025),
|
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"max_position_pct": strat_data.get("max_position_pct", 0.20),
|
|
"daily_max_loss_pct": strat_data.get("daily_max_loss_pct", 0.0125),
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|
"max_stops_per_day": strat_data.get("max_stops_per_day", 3),
|
|
"exit_minutes_before_close": 5,
|
|
"slippage_bps": 5.0,
|
|
"initial_capital": strat_data.get("initial_capital", 10000.0),
|
|
"ticker_cooldown_days": 0,
|
|
"market_regime_spy_threshold": None,
|
|
"min_candidate_breadth": strat_data.get("min_candidate_breadth"),
|
|
"settlement_days": strat_data.get("settlement_days", 1),
|
|
"max_gap_pct": strat_data.get("max_gap_pct", 0.10),
|
|
"compound_returns": strat_data.get("compound_returns", False),
|
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},
|
|
"universe": {
|
|
"source": strat_data.get("universe", "midlarge"),
|
|
"min_price": 10.0,
|
|
},
|
|
"backtest": {
|
|
"start_date": None,
|
|
"end_date": None,
|
|
"lookback_trading_days": strat_data.get("days", 200),
|
|
"pre_screen_threshold": 0.01,
|
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},
|
|
"cache": {"enabled": True, "dir": "data/cache/intraday"},
|
|
"output": {"dir": "runs/intraday_orb", "verbose": False},
|
|
}
|
|
path.write_text(yaml.dump(data, default_flow_style=False, sort_keys=False, allow_unicode=True))
|
|
|
|
|
|
def _resolve_config_path(slug: str) -> str:
|
|
"""Resolve a strategy slug to an absolute config YAML path."""
|
|
user_path = _strategies_dir() / f"{slug}.yaml"
|
|
if user_path.exists():
|
|
return str(user_path)
|
|
raise HTTPException(status_code=404, detail=f"Strategy not found: {slug!r}")
|
|
|
|
|
|
def _parse_dates(start: str | None, end: str | None, year: str | None) -> tuple[str | None, str | None]:
|
|
"""Normalize date inputs to YYYY-MM-DD strings.
|
|
|
|
Accepts: YYYY, YYYY-MM, YYYY-MM-DD for start/end; YYYY for year.
|
|
Returns (start_date, end_date) as ISO strings or None.
|
|
"""
|
|
if year:
|
|
y = int(year)
|
|
return f"{y}-01-01", f"{y}-12-31"
|
|
|
|
def _expand(s: str, is_end: bool = False) -> str:
|
|
s = s.strip()
|
|
if len(s) == 4 and s.isdigit():
|
|
y = int(s)
|
|
return f"{y}-12-31" if is_end else f"{y}-01-01"
|
|
if len(s) == 7 and s[4] == "-":
|
|
y, m = int(s[:4]), int(s[5:])
|
|
if is_end:
|
|
last = calendar.monthrange(y, m)[1]
|
|
return f"{y}-{m:02d}-{last:02d}"
|
|
return f"{y}-{m:02d}-01"
|
|
# Assume YYYY-MM-DD
|
|
dt.date.fromisoformat(s) # validate; raises ValueError if bad
|
|
return s
|
|
|
|
start_out = _expand(start) if start else None
|
|
end_out = _expand(end, is_end=True) if end else None
|
|
return start_out, end_out
|
|
|
|
|
|
# ---------------------------------------------------------------------------
|
|
# Request / Response Models
|
|
# ---------------------------------------------------------------------------
|
|
|
|
class IntradayBacktestRequest(BaseModel):
|
|
config: str = "orb_aggressive" # strategy slug (built-in or user-defined)
|
|
days: int = 200
|
|
universe: str = "midlarge"
|
|
# Date range (optional — mutually exclusive with `days` when start is set)
|
|
year: str | None = None # YYYY shorthand (sets start=Jan 1, end=Dec 31)
|
|
start_date: str | None = None # YYYY, YYYY-MM, or YYYY-MM-DD
|
|
end_date: str | None = None # YYYY, YYYY-MM, or YYYY-MM-DD (default: today)
|
|
# Per-run overrides
|
|
compound_returns: bool | None = None # None = use strategy config default
|
|
initial_capital: float | None = None # None = use strategy config default
|
|
daily_budget_reset: bool | None = None # Research mode: reset budget daily
|
|
|
|
|
|
class CreateStrategyRequest(BaseModel):
|
|
name: str
|
|
description: str = ""
|
|
# Backtest params
|
|
days: int = 200
|
|
universe: str = "midlarge"
|
|
# ORB strategy params
|
|
initial_capital: float = 10000.0
|
|
risk_per_trade_pct: float = 0.0025
|
|
max_position_pct: float = 0.20
|
|
atr_stop_multiplier: float = 0.50
|
|
min_rvol: float = 1.0
|
|
max_candidates: int = 20
|
|
daily_max_loss_pct: float = 0.0125
|
|
max_stops_per_day: int = 3
|
|
breakeven_at_r: float = 1.0
|
|
trailing_at_r: float = 2.0
|
|
trailing_stop_atr_multiplier: float = 0.0
|
|
order_timeout_minutes: int = 45
|
|
settlement_days: int = 1
|
|
min_candidate_breadth: float | None = None
|
|
max_gap_pct: float | None = 0.10
|
|
sim_bar_minutes: int = 30
|
|
orb_minutes: int = 5
|
|
compound_returns: bool = False
|
|
|
|
|
|
class UpdateStrategyRequest(BaseModel):
|
|
name: str | None = None
|
|
description: str | None = None
|
|
days: int | None = None
|
|
universe: str | None = None
|
|
initial_capital: float | None = None
|
|
risk_per_trade_pct: float | None = None
|
|
max_position_pct: float | None = None
|
|
atr_stop_multiplier: float | None = None
|
|
min_rvol: float | None = None
|
|
max_candidates: int | None = None
|
|
daily_max_loss_pct: float | None = None
|
|
max_stops_per_day: int | None = None
|
|
breakeven_at_r: float | None = None
|
|
trailing_at_r: float | None = None
|
|
trailing_stop_atr_multiplier: float | None = None
|
|
order_timeout_minutes: int | None = None
|
|
settlement_days: int | None = None
|
|
min_candidate_breadth: float | None = None
|
|
max_gap_pct: float | None = None
|
|
sim_bar_minutes: int | None = None
|
|
orb_minutes: int | None = None
|
|
compound_returns: bool | None = None
|
|
|
|
|
|
# ---------------------------------------------------------------------------
|
|
# Strategy CRUD Endpoints
|
|
# ---------------------------------------------------------------------------
|
|
|
|
@router.get("/strategies")
|
|
def list_strategies() -> dict[str, Any]:
|
|
"""List all strategies from disk."""
|
|
strategies: list[dict[str, Any]] = []
|
|
sdir = _strategies_dir()
|
|
if sdir.exists():
|
|
for yaml_file in sorted(sdir.glob("*.yaml")):
|
|
strat = _load_user_strategy(yaml_file.stem)
|
|
if strat:
|
|
strategies.append({k: v for k, v in strat.items() if k != "config_path"})
|
|
return {"strategies": strategies}
|
|
|
|
|
|
@router.get("/strategies/{slug}")
|
|
def get_strategy(slug: str) -> dict[str, Any]:
|
|
"""Get a single strategy by slug."""
|
|
strat = _load_user_strategy(slug)
|
|
if not strat:
|
|
raise HTTPException(status_code=404, detail=f"Strategy not found: {slug!r}")
|
|
return {k: v for k, v in strat.items() if k != "config_path"}
|
|
|
|
|
|
@router.post("/strategies")
|
|
def create_strategy(req: CreateStrategyRequest) -> dict[str, Any]:
|
|
"""Create a new user-defined strategy."""
|
|
if req.universe not in _EDITOR_VALID_UNIVERSES:
|
|
raise HTTPException(status_code=400, detail=f"Unknown universe: {req.universe!r}")
|
|
|
|
slug = _slugify(req.name)
|
|
if not slug:
|
|
raise HTTPException(status_code=400, detail="Strategy name produces empty slug")
|
|
|
|
if (_strategies_dir() / f"{slug}.yaml").exists():
|
|
raise HTTPException(status_code=409, detail=f"Strategy {slug!r} already exists")
|
|
|
|
strat_data = {
|
|
"slug": slug,
|
|
"id": _next_strategy_id(),
|
|
"name": req.name,
|
|
"description": req.description,
|
|
"builtin": False,
|
|
"days": req.days,
|
|
"universe": req.universe,
|
|
"universe_label": req.universe,
|
|
"initial_capital": req.initial_capital,
|
|
"risk_per_trade_pct": req.risk_per_trade_pct,
|
|
"max_position_pct": req.max_position_pct,
|
|
"atr_stop_multiplier": req.atr_stop_multiplier,
|
|
"min_rvol": req.min_rvol,
|
|
"max_candidates": req.max_candidates,
|
|
"daily_max_loss_pct": req.daily_max_loss_pct,
|
|
"max_stops_per_day": req.max_stops_per_day,
|
|
"breakeven_at_r": req.breakeven_at_r,
|
|
"trailing_at_r": req.trailing_at_r,
|
|
"trailing_stop_atr_multiplier": req.trailing_stop_atr_multiplier,
|
|
"order_timeout_minutes": req.order_timeout_minutes,
|
|
"settlement_days": req.settlement_days,
|
|
"min_candidate_breadth": req.min_candidate_breadth,
|
|
"max_gap_pct": req.max_gap_pct,
|
|
"sim_bar_minutes": req.sim_bar_minutes,
|
|
"orb_minutes": req.orb_minutes,
|
|
"compound_returns": req.compound_returns,
|
|
}
|
|
_save_user_strategy(strat_data)
|
|
return strat_data
|
|
|
|
|
|
@router.put("/strategies/{slug}")
|
|
def update_strategy(slug: str, req: UpdateStrategyRequest) -> dict[str, Any]:
|
|
"""Update a strategy."""
|
|
strat = _load_user_strategy(slug)
|
|
if not strat:
|
|
raise HTTPException(status_code=404, detail=f"Strategy not found: {slug!r}")
|
|
if strat.get("strategy_mode") != "orb":
|
|
raise HTTPException(
|
|
status_code=400,
|
|
detail="Web strategy editor currently supports ORB strategies only",
|
|
)
|
|
|
|
# Apply non-None updates
|
|
updates = req.model_dump(exclude_none=True)
|
|
for k, v in updates.items():
|
|
strat[k] = v
|
|
|
|
if req.universe and req.universe not in _EDITOR_VALID_UNIVERSES:
|
|
raise HTTPException(status_code=400, detail=f"Unknown universe: {req.universe!r}")
|
|
|
|
_save_user_strategy(strat)
|
|
return {k: v for k, v in strat.items() if k != "config_path"}
|
|
|
|
|
|
@router.post("/strategies/{slug}/copy")
|
|
def copy_strategy(slug: str) -> dict[str, Any]:
|
|
"""Create a copy of an existing strategy with a new slug and ID."""
|
|
strat = _load_user_strategy(slug)
|
|
if not strat:
|
|
raise HTTPException(status_code=404, detail=f"Strategy not found: {slug!r}")
|
|
if strat.get("strategy_mode") != "orb":
|
|
raise HTTPException(
|
|
status_code=400,
|
|
detail="Web strategy copy currently supports ORB strategies only",
|
|
)
|
|
|
|
new_name = f"{strat['name']} (copy)"
|
|
base_slug = _slugify(new_name)
|
|
new_slug = base_slug
|
|
counter = 2
|
|
while (_strategies_dir() / f"{new_slug}.yaml").exists():
|
|
new_slug = f"{base_slug}_{counter}"
|
|
counter += 1
|
|
|
|
new_strat = {k: v for k, v in strat.items() if k not in ("config_path", "builtin")}
|
|
new_strat["slug"] = new_slug
|
|
new_strat["name"] = new_name
|
|
new_strat["id"] = _next_strategy_id()
|
|
new_strat["builtin"] = False
|
|
_save_user_strategy(new_strat)
|
|
return {k: v for k, v in new_strat.items() if k != "config_path"}
|
|
|
|
|
|
@router.delete("/strategies/{slug}")
|
|
def delete_strategy(slug: str) -> dict[str, Any]:
|
|
"""Delete a strategy."""
|
|
path = _strategies_dir() / f"{slug}.yaml"
|
|
if not path.exists():
|
|
raise HTTPException(status_code=404, detail=f"Strategy not found: {slug!r}")
|
|
|
|
path.unlink()
|
|
return {"slug": slug, "deleted": True}
|
|
|
|
|
|
# ---------------------------------------------------------------------------
|
|
# Endpoints
|
|
# ---------------------------------------------------------------------------
|
|
|
|
@router.post("/backtest/submit")
|
|
def submit_intraday_backtest(req: IntradayBacktestRequest) -> dict[str, Any]:
|
|
_ensure_initialized()
|
|
|
|
# Resolve config slug → YAML path
|
|
config_path = _resolve_config_path(req.config)
|
|
|
|
if req.universe not in _RUN_VALID_UNIVERSES:
|
|
raise HTTPException(status_code=400, detail=f"Unknown universe: {req.universe!r}")
|
|
|
|
# Normalize dates
|
|
try:
|
|
start_iso, end_iso = _parse_dates(req.start_date, req.end_date, req.year)
|
|
except (ValueError, TypeError) as exc:
|
|
raise HTTPException(status_code=400, detail=f"Invalid date: {exc}")
|
|
|
|
task_id = str(uuid.uuid4())
|
|
task: dict[str, Any] = {
|
|
"task_id": task_id,
|
|
"config": req.config,
|
|
"days": req.days,
|
|
"universe": req.universe,
|
|
"year": req.year,
|
|
"start_date": start_iso,
|
|
"end_date": end_iso,
|
|
"compound_returns": req.compound_returns,
|
|
"daily_budget_reset": req.daily_budget_reset,
|
|
"status": "queued",
|
|
"created_at": datetime.now(timezone.utc).isoformat(),
|
|
"started_at": None,
|
|
"finished_at": None,
|
|
"pid": None,
|
|
"returncode": None,
|
|
"error": None,
|
|
"result_file": None,
|
|
"result_summary": None,
|
|
}
|
|
|
|
project_root = get_project_root()
|
|
_log_dir().mkdir(parents=True, exist_ok=True)
|
|
log_path = _log_file(task_id)
|
|
|
|
strategy_mode, output_dir_name = _load_strategy_runtime(config_path)
|
|
_strategy_universe_source, strategy_universe_symbols_file = _load_strategy_universe(config_path)
|
|
task["strategy_mode"] = strategy_mode
|
|
task["output_dir"] = output_dir_name
|
|
task["universe_label"] = _format_universe_label(
|
|
req.universe,
|
|
strategy_universe_symbols_file if req.universe == "yaml" else None,
|
|
)
|
|
output_dir = str(project_root / output_dir_name)
|
|
cmd = [
|
|
sys.executable, "-u", "-m", "apps.intraday_bt.run",
|
|
"--strategy", strategy_mode,
|
|
"--config", config_path,
|
|
"--output-dir", output_dir,
|
|
]
|
|
if req.universe != "yaml":
|
|
cmd.extend(["--universe", req.universe])
|
|
# Date params: explicit range takes precedence over lookback days
|
|
if start_iso:
|
|
cmd.extend(["--start", start_iso])
|
|
if end_iso:
|
|
cmd.extend(["--end", end_iso])
|
|
else:
|
|
cmd.extend(["--days", str(req.days)])
|
|
|
|
# Per-run initial capital override
|
|
if req.initial_capital is not None:
|
|
cmd.extend(["--initial-capital", str(req.initial_capital)])
|
|
|
|
# Per-run compound/simple override
|
|
if req.compound_returns is True:
|
|
cmd.append("--compound-returns")
|
|
elif req.compound_returns is False:
|
|
cmd.append("--no-compound-returns")
|
|
|
|
# Per-run daily budget reset override (research mode)
|
|
if req.daily_budget_reset is True:
|
|
cmd.append("--daily-budget-reset")
|
|
elif req.daily_budget_reset is False:
|
|
cmd.append("--no-daily-budget-reset")
|
|
|
|
with _tasks_lock:
|
|
_tasks[task_id] = task
|
|
_persist_task(task)
|
|
|
|
with open(log_path, "wb") as log_fp:
|
|
proc = subprocess.Popen(
|
|
cmd,
|
|
stdout=log_fp,
|
|
stderr=subprocess.STDOUT,
|
|
cwd=str(project_root),
|
|
)
|
|
|
|
thread = threading.Thread(
|
|
target=_watch_process,
|
|
args=(task_id, proc),
|
|
daemon=True,
|
|
)
|
|
thread.start()
|
|
|
|
return {"task_id": task_id, "status": "queued"}
|
|
|
|
|
|
def _try_resolve_dead_task(task_id: str) -> None:
|
|
"""If a task is stuck 'running' with a dead PID, auto-resolve its status.
|
|
|
|
Called on task GET / list so the UI never shows stale 'running' after the
|
|
subprocess has already exited (handles daemon-thread death on server restart,
|
|
or rare cases where _watch_process didn't persist the final state).
|
|
"""
|
|
with _tasks_lock:
|
|
task = _tasks.get(task_id)
|
|
if task is None or task.get("status") != "running":
|
|
return
|
|
pid = task.get("pid")
|
|
if pid and _is_pid_alive(pid):
|
|
return # genuinely still running
|
|
|
|
# Process is gone — detect result file and resolve
|
|
started_at_str = task.get("started_at")
|
|
started_at = datetime.now(timezone.utc)
|
|
if started_at_str:
|
|
try:
|
|
started_at = datetime.fromisoformat(started_at_str.replace("Z", "+00:00"))
|
|
except Exception:
|
|
pass
|
|
|
|
result_path = _detect_result_file(started_at, task.get("output_dir"))
|
|
task["pid"] = None
|
|
if not task.get("finished_at"):
|
|
task["finished_at"] = datetime.now(timezone.utc).isoformat()
|
|
|
|
if result_path:
|
|
task["status"] = "completed"
|
|
task["result_file"] = str(result_path)
|
|
summary = _result_summary_from_file(result_path)
|
|
if summary:
|
|
task["result_summary"] = summary
|
|
else:
|
|
task["status"] = "failed"
|
|
log_path = _log_file(task_id)
|
|
task["error"] = _log_tail_error(log_path)
|
|
|
|
_persist_task(task)
|
|
|
|
|
|
@router.get("/backtest/tasks")
|
|
def list_intraday_tasks() -> dict[str, Any]:
|
|
_ensure_initialized()
|
|
with _tasks_lock:
|
|
task_ids = list(_tasks.keys())
|
|
for tid in task_ids:
|
|
_try_resolve_dead_task(tid)
|
|
with _tasks_lock:
|
|
tasks = list(_tasks.values())
|
|
tasks.sort(key=lambda t: t.get("created_at", ""), reverse=True)
|
|
return {"tasks": tasks}
|
|
|
|
|
|
@router.get("/backtest/tasks/{task_id}")
|
|
def get_intraday_task(task_id: str) -> dict[str, Any]:
|
|
_ensure_initialized()
|
|
_try_resolve_dead_task(task_id)
|
|
with _tasks_lock:
|
|
task = _tasks.get(task_id)
|
|
if task is None:
|
|
raise HTTPException(status_code=404, detail="Task not found")
|
|
return task
|
|
|
|
|
|
@router.delete("/backtest/tasks/{task_id}")
|
|
def cancel_intraday_task(task_id: str) -> dict[str, Any]:
|
|
_ensure_initialized()
|
|
with _tasks_lock:
|
|
task = _tasks.get(task_id)
|
|
if task is None:
|
|
raise HTTPException(status_code=404, detail="Task not found")
|
|
pid = task.get("pid")
|
|
if task["status"] in ("queued", "running"):
|
|
task["status"] = "cancelled"
|
|
task["finished_at"] = datetime.now(timezone.utc).isoformat()
|
|
_persist_task(task)
|
|
|
|
if pid:
|
|
try:
|
|
import signal as _sig
|
|
os.kill(pid, _sig.SIGTERM)
|
|
except Exception:
|
|
pass
|
|
|
|
return {"task_id": task_id, "status": "cancelled"}
|
|
|
|
|
|
@router.delete("/backtest/tasks/{task_id}/delete")
|
|
def delete_intraday_task(task_id: str) -> dict[str, Any]:
|
|
"""Permanently remove a task from history (cancel first if still running)."""
|
|
_ensure_initialized()
|
|
with _tasks_lock:
|
|
task = _tasks.get(task_id)
|
|
if task is None:
|
|
raise HTTPException(status_code=404, detail="Task not found")
|
|
pid = task.get("pid")
|
|
if task["status"] in ("queued", "running"):
|
|
task["status"] = "cancelled"
|
|
task["finished_at"] = datetime.now(timezone.utc).isoformat()
|
|
_tasks.pop(task_id, None)
|
|
|
|
if pid:
|
|
try:
|
|
import signal as _sig
|
|
os.kill(pid, _sig.SIGTERM)
|
|
except Exception:
|
|
pass
|
|
|
|
# Remove persisted files
|
|
try:
|
|
_task_file(task_id).unlink(missing_ok=True)
|
|
_log_file(task_id).unlink(missing_ok=True)
|
|
except Exception:
|
|
pass
|
|
|
|
return {"task_id": task_id, "deleted": True}
|
|
|
|
|
|
@router.get("/backtest/tasks/{task_id}/log")
|
|
def get_intraday_task_log(task_id: str) -> dict[str, Any]:
|
|
_ensure_initialized()
|
|
with _tasks_lock:
|
|
task = _tasks.get(task_id)
|
|
if task is None:
|
|
raise HTTPException(status_code=404, detail="Task not found")
|
|
|
|
log_path = _log_file(task_id)
|
|
try:
|
|
if log_path.exists():
|
|
_ANSI_RE = re.compile(r'\x1b\[[0-9;]*[mGKHABCDFrsu]|\x1b[()][AB012]')
|
|
text = _ANSI_RE.sub("", log_path.read_text(errors="replace"))
|
|
return {"log": text}
|
|
except Exception:
|
|
pass
|
|
return {"log": ""}
|
|
|
|
|
|
@router.get("/backtest/tasks/{task_id}/result")
|
|
def get_intraday_task_result(task_id: str) -> dict[str, Any]:
|
|
_ensure_initialized()
|
|
with _tasks_lock:
|
|
task = _tasks.get(task_id)
|
|
if task is None:
|
|
raise HTTPException(status_code=404, detail="Task not found")
|
|
if task["status"] != "completed":
|
|
raise HTTPException(status_code=400, detail="Task not completed")
|
|
|
|
result_file = task.get("result_file")
|
|
if not result_file or not Path(result_file).exists():
|
|
raise HTTPException(status_code=404, detail="Result file not found")
|
|
|
|
try:
|
|
data = json.loads(Path(result_file).read_text())
|
|
return data
|
|
except Exception as e:
|
|
raise HTTPException(status_code=500, detail=f"Failed to parse result: {e}")
|