warren618
1f8f4a005f
- Add CompositeEngine for backtesting portfolios spanning multiple markets (e.g. A-shares + crypto) with a single shared capital pool - Extract on_bar logic (funding fee, liquidation, swap) into _market_hooks.py as pure functions, called by both original engines and CompositeEngine - Fix _align() signal shift bug: shift on each symbol's own trading calendar then ffill to unified dates (prevents Monday close-and-reopen for A-shares) - Add calendar-day annualization for cross-market Sharpe calculation - Add cross-market-strategy skill with vol-adjusted weighting example - Update all READMEs (en/zh/ja/ko/ar): news, 69 skills, composite engine - Update test imports for extracted _market_hooks functions
74 lines
2.8 KiB
Python
74 lines
2.8 KiB
Python
"""Crypto perpetual-contract backtest engine.
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Market rules:
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- 24/7 trading, no restrictions on direction
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- Maker/Taker fee separation
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- Funding fee settlement every 8 hours (00:00/08:00/16:00 UTC)
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- Forced liquidation when maintenance margin ratio <= 100%
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- Fractional position sizes allowed
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"""
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from __future__ import annotations
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import pandas as pd
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from backtest.engines.base import BaseEngine
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from backtest.engines._market_hooks import (
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calc_crypto_funding_fee,
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check_crypto_liquidation,
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)
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class CryptoEngine(BaseEngine):
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"""Crypto perpetual contract engine.
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Config keys:
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- leverage: default 1.0
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- maker_rate: default 0.0002
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- taker_rate: default 0.0005
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- slippage: default 0.0005
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- margin_mode: "isolated" (default) or "cross"
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- funding_rate: fixed rate per settlement, default 0.0001
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"""
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def __init__(self, config: dict):
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super().__init__(config)
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self.maker_rate: float = config.get("maker_rate", 0.0002)
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self.taker_rate: float = config.get("taker_rate", 0.0005)
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self.slippage_rate: float = config.get("slippage", 0.0005)
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self.funding_rate: float = config.get("funding_rate", 0.0001)
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self._funding_applied: set = set() # (symbol, date, hour) — per-slot dedup
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self._funding_daily_done: set = set() # (symbol, date) — daily fallback dedup
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def can_execute(self, symbol: str, direction: int, bar: pd.Series) -> bool:
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"""Crypto: 24/7, long/short/close all allowed."""
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return True
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def round_size(self, raw_size: float, price: float) -> float:
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"""Crypto supports fractional sizes, round to 6 decimals."""
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return round(max(raw_size, 0.0), 6)
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def calc_commission(self, size: float, price: float, direction: int, is_open: bool) -> float:
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"""Maker/Taker separated. Opens typically hit taker, closes hit maker."""
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rate = self.taker_rate if is_open else self.maker_rate
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return size * price * rate
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def apply_slippage(self, price: float, direction: int) -> float:
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"""Slippage: unfavourable direction."""
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return price * (1 + direction * self.slippage_rate)
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def on_bar(self, symbol: str, bar: pd.Series, timestamp: pd.Timestamp) -> None:
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"""Crypto per-bar hooks: funding fee + liquidation check."""
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fee = calc_crypto_funding_fee(
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symbol, bar, timestamp, self.positions,
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self.funding_rate, self._funding_applied, self._funding_daily_done,
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)
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self.capital -= fee
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if check_crypto_liquidation(symbol, bar, self.positions):
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pos = self.positions.get(symbol)
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if pos is not None:
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mark_price = float(bar.get("close", pos.entry_price))
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liq_price = self.apply_slippage(mark_price, -pos.direction)
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self._close_position(symbol, liq_price, timestamp, "liquidation")
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