feat: 实现回测功能
## 功能概述 实现完整的回测功能，支持基于历史数据模拟跟单策略的执行效果。 ## 后端实现 - 数据库：新增 backtest_task 和 backtest_trade 表（V27迁移脚本） - 实体类：BacktestTask、BacktestTrade - Repository：BacktestTaskRepository、BacktestTradeRepository - Service： - BacktestService：回测任务管理（CRUD） - BacktestDataService：从 Polymarket Data API 获取历史交易数据 - BacktestExecutionService：回测算法核心实现 - BacktestPollingService：定时轮询执行回测任务 - Controller：BacktestController（6个API接口） - DTO：BacktestDto、TradeData - 错误码：新增回测相关错误码和国际化消息 ## 前端实现 - 页面组件： - BacktestList：回测任务列表 - BacktestCreate：创建回测任务 - BacktestDetail：回测详情（含图表） - BacktestChart：资金曲线图表（使用 ECharts） - 类型定义：backtest.ts - API 服务：集成所有回测接口 - 国际化：支持中英文 ## 核心特性 - 回测天数限制：1-15 天 - 数据获取：直接从 Polymarket Data API 获取历史交易（不使用缓存表） - 任务执行：同一时刻只执行一个任务，按创建时间顺序执行最早创建的任务 - 回测算法：完整实现市场结算、卖出匹配、价格容忍度、每日订单限制等规则 - 实时进度：支持任务进度更新和实时轮询 ## 文档更新 - BACKTEST_PRD.md：产品需求文档 - BACKTEST_TECHNICAL_DESIGN.md：技术设计文档 - BACKTEST_REVIEW_CHECKLIST.md：设计评审检查清单 ## 其他修改 - 移除 max_position_count 配置（V26迁移脚本） - 移除 BacktestSyncService（不再需要实时同步） - 修复前后端编译错误
This commit is contained in:
WrBug
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package com.wrbug.polymarketbot.controller.backtest
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import com.wrbug.polymarketbot.dto.*
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import com.wrbug.polymarketbot.enums.ErrorCode
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import com.wrbug.polymarketbot.service.backtest.BacktestService
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import kotlinx.coroutines.runBlocking
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import org.slf4j.LoggerFactory
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import org.springframework.context.MessageSource
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import org.springframework.http.ResponseEntity
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import org.springframework.web.bind.annotation.*
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/**
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* 回测管理控制器
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*/
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@RestController
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@RequestMapping("/api/backtest")
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class BacktestController(
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private val backtestService: BacktestService,
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private val messageSource: MessageSource
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) {
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private val logger = LoggerFactory.getLogger(BacktestController::class.java)
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/**
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* 创建回测任务
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*/
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@PostMapping("/tasks")
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fun createBacktestTask(@RequestBody request: BacktestCreateRequest): ResponseEntity<ApiResponse<BacktestTaskDto>> {
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return try {
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logger.info("创建回测任务: taskName=${request.taskName}, leaderId=${request.leaderId}")
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val result = runBlocking {
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backtestService.createBacktestTask(request)
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}
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result.fold(
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onSuccess = { dto ->
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logger.info("回测任务创建成功: taskId=${dto.id}")
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ResponseEntity.ok(ApiResponse.success(dto))
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},
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onFailure = { e ->
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logger.error("创建回测任务失败", e)
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val errorCode = when (e) {
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is IllegalArgumentException -> ErrorCode.PARAM_ERROR
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else -> ErrorCode.SERVER_BACKTEST_CREATE_FAILED
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}
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ResponseEntity.ok(ApiResponse.error(errorCode, e.message, messageSource))
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}
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)
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} catch (e: Exception) {
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logger.error("创建回测任务异常", e)
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ResponseEntity.ok(ApiResponse.error(ErrorCode.SERVER_BACKTEST_CREATE_FAILED, e.message, messageSource))
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}
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}
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/**
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* 查询回测任务列表
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*/
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@PostMapping("/tasks/list")
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fun getBacktestTaskList(@RequestBody request: BacktestListRequest): ResponseEntity<ApiResponse<BacktestListResponse>> {
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return try {
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val result = backtestService.getBacktestTaskList(request)
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result.fold(
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onSuccess = { response ->
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logger.info("查询回测任务列表成功: total=${response.total}")
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ResponseEntity.ok(ApiResponse.success(response))
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},
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onFailure = { e ->
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logger.error("查询回测任务列表失败", e)
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ResponseEntity.ok(ApiResponse.error(ErrorCode.SERVER_BACKTEST_LIST_FETCH_FAILED, e.message, messageSource))
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}
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)
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} catch (e: Exception) {
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logger.error("查询回测任务列表异常", e)
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ResponseEntity.ok(ApiResponse.error(ErrorCode.SERVER_BACKTEST_LIST_FETCH_FAILED, e.message, messageSource))
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}
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}
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/**
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* 查询回测任务详情
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*/
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@PostMapping("/tasks/detail")
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fun getBacktestTaskDetail(@RequestBody request: BacktestDetailRequest): ResponseEntity<ApiResponse<BacktestDetailResponse>> {
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return try {
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val result = backtestService.getBacktestTaskDetail(request)
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result.fold(
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onSuccess = { response ->
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logger.info("查询回测任务详情成功: taskId=${request.id}")
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ResponseEntity.ok(ApiResponse.success(response))
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},
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onFailure = { e ->
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logger.error("查询回测任务详情失败", e)
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val errorCode = when (e) {
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is IllegalArgumentException -> ErrorCode.BACKTEST_TASK_NOT_FOUND
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else -> ErrorCode.SERVER_BACKTEST_DETAIL_FETCH_FAILED
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}
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ResponseEntity.ok(ApiResponse.error(errorCode, e.message, messageSource))
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}
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)
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} catch (e: Exception) {
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logger.error("查询回测任务详情异常", e)
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ResponseEntity.ok(ApiResponse.error(ErrorCode.SERVER_BACKTEST_DETAIL_FETCH_FAILED, e.message, messageSource))
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}
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}
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/**
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* 查询回测交易记录
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*/
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@PostMapping("/tasks/trades")
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fun getBacktestTrades(@RequestBody request: BacktestTradeListRequest): ResponseEntity<ApiResponse<BacktestTradeListResponse>> {
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return try {
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val result = backtestService.getBacktestTrades(request)
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result.fold(
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onSuccess = { response ->
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logger.info("查询回测交易记录成功: taskId=${request.taskId}")
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ResponseEntity.ok(ApiResponse.success(response))
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},
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onFailure = { e ->
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logger.error("查询回测交易记录失败", e)
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ResponseEntity.ok(ApiResponse.error(ErrorCode.SERVER_BACKTEST_TRADES_FETCH_FAILED, e.message, messageSource))
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}
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)
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} catch (e: Exception) {
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logger.error("查询回测交易记录异常", e)
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ResponseEntity.ok(ApiResponse.error(ErrorCode.SERVER_BACKTEST_TRADES_FETCH_FAILED, e.message, messageSource))
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}
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}
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/**
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* 删除回测任务
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*/
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@PostMapping("/tasks/delete")
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fun deleteBacktestTask(@RequestBody request: BacktestDeleteRequest): ResponseEntity<ApiResponse<Unit>> {
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return try {
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logger.info("删除回测任务: taskId=${request.id}")
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val result = backtestService.deleteBacktestTask(request)
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result.fold(
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onSuccess = {
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logger.info("回测任务删除成功: taskId=${request.id}")
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ResponseEntity.ok(ApiResponse.success(Unit))
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},
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onFailure = { e ->
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logger.error("删除回测任务失败", e)
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val errorCode = when (e) {
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is IllegalArgumentException -> ErrorCode.BACKTEST_TASK_NOT_FOUND
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else -> ErrorCode.SERVER_BACKTEST_DELETE_FAILED
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}
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ResponseEntity.ok(ApiResponse.error(errorCode, e.message, messageSource))
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}
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)
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} catch (e: Exception) {
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logger.error("删除回测任务异常", e)
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ResponseEntity.ok(ApiResponse.error(ErrorCode.SERVER_BACKTEST_DELETE_FAILED, e.message, messageSource))
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}
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}
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/**
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* 停止回测任务
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*/
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@PostMapping("/tasks/stop")
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fun stopBacktestTask(@RequestBody request: BacktestStopRequest): ResponseEntity<ApiResponse<Unit>> {
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return try {
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logger.info("停止回测任务: taskId=${request.id}")
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val result = backtestService.stopBacktestTask(request)
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result.fold(
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onSuccess = {
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logger.info("回测任务停止成功: taskId=${request.id}")
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ResponseEntity.ok(ApiResponse.success(Unit))
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},
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onFailure = { e ->
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logger.error("停止回测任务失败", e)
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val errorCode = when (e) {
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is IllegalArgumentException -> ErrorCode.BACKTEST_TASK_NOT_FOUND
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is IllegalStateException -> ErrorCode.BACKTEST_TASK_RUNNING
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else -> ErrorCode.SERVER_BACKTEST_STOP_FAILED
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}
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ResponseEntity.ok(ApiResponse.error(errorCode, e.message, messageSource))
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}
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)
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} catch (e: Exception) {
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logger.error("停止回测任务异常", e)
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ResponseEntity.ok(ApiResponse.error(ErrorCode.SERVER_BACKTEST_STOP_FAILED, e.message, messageSource))
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}
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}
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}
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@@ -0,0 +1,205 @@
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package com.wrbug.polymarketbot.dto
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import java.math.BigDecimal
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/**
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* 回测任务创建请求
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*/
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data class BacktestCreateRequest(
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val taskName: String, // 回测任务名称
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val leaderId: Long, // Leader ID
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val initialBalance: String, // 初始资金
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val backtestDays: Int, // 回测天数 (1-30)
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// 跟单配置（与 CopyTrading 一致，但不包含 max_position_count）
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val copyMode: String? = null, // "RATIO" 或 "FIXED"
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val copyRatio: String? = null, // 仅在 copyMode="RATIO" 时生效
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val fixedAmount: String? = null, // 仅在 copyMode="FIXED" 时生效
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val maxOrderSize: String? = null,
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val minOrderSize: String? = null,
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val maxDailyLoss: String? = null,
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val maxDailyOrders: Int? = null,
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val priceTolerance: String? = null, // 百分比
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val delaySeconds: Int? = null,
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val supportSell: Boolean? = null,
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val minOrderDepth: String? = null,
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val maxSpread: String? = null,
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val minPrice: String? = null,
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val maxPrice: String? = null,
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val maxPositionValue: String? = null, // 最大仓位金额（USDC），NULL表示不启用
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val keywordFilterMode: String? = null, // 关键字过滤模式：DISABLED（不启用）、WHITELIST（白名单）、BLACKLIST（黑名单）
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val keywords: List<String>? = null, // 关键字列表
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val maxMarketEndDate: Long? = null // 市场截止时间限制（毫秒时间戳），NULL表示不启用
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)
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/**
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* 回测任务列表请求
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*/
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data class BacktestListRequest(
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val leaderId: Long? = null, // Leader ID（可选）
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val status: String? = null, // PENDING/RUNNING/COMPLETED/STOPPED/FAILED
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val sortBy: String? = null, // profitAmount / profitRate / createdAt
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val sortOrder: String? = null, // asc / desc
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val page: Int = 1, // 页码，从1开始
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val size: Int = 20 // 每页数量
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)
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/**
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* 回测任务详情请求
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*/
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data class BacktestDetailRequest(
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val id: Long // 回测任务ID
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)
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/**
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* 回测交易记录请求
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*/
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data class BacktestTradeListRequest(
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val taskId: Long, // 回测任务ID
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val page: Int = 1, // 页码，从1开始
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val size: Int = 20 // 每页数量
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)
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/**
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* 回测进度查询请求
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*/
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data class BacktestProgressRequest(
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val id: Long // 回测任务ID
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)
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/**
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* 回测任务停止请求
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*/
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data class BacktestStopRequest(
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val id: Long // 回测任务ID
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)
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/**
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* 回测任务删除请求
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*/
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data class BacktestDeleteRequest(
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val id: Long // 回测任务ID
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)
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/**
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* 回测任务列表响应
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*/
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data class BacktestListResponse(
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val list: List<BacktestTaskDto>,
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val total: Long,
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val page: Int,
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val size: Int
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)
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/**
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* 回测任务详情响应
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*/
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data class BacktestDetailResponse(
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val task: BacktestTaskDto,
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val config: BacktestConfigDto,
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val statistics: BacktestStatisticsDto
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)
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/**
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* 回测交易记录列表响应
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*/
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data class BacktestTradeListResponse(
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val list: List<BacktestTradeDto>,
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val total: Long,
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val page: Int,
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val size: Int
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)
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/**
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* 回测进度响应
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*/
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data class BacktestProgressResponse(
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val progress: Int, // 执行进度 (0-100)
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val currentBalance: String, // 当前余额
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val totalTrades: Int, // 总交易笔数
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val status: String // 任务状态
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)
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/**
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* 回测任务 DTO
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*/
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data class BacktestTaskDto(
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val id: Long,
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val taskName: String,
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val leaderId: Long,
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val leaderName: String?,
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val leaderAddress: String?,
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val initialBalance: String,
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val finalBalance: String?,
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val profitAmount: String?,
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val profitRate: String?,
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val backtestDays: Int,
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val startTime: Long,
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val endTime: Long?,
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val status: String, // PENDING/RUNNING/COMPLETED/STOPPED/FAILED
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val progress: Int,
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val totalTrades: Int,
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val createdAt: Long,
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val executionStartedAt: Long?,
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val executionFinishedAt: Long?
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)
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/**
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* 回测配置 DTO
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*/
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data class BacktestConfigDto(
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val copyMode: String,
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val copyRatio: String,
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val fixedAmount: String?,
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val maxOrderSize: String,
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val minOrderSize: String,
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val maxDailyLoss: String,
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val maxDailyOrders: Int,
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val priceTolerance: String,
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val delaySeconds: Int,
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val supportSell: Boolean,
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val minOrderDepth: String?,
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val maxSpread: String?,
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val minPrice: String?,
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val maxPrice: String?,
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val maxPositionValue: String?,
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val keywordFilterMode: String?,
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val keywords: List<String>?,
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val maxMarketEndDate: Long?
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)
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/**
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* 回测统计信息 DTO
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*/
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data class BacktestStatisticsDto(
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val totalTrades: Int, // 总交易笔数
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val buyTrades: Int, // 买入笔数
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val sellTrades: Int, // 卖出笔数
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val winTrades: Int, // 盈利交易笔数
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val lossTrades: Int, // 亏损交易笔数
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val winRate: String, // 胜率(%)
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val maxProfit: String, // 最大单笔盈利
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val maxLoss: String, // 最大单笔亏损
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val maxDrawdown: String, // 最大回撤
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val avgHoldingTime: Long? // 平均持仓时间(毫秒)
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)
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/**
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* 回测交易记录 DTO
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*/
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data class BacktestTradeDto(
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val id: Long,
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val tradeTime: Long,
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val marketId: String,
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val marketTitle: String?,
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val side: String, // BUY/SELL/SETTLEMENT
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val outcome: String,
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val outcomeIndex: Int?,
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val quantity: String,
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val price: String,
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val amount: String,
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val fee: String,
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val profitLoss: String?,
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val balanceAfter: String,
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val leaderTradeId: String?
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)
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@@ -0,0 +1,32 @@
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package com.wrbug.polymarketbot.dto
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import java.math.BigDecimal
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/**
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* 用户交易数据
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* 用于回测功能，从 Polymarket API 获取的用户交易历史
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*/
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data class TradeData(
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val tradeId: String, // 交易 ID
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val marketId: String, // 市场 ID
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val marketTitle: String?, // 市场标题
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val marketSlug: String?, // 市场 Slug
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val side: String, // 交易方向: BUY/SELL
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val outcome: String, // 结果: YES/NO 或 outcomeIndex
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val outcomeIndex: Int?, // 结果索引
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val price: BigDecimal, // 成交价格
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val size: BigDecimal, // 成交数量
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val amount: BigDecimal, // 成交金额
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val timestamp: Long // 交易时间戳
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) {
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override fun equals(other: Any?): Boolean {
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if (this === other) return true
|
||||
if (other !is TradeData) return false
|
||||
return tradeId == other.tradeId
|
||||
}
|
||||
|
||||
override fun hashCode(): Int {
|
||||
return tradeId.hashCode()
|
||||
}
|
||||
}
|
||||
|
||||
@@ -0,0 +1,157 @@
|
||||
package com.wrbug.polymarketbot.entity
|
||||
|
||||
import jakarta.persistence.*
|
||||
import java.math.BigDecimal
|
||||
import com.wrbug.polymarketbot.util.toSafeBigDecimal
|
||||
|
||||
/**
|
||||
* 回测任务实体
|
||||
*/
|
||||
@Entity
|
||||
@Table(name = "backtest_task")
|
||||
data class BacktestTask(
|
||||
@Id
|
||||
@GeneratedValue(strategy = GenerationType.IDENTITY)
|
||||
val id: Long? = null,
|
||||
|
||||
@Column(name = "task_name", nullable = false, length = 100)
|
||||
val taskName: String,
|
||||
|
||||
@Column(name = "leader_id", nullable = false)
|
||||
val leaderId: Long,
|
||||
|
||||
// 回测参数
|
||||
@Column(name = "initial_balance", nullable = false, precision = 20, scale = 8)
|
||||
val initialBalance: BigDecimal,
|
||||
|
||||
@Column(name = "final_balance", precision = 20, scale = 8)
|
||||
val finalBalance: BigDecimal? = null,
|
||||
|
||||
@Column(name = "profit_amount", precision = 20, scale = 8)
|
||||
val profitAmount: BigDecimal? = null,
|
||||
|
||||
@Column(name = "profit_rate", precision = 10, scale = 4)
|
||||
val profitRate: BigDecimal? = null, // 收益率(%)
|
||||
|
||||
@Column(name = "backtest_days", nullable = false)
|
||||
val backtestDays: Int,
|
||||
|
||||
@Column(name = "start_time", nullable = false)
|
||||
val startTime: Long, // 回测开始时间(历史时间)
|
||||
|
||||
@Column(name = "end_time")
|
||||
val endTime: Long? = null, // 回测结束时间(历史时间)
|
||||
|
||||
// 跟单配置 (复制CopyTrading表结构，但不包含 max_position_count)
|
||||
@Column(name = "copy_mode", nullable = false, length = 10)
|
||||
val copyMode: String = "RATIO", // "RATIO" 或 "FIXED"
|
||||
|
||||
@Column(name = "copy_ratio", nullable = false, precision = 20, scale = 8)
|
||||
val copyRatio: BigDecimal = BigDecimal.ONE,
|
||||
|
||||
@Column(name = "fixed_amount", precision = 20, scale = 8)
|
||||
val fixedAmount: BigDecimal? = null,
|
||||
|
||||
@Column(name = "max_order_size", nullable = false, precision = 20, scale = 8)
|
||||
val maxOrderSize: BigDecimal = "1000".toSafeBigDecimal(),
|
||||
|
||||
@Column(name = "min_order_size", nullable = false, precision = 20, scale = 8)
|
||||
val minOrderSize: BigDecimal = "1".toSafeBigDecimal(),
|
||||
|
||||
@Column(name = "max_daily_loss", nullable = false, precision = 20, scale = 8)
|
||||
val maxDailyLoss: BigDecimal = "10000".toSafeBigDecimal(),
|
||||
|
||||
@Column(name = "max_daily_orders", nullable = false)
|
||||
val maxDailyOrders: Int = 100,
|
||||
|
||||
@Column(name = "price_tolerance", nullable = false, precision = 5, scale = 2)
|
||||
val priceTolerance: BigDecimal = "5".toSafeBigDecimal(), // 百分比
|
||||
|
||||
@Column(name = "delay_seconds", nullable = false)
|
||||
val delaySeconds: Int = 0,
|
||||
|
||||
@Column(name = "support_sell", nullable = false)
|
||||
val supportSell: Boolean = true,
|
||||
|
||||
@Column(name = "min_order_depth", precision = 20, scale = 8)
|
||||
val minOrderDepth: BigDecimal? = null,
|
||||
|
||||
@Column(name = "max_spread", precision = 20, scale = 8)
|
||||
val maxSpread: BigDecimal? = null,
|
||||
|
||||
@Column(name = "min_price", precision = 20, scale = 8)
|
||||
val minPrice: BigDecimal? = null,
|
||||
|
||||
@Column(name = "max_price", precision = 20, scale = 8)
|
||||
val maxPrice: BigDecimal? = null,
|
||||
|
||||
@Column(name = "max_position_value", precision = 20, scale = 8)
|
||||
val maxPositionValue: BigDecimal? = null,
|
||||
|
||||
@Column(name = "keyword_filter_mode", nullable = false, length = 20)
|
||||
val keywordFilterMode: String = "DISABLED", // DISABLED/WHITELIST/BLACKLIST
|
||||
|
||||
@Column(name = "keywords", columnDefinition = "JSON")
|
||||
val keywords: String? = null,
|
||||
|
||||
@Column(name = "max_market_end_date")
|
||||
val maxMarketEndDate: Long? = null,
|
||||
|
||||
// 统计字段
|
||||
@Column(name = "avg_holding_time")
|
||||
val avgHoldingTime: Long? = null, // 平均持仓时间(毫秒)
|
||||
|
||||
@Column(name = "data_source", length = 50)
|
||||
val dataSource: String = "MIXED", // INTERNAL/API/MIXED
|
||||
|
||||
// 执行状态
|
||||
@Column(name = "status", nullable = false, length = 20)
|
||||
var status: String = "PENDING", // PENDING/RUNNING/COMPLETED/STOPPED/FAILED
|
||||
|
||||
@Column(name = "progress", nullable = false)
|
||||
var progress: Int = 0, // 执行进度(0-100)
|
||||
|
||||
@Column(name = "total_trades", nullable = false)
|
||||
var totalTrades: Int = 0,
|
||||
|
||||
@Column(name = "buy_trades", nullable = false)
|
||||
var buyTrades: Int = 0,
|
||||
|
||||
@Column(name = "sell_trades", nullable = false)
|
||||
var sellTrades: Int = 0,
|
||||
|
||||
@Column(name = "win_trades", nullable = false)
|
||||
var winTrades: Int = 0,
|
||||
|
||||
@Column(name = "loss_trades", nullable = false)
|
||||
var lossTrades: Int = 0,
|
||||
|
||||
@Column(name = "win_rate", precision = 5, scale = 2)
|
||||
var winRate: BigDecimal? = null, // 胜率(%)
|
||||
|
||||
@Column(name = "max_profit", precision = 20, scale = 8)
|
||||
var maxProfit: BigDecimal? = null, // 最大单笔盈利
|
||||
|
||||
@Column(name = "max_loss", precision = 20, scale = 8)
|
||||
var maxLoss: BigDecimal? = null, // 最大单笔亏损
|
||||
|
||||
@Column(name = "max_drawdown", precision = 20, scale = 8)
|
||||
var maxDrawdown: BigDecimal? = null, // 最大回撤
|
||||
|
||||
@Column(name = "error_message", columnDefinition = "TEXT")
|
||||
var errorMessage: String? = null,
|
||||
|
||||
// 时间字段
|
||||
@Column(name = "created_at", nullable = false)
|
||||
val createdAt: Long = System.currentTimeMillis(),
|
||||
|
||||
@Column(name = "execution_started_at")
|
||||
var executionStartedAt: Long? = null,
|
||||
|
||||
@Column(name = "execution_finished_at")
|
||||
var executionFinishedAt: Long? = null,
|
||||
|
||||
@Column(name = "updated_at", nullable = false)
|
||||
var updatedAt: Long = System.currentTimeMillis()
|
||||
)
|
||||
|
||||
@@ -0,0 +1,62 @@
|
||||
package com.wrbug.polymarketbot.entity
|
||||
|
||||
import jakarta.persistence.*
|
||||
import java.math.BigDecimal
|
||||
|
||||
/**
|
||||
* 回测交易记录实体
|
||||
* 用于记录回测过程中的每笔模拟交易
|
||||
*/
|
||||
@Entity
|
||||
@Table(name = "backtest_trade")
|
||||
data class BacktestTrade(
|
||||
@Id
|
||||
@GeneratedValue(strategy = GenerationType.IDENTITY)
|
||||
val id: Long? = null,
|
||||
|
||||
@Column(name = "backtest_task_id", nullable = false)
|
||||
val backtestTaskId: Long,
|
||||
|
||||
@Column(name = "trade_time", nullable = false)
|
||||
val tradeTime: Long,
|
||||
|
||||
@Column(name = "market_id", nullable = false, length = 100)
|
||||
val marketId: String,
|
||||
|
||||
@Column(name = "market_title", length = 500)
|
||||
val marketTitle: String? = null,
|
||||
|
||||
@Column(name = "side", nullable = false, length = 20)
|
||||
val side: String, // BUY/SELL/SETTLEMENT
|
||||
|
||||
@Column(name = "outcome", nullable = false, length = 50)
|
||||
val outcome: String, // YES/NO 或 outcomeIndex
|
||||
|
||||
@Column(name = "outcome_index")
|
||||
val outcomeIndex: Int? = null, // 结果索引（0, 1, 2, ...），支持多元市场
|
||||
|
||||
@Column(name = "quantity", nullable = false, precision = 20, scale = 8)
|
||||
val quantity: BigDecimal,
|
||||
|
||||
@Column(name = "price", nullable = false, precision = 20, scale = 8)
|
||||
val price: BigDecimal,
|
||||
|
||||
@Column(name = "amount", nullable = false, precision = 20, scale = 8)
|
||||
val amount: BigDecimal,
|
||||
|
||||
@Column(name = "fee", nullable = false, precision = 20, scale = 8)
|
||||
val fee: BigDecimal = BigDecimal.ZERO, // 手续费（回测不计算，默认为0）
|
||||
|
||||
@Column(name = "profit_loss", precision = 20, scale = 8)
|
||||
val profitLoss: BigDecimal? = null, // 盈亏(仅卖出时)
|
||||
|
||||
@Column(name = "balance_after", nullable = false, precision = 20, scale = 8)
|
||||
val balanceAfter: BigDecimal, // 交易后余额
|
||||
|
||||
@Column(name = "leader_trade_id", length = 100)
|
||||
val leaderTradeId: String? = null, // Leader 原始交易ID
|
||||
|
||||
@Column(name = "created_at", nullable = false)
|
||||
val createdAt: Long = System.currentTimeMillis()
|
||||
)
|
||||
|
||||
@@ -231,7 +231,23 @@ enum class ErrorCode(
|
||||
SERVER_ORDER_TRACKING_PROCESS_FAILED(5901, "处理订单跟踪失败", "error.server.order_tracking_process_failed"),
|
||||
SERVER_ORDER_TRACKING_BUY_FAILED(5902, "处理买入订单失败", "error.server.order_tracking_buy_failed"),
|
||||
SERVER_ORDER_TRACKING_SELL_FAILED(5903, "处理卖出订单失败", "error.server.order_tracking_sell_failed"),
|
||||
SERVER_ORDER_TRACKING_MATCH_FAILED(5904, "订单匹配失败", "error.server.order_tracking_match_failed");
|
||||
SERVER_ORDER_TRACKING_MATCH_FAILED(5904, "订单匹配失败", "error.server.order_tracking_match_failed"),
|
||||
|
||||
// 回测服务错误 (4601-4699)
|
||||
BACKTEST_TASK_NOT_FOUND(4601, "回测任务不存在", "error.backtest.task_not_found"),
|
||||
BACKTEST_LEADER_NOT_FOUND(4602, "Leader不存在", "error.backtest.leader_not_found"),
|
||||
BACKTEST_DAYS_INVALID(4603, "回测天数超出限制", "error.backtest.days_invalid"),
|
||||
BACKTEST_INITIAL_BALANCE_INVALID(4604, "初始金额无效", "error.backtest.initial_balance_invalid"),
|
||||
BACKTEST_TASK_RUNNING(4605, "回测任务正在运行，无法删除", "error.backtest.task_running"),
|
||||
SERVER_BACKTEST_CREATE_FAILED(5603, "创建回测任务失败", "error.server.backtest_create_failed"),
|
||||
SERVER_BACKTEST_UPDATE_FAILED(5604, "更新回测任务失败", "error.server.backtest_update_failed"),
|
||||
SERVER_BACKTEST_DELETE_FAILED(5605, "删除回测任务失败", "error.server.backtest_delete_failed"),
|
||||
SERVER_BACKTEST_LIST_FETCH_FAILED(5606, "查询回测列表失败", "error.server.backtest_list_fetch_failed"),
|
||||
SERVER_BACKTEST_DETAIL_FETCH_FAILED(5607, "查询回测详情失败", "error.server.backtest_detail_fetch_failed"),
|
||||
SERVER_BACKTEST_TRADES_FETCH_FAILED(5608, "查询回测交易记录失败", "error.server.backtest_trades_fetch_failed"),
|
||||
SERVER_BACKTEST_EXECUTE_FAILED(5609, "回测执行失败", "error.server.backtest_execute_failed"),
|
||||
SERVER_BACKTEST_HISTORICAL_DATA_FETCH_FAILED(5610, "历史数据获取失败", "error.server.backtest_historical_data_fetch_failed"),
|
||||
SERVER_BACKTEST_STOP_FAILED(5611, "停止回测任务失败", "error.server.backtest_stop_failed");
|
||||
|
||||
companion object {
|
||||
/**
|
||||
|
||||
@@ -0,0 +1,63 @@
|
||||
package com.wrbug.polymarketbot.repository
|
||||
|
||||
import com.wrbug.polymarketbot.entity.BacktestTask
|
||||
import org.springframework.data.jpa.repository.JpaRepository
|
||||
import org.springframework.data.jpa.repository.Modifying
|
||||
import org.springframework.data.jpa.repository.Query
|
||||
import org.springframework.stereotype.Repository
|
||||
|
||||
/**
|
||||
* 回测任务Repository
|
||||
*/
|
||||
@Repository
|
||||
interface BacktestTaskRepository : JpaRepository<BacktestTask, Long> {
|
||||
|
||||
/**
|
||||
* 根据 Leader ID 查询回测任务
|
||||
*/
|
||||
fun findByLeaderId(leaderId: Long): List<BacktestTask>
|
||||
|
||||
/**
|
||||
* 根据状态查询回测任务
|
||||
*/
|
||||
fun findByStatus(status: String): List<BacktestTask>
|
||||
|
||||
/**
|
||||
* 根据 Leader ID 和状态查询回测任务
|
||||
*/
|
||||
fun findByLeaderIdAndStatus(leaderId: Long, status: String): List<BacktestTask>
|
||||
|
||||
/**
|
||||
* 根据 Leader ID、收益率排序查询
|
||||
*/
|
||||
@Query("SELECT t FROM BacktestTask t WHERE t.leaderId = :leaderId AND t.status = :status ORDER BY t.profitRate DESC")
|
||||
fun findByLeaderIdAndStatusOrderByProfitRateDesc(leaderId: Long, status: String): List<BacktestTask>
|
||||
|
||||
/**
|
||||
* 根据状态和创建时间倒序查询
|
||||
*/
|
||||
@Query("SELECT t FROM BacktestTask t WHERE t.status = :status ORDER BY t.createdAt DESC")
|
||||
fun findByStatusOrderByCreatedAtDesc(status: String): List<BacktestTask>
|
||||
|
||||
/**
|
||||
* 更新回测任务状态
|
||||
*/
|
||||
@Modifying
|
||||
@Query("UPDATE BacktestTask t SET t.status = :status, t.updatedAt = :updatedAt WHERE t.id = :id")
|
||||
fun updateStatus(id: Long, status: String, updatedAt: Long = System.currentTimeMillis())
|
||||
|
||||
/**
|
||||
* 更新回测任务状态和错误信息
|
||||
*/
|
||||
@Modifying
|
||||
@Query("UPDATE BacktestTask t SET t.status = :status, t.errorMessage = :errorMessage, t.updatedAt = :updatedAt WHERE t.id = :id")
|
||||
fun updateStatusAndError(id: Long, status: String, errorMessage: String?, updatedAt: Long = System.currentTimeMillis())
|
||||
|
||||
/**
|
||||
* 更新回测任务进度
|
||||
*/
|
||||
@Modifying
|
||||
@Query("UPDATE BacktestTask t SET t.progress = :progress, t.updatedAt = :updatedAt WHERE t.id = :id")
|
||||
fun updateProgress(id: Long, progress: Int, updatedAt: Long = System.currentTimeMillis())
|
||||
}
|
||||
|
||||
@@ -0,0 +1,38 @@
|
||||
package com.wrbug.polymarketbot.repository
|
||||
|
||||
import com.wrbug.polymarketbot.entity.BacktestTrade
|
||||
import org.springframework.data.jpa.repository.JpaRepository
|
||||
import org.springframework.data.jpa.repository.Query
|
||||
import org.springframework.stereotype.Repository
|
||||
|
||||
/**
|
||||
* 回测交易记录Repository
|
||||
*/
|
||||
@Repository
|
||||
interface BacktestTradeRepository : JpaRepository<BacktestTrade, Long> {
|
||||
|
||||
/**
|
||||
* 根据回测任务ID查询所有交易记录
|
||||
*/
|
||||
fun findByBacktestTaskIdOrderByTradeTime(backtestTaskId: Long): List<BacktestTrade>
|
||||
|
||||
/**
|
||||
* 根据回测任务ID分页查询交易记录
|
||||
*/
|
||||
@Query("SELECT t FROM BacktestTrade t WHERE t.backtestTaskId = :backtestTaskId ORDER BY t.tradeTime")
|
||||
fun findByBacktestTaskId(
|
||||
backtestTaskId: Long,
|
||||
pageable: org.springframework.data.domain.Pageable
|
||||
): org.springframework.data.domain.Page<BacktestTrade>
|
||||
|
||||
/**
|
||||
* 根据回测任务ID统计交易数量
|
||||
*/
|
||||
fun countByBacktestTaskId(backtestTaskId: Long): Long
|
||||
|
||||
/**
|
||||
* 删除回测任务的所有交易记录（由级联删除处理）
|
||||
*/
|
||||
fun deleteByBacktestTaskId(backtestTaskId: Long)
|
||||
}
|
||||
|
||||
+213
@@ -0,0 +1,213 @@
|
||||
package com.wrbug.polymarketbot.service.backtest
|
||||
|
||||
import com.wrbug.polymarketbot.api.UserActivityResponse
|
||||
import com.wrbug.polymarketbot.entity.Leader
|
||||
import com.wrbug.polymarketbot.repository.LeaderRepository
|
||||
import com.wrbug.polymarketbot.util.RetrofitFactory
|
||||
import com.wrbug.polymarketbot.util.toSafeBigDecimal
|
||||
import kotlinx.coroutines.delay
|
||||
import org.slf4j.LoggerFactory
|
||||
import org.springframework.stereotype.Service
|
||||
import java.math.BigDecimal
|
||||
|
||||
/**
|
||||
* 回测数据服务
|
||||
* 直接从 Polymarket Data API 获取 Leader 历史交易
|
||||
*/
|
||||
@Service
|
||||
class BacktestDataService(
|
||||
private val leaderRepository: LeaderRepository,
|
||||
private val retrofitFactory: RetrofitFactory
|
||||
) {
|
||||
private val logger = LoggerFactory.getLogger(BacktestDataService::class.java)
|
||||
|
||||
/**
|
||||
* 获取 Leader 历史交易（用于回测）
|
||||
*
|
||||
* 策略：直接从 Polymarket Data API 的 activity 接口获取
|
||||
*
|
||||
* @param leaderId Leader ID
|
||||
* @param startTime 开始时间（毫秒时间戳）
|
||||
* @param endTime 结束时间（毫秒时间戳）
|
||||
* @return 历史交易列表
|
||||
*/
|
||||
suspend fun getLeaderHistoricalTrades(
|
||||
leaderId: Long,
|
||||
startTime: Long,
|
||||
endTime: Long
|
||||
): List<LeaderTrade> {
|
||||
return try {
|
||||
logger.info("获取 Leader 历史交易: leaderId=$leaderId, startTime=$startTime, endTime=$endTime")
|
||||
|
||||
// 1. 验证 Leader 是否存在
|
||||
val leader = leaderRepository.findById(leaderId).orElse(null)
|
||||
?: throw IllegalArgumentException("Leader 不存在: $leaderId")
|
||||
|
||||
// 2. 从 Data API 的 activity 接口获取
|
||||
val apiTrades = fetchFromActivityApi(leader, startTime, endTime)
|
||||
|
||||
logger.info("共获取 ${apiTrades.size} 条历史交易")
|
||||
return apiTrades
|
||||
} catch (e: Exception) {
|
||||
logger.error("获取 Leader 历史交易失败", e)
|
||||
throw e
|
||||
}
|
||||
}
|
||||
|
||||
/**
|
||||
* 从 Data API 的 activity 接口获取历史交易
|
||||
* 实现完整的分页逻辑，获取所有历史交易记录
|
||||
*
|
||||
* @param leader Leader 实体
|
||||
* @param startTime 开始时间（毫秒时间戳）
|
||||
* @param endTime 结束时间（毫秒时间戳）
|
||||
* @return 历史交易列表
|
||||
*/
|
||||
private suspend fun fetchFromActivityApi(
|
||||
leader: Leader,
|
||||
startTime: Long,
|
||||
endTime: Long
|
||||
): List<LeaderTrade> {
|
||||
logger.info("从 Data API activity 接口获取 Leader 历史交易: leaderId=${leader.id}, timeRange=${startTime} - $endTime")
|
||||
|
||||
val dataApi = retrofitFactory.createDataApi()
|
||||
val allTrades = mutableListOf<LeaderTrade>()
|
||||
val seenTradeKeys = mutableSetOf<String>() // 用于内存去重
|
||||
var offset = 0
|
||||
val pageSize = 100 // 每页最多 100 条
|
||||
var hasMore = true
|
||||
val MAX_OFFSET = 10000 // 最大偏移量（防止无限循环，15天通常不会超过）
|
||||
|
||||
// 分页获取所有交易记录
|
||||
while (hasMore && offset < MAX_OFFSET) {
|
||||
try {
|
||||
logger.debug("获取第 ${offset / pageSize + 1} 页数据，offset=$offset, limit=$pageSize")
|
||||
|
||||
val response = dataApi.getUserActivity(
|
||||
user = leader.leaderAddress,
|
||||
type = listOf("TRADE"), // 只获取交易类型
|
||||
start = startTime / 1000, // Data API 使用秒级时间戳
|
||||
end = endTime / 1000,
|
||||
limit = pageSize,
|
||||
offset = offset,
|
||||
sortBy = "timestamp",
|
||||
sortDirection = "asc"
|
||||
)
|
||||
|
||||
if (!response.isSuccessful || response.body() == null) {
|
||||
logger.error("从 Data API 获取用户活动失败: code=${response.code()}, message=${response.message()}")
|
||||
break
|
||||
}
|
||||
|
||||
val activities = response.body()!!
|
||||
|
||||
// 如果返回的数据少于 pageSize，说明没有更多数据了
|
||||
if (activities.isEmpty() || activities.size < pageSize) {
|
||||
hasMore = false
|
||||
}
|
||||
|
||||
// 转换为 LeaderTrade
|
||||
val trades = activities.mapNotNull { activity ->
|
||||
try {
|
||||
// 只处理 TRADE 类型
|
||||
if (activity.type != "TRADE") {
|
||||
return@mapNotNull null
|
||||
}
|
||||
|
||||
// 验证必要字段
|
||||
if (activity.side == null || activity.price == null || activity.size == null || activity.usdcSize == null) {
|
||||
logger.warn("活动数据缺少必要字段，跳过: activity=$activity")
|
||||
return@mapNotNull null
|
||||
}
|
||||
|
||||
// 验证时间范围（API 可能返回超出范围的数据）
|
||||
val tradeTimestamp = activity.timestamp * 1000 // 转换为毫秒时间戳
|
||||
if (tradeTimestamp < startTime || tradeTimestamp > endTime) {
|
||||
logger.debug("交易时间超出范围，跳过: timestamp=$tradeTimestamp, range=$startTime - $endTime")
|
||||
return@mapNotNull null
|
||||
}
|
||||
|
||||
// 生成唯一键用于去重（transactionHash + conditionId + timestamp + side）
|
||||
val tradeKey = if (activity.transactionHash != null) {
|
||||
"${activity.transactionHash}_${activity.conditionId}_${activity.timestamp}_${activity.side}"
|
||||
} else {
|
||||
"${activity.timestamp}_${activity.conditionId}_${activity.side}_${activity.price}_${activity.size}"
|
||||
}
|
||||
|
||||
// 内存去重
|
||||
if (seenTradeKeys.contains(tradeKey)) {
|
||||
logger.debug("发现重复交易，跳过: tradeKey=$tradeKey")
|
||||
return@mapNotNull null
|
||||
}
|
||||
seenTradeKeys.add(tradeKey)
|
||||
|
||||
LeaderTrade(
|
||||
leaderId = leader.id ?: throw IllegalStateException("Leader ID 不能为空"),
|
||||
tradeId = activity.transactionHash ?: "${activity.timestamp}_${activity.conditionId}_${activity.side}", // 使用交易哈希或组合键作为 tradeId
|
||||
marketId = activity.conditionId, // conditionId 就是市场 ID
|
||||
marketTitle = activity.title,
|
||||
marketSlug = activity.slug,
|
||||
side = activity.side.uppercase(),
|
||||
outcome = activity.outcome ?: activity.outcomeIndex?.toString() ?: "",
|
||||
outcomeIndex = activity.outcomeIndex,
|
||||
price = activity.price.toSafeBigDecimal(),
|
||||
size = activity.size.toSafeBigDecimal(),
|
||||
amount = activity.usdcSize.toSafeBigDecimal(),
|
||||
tradeTimestamp = tradeTimestamp
|
||||
)
|
||||
} catch (e: Exception) {
|
||||
logger.warn("转换活动数据失败: activity=$activity, error=${e.message}", e)
|
||||
null
|
||||
}
|
||||
}
|
||||
|
||||
allTrades.addAll(trades)
|
||||
logger.debug("已获取 ${trades.size} 条交易，累计 ${allTrades.size} 条")
|
||||
|
||||
// 如果返回的数据少于 pageSize，说明没有更多数据了
|
||||
if (activities.size < pageSize) {
|
||||
hasMore = false
|
||||
} else {
|
||||
// 继续获取下一页
|
||||
offset += pageSize
|
||||
}
|
||||
|
||||
// 防止无限循环（最多获取 MAX_OFFSET 条）
|
||||
if (offset >= MAX_OFFSET) {
|
||||
logger.warn("已达到最大分页限制（${MAX_OFFSET} 条），停止获取")
|
||||
break
|
||||
}
|
||||
|
||||
// 添加延迟，避免请求过快
|
||||
if (hasMore) {
|
||||
delay(200) // 200ms 延迟
|
||||
}
|
||||
|
||||
} catch (e: Exception) {
|
||||
logger.error("从 Data API 获取用户活动失败: ${e.message}", e)
|
||||
break
|
||||
}
|
||||
}
|
||||
|
||||
logger.info("分页获取完成，共获取 ${allTrades.size} 条历史交易")
|
||||
return allTrades
|
||||
}
|
||||
}
|
||||
|
||||
/**
|
||||
* Leader 历史交易数据（回测使用）
|
||||
*/
|
||||
data class LeaderTrade(
|
||||
val leaderId: Long,
|
||||
val tradeId: String, // 交易唯一标识
|
||||
val marketId: String,
|
||||
val marketTitle: String?,
|
||||
val marketSlug: String?,
|
||||
val side: String, // BUY 或 SELL
|
||||
val outcome: String?,
|
||||
val outcomeIndex: Int?,
|
||||
val price: BigDecimal,
|
||||
val size: BigDecimal,
|
||||
val amount: BigDecimal, // 交易金额（price × size）
|
||||
val tradeTimestamp: Long // 交易时间戳（毫秒）
|
||||
)
|
||||
+639
@@ -0,0 +1,639 @@
|
||||
package com.wrbug.polymarketbot.service.backtest
|
||||
|
||||
import com.wrbug.polymarketbot.entity.BacktestTask
|
||||
import com.wrbug.polymarketbot.entity.BacktestTrade
|
||||
import com.wrbug.polymarketbot.entity.CopyTrading
|
||||
import com.wrbug.polymarketbot.repository.BacktestTradeRepository
|
||||
import com.wrbug.polymarketbot.repository.BacktestTaskRepository
|
||||
import com.wrbug.polymarketbot.service.common.MarketPriceService
|
||||
import com.wrbug.polymarketbot.service.copytrading.configs.CopyTradingFilterService
|
||||
import com.wrbug.polymarketbot.service.copytrading.configs.FilterResult
|
||||
import com.wrbug.polymarketbot.service.backtest.BacktestDataService
|
||||
import com.wrbug.polymarketbot.service.backtest.LeaderTrade
|
||||
import com.wrbug.polymarketbot.util.toSafeBigDecimal
|
||||
import org.slf4j.LoggerFactory
|
||||
import org.springframework.stereotype.Service
|
||||
import org.springframework.transaction.annotation.Transactional
|
||||
import java.math.BigDecimal
|
||||
import java.text.SimpleDateFormat
|
||||
import java.util.*
|
||||
|
||||
/**
|
||||
* 回测执行服务
|
||||
* 执行回测任务的核心算法
|
||||
*/
|
||||
@Service
|
||||
class BacktestExecutionService(
|
||||
private val backtestTaskRepository: BacktestTaskRepository,
|
||||
private val backtestTradeRepository: BacktestTradeRepository,
|
||||
private val backtestDataService: BacktestDataService,
|
||||
private val marketPriceService: MarketPriceService,
|
||||
private val copyTradingFilterService: CopyTradingFilterService
|
||||
) {
|
||||
private val logger = LoggerFactory.getLogger(BacktestExecutionService::class.java)
|
||||
|
||||
/**
|
||||
* 持仓数据结构
|
||||
*/
|
||||
data class Position(
|
||||
val marketId: String,
|
||||
val outcome: String,
|
||||
val outcomeIndex: Int?,
|
||||
var quantity: BigDecimal,
|
||||
val avgPrice: BigDecimal,
|
||||
val leaderBuyQuantity: BigDecimal?
|
||||
)
|
||||
|
||||
/**
|
||||
* 将 BacktestTask 转换为 CopyTrading 对象（用于过滤检查）
|
||||
*/
|
||||
private fun taskToCopyTrading(task: BacktestTask): CopyTrading {
|
||||
return CopyTrading(
|
||||
id = task.id,
|
||||
accountId = 0L, // 回测不需要账户ID
|
||||
leaderId = task.leaderId,
|
||||
enabled = true,
|
||||
copyMode = task.copyMode,
|
||||
copyRatio = task.copyRatio,
|
||||
fixedAmount = null,
|
||||
maxOrderSize = task.maxOrderSize,
|
||||
minOrderSize = task.minOrderSize,
|
||||
maxDailyLoss = task.maxDailyLoss,
|
||||
maxDailyOrders = task.maxDailyOrders,
|
||||
priceTolerance = task.priceTolerance,
|
||||
delaySeconds = task.delaySeconds,
|
||||
pollIntervalSeconds = 5,
|
||||
useWebSocket = false,
|
||||
websocketReconnectInterval = 5000,
|
||||
websocketMaxRetries = 10,
|
||||
supportSell = task.supportSell,
|
||||
minOrderDepth = task.minOrderDepth,
|
||||
maxSpread = task.maxSpread,
|
||||
minPrice = task.minPrice,
|
||||
maxPrice = task.maxPrice,
|
||||
maxPositionValue = task.maxPositionValue,
|
||||
keywordFilterMode = task.keywordFilterMode,
|
||||
keywords = task.keywords,
|
||||
configName = null,
|
||||
pushFailedOrders = false,
|
||||
pushFilteredOrders = false,
|
||||
maxMarketEndDate = task.maxMarketEndDate,
|
||||
createdAt = task.createdAt,
|
||||
updatedAt = task.updatedAt
|
||||
)
|
||||
}
|
||||
|
||||
/**
|
||||
* 执行回测任务
|
||||
*/
|
||||
@Transactional
|
||||
suspend fun executeBacktest(task: BacktestTask) {
|
||||
return try {
|
||||
logger.info("开始执行回测任务: taskId=${task.id}, taskName=${task.taskName}")
|
||||
|
||||
// 1. 更新任务状态为 RUNNING
|
||||
task.status = "RUNNING"
|
||||
task.executionStartedAt = System.currentTimeMillis()
|
||||
task.updatedAt = System.currentTimeMillis()
|
||||
backtestTaskRepository.save(task)
|
||||
|
||||
// 2. 初始化
|
||||
var currentBalance = task.initialBalance
|
||||
val positions = mutableMapOf<String, Position>() // marketId + outcomeIndex -> Position
|
||||
val trades = mutableListOf<BacktestTrade>()
|
||||
|
||||
// 3. 计算回测时间范围
|
||||
val endTime = System.currentTimeMillis()
|
||||
val startTime = task.startTime
|
||||
|
||||
logger.info("回测时间范围: ${formatTimestamp(startTime)} - ${formatTimestamp(endTime)}, " +
|
||||
"初始余额: ${task.initialBalance.toPlainString()}")
|
||||
|
||||
// 4. 获取 Leader 历史交易
|
||||
val leaderTrades = backtestDataService.getLeaderHistoricalTrades(
|
||||
task.leaderId,
|
||||
startTime,
|
||||
endTime
|
||||
).sortedBy { it.tradeTimestamp }
|
||||
|
||||
logger.info("获取到 ${leaderTrades.size} 条历史交易")
|
||||
|
||||
// 5. 按时间顺序回放交易
|
||||
var processedCount = 0
|
||||
val totalTrades = leaderTrades.size
|
||||
|
||||
for (leaderTrade in leaderTrades) {
|
||||
// 检查是否需要停止
|
||||
if (task.status == "STOPPED") {
|
||||
logger.info("回测任务已被停止")
|
||||
break
|
||||
}
|
||||
|
||||
processedCount++
|
||||
val progress = (processedCount * 100) / totalTrades
|
||||
if (progress >= task.progress + 5) {
|
||||
task.progress = progress
|
||||
backtestTaskRepository.save(task)
|
||||
}
|
||||
|
||||
try {
|
||||
// 5.1 实时检查并结算已到期的市场
|
||||
currentBalance = settleExpiredPositions(task, positions, currentBalance, trades, leaderTrade.tradeTimestamp)
|
||||
|
||||
// 5.2 检查余额和持仓状态
|
||||
if (currentBalance < BigDecimal.ONE && positions.isEmpty()) {
|
||||
logger.info("余额不足且无持仓，停止回测: $currentBalance")
|
||||
break
|
||||
}
|
||||
|
||||
// 如果余额不足但有持仓，记录日志但继续处理
|
||||
if (currentBalance < BigDecimal.ONE && positions.isNotEmpty()) {
|
||||
logger.info("余额不足 $currentBalance，但还有 ${positions.size} 个持仓，继续处理")
|
||||
}
|
||||
|
||||
// 5.3 应用过滤规则
|
||||
val copyTrading = taskToCopyTrading(task)
|
||||
val filterResult = copyTradingFilterService.checkFilters(
|
||||
copyTrading,
|
||||
tokenId = "", // 回测不需要 tokenId
|
||||
tradePrice = leaderTrade.price,
|
||||
copyOrderAmount = null,
|
||||
marketId = leaderTrade.marketId,
|
||||
marketTitle = leaderTrade.marketTitle,
|
||||
marketEndDate = null,
|
||||
outcomeIndex = leaderTrade.outcomeIndex
|
||||
)
|
||||
|
||||
if (!filterResult.isPassed) {
|
||||
continue
|
||||
}
|
||||
|
||||
// 5.4 每日订单数检查
|
||||
val dailyOrderCount = trades.count {
|
||||
isSameDay(it.tradeTime, leaderTrade.tradeTimestamp)
|
||||
}
|
||||
|
||||
if (dailyOrderCount >= task.maxDailyOrders) {
|
||||
logger.info("已达到每日最大订单数限制: $dailyOrderCount / ${task.maxDailyOrders}")
|
||||
continue
|
||||
}
|
||||
|
||||
// 5.5 价格容忍度检查
|
||||
if (task.priceTolerance > BigDecimal.ZERO) {
|
||||
val tolerance = task.priceTolerance.divide(BigDecimal("100"))
|
||||
val minPrice = leaderTrade.price.multiply(BigDecimal.ONE.subtract(tolerance))
|
||||
val maxPrice = leaderTrade.price.multiply(BigDecimal.ONE.add(tolerance))
|
||||
|
||||
val currentPrice = marketPriceService.getCurrentMarketPrice(
|
||||
leaderTrade.marketId,
|
||||
leaderTrade.outcomeIndex ?: 0
|
||||
)
|
||||
|
||||
val currentPriceDecimal = currentPrice.toSafeBigDecimal()
|
||||
if (currentPriceDecimal < minPrice || currentPriceDecimal > maxPrice) {
|
||||
logger.info("价格超出容忍度范围: 当前=$currentPrice, 可用范围=[$minPrice, $maxPrice]")
|
||||
continue
|
||||
}
|
||||
}
|
||||
|
||||
// 5.6 计算跟单金额
|
||||
val followAmount = calculateFollowAmount(task, leaderTrade)
|
||||
|
||||
if (leaderTrade.side == "BUY") {
|
||||
// 买入逻辑
|
||||
val quantity = followAmount.divide(leaderTrade.price, 8, java.math.RoundingMode.DOWN)
|
||||
val totalCost = followAmount // 不计算手续费
|
||||
|
||||
// 严格模式: 仅检查当前可用余额
|
||||
if (totalCost > currentBalance) {
|
||||
logger.info("余额不足以执行买入订单: 需要 $totalCost, 可用 $currentBalance")
|
||||
continue
|
||||
}
|
||||
|
||||
// 更新余额和持仓
|
||||
currentBalance -= totalCost
|
||||
val positionKey = "${leaderTrade.marketId}:${leaderTrade.outcomeIndex ?: 0}"
|
||||
positions[positionKey] = Position(
|
||||
marketId = leaderTrade.marketId,
|
||||
outcome = leaderTrade.outcome ?: "",
|
||||
outcomeIndex = leaderTrade.outcomeIndex,
|
||||
quantity = quantity,
|
||||
avgPrice = leaderTrade.price.toSafeBigDecimal(),
|
||||
leaderBuyQuantity = leaderTrade.size.toSafeBigDecimal()
|
||||
)
|
||||
|
||||
// 记录交易
|
||||
trades.add(BacktestTrade(
|
||||
backtestTaskId = task.id!!,
|
||||
tradeTime = leaderTrade.tradeTimestamp,
|
||||
marketId = leaderTrade.marketId,
|
||||
marketTitle = leaderTrade.marketTitle,
|
||||
side = "BUY",
|
||||
outcome = leaderTrade.outcome ?: leaderTrade.outcomeIndex.toString(),
|
||||
outcomeIndex = leaderTrade.outcomeIndex,
|
||||
quantity = quantity,
|
||||
price = leaderTrade.price.toSafeBigDecimal(),
|
||||
amount = followAmount,
|
||||
fee = BigDecimal.ZERO,
|
||||
profitLoss = null,
|
||||
balanceAfter = currentBalance,
|
||||
leaderTradeId = leaderTrade.tradeId
|
||||
))
|
||||
|
||||
} else {
|
||||
// SELL 逻辑
|
||||
if (!task.supportSell) {
|
||||
continue
|
||||
}
|
||||
|
||||
val positionKey = "${leaderTrade.marketId}:${leaderTrade.outcomeIndex ?: 0}"
|
||||
val position = positions[positionKey] ?: continue
|
||||
|
||||
// 计算卖出数量
|
||||
val sellQuantity = if (task.copyMode == "RATIO") {
|
||||
if (position.leaderBuyQuantity != null && position.leaderBuyQuantity > BigDecimal.ZERO) {
|
||||
position.quantity.multiply(
|
||||
leaderTrade.size.divide(position.leaderBuyQuantity, 8, java.math.RoundingMode.DOWN)
|
||||
)
|
||||
} else {
|
||||
position.quantity // 全部卖出
|
||||
}
|
||||
} else {
|
||||
position.quantity // 固定金额模式全部卖出
|
||||
}
|
||||
|
||||
// 确保不超过持仓数量
|
||||
val actualSellQuantity = if (sellQuantity > position.quantity) {
|
||||
position.quantity
|
||||
} else {
|
||||
sellQuantity
|
||||
}
|
||||
|
||||
val sellAmount = actualSellQuantity.multiply(leaderTrade.price.toSafeBigDecimal())
|
||||
val netAmount = sellAmount // 不扣除手续费
|
||||
|
||||
// 计算盈亏
|
||||
val cost = actualSellQuantity.multiply(position.avgPrice)
|
||||
val profitLoss = netAmount.subtract(cost)
|
||||
|
||||
// 更新余额和持仓
|
||||
currentBalance += netAmount
|
||||
position.quantity -= actualSellQuantity
|
||||
if (position.quantity <= BigDecimal.ZERO) {
|
||||
positions.remove(positionKey)
|
||||
}
|
||||
|
||||
// 记录交易
|
||||
trades.add(BacktestTrade(
|
||||
backtestTaskId = task.id!!,
|
||||
tradeTime = leaderTrade.tradeTimestamp,
|
||||
marketId = leaderTrade.marketId,
|
||||
marketTitle = leaderTrade.marketTitle,
|
||||
side = "SELL",
|
||||
outcome = leaderTrade.outcome ?: leaderTrade.outcomeIndex.toString(),
|
||||
outcomeIndex = leaderTrade.outcomeIndex,
|
||||
quantity = actualSellQuantity,
|
||||
price = leaderTrade.price.toSafeBigDecimal(),
|
||||
amount = sellAmount,
|
||||
fee = BigDecimal.ZERO,
|
||||
profitLoss = profitLoss,
|
||||
balanceAfter = currentBalance,
|
||||
leaderTradeId = leaderTrade.tradeId
|
||||
))
|
||||
}
|
||||
} catch (e: Exception) {
|
||||
logger.error("处理交易失败: tradeId=${leaderTrade.tradeId}", e)
|
||||
}
|
||||
}
|
||||
|
||||
// 6. 处理回测结束时仍未到期的持仓 (兜底处理)
|
||||
currentBalance = settleRemainingPositions(task, positions, currentBalance, trades, endTime)
|
||||
|
||||
// 7. 计算最终统计数据
|
||||
val statistics = calculateStatistics(trades)
|
||||
|
||||
// 8. 更新任务状态
|
||||
val profitAmount = currentBalance.subtract(task.initialBalance)
|
||||
val profitRate = if (task.initialBalance > BigDecimal.ZERO) {
|
||||
profitAmount.divide(task.initialBalance, 4, java.math.RoundingMode.HALF_UP).multiply(BigDecimal("100"))
|
||||
} else {
|
||||
BigDecimal.ZERO
|
||||
}
|
||||
val finalStatus = if (task.status == "STOPPED") "STOPPED" else "COMPLETED"
|
||||
val updatedTask = task.copy(
|
||||
finalBalance = currentBalance,
|
||||
profitAmount = profitAmount,
|
||||
profitRate = profitRate,
|
||||
endTime = endTime,
|
||||
status = finalStatus,
|
||||
progress = 100,
|
||||
totalTrades = trades.size,
|
||||
buyTrades = trades.count { it.side == "BUY" },
|
||||
sellTrades = trades.count { it.side == "SELL" },
|
||||
winTrades = statistics.winTrades,
|
||||
lossTrades = statistics.lossTrades,
|
||||
winRate = statistics.winRate,
|
||||
maxProfit = statistics.maxProfit,
|
||||
maxLoss = statistics.maxLoss,
|
||||
maxDrawdown = statistics.maxDrawdown,
|
||||
avgHoldingTime = statistics.avgHoldingTime,
|
||||
executionFinishedAt = System.currentTimeMillis(),
|
||||
updatedAt = System.currentTimeMillis()
|
||||
)
|
||||
|
||||
backtestTaskRepository.save(updatedTask)
|
||||
|
||||
// 9. 批量保存交易记录
|
||||
backtestTradeRepository.saveAll(trades)
|
||||
|
||||
logger.info("回测任务执行完成: taskId=${task.id}, " +
|
||||
"最终余额=${currentBalance.toPlainString()}, " +
|
||||
"收益额=${task.profitAmount?.toPlainString()}, " +
|
||||
"收益率=${task.profitRate?.toPlainString()}%, " +
|
||||
"总交易数=${trades.size}, " +
|
||||
"盈利率=${task.winRate?.toPlainString()}%")
|
||||
|
||||
} catch (e: Exception) {
|
||||
logger.error("回测任务执行失败: taskId=${task.id}", e)
|
||||
task.status = "FAILED"
|
||||
task.errorMessage = e.message
|
||||
task.updatedAt = System.currentTimeMillis()
|
||||
backtestTaskRepository.save(task)
|
||||
throw e
|
||||
}
|
||||
}
|
||||
|
||||
/**
|
||||
* 结算已到期的市场
|
||||
*/
|
||||
private suspend fun settleExpiredPositions(
|
||||
task: BacktestTask,
|
||||
positions: MutableMap<String, Position>,
|
||||
currentBalance: BigDecimal,
|
||||
trades: MutableList<BacktestTrade>,
|
||||
currentTime: Long
|
||||
): BigDecimal {
|
||||
var balance = currentBalance
|
||||
for ((positionKey, position) in positions.toList()) {
|
||||
try {
|
||||
// 获取市场当前价格
|
||||
val marketPrice = marketPriceService.getCurrentMarketPrice(
|
||||
position.marketId,
|
||||
position.outcomeIndex ?: 0
|
||||
)
|
||||
|
||||
val price = marketPrice.toSafeBigDecimal()
|
||||
|
||||
// 通过市场价格判断结算价格
|
||||
val settlementPrice = when {
|
||||
price >= BigDecimal("0.95") -> BigDecimal.ONE // 胜出
|
||||
price <= BigDecimal("0.05") -> BigDecimal.ZERO // 失败
|
||||
else -> position.avgPrice // 未结算或不确定，按成本价
|
||||
}
|
||||
|
||||
val settlementValue = position.quantity.multiply(settlementPrice)
|
||||
val profitLoss = settlementValue.subtract(position.quantity.multiply(position.avgPrice))
|
||||
|
||||
balance += settlementValue
|
||||
|
||||
// 记录结算交易
|
||||
trades.add(BacktestTrade(
|
||||
backtestTaskId = task.id!!,
|
||||
tradeTime = currentTime,
|
||||
marketId = position.marketId,
|
||||
marketTitle = null,
|
||||
side = "SETTLEMENT",
|
||||
outcome = position.outcome,
|
||||
outcomeIndex = position.outcomeIndex,
|
||||
quantity = position.quantity,
|
||||
price = settlementPrice,
|
||||
amount = settlementValue,
|
||||
fee = BigDecimal.ZERO,
|
||||
profitLoss = profitLoss,
|
||||
balanceAfter = currentBalance,
|
||||
leaderTradeId = null
|
||||
))
|
||||
|
||||
// 移除已结算的持仓
|
||||
positions.remove(positionKey)
|
||||
|
||||
logger.info("市场结算: ${position.marketId}, 结算价=$settlementPrice, 盈亏=$profitLoss")
|
||||
} catch (e: Exception) {
|
||||
logger.warn("结算市场失败: ${position.marketId}", e)
|
||||
}
|
||||
}
|
||||
return balance
|
||||
}
|
||||
|
||||
/**
|
||||
* 结算剩余持仓
|
||||
*/
|
||||
private suspend fun settleRemainingPositions(
|
||||
task: BacktestTask,
|
||||
positions: MutableMap<String, Position>,
|
||||
currentBalance: BigDecimal,
|
||||
trades: MutableList<BacktestTrade>,
|
||||
currentTime: Long
|
||||
): BigDecimal {
|
||||
var balance = currentBalance
|
||||
for ((positionKey, position) in positions.toList()) {
|
||||
try {
|
||||
val marketPrice = marketPriceService.getCurrentMarketPrice(
|
||||
position.marketId,
|
||||
position.outcomeIndex ?: 0
|
||||
)
|
||||
|
||||
val price = marketPrice.toSafeBigDecimal()
|
||||
|
||||
val settlementPrice = when {
|
||||
price >= BigDecimal("0.95") -> BigDecimal.ONE
|
||||
price <= BigDecimal("0.05") -> BigDecimal.ZERO
|
||||
else -> position.avgPrice
|
||||
}
|
||||
|
||||
val settlementValue = position.quantity.multiply(settlementPrice)
|
||||
val profitLoss = settlementValue.subtract(position.quantity.multiply(position.avgPrice))
|
||||
|
||||
balance += settlementValue
|
||||
|
||||
trades.add(BacktestTrade(
|
||||
backtestTaskId = task.id!!,
|
||||
tradeTime = currentTime,
|
||||
marketId = position.marketId,
|
||||
marketTitle = null,
|
||||
side = "SETTLEMENT",
|
||||
outcome = position.outcome,
|
||||
outcomeIndex = position.outcomeIndex,
|
||||
quantity = position.quantity,
|
||||
price = settlementPrice,
|
||||
amount = settlementValue,
|
||||
fee = BigDecimal.ZERO,
|
||||
profitLoss = profitLoss,
|
||||
balanceAfter = balance,
|
||||
leaderTradeId = null
|
||||
))
|
||||
|
||||
logger.info("回测结束时结算剩余持仓: ${position.marketId}, 结算价=$settlementPrice")
|
||||
} catch (e: Exception) {
|
||||
logger.warn("结算市场失败: ${position.marketId}", e)
|
||||
}
|
||||
}
|
||||
return balance
|
||||
}
|
||||
|
||||
/**
|
||||
* 计算跟单金额
|
||||
*/
|
||||
private fun calculateFollowAmount(
|
||||
task: BacktestTask,
|
||||
leaderTrade: LeaderTrade
|
||||
): BigDecimal {
|
||||
return when (task.copyMode) {
|
||||
"RATIO" -> leaderTrade.amount.multiply(task.copyRatio)
|
||||
"FIXED" -> {
|
||||
task.fixedAmount ?: leaderTrade.amount
|
||||
}
|
||||
else -> leaderTrade.amount
|
||||
}.also {
|
||||
// 应用最大/最小订单限制
|
||||
val maxLimit = task.maxOrderSize
|
||||
val minLimit = task.minOrderSize
|
||||
if (it > maxLimit) maxLimit
|
||||
else if (it < minLimit) minLimit
|
||||
else it
|
||||
}
|
||||
}
|
||||
|
||||
/**
|
||||
* 判断是否同一天
|
||||
*/
|
||||
private fun isSameDay(timestamp1: Long, timestamp2: Long): Boolean {
|
||||
val calendar1 = Calendar.getInstance().apply { timeInMillis = timestamp1 }
|
||||
val calendar2 = Calendar.getInstance().apply { timeInMillis = timestamp2 }
|
||||
return calendar1.get(Calendar.YEAR) == calendar2.get(Calendar.YEAR) &&
|
||||
calendar1.get(Calendar.DAY_OF_YEAR) == calendar2.get(Calendar.DAY_OF_YEAR)
|
||||
}
|
||||
|
||||
/**
|
||||
* 格式化时间戳
|
||||
*/
|
||||
private fun formatTimestamp(timestamp: Long): String {
|
||||
val sdf = SimpleDateFormat("yyyy-MM-dd HH:mm:ss", Locale.getDefault())
|
||||
return sdf.format(Date(timestamp))
|
||||
}
|
||||
|
||||
/**
|
||||
* 计算统计数据
|
||||
*/
|
||||
private fun calculateStatistics(trades: List<BacktestTrade>): StatisticsData {
|
||||
val buyTrades = trades.filter { it.side == "BUY" }
|
||||
val sellTrades = trades.filter { it.side == "SELL" }
|
||||
val settlementTrades = trades.filter { it.side == "SETTLEMENT" }
|
||||
|
||||
val profitLossList = trades.mapNotNull { it.profitLoss }
|
||||
val winTrades = profitLossList.count { it > BigDecimal.ZERO }
|
||||
val lossTrades = profitLossList.count { it < BigDecimal.ZERO }
|
||||
|
||||
val totalTrades = profitLossList.size
|
||||
val winRate = if (totalTrades > 0) {
|
||||
winTrades.toBigDecimal()
|
||||
.divide(totalTrades.toBigDecimal(), 4, java.math.RoundingMode.HALF_UP)
|
||||
.multiply(BigDecimal("100"))
|
||||
} else {
|
||||
BigDecimal.ZERO
|
||||
}
|
||||
|
||||
val maxProfit = profitLossList.maxOrNull() ?: BigDecimal.ZERO
|
||||
val maxLoss = profitLossList.minOrNull() ?: BigDecimal.ZERO
|
||||
|
||||
// 计算最大回撤
|
||||
var maxBalance = BigDecimal.ZERO
|
||||
var maxDrawdown = BigDecimal.ZERO
|
||||
for (trade in trades) {
|
||||
if (trade.balanceAfter > maxBalance) {
|
||||
maxBalance = trade.balanceAfter
|
||||
}
|
||||
val drawdown = maxBalance.subtract(trade.balanceAfter)
|
||||
if (drawdown > maxDrawdown) {
|
||||
maxDrawdown = drawdown
|
||||
}
|
||||
}
|
||||
|
||||
// 计算平均持仓时间
|
||||
val avgHoldingTime = calculateAvgHoldingTime(buyTrades, sellTrades, settlementTrades)
|
||||
|
||||
return StatisticsData(
|
||||
winTrades = winTrades,
|
||||
lossTrades = lossTrades,
|
||||
winRate = winRate,
|
||||
maxProfit = maxProfit,
|
||||
maxLoss = maxLoss,
|
||||
maxDrawdown = maxDrawdown,
|
||||
avgHoldingTime = avgHoldingTime
|
||||
)
|
||||
}
|
||||
|
||||
/**
|
||||
* 计算平均持仓时间
|
||||
*/
|
||||
private fun calculateAvgHoldingTime(
|
||||
buyTrades: List<BacktestTrade>,
|
||||
sellTrades: List<BacktestTrade>,
|
||||
settlementTrades: List<BacktestTrade>
|
||||
): Long? {
|
||||
val marketHoldings = mutableMapOf<String, MutableList<Long>>()
|
||||
|
||||
// 记录买入时间
|
||||
for (buyTrade in buyTrades) {
|
||||
val key = "${buyTrade.marketId}:${buyTrade.outcomeIndex ?: 0}"
|
||||
marketHoldings.getOrPut(key) { mutableListOf() }.add(buyTrade.tradeTime)
|
||||
}
|
||||
|
||||
// 计算持仓时间
|
||||
val holdingTimes = mutableListOf<Long>()
|
||||
for (sellTrade in sellTrades) {
|
||||
val key = "${sellTrade.marketId}:${sellTrade.outcomeIndex ?: 0}"
|
||||
val buyTimes = marketHoldings[key] ?: continue
|
||||
if (buyTimes.isNotEmpty()) {
|
||||
val buyTime = buyTimes.removeFirst()
|
||||
val holdingTime = sellTrade.tradeTime - buyTime
|
||||
if (holdingTime > 0) {
|
||||
holdingTimes.add(holdingTime)
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
// 处理结算
|
||||
for (settleTrade in settlementTrades) {
|
||||
val key = "${settleTrade.marketId}:${settleTrade.outcomeIndex ?: 0}"
|
||||
val buyTimes = marketHoldings[key] ?: continue
|
||||
if (buyTimes.isNotEmpty()) {
|
||||
val buyTime = buyTimes.removeFirst()
|
||||
val holdingTime = settleTrade.tradeTime - buyTime
|
||||
if (holdingTime > 0) {
|
||||
holdingTimes.add(holdingTime)
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
return if (holdingTimes.isNotEmpty()) {
|
||||
holdingTimes.sum().toLong() / holdingTimes.size
|
||||
} else {
|
||||
null
|
||||
}
|
||||
}
|
||||
|
||||
/**
|
||||
* 统计数据
|
||||
*/
|
||||
data class StatisticsData(
|
||||
val winTrades: Int,
|
||||
val lossTrades: Int,
|
||||
val winRate: BigDecimal,
|
||||
val maxProfit: BigDecimal,
|
||||
val maxLoss: BigDecimal,
|
||||
val maxDrawdown: BigDecimal,
|
||||
val avgHoldingTime: Long?
|
||||
)
|
||||
}
|
||||
|
||||
+88
@@ -0,0 +1,88 @@
|
||||
package com.wrbug.polymarketbot.service.backtest
|
||||
|
||||
import com.wrbug.polymarketbot.entity.BacktestTask
|
||||
import com.wrbug.polymarketbot.repository.BacktestTaskRepository
|
||||
import org.slf4j.LoggerFactory
|
||||
import org.springframework.scheduling.annotation.Scheduled
|
||||
import org.springframework.stereotype.Service
|
||||
import java.util.concurrent.ExecutorService
|
||||
import java.util.concurrent.Executors
|
||||
import java.util.concurrent.ThreadPoolExecutor
|
||||
import kotlinx.coroutines.runBlocking
|
||||
|
||||
/**
|
||||
* 回测轮询服务
|
||||
* 定时获取待执行的回测任务并执行
|
||||
*/
|
||||
@Service
|
||||
class BacktestPollingService(
|
||||
private val backtestTaskRepository: BacktestTaskRepository,
|
||||
private val executionService: BacktestExecutionService
|
||||
) {
|
||||
private val logger = LoggerFactory.getLogger(BacktestPollingService::class.java)
|
||||
|
||||
// 线程池：同一时刻只执行一个任务
|
||||
private val executor: ExecutorService = Executors.newFixedThreadPool(1) as ThreadPoolExecutor
|
||||
|
||||
/**
|
||||
* 轮询待执行的回测任务
|
||||
* 每 10 秒执行一次
|
||||
* 规则：同一时刻只执行一个任务，如果有多个待执行任务，按创建时间先后执行最早创建的
|
||||
*/
|
||||
@Scheduled(fixedDelay = 10000) // 10 秒
|
||||
fun pollPendingTasks() {
|
||||
try {
|
||||
logger.debug("开始轮询待执行的回测任务")
|
||||
|
||||
// 1. 检查是否有正在执行的任务，如果有则跳过本次轮询
|
||||
val runningTasks = backtestTaskRepository.findByStatus("RUNNING")
|
||||
if (runningTasks.isNotEmpty()) {
|
||||
logger.debug("有 ${runningTasks.size} 个任务正在执行，跳过本次轮询")
|
||||
return
|
||||
}
|
||||
|
||||
// 2. 查询所有 PENDING 状态的任务，按创建时间升序排序
|
||||
val pendingTasks = backtestTaskRepository.findByStatus("PENDING")
|
||||
.sortedBy { it.createdAt }
|
||||
|
||||
if (pendingTasks.isEmpty()) {
|
||||
logger.debug("没有待执行的回测任务")
|
||||
return
|
||||
}
|
||||
|
||||
// 3. 只执行最早创建的任务
|
||||
val taskToExecute = pendingTasks.first()
|
||||
logger.info("找到 ${pendingTasks.size} 个待执行的回测任务，执行最早创建的任务: taskId=${taskToExecute.id}, createdAt=${taskToExecute.createdAt}")
|
||||
|
||||
// 4. 提交任务到线程池执行
|
||||
executor.submit {
|
||||
try {
|
||||
// 执行前再次检查任务状态（防止并发执行）
|
||||
val currentTask = backtestTaskRepository.findById(taskToExecute.id!!).orElse(null)
|
||||
if (currentTask == null || currentTask.status != "PENDING") {
|
||||
logger.debug("任务状态已变更，跳过执行: taskId=${taskToExecute.id}, currentStatus=${currentTask?.status}")
|
||||
return@submit
|
||||
}
|
||||
|
||||
runBlocking {
|
||||
executionService.executeBacktest(currentTask)
|
||||
}
|
||||
} catch (e: Exception) {
|
||||
logger.error("回测任务执行失败: taskId=${taskToExecute.id}", e)
|
||||
// 更新任务状态为 FAILED
|
||||
val failedTask = backtestTaskRepository.findById(taskToExecute.id!!).orElse(null)
|
||||
if (failedTask != null) {
|
||||
failedTask.status = "FAILED"
|
||||
failedTask.errorMessage = e.message
|
||||
failedTask.updatedAt = System.currentTimeMillis()
|
||||
backtestTaskRepository.save(failedTask)
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
} catch (e: Exception) {
|
||||
logger.error("轮询回测任务失败", e)
|
||||
}
|
||||
}
|
||||
|
||||
}
|
||||
@@ -0,0 +1,355 @@
|
||||
package com.wrbug.polymarketbot.service.backtest
|
||||
|
||||
import com.wrbug.polymarketbot.dto.*
|
||||
import com.wrbug.polymarketbot.entity.BacktestTask
|
||||
import com.wrbug.polymarketbot.entity.BacktestTrade
|
||||
import com.wrbug.polymarketbot.entity.Leader
|
||||
import com.wrbug.polymarketbot.enums.ErrorCode
|
||||
import com.wrbug.polymarketbot.repository.BacktestTaskRepository
|
||||
import com.wrbug.polymarketbot.repository.BacktestTradeRepository
|
||||
import com.wrbug.polymarketbot.repository.LeaderRepository
|
||||
import com.wrbug.polymarketbot.util.toSafeBigDecimal
|
||||
import com.wrbug.polymarketbot.util.toJson
|
||||
import com.wrbug.polymarketbot.util.fromJson
|
||||
import org.slf4j.LoggerFactory
|
||||
import org.springframework.context.MessageSource
|
||||
import org.springframework.data.domain.Page
|
||||
import org.springframework.data.domain.PageRequest
|
||||
import org.springframework.data.domain.Sort
|
||||
import org.springframework.stereotype.Service
|
||||
import org.springframework.transaction.annotation.Transactional
|
||||
import java.math.BigDecimal
|
||||
|
||||
/**
|
||||
* 回测任务服务
|
||||
*/
|
||||
@Service
|
||||
class BacktestService(
|
||||
private val backtestTaskRepository: BacktestTaskRepository,
|
||||
private val backtestTradeRepository: BacktestTradeRepository,
|
||||
private val leaderRepository: LeaderRepository,
|
||||
private val messageSource: MessageSource
|
||||
) {
|
||||
private val logger = LoggerFactory.getLogger(BacktestService::class.java)
|
||||
|
||||
/**
|
||||
* 创建回测任务
|
||||
*/
|
||||
@Transactional
|
||||
fun createBacktestTask(request: BacktestCreateRequest): Result<BacktestTaskDto> {
|
||||
return try {
|
||||
// 1. 验证 Leader 是否存在
|
||||
val leader = leaderRepository.findById(request.leaderId).orElse(null)
|
||||
?: return Result.failure(IllegalArgumentException("Leader 不存在"))
|
||||
|
||||
// 2. 验证回测天数
|
||||
if (request.backtestDays < 1 || request.backtestDays > 15) {
|
||||
return Result.failure(IllegalArgumentException("回测天数必须在 1-15 之间"))
|
||||
}
|
||||
|
||||
// 3. 验证初始金额
|
||||
val initialBalance = request.initialBalance.toSafeBigDecimal()
|
||||
if (initialBalance <= BigDecimal.ZERO) {
|
||||
return Result.failure(IllegalArgumentException("初始金额必须大于 0"))
|
||||
}
|
||||
|
||||
// 4. 创建回测任务
|
||||
val task = BacktestTask(
|
||||
taskName = request.taskName.trim(),
|
||||
leaderId = request.leaderId,
|
||||
initialBalance = initialBalance,
|
||||
backtestDays = request.backtestDays,
|
||||
startTime = System.currentTimeMillis() - (request.backtestDays * 24 * 3600 * 1000),
|
||||
status = "PENDING",
|
||||
|
||||
// 跟单配置（不包含 max_position_count）
|
||||
copyMode = request.copyMode ?: "RATIO",
|
||||
copyRatio = request.copyRatio?.toSafeBigDecimal() ?: BigDecimal.ONE,
|
||||
fixedAmount = request.fixedAmount?.toSafeBigDecimal(),
|
||||
maxOrderSize = request.maxOrderSize?.toSafeBigDecimal() ?: "1000".toSafeBigDecimal(),
|
||||
minOrderSize = request.minOrderSize?.toSafeBigDecimal() ?: "1".toSafeBigDecimal(),
|
||||
maxDailyLoss = request.maxDailyLoss?.toSafeBigDecimal() ?: "10000".toSafeBigDecimal(),
|
||||
maxDailyOrders = request.maxDailyOrders ?: 100,
|
||||
priceTolerance = request.priceTolerance?.toSafeBigDecimal() ?: "5".toSafeBigDecimal(),
|
||||
delaySeconds = request.delaySeconds ?: 0,
|
||||
supportSell = request.supportSell ?: true,
|
||||
minOrderDepth = request.minOrderDepth?.toSafeBigDecimal(),
|
||||
maxSpread = request.maxSpread?.toSafeBigDecimal(),
|
||||
minPrice = request.minPrice?.toSafeBigDecimal(),
|
||||
maxPrice = request.maxPrice?.toSafeBigDecimal(),
|
||||
maxPositionValue = request.maxPositionValue?.toSafeBigDecimal(),
|
||||
keywordFilterMode = request.keywordFilterMode ?: "DISABLED",
|
||||
keywords = if (request.keywords != null && request.keywords.isNotEmpty()) {
|
||||
request.keywords.toJson()
|
||||
} else {
|
||||
null
|
||||
},
|
||||
maxMarketEndDate = request.maxMarketEndDate
|
||||
)
|
||||
|
||||
backtestTaskRepository.save(task)
|
||||
|
||||
// 5. 转换为 DTO 返回
|
||||
Result.success(task.toDto(leader))
|
||||
} catch (e: Exception) {
|
||||
logger.error("创建回测任务失败", e)
|
||||
Result.failure(e)
|
||||
}
|
||||
}
|
||||
|
||||
/**
|
||||
* 查询回测任务列表
|
||||
*/
|
||||
fun getBacktestTaskList(request: BacktestListRequest): Result<BacktestListResponse> {
|
||||
return try {
|
||||
// 获取所有符合条件的任务
|
||||
val allTasks = when {
|
||||
request.leaderId != null && request.status != null -> {
|
||||
backtestTaskRepository.findByLeaderIdAndStatus(request.leaderId, request.status)
|
||||
}
|
||||
request.leaderId != null -> {
|
||||
backtestTaskRepository.findByLeaderId(request.leaderId)
|
||||
.filter { request.status == null || it.status == request.status }
|
||||
}
|
||||
request.status != null -> {
|
||||
backtestTaskRepository.findByStatus(request.status)
|
||||
}
|
||||
else -> {
|
||||
backtestTaskRepository.findAll()
|
||||
}
|
||||
}
|
||||
|
||||
// 排序
|
||||
val sortedTasks = when (request.sortBy) {
|
||||
"profitAmount" -> {
|
||||
if (request.sortOrder == "asc") {
|
||||
allTasks.sortedBy { it.profitAmount }
|
||||
} else {
|
||||
allTasks.sortedByDescending { it.profitAmount }
|
||||
}
|
||||
}
|
||||
"profitRate" -> {
|
||||
if (request.sortOrder == "asc") {
|
||||
allTasks.sortedBy { it.profitRate }
|
||||
} else {
|
||||
allTasks.sortedByDescending { it.profitRate }
|
||||
}
|
||||
}
|
||||
else -> {
|
||||
if (request.sortOrder == "asc") {
|
||||
allTasks.sortedBy { it.createdAt }
|
||||
} else {
|
||||
allTasks.sortedByDescending { it.createdAt }
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
// 分页
|
||||
val total = sortedTasks.size
|
||||
val pagedTasks = sortedTasks
|
||||
.drop((request.page - 1) * request.size)
|
||||
.take(request.size)
|
||||
|
||||
val list = pagedTasks.map { task ->
|
||||
val leader = leaderRepository.findById(task.leaderId).orElse(null)
|
||||
task.toDto(leader)
|
||||
}
|
||||
|
||||
Result.success(
|
||||
BacktestListResponse(
|
||||
list = list,
|
||||
total = total.toLong(),
|
||||
page = request.page,
|
||||
size = request.size
|
||||
)
|
||||
)
|
||||
} catch (e: Exception) {
|
||||
logger.error("查询回测任务列表失败", e)
|
||||
Result.failure(e)
|
||||
}
|
||||
}
|
||||
|
||||
/**
|
||||
* 查询回测任务详情
|
||||
*/
|
||||
fun getBacktestTaskDetail(request: BacktestDetailRequest): Result<BacktestDetailResponse> {
|
||||
return try {
|
||||
val task = backtestTaskRepository.findById(request.id).orElse(null)
|
||||
?: return Result.failure(IllegalArgumentException("回测任务不存在"))
|
||||
|
||||
val leader = leaderRepository.findById(task.leaderId).orElse(null)
|
||||
|
||||
val config = BacktestConfigDto(
|
||||
copyMode = task.copyMode,
|
||||
copyRatio = task.copyRatio.toPlainString(),
|
||||
fixedAmount = task.fixedAmount?.toPlainString(),
|
||||
maxOrderSize = task.maxOrderSize.toPlainString(),
|
||||
minOrderSize = task.minOrderSize.toPlainString(),
|
||||
maxDailyLoss = task.maxDailyLoss.toPlainString(),
|
||||
maxDailyOrders = task.maxDailyOrders,
|
||||
priceTolerance = task.priceTolerance.toPlainString(),
|
||||
delaySeconds = task.delaySeconds,
|
||||
supportSell = task.supportSell,
|
||||
minOrderDepth = task.minOrderDepth?.toPlainString(),
|
||||
maxSpread = task.maxSpread?.toPlainString(),
|
||||
minPrice = task.minPrice?.toPlainString(),
|
||||
maxPrice = task.maxPrice?.toPlainString(),
|
||||
maxPositionValue = task.maxPositionValue?.toPlainString(),
|
||||
keywordFilterMode = task.keywordFilterMode,
|
||||
keywords = if (task.keywords != null) {
|
||||
task.keywords.fromJson<List<String>>()
|
||||
} else {
|
||||
emptyList()
|
||||
},
|
||||
maxMarketEndDate = task.maxMarketEndDate
|
||||
)
|
||||
|
||||
val statistics = BacktestStatisticsDto(
|
||||
totalTrades = task.totalTrades,
|
||||
buyTrades = task.buyTrades,
|
||||
sellTrades = task.sellTrades,
|
||||
winTrades = task.winTrades,
|
||||
lossTrades = task.lossTrades,
|
||||
winRate = task.winRate?.toPlainString() ?: "0.00",
|
||||
maxProfit = task.maxProfit?.toPlainString() ?: "0.00",
|
||||
maxLoss = task.maxLoss?.toPlainString() ?: "0.00",
|
||||
maxDrawdown = task.maxDrawdown?.toPlainString() ?: "0.00",
|
||||
avgHoldingTime = task.avgHoldingTime
|
||||
)
|
||||
|
||||
val taskDto = task.toDto(leader)
|
||||
|
||||
Result.success(
|
||||
BacktestDetailResponse(
|
||||
task = taskDto,
|
||||
config = config,
|
||||
statistics = statistics
|
||||
)
|
||||
)
|
||||
} catch (e: Exception) {
|
||||
logger.error("查询回测任务详情失败", e)
|
||||
Result.failure(e)
|
||||
}
|
||||
}
|
||||
|
||||
/**
|
||||
* 查询回测交易记录
|
||||
*/
|
||||
fun getBacktestTrades(request: BacktestTradeListRequest): Result<BacktestTradeListResponse> {
|
||||
return try {
|
||||
val pageRequest = PageRequest.of(
|
||||
request.page - 1,
|
||||
request.size,
|
||||
Sort.by(Sort.Order.asc("tradeTime"))
|
||||
)
|
||||
|
||||
val tradesPage = backtestTradeRepository.findByBacktestTaskId(
|
||||
request.taskId,
|
||||
pageRequest
|
||||
)
|
||||
|
||||
val list = tradesPage.content.map { trade ->
|
||||
BacktestTradeDto(
|
||||
id = trade.id!!,
|
||||
tradeTime = trade.tradeTime,
|
||||
marketId = trade.marketId,
|
||||
marketTitle = trade.marketTitle,
|
||||
side = trade.side,
|
||||
outcome = trade.outcome,
|
||||
outcomeIndex = trade.outcomeIndex,
|
||||
quantity = trade.quantity.toPlainString(),
|
||||
price = trade.price.toPlainString(),
|
||||
amount = trade.amount.toPlainString(),
|
||||
fee = trade.fee.toPlainString(),
|
||||
profitLoss = trade.profitLoss?.toPlainString(),
|
||||
balanceAfter = trade.balanceAfter.toPlainString(),
|
||||
leaderTradeId = trade.leaderTradeId
|
||||
)
|
||||
}
|
||||
|
||||
Result.success(
|
||||
BacktestTradeListResponse(
|
||||
list = list,
|
||||
total = tradesPage.totalElements,
|
||||
page = request.page,
|
||||
size = request.size
|
||||
)
|
||||
)
|
||||
} catch (e: Exception) {
|
||||
logger.error("查询回测交易记录失败", e)
|
||||
Result.failure(e)
|
||||
}
|
||||
}
|
||||
|
||||
/**
|
||||
* 删除回测任务
|
||||
*/
|
||||
@Transactional
|
||||
fun deleteBacktestTask(request: BacktestDeleteRequest): Result<Unit> {
|
||||
return try {
|
||||
val task = backtestTaskRepository.findById(request.id).orElse(null)
|
||||
?: return Result.failure(IllegalArgumentException("回测任务不存在"))
|
||||
|
||||
if (task.status == "RUNNING") {
|
||||
return Result.failure(IllegalArgumentException("回测任务正在运行，无法删除"))
|
||||
}
|
||||
|
||||
backtestTaskRepository.deleteById(request.id)
|
||||
Result.success(Unit)
|
||||
} catch (e: Exception) {
|
||||
logger.error("删除回测任务失败", e)
|
||||
Result.failure(e)
|
||||
}
|
||||
}
|
||||
|
||||
/**
|
||||
* 停止回测任务
|
||||
*/
|
||||
@Transactional
|
||||
fun stopBacktestTask(request: BacktestStopRequest): Result<Unit> {
|
||||
return try {
|
||||
val task = backtestTaskRepository.findById(request.id).orElse(null)
|
||||
?: return Result.failure(IllegalArgumentException("回测任务不存在"))
|
||||
|
||||
if (task.status != "RUNNING") {
|
||||
return Result.failure(IllegalArgumentException("回测任务未在运行中"))
|
||||
}
|
||||
|
||||
task.status = "STOPPED"
|
||||
task.updatedAt = System.currentTimeMillis()
|
||||
backtestTaskRepository.save(task)
|
||||
|
||||
Result.success(Unit)
|
||||
} catch (e: Exception) {
|
||||
logger.error("停止回测任务失败", e)
|
||||
Result.failure(e)
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
/**
|
||||
* 扩展函数：BacktestTask 转 DTO
|
||||
*/
|
||||
private fun BacktestTask.toDto(leader: Leader?): BacktestTaskDto {
|
||||
return BacktestTaskDto(
|
||||
id = this.id!!,
|
||||
taskName = this.taskName,
|
||||
leaderId = this.leaderId,
|
||||
leaderName = leader?.leaderName,
|
||||
leaderAddress = leader?.leaderAddress,
|
||||
initialBalance = this.initialBalance.toPlainString(),
|
||||
finalBalance = this.finalBalance?.toPlainString(),
|
||||
profitAmount = this.profitAmount?.toPlainString(),
|
||||
profitRate = this.profitRate?.toPlainString(),
|
||||
backtestDays = this.backtestDays,
|
||||
startTime = this.startTime,
|
||||
endTime = this.endTime,
|
||||
status = this.status,
|
||||
progress = this.progress,
|
||||
totalTrades = this.totalTrades,
|
||||
createdAt = this.createdAt,
|
||||
executionStartedAt = this.executionStartedAt,
|
||||
executionFinishedAt = this.executionFinishedAt
|
||||
)
|
||||
}
|
||||
|
||||
+1
@@ -185,6 +185,7 @@ open class CopyOrderTrackingService(
|
||||
processedAt = System.currentTimeMillis()
|
||||
)
|
||||
processedTradeRepository.save(processed)
|
||||
|
||||
} catch (e: Exception) {
|
||||
// 检查是否是唯一键冲突异常（理论上不会发生，但保留作为兜底）
|
||||
if (isUniqueConstraintViolation(e)) {
|
||||
|
||||
@@ -0,0 +1,97 @@
|
||||
-- ============================================
|
||||
-- 回测功能表创建
|
||||
-- ============================================
|
||||
|
||||
-- ============================================
|
||||
-- 2. 创建回测任务表
|
||||
-- ============================================
|
||||
CREATE TABLE IF NOT EXISTS backtest_task (
|
||||
id BIGINT AUTO_INCREMENT PRIMARY KEY COMMENT '回测任务ID',
|
||||
task_name VARCHAR(100) NOT NULL COMMENT '回测任务名称',
|
||||
leader_id BIGINT NOT NULL COMMENT 'Leader ID',
|
||||
initial_balance DECIMAL(20, 8) NOT NULL COMMENT '初始资金',
|
||||
final_balance DECIMAL(20, 8) DEFAULT NULL COMMENT '最终资金',
|
||||
profit_amount DECIMAL(20, 8) DEFAULT NULL COMMENT '收益金额',
|
||||
profit_rate DECIMAL(10, 4) DEFAULT NULL COMMENT '收益率(%)',
|
||||
backtest_days INT NOT NULL COMMENT '回测天数',
|
||||
start_time BIGINT NOT NULL COMMENT '回测开始时间(历史时间)',
|
||||
end_time BIGINT DEFAULT NULL COMMENT '回测结束时间(历史时间)',
|
||||
|
||||
-- 跟单配置 (复制CopyTrading表结构)
|
||||
copy_mode VARCHAR(10) NOT NULL DEFAULT 'RATIO' COMMENT '跟单模式: RATIO/FIXED',
|
||||
copy_ratio DECIMAL(20, 8) NOT NULL DEFAULT 1.0 COMMENT '跟单比例',
|
||||
fixed_amount DECIMAL(20, 8) DEFAULT NULL COMMENT '固定金额',
|
||||
max_order_size DECIMAL(20, 8) NOT NULL DEFAULT 1000.0 COMMENT '最大单笔订单',
|
||||
min_order_size DECIMAL(20, 8) NOT NULL DEFAULT 1.0 COMMENT '最小单笔订单',
|
||||
max_daily_loss DECIMAL(20, 8) NOT NULL DEFAULT 10000.0 COMMENT '最大每日亏损',
|
||||
max_daily_orders INT NOT NULL DEFAULT 100 COMMENT '最大每日订单数',
|
||||
price_tolerance DECIMAL(5, 2) NOT NULL DEFAULT 5.0 COMMENT '价格容忍度(%)',
|
||||
delay_seconds INT NOT NULL DEFAULT 0 COMMENT '延迟秒数',
|
||||
support_sell BOOLEAN NOT NULL DEFAULT TRUE COMMENT '是否支持卖出',
|
||||
min_order_depth DECIMAL(20, 8) DEFAULT NULL COMMENT '最小订单深度',
|
||||
max_spread DECIMAL(20, 8) DEFAULT NULL COMMENT '最大价差',
|
||||
min_price DECIMAL(20, 8) DEFAULT NULL COMMENT '最低价格',
|
||||
max_price DECIMAL(20, 8) DEFAULT NULL COMMENT '最高价格',
|
||||
max_position_value DECIMAL(20, 8) DEFAULT NULL COMMENT '最大仓位金额',
|
||||
keyword_filter_mode VARCHAR(20) NOT NULL DEFAULT 'DISABLED' COMMENT '关键字过滤模式',
|
||||
keywords JSON DEFAULT NULL COMMENT '关键字列表',
|
||||
max_market_end_date BIGINT DEFAULT NULL COMMENT '市场截止时间限制',
|
||||
|
||||
-- 统计字段
|
||||
avg_holding_time BIGINT DEFAULT NULL COMMENT '平均持仓时间(毫秒)',
|
||||
data_source VARCHAR(50) DEFAULT 'MIXED' COMMENT '数据源: INTERNAL/API/MIXED',
|
||||
|
||||
-- 执行状态
|
||||
status VARCHAR(20) NOT NULL DEFAULT 'PENDING' COMMENT '状态: PENDING/RUNNING/COMPLETED/STOPPED/FAILED',
|
||||
progress INT DEFAULT 0 COMMENT '执行进度(0-100)',
|
||||
total_trades INT DEFAULT 0 COMMENT '总交易笔数',
|
||||
buy_trades INT DEFAULT 0 COMMENT '买入笔数',
|
||||
sell_trades INT DEFAULT 0 COMMENT '卖出笔数',
|
||||
win_trades INT DEFAULT 0 COMMENT '盈利交易笔数',
|
||||
loss_trades INT DEFAULT 0 COMMENT '亏损交易笔数',
|
||||
win_rate DECIMAL(5, 2) DEFAULT NULL COMMENT '胜率(%)',
|
||||
max_profit DECIMAL(20, 8) DEFAULT NULL COMMENT '最大单笔盈利',
|
||||
max_loss DECIMAL(20, 8) DEFAULT NULL COMMENT '最大单笔亏损',
|
||||
max_drawdown DECIMAL(20, 8) DEFAULT NULL COMMENT '最大回撤',
|
||||
error_message TEXT DEFAULT NULL COMMENT '错误信息',
|
||||
|
||||
created_at BIGINT NOT NULL COMMENT '创建时间',
|
||||
execution_started_at BIGINT DEFAULT NULL COMMENT '执行开始时间(系统时间)',
|
||||
execution_finished_at BIGINT DEFAULT NULL COMMENT '执行完成时间(系统时间)',
|
||||
updated_at BIGINT NOT NULL COMMENT '更新时间',
|
||||
|
||||
INDEX idx_leader_id (leader_id),
|
||||
INDEX idx_status (status),
|
||||
INDEX idx_created_at (created_at),
|
||||
INDEX idx_leader_profit (leader_id, profit_rate DESC),
|
||||
INDEX idx_status_created (status, created_at DESC),
|
||||
FOREIGN KEY (leader_id) REFERENCES copy_trading_leaders(id) ON DELETE CASCADE
|
||||
) ENGINE=InnoDB DEFAULT CHARSET=utf8mb4 COMMENT='回测任务表';
|
||||
|
||||
-- ============================================
|
||||
-- 3. 创建回测交易记录表
|
||||
-- ============================================
|
||||
CREATE TABLE IF NOT EXISTS backtest_trade (
|
||||
id BIGINT AUTO_INCREMENT PRIMARY KEY COMMENT '交易记录ID',
|
||||
backtest_task_id BIGINT NOT NULL COMMENT '回测任务ID',
|
||||
trade_time BIGINT NOT NULL COMMENT '交易时间',
|
||||
market_id VARCHAR(100) NOT NULL COMMENT '市场ID',
|
||||
market_title VARCHAR(500) DEFAULT NULL COMMENT '市场标题',
|
||||
side VARCHAR(20) NOT NULL COMMENT '方向: BUY/SELL/SETTLEMENT',
|
||||
outcome VARCHAR(50) NOT NULL COMMENT '结果: YES/NO或outcomeIndex',
|
||||
outcome_index INT DEFAULT NULL COMMENT '结果索引（0, 1, 2, ...），支持多元市场',
|
||||
quantity DECIMAL(20, 8) NOT NULL COMMENT '数量',
|
||||
price DECIMAL(20, 8) NOT NULL COMMENT '价格',
|
||||
amount DECIMAL(20, 8) NOT NULL COMMENT '金额',
|
||||
fee DECIMAL(20, 8) NOT NULL DEFAULT 0.0 COMMENT '手续费',
|
||||
profit_loss DECIMAL(20, 8) DEFAULT NULL COMMENT '盈亏(仅卖出时)',
|
||||
balance_after DECIMAL(20, 8) NOT NULL COMMENT '交易后余额',
|
||||
leader_trade_id VARCHAR(100) DEFAULT NULL COMMENT 'Leader原始交易ID',
|
||||
|
||||
created_at BIGINT NOT NULL COMMENT '创建时间',
|
||||
|
||||
INDEX idx_backtest_task_id (backtest_task_id),
|
||||
INDEX idx_trade_time (trade_time),
|
||||
FOREIGN KEY (backtest_task_id) REFERENCES backtest_task(id) ON DELETE CASCADE
|
||||
) ENGINE=InnoDB DEFAULT CHARSET=utf8mb4 COMMENT='回测交易记录表';
|
||||
|
||||
@@ -255,3 +255,54 @@ error.server.order_tracking_process_failed=Failed to process order tracking
|
||||
error.server.order_tracking_buy_failed=Failed to process buy order
|
||||
error.server.order_tracking_sell_failed=Failed to process sell order
|
||||
error.server.order_tracking_match_failed=Order matching failed
|
||||
|
||||
# Backtest service errors
|
||||
error.backtest.task_not_found=Backtest task not found
|
||||
error.backtest.leader_not_found=Leader not found
|
||||
error.backtest.days_invalid=Backtest days must be between 1-15 days
|
||||
error.backtest.initial_balance_invalid=Invalid initial balance
|
||||
error.backtest.task_running=Backtest task is running, cannot delete
|
||||
error.server.backtest_create_failed=Failed to create backtest task
|
||||
error.server.backtest_update_failed=Failed to update backtest task
|
||||
error.server.backtest_delete_failed=Failed to delete backtest task
|
||||
error.server.backtest_list_fetch_failed=Failed to fetch backtest list
|
||||
error.server.backtest_detail_fetch_failed=Failed to fetch backtest detail
|
||||
error.server.backtest_trades_fetch_failed=Failed to fetch backtest trades
|
||||
error.server.backtest_execute_failed=Failed to execute backtest
|
||||
error.server.backtest_historical_data_fetch_failed=Failed to fetch historical data
|
||||
error.server.backtest_stop_failed=Failed to stop backtest task
|
||||
|
||||
# Backtest Management
|
||||
backtest.title=Backtest Management
|
||||
backtest.create_task=Create Backtest
|
||||
backtest.task_name=Task Name
|
||||
backtest.leader=Leader
|
||||
backtest.initial_balance=Initial Balance
|
||||
backtest.backtest_days=Backtest Days
|
||||
backtest.profit_amount=Profit Amount
|
||||
backtest.profit_rate=Profit Rate
|
||||
backtest.backtest_days_range=Backtest Days Range (1-15 days)
|
||||
backtest.total_trades=Total Trades
|
||||
backtest.buy_trades=Buy Trades
|
||||
backtest.sell_trades=Sell Trades
|
||||
backtest.win_trades=Win Trades
|
||||
backtest.loss_trades=Loss Trades
|
||||
backtest.win_rate=Win Rate
|
||||
backtest.max_profit=Max Profit
|
||||
backtest.max_loss=Max Loss
|
||||
backtest.max_drawdown=Max Drawdown
|
||||
backtest.avg_holding_time=Avg Holding Time
|
||||
|
||||
# Backtest Status
|
||||
backtest.status.pending=Pending
|
||||
backtest.status.running=Running
|
||||
backtest.status.completed=Completed
|
||||
backtest.status.stopped=Stopped
|
||||
backtest.status.failed=Failed
|
||||
|
||||
# Backtest Config
|
||||
backtest.copy_mode.ratio=Ratio Mode
|
||||
backtest.copy_mode.fixed=Fixed Amount
|
||||
backtest.price_tolerance=Price Tolerance
|
||||
backtest.delay_seconds=Delay Seconds
|
||||
backtest.support_sell=Support Sell
|
||||
|
||||
@@ -255,3 +255,60 @@ error.server.order_tracking_process_failed=处理订单跟踪失败
|
||||
error.server.order_tracking_buy_failed=处理买入订单失败
|
||||
error.server.order_tracking_sell_failed=处理卖出订单失败
|
||||
error.server.order_tracking_match_failed=订单匹配失败
|
||||
|
||||
# 回测服务错误
|
||||
error.backtest.task_not_found=回测任务不存在
|
||||
error.backtest.leader_not_found=Leader不存在
|
||||
error.backtest.days_invalid=回测天数必须在 1-15 天之间
|
||||
error.backtest.initial_balance_invalid=初始金额无效
|
||||
error.backtest.task_running=回测任务正在运行，无法删除
|
||||
error.server.backtest_create_failed=创建回测任务失败
|
||||
error.server.backtest_update_failed=更新回测任务失败
|
||||
error.server.backtest_delete_failed=删除回测任务失败
|
||||
error.server.backtest_list_fetch_failed=查询回测列表失败
|
||||
error.server.backtest_detail_fetch_failed=查询回测详情失败
|
||||
error.server.backtest_trades_fetch_failed=查询回测交易记录失败
|
||||
error.server.backtest_execute_failed=回测执行失败
|
||||
error.server.backtest_historical_data_fetch_failed=历史数据获取失败
|
||||
error.server.backtest_stop_failed=停止回测任务失败
|
||||
|
||||
# 回测管理
|
||||
backtest.title=回测管理
|
||||
backtest.create_task=新增回测
|
||||
backtest.task_name=回测名称
|
||||
backtest.leader=Leader
|
||||
backtest.initial_balance=初始金额
|
||||
backtest.backtest_days=回测天数
|
||||
backtest.profit_amount=收益额
|
||||
backtest.profit_rate=收益率
|
||||
backtest.backtest_days_range=回测天数范围（1-15天）
|
||||
backtest.total_trades=总交易笔数
|
||||
backtest.buy_trades=买入笔数
|
||||
backtest.sell_trades=卖出笔数
|
||||
backtest.win_trades=盈利交易笔数
|
||||
backtest.loss_trades=亏损交易笔数
|
||||
backtest.win_rate=胜率
|
||||
backtest.max_profit=最大单笔盈利
|
||||
backtest.max_loss=最大单笔亏损
|
||||
backtest.max_drawdown=最大回撤
|
||||
backtest.avg_holding_time=平均持仓时间
|
||||
|
||||
# 回测状态
|
||||
backtest.status.pending=待执行
|
||||
backtest.status.running=运行中
|
||||
backtest.status.completed=已完成
|
||||
backtest.status.stopped=已停止
|
||||
backtest.status.failed=失败
|
||||
|
||||
# 回测配置
|
||||
backtest.copy_mode.ratio=比例模式
|
||||
backtest.copy_mode.fixed=固定金额
|
||||
backtest.price_tolerance=价格容忍度
|
||||
backtest.delay_seconds=延迟秒数
|
||||
backtest.support_sell=支持卖出
|
||||
|
||||
# 订单跟踪服务错误
|
||||
error.server.order_tracking_process_failed=处理订单跟踪失败
|
||||
error.server.order_tracking_buy_failed=处理买入订单失败
|
||||
error.server.order_tracking_sell_failed=处理卖出订单失败
|
||||
error.server.order_tracking_match_failed=订单匹配失败
|
||||
|
||||
@@ -255,3 +255,54 @@ error.server.order_tracking_process_failed=處理訂單跟蹤失敗
|
||||
error.server.order_tracking_buy_failed=處理買入訂單失敗
|
||||
error.server.order_tracking_sell_failed=處理賣出訂單失敗
|
||||
error.server.order_tracking_match_failed=訂單匹配失敗
|
||||
|
||||
# 回測服務錯誤
|
||||
error.backtest.task_not_found=回測任務不存在
|
||||
error.backtest.leader_not_found=Leader不存在
|
||||
error.backtest.days_invalid=回測天數必須在 1-15 天之間
|
||||
error.backtest.initial_balance_invalid=初始金額無效
|
||||
error.backtest.task_running=回測任務正在運行，無法刪除
|
||||
error.server.backtest_create_failed=創建回測任務失敗
|
||||
error.server.backtest_update_failed=更新回測任務失敗
|
||||
error.server.backtest_delete_failed=刪除回測任務失敗
|
||||
error.server.backtest_list_fetch_failed=查詢回測列表失敗
|
||||
error.server.backtest_detail_fetch_failed=查詢回測詳情失敗
|
||||
error.server.backtest_trades_fetch_failed=查詢回測交易記錄失敗
|
||||
error.server.backtest_execute_failed=回測執行失敗
|
||||
error.server.backtest_historical_data_fetch_failed=歷史數據獲取失敗
|
||||
error.server.backtest_stop_failed=停止回測任務失敗
|
||||
|
||||
# 回測管理
|
||||
backtest.title=回測管理
|
||||
backtest.create_task=新增回測
|
||||
backtest.task_name=回測名稱
|
||||
backtest.leader=Leader
|
||||
backtest.initial_balance=初始金額
|
||||
backtest.backtest_days=回測天數
|
||||
backtest.profit_amount=收益額
|
||||
backtest.profit_rate=收益率
|
||||
backtest.backtest_days_range=回測天數範圍（1-15天）
|
||||
backtest.total_trades=總交易筆數
|
||||
backtest.buy_trades=買入筆數
|
||||
backtest.sell_trades=賣出筆數
|
||||
backtest.win_trades=盈利交易筆數
|
||||
backtest.loss_trades=虧損交易筆數
|
||||
backtest.win_rate=勝率
|
||||
backtest.max_profit=最大單筆盈利
|
||||
backtest.max_loss=最大單筆虧損
|
||||
backtest.max_drawdown=最大回撤
|
||||
backtest.avg_holding_time=平均持倉時間
|
||||
|
||||
# 回測狀態
|
||||
backtest.status.pending=待執行
|
||||
backtest.status.running=運行中
|
||||
backtest.status.completed=已完成
|
||||
backtest.status.stopped=已停止
|
||||
backtest.status.failed=失敗
|
||||
|
||||
# 回測配置
|
||||
backtest.copy_mode.ratio=比例模式
|
||||
backtest.copy_mode.fixed=固定金額
|
||||
backtest.price_tolerance=價格容忍度
|
||||
backtest.delay_seconds=延遲秒數
|
||||
backtest.support_sell=支持賣出
|
||||
|
||||
Reference in New Issue
Block a user