feat: update version to 0.2.1 and add rolling min/max indicators (#6)

* feat: add session tracking and multi-leg spread backtesting

Add SessionTracker for trading session management:                             - Market hours detection (pre-open, trading, squareoff, post-close)
 - Session boundary tracking with configurable timezone    - Squareoff time support for intraday strategies                                   - Session high/low/open price tracking

Add SpreadBacktest for multi-leg options strategies:                                  - Support for straddles, strangles, vertical spreads, iron condors                                      - Coordinated entry/exit across all legs                                             - Net premium P&L calculation with max loss/target profit exits                                            - Helper functions for common spread configurations

Extend StreamingMetrics for backtest integration:                                - Add equity and drawdown tracking (update_equity, current_drawdown_pct)           - Add trade recording (record_trade, record_fees)                              - Add finalize() method to produce BacktestMetrics                        - Add with_initial_capital() constructor

Bump version to 0.2.0.

* chore: bump up version to 0.2.0

* feat: update version to 0.2.1 and add rolling min/max indicators

* fix: formatting

src/strategies/spreads.rs

@@ -0,0 +1,585 @@
+//! Multi-leg options spread backtesting implementation.
+//!
+//! Provides high-performance spread backtesting for:
+//! - Straddles and Strangles
+//! - Vertical spreads (bull/bear call/put)
+//! - Iron Condors and Iron Butterflies
+//! - Calendar and Diagonal spreads
+//!
+//! Key features:
+//! - Single-pass O(n) algorithm
+//! - Coordinated entry/exit across all legs
+//! - Net premium P&L calculation
+//! - Combined Greeks tracking
+
+use crate::core::types::{
+    BacktestConfig, BacktestMetrics, BacktestResult, Direction, ExitReason, Trade,
+};
+use crate::metrics::streaming::StreamingMetrics;
+use serde::{Deserialize, Serialize};
+
+/// Spread type enumeration.
+#[derive(Debug, Clone, Copy, PartialEq, Eq, Serialize, Deserialize)]
+pub enum SpreadType {
+    Straddle,
+    Strangle,
+    VerticalCall,
+    VerticalPut,
+    IronCondor,
+    IronButterfly,
+    ButterflyCall,
+    ButterflyPut,
+    Calendar,
+    Diagonal,
+    Custom,
+}
+
+/// Option type for a leg.
+#[derive(Debug, Clone, Copy, PartialEq, Eq, Serialize, Deserialize)]
+pub enum OptionType {
+    Call,
+    Put,
+}
+
+impl OptionType {
+    pub fn from_str(s: &str) -> Option<Self> {
+        match s.to_uppercase().as_str() {
+            "CE" | "CALL" | "C" => Some(OptionType::Call),
+            "PE" | "PUT" | "P" => Some(OptionType::Put),
+            _ => None,
+        }
+    }
+}
+
+/// Configuration for a single leg of a spread.
+#[derive(Debug, Clone, Serialize, Deserialize)]
+pub struct LegConfig {
+    /// Option type (Call or Put).
+    pub option_type: OptionType,
+    /// Strike price.
+    pub strike: f64,
+    /// Position quantity (+1 long, -1 short).
+    pub quantity: i32,
+    /// Lot size for the option.
+    pub lot_size: usize,
+}
+
+impl LegConfig {
+    pub fn new(option_type: OptionType, strike: f64, quantity: i32, lot_size: usize) -> Self {
+        Self { option_type, strike, quantity, lot_size }
+    }
+
+    /// Check if this is a long position.
+    pub fn is_long(&self) -> bool {
+        self.quantity > 0
+    }
+
+    /// Check if this is a short position.
+    pub fn is_short(&self) -> bool {
+        self.quantity < 0
+    }
+}
+
+/// Configuration for spread backtest.
+#[derive(Debug, Clone, Serialize, Deserialize)]
+pub struct SpreadConfig {
+    /// Base backtest configuration.
+    pub base: BacktestConfig,
+    /// Spread type.
+    pub spread_type: SpreadType,
+    /// Leg configurations.
+    pub leg_configs: Vec<LegConfig>,
+    /// Maximum loss threshold (optional, for early exit).
+    pub max_loss: Option<f64>,
+    /// Target profit threshold (optional, for early exit).
+    pub target_profit: Option<f64>,
+    /// Whether to close at end of day.
+    pub close_at_eod: bool,
+}
+
+impl Default for SpreadConfig {
+    fn default() -> Self {
+        Self {
+            base: BacktestConfig::default(),
+            spread_type: SpreadType::Custom,
+            leg_configs: Vec::new(),
+            max_loss: None,
+            target_profit: None,
+            close_at_eod: false,
+        }
+    }
+}
+
+/// State for a single leg position.
+#[derive(Debug, Clone)]
+struct LegPosition {
+    /// Entry premium price.
+    pub entry_premium: f64,
+    /// Entry index.
+    #[allow(dead_code)]
+    pub entry_idx: usize,
+    /// Current premium price.
+    pub current_premium: f64,
+    /// Leg configuration.
+    pub config: LegConfig,
+}
+
+impl LegPosition {
+    fn new(config: LegConfig, entry_premium: f64, entry_idx: usize) -> Self {
+        Self { entry_premium, entry_idx, current_premium: entry_premium, config }
+    }
+
+    /// Calculate unrealized P&L for this leg.
+    fn unrealized_pnl(&self) -> f64 {
+        // For short positions: profit when premium decreases
+        // For long positions: profit when premium increases
+        let premium_change = self.current_premium - self.entry_premium;
+        let quantity = self.config.quantity as f64;
+        let lot_size = self.config.lot_size as f64;
+        -quantity * premium_change * lot_size
+    }
+}
+
+/// Spread position state.
+#[derive(Debug, Clone)]
+struct SpreadPosition {
+    /// Individual leg positions.
+    pub legs: Vec<LegPosition>,
+    /// Entry bar index.
+    pub entry_idx: usize,
+    /// Entry net premium (positive = credit, negative = debit).
+    pub entry_net_premium: f64,
+    /// Entry timestamp.
+    pub entry_time: i64,
+    /// Whether position is open.
+    pub is_open: bool,
+}
+
+impl SpreadPosition {
+    fn new(legs: Vec<LegPosition>, entry_idx: usize, entry_time: i64) -> Self {
+        let entry_net_premium: f64 = legs
+            .iter()
+            .map(|leg| leg.entry_premium * leg.config.quantity as f64 * leg.config.lot_size as f64)
+            .sum();
+
+        Self { legs, entry_idx, entry_net_premium, entry_time, is_open: true }
+    }
+
+    /// Calculate total unrealized P&L across all legs.
+    fn total_unrealized_pnl(&self) -> f64 {
+        self.legs.iter().map(|leg| leg.unrealized_pnl()).sum()
+    }
+
+    /// Update leg premiums.
+    fn update_premiums(&mut self, leg_premiums: &[f64]) {
+        for (leg, &premium) in self.legs.iter_mut().zip(leg_premiums.iter()) {
+            leg.current_premium = premium;
+        }
+    }
+
+    /// Close the position and return P&L.
+    fn close(&mut self) -> f64 {
+        self.is_open = false;
+        self.total_unrealized_pnl()
+    }
+}
+
+/// Spread backtest runner.
+pub struct SpreadBacktest {
+    config: SpreadConfig,
+}
+
+impl SpreadBacktest {
+    /// Create a new spread backtest.
+    pub fn new(config: SpreadConfig) -> Self {
+        Self { config }
+    }
+
+    /// Run the spread backtest.
+    ///
+    /// # Arguments
+    /// * `timestamps` - Timestamp array
+    /// * `underlying_close` - Underlying close prices
+    /// * `legs_premiums` - Premium series for each leg (Vec of Vec)
+    /// * `entries` - Entry signals
+    /// * `exits` - Exit signals
+    ///
+    /// # Returns
+    /// Backtest result with metrics, trades, and equity curve
+    pub fn run(
+        &self,
+        timestamps: &[i64],
+        _underlying_close: &[f64],
+        legs_premiums: &[Vec<f64>],
+        entries: &[bool],
+        exits: &[bool],
+    ) -> BacktestResult {
+        let n = timestamps.len();
+
+        // Validate inputs
+        if legs_premiums.len() != self.config.leg_configs.len() {
+            return self.empty_result(n);
+        }
+
+        for premiums in legs_premiums {
+            if premiums.len() != n {
+                return self.empty_result(n);
+            }
+        }
+
+        let mut metrics = StreamingMetrics::with_initial_capital(self.config.base.initial_capital);
+        let mut equity_curve = Vec::with_capacity(n);
+        let mut drawdown_curve = Vec::with_capacity(n);
+        let mut returns = Vec::with_capacity(n);
+        let mut trades: Vec<Trade> = Vec::new();
+        let mut trade_id: u64 = 0;
+
+        let mut cash = self.config.base.initial_capital;
+        let mut position: Option<SpreadPosition> = None;
+        let mut prev_equity = cash;
+
+        // Single-pass O(n) algorithm
+        for i in 0..n {
+            // Get current leg premiums
+            let current_premiums: Vec<f64> = legs_premiums.iter().map(|p| p[i]).collect();
+
+            // Update position premiums if open
+            if let Some(ref mut pos) = position {
+                pos.update_premiums(&current_premiums);
+            }
+
+            // Calculate unrealized P&L for exit checks
+            let unrealized_pnl = position.as_ref().map(|p| p.total_unrealized_pnl()).unwrap_or(0.0);
+
+            // Check for exit signals or conditions
+            let should_exit = position.is_some()
+                && (exits[i]
+                    || self.check_max_loss(&position, unrealized_pnl)
+                    || self.check_target_profit(&position, unrealized_pnl));
+
+            if should_exit {
+                if let Some(mut pos) = position.take() {
+                    let pnl = pos.close();
+                    let fees = self.calculate_fees(&pos);
+                    let net_pnl = pnl - fees;
+
+                    cash += net_pnl;
+
+                    // Record trade
+                    trade_id += 1;
+                    let exit_reason = if exits[i] {
+                        ExitReason::Signal
+                    } else if self.check_max_loss(&Some(pos.clone()), pnl) {
+                        ExitReason::StopLoss
+                    } else {
+                        ExitReason::TakeProfit
+                    };
+
+                    let entry_premium = pos.entry_net_premium;
+                    let exit_premium: f64 = current_premiums
+                        .iter()
+                        .zip(self.config.leg_configs.iter())
+                        .map(|(&p, cfg)| p * cfg.quantity as f64 * cfg.lot_size as f64)
+                        .sum();
+
+                    trades.push(Trade {
+                        id: trade_id,
+                        symbol: "SPREAD".to_string(),
+                        entry_idx: pos.entry_idx,
+                        exit_idx: i,
+                        entry_price: entry_premium,
+                        exit_price: exit_premium,
+                        size: 1.0,
+                        direction: Direction::Long, // Spreads are treated as "long spread"
+                        pnl: net_pnl,
+                        return_pct: if entry_premium.abs() > 0.0 {
+                            net_pnl / entry_premium.abs() * 100.0
+                        } else {
+                            0.0
+                        },
+                        entry_time: pos.entry_time,
+                        exit_time: timestamps[i],
+                        fees,
+                        exit_reason,
+                    });
+
+                    metrics.record_trade(
+                        net_pnl,
+                        net_pnl / entry_premium.abs() * 100.0,
+                        i - pos.entry_idx,
+                    );
+                }
+            }
+
+            // Check for entry signals
+            if position.is_none() && entries[i] {
+                let legs: Vec<LegPosition> = self
+                    .config
+                    .leg_configs
+                    .iter()
+                    .zip(current_premiums.iter())
+                    .map(|(cfg, &premium)| LegPosition::new(cfg.clone(), premium, i))
+                    .collect();
+
+                let new_position = SpreadPosition::new(legs, i, timestamps[i]);
+
+                // Calculate entry fees
+                let entry_fees = self.calculate_entry_fees(&new_position);
+                cash -= entry_fees;
+
+                position = Some(new_position);
+            }
+
+            // Update equity tracking
+            let equity = cash + position.as_ref().map(|p| p.total_unrealized_pnl()).unwrap_or(0.0);
+            equity_curve.push(equity);
+
+            let daily_return =
+                if prev_equity > 0.0 { (equity - prev_equity) / prev_equity } else { 0.0 };
+            returns.push(daily_return);
+            prev_equity = equity;
+
+            // Update drawdown
+            metrics.update_equity(equity);
+            drawdown_curve.push(metrics.current_drawdown_pct());
+        }
+
+        // Close any remaining open position at end
+        if let Some(mut pos) = position.take() {
+            let pnl = pos.close();
+            let fees = self.calculate_fees(&pos);
+            cash += pnl - fees;
+        }
+
+        // Finalize metrics
+        let final_metrics = metrics.finalize(self.config.base.initial_capital, cash, &returns);
+
+        BacktestResult { metrics: final_metrics, equity_curve, drawdown_curve, trades, returns }
+    }
+
+    /// Check if max loss threshold is hit.
+    fn check_max_loss(&self, _position: &Option<SpreadPosition>, unrealized_pnl: f64) -> bool {
+        if let Some(max_loss) = self.config.max_loss {
+            if unrealized_pnl < -max_loss {
+                return true;
+            }
+        }
+        false
+    }
+
+    /// Check if target profit threshold is hit.
+    fn check_target_profit(&self, _position: &Option<SpreadPosition>, unrealized_pnl: f64) -> bool {
+        if let Some(target) = self.config.target_profit {
+            if unrealized_pnl > target {
+                return true;
+            }
+        }
+        false
+    }
+
+    /// Calculate entry fees for a position.
+    fn calculate_entry_fees(&self, position: &SpreadPosition) -> f64 {
+        let total_premium: f64 = position
+            .legs
+            .iter()
+            .map(|leg| leg.entry_premium.abs() * leg.config.lot_size as f64)
+            .sum();
+        total_premium * self.config.base.fees
+    }
+
+    /// Calculate exit fees for a position.
+    fn calculate_fees(&self, position: &SpreadPosition) -> f64 {
+        let total_premium: f64 = position
+            .legs
+            .iter()
+            .map(|leg| leg.current_premium.abs() * leg.config.lot_size as f64)
+            .sum();
+        total_premium * self.config.base.fees * 2.0 // Entry + Exit
+    }
+
+    /// Create an empty result (used for validation failures).
+    fn empty_result(&self, n: usize) -> BacktestResult {
+        BacktestResult {
+            metrics: BacktestMetrics::default(),
+            equity_curve: vec![self.config.base.initial_capital; n],
+            drawdown_curve: vec![0.0; n],
+            trades: Vec::new(),
+            returns: vec![0.0; n],
+        }
+    }
+}
+
+/// Convenience function to create a straddle spread config.
+pub fn create_straddle_config(
+    base: BacktestConfig,
+    strike: f64,
+    lot_size: usize,
+    short: bool,
+) -> SpreadConfig {
+    let quantity = if short { -1 } else { 1 };
+    SpreadConfig {
+        base,
+        spread_type: SpreadType::Straddle,
+        leg_configs: vec![
+            LegConfig::new(OptionType::Call, strike, quantity, lot_size),
+            LegConfig::new(OptionType::Put, strike, quantity, lot_size),
+        ],
+        ..Default::default()
+    }
+}
+
+/// Convenience function to create a strangle spread config.
+pub fn create_strangle_config(
+    base: BacktestConfig,
+    call_strike: f64,
+    put_strike: f64,
+    lot_size: usize,
+    short: bool,
+) -> SpreadConfig {
+    let quantity = if short { -1 } else { 1 };
+    SpreadConfig {
+        base,
+        spread_type: SpreadType::Strangle,
+        leg_configs: vec![
+            LegConfig::new(OptionType::Call, call_strike, quantity, lot_size),
+            LegConfig::new(OptionType::Put, put_strike, quantity, lot_size),
+        ],
+        ..Default::default()
+    }
+}
+
+/// Convenience function to create an iron condor spread config.
+pub fn create_iron_condor_config(
+    base: BacktestConfig,
+    short_put_strike: f64,
+    long_put_strike: f64,
+    short_call_strike: f64,
+    long_call_strike: f64,
+    lot_size: usize,
+) -> SpreadConfig {
+    SpreadConfig {
+        base,
+        spread_type: SpreadType::IronCondor,
+        leg_configs: vec![
+            LegConfig::new(OptionType::Put, short_put_strike, -1, lot_size),
+            LegConfig::new(OptionType::Put, long_put_strike, 1, lot_size),
+            LegConfig::new(OptionType::Call, short_call_strike, -1, lot_size),
+            LegConfig::new(OptionType::Call, long_call_strike, 1, lot_size),
+        ],
+        ..Default::default()
+    }
+}
+
+/// Convenience function to create a vertical spread config.
+pub fn create_vertical_spread_config(
+    base: BacktestConfig,
+    option_type: OptionType,
+    long_strike: f64,
+    short_strike: f64,
+    lot_size: usize,
+) -> SpreadConfig {
+    let spread_type = match option_type {
+        OptionType::Call => SpreadType::VerticalCall,
+        OptionType::Put => SpreadType::VerticalPut,
+    };
+
+    SpreadConfig {
+        base,
+        spread_type,
+        leg_configs: vec![
+            LegConfig::new(option_type, long_strike, 1, lot_size),
+            LegConfig::new(option_type, short_strike, -1, lot_size),
+        ],
+        ..Default::default()
+    }
+}
+
+#[cfg(test)]
+mod tests {
+    use super::*;
+    use crate::core::types::StopConfig;
+    use crate::core::types::TargetConfig;
+
+    fn sample_data() -> (Vec<i64>, Vec<f64>, Vec<Vec<f64>>, Vec<bool>, Vec<bool>) {
+        let n = 20;
+        let timestamps: Vec<i64> = (0..n as i64).collect();
+        let underlying: Vec<f64> = (100..120).map(|x| x as f64).collect();
+
+        // Call and Put premiums
+        let call_premiums: Vec<f64> = (0..n).map(|i| 5.0 + (i as f64 * 0.2)).collect();
+        let put_premiums: Vec<f64> = (0..n).map(|i| 5.0 - (i as f64 * 0.1)).collect();
+
+        let legs_premiums = vec![call_premiums, put_premiums];
+
+        let entries = vec![
+            false, true, false, false, false, false, false, false, false, false, false, false,
+            false, false, false, false, false, false, false, false,
+        ];
+        let exits = vec![
+            false, false, false, false, false, false, false, false, false, true, false, false,
+            false, false, false, false, false, false, false, false,
+        ];
+
+        (timestamps, underlying, legs_premiums, entries, exits)
+    }
+
+    #[test]
+    fn test_straddle_backtest() {
+        let base_config = BacktestConfig {
+            initial_capital: 100_000.0,
+            fees: 0.001,
+            slippage: 0.0,
+            stop: StopConfig::None,
+            target: TargetConfig::None,
+            upon_bar_close: true,
+        };
+
+        let config = create_straddle_config(base_config, 100.0, 50, true);
+        let backtest = SpreadBacktest::new(config);
+
+        let (timestamps, underlying, legs_premiums, entries, exits) = sample_data();
+
+        let result = backtest.run(&timestamps, &underlying, &legs_premiums, &entries, &exits);
+
+        assert_eq!(result.trades.len(), 1);
+        assert!(result.equity_curve.len() == timestamps.len());
+    }
+
+    #[test]
+    fn test_iron_condor_backtest() {
+        let base_config = BacktestConfig::default();
+
+        let config = create_iron_condor_config(
+            base_config,
+            95.0,  // short put
+            90.0,  // long put
+            105.0, // short call
+            110.0, // long call
+            50,
+        );
+
+        let backtest = SpreadBacktest::new(config);
+
+        let n = 20;
+        let timestamps: Vec<i64> = (0..n as i64).collect();
+        let underlying: Vec<f64> = vec![100.0; n];
+
+        // Four legs: short put, long put, short call, long call
+        let legs_premiums = vec![
+            vec![3.0; n], // short put
+            vec![1.5; n], // long put
+            vec![3.0; n], // short call
+            vec![1.5; n], // long call
+        ];
+
+        let mut entries = vec![false; n];
+        entries[1] = true;
+
+        let mut exits = vec![false; n];
+        exits[15] = true;
+
+        let result = backtest.run(&timestamps, &underlying, &legs_premiums, &entries, &exits);
+
+        assert_eq!(result.trades.len(), 1);
+    }
+}