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feat: add instrument level config and bump to 0.3.0

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This commit is contained in:
porcelaincode
2026-02-10 05:03:39 +05:30
parent aad09da117
commit bb6ce05c57
13 changed files with 413 additions and 31 deletions
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src/portfolio/engine.rs
+72 -16
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@@ -2,7 +2,7 @@
use crate::core::types::{
BacktestConfig, BacktestMetrics, BacktestResult, CompiledSignals, Direction, ExitReason,
OhlcvData, Price, StopConfig, TargetConfig, Trade,
InstrumentConfig, OhlcvData, Price, StopConfig, TargetConfig, Trade,
};
use crate::execution::{FeeModel, FillPrice, SlippageModel};
use crate::indicators::volatility::atr;
@@ -69,6 +69,24 @@ impl PortfolioEngine {
/// # Returns
/// Backtest result
pub fn run_single(&self, ohlcv: &OhlcvData, signals: &CompiledSignals) -> BacktestResult {
self.run_single_with_instrument_config(ohlcv, signals, None)
}
/// Run backtest on single instrument with optional per-instrument configuration.
///
/// # Arguments
/// * `ohlcv` - OHLCV data
/// * `signals` - Compiled trading signals
/// * `inst_config` - Optional per-instrument config (lot_size, capital cap, stop/target overrides)
///
/// # Returns
/// Backtest result
pub fn run_single_with_instrument_config(
&self,
ohlcv: &OhlcvData,
signals: &CompiledSignals,
inst_config: Option<&InstrumentConfig>,
) -> BacktestResult {
let n = ohlcv.len();
assert_eq!(n, signals.len(), "OHLCV and signals must have same length");
@@ -86,14 +104,20 @@ impl PortfolioEngine {
let mut streaming = StreamingMetrics::new();
let mut peak_equity = cash;
// Determine effective stop/target configs (per-instrument overrides take precedence)
let effective_stop =
inst_config.and_then(|ic| ic.stop.as_ref()).unwrap_or(&self.config.stop);
let effective_target =
inst_config.and_then(|ic| ic.target.as_ref()).unwrap_or(&self.config.target);
// Pre-calculate ATR for ATR-based stops
let atr_values = if matches!(self.config.stop, StopConfig::Atr { .. })
|| matches!(self.config.target, TargetConfig::Atr { .. })
let atr_values = if matches!(effective_stop, StopConfig::Atr { .. })
|| matches!(effective_target, TargetConfig::Atr { .. })
{
let period = match self.config.stop {
StopConfig::Atr { period, .. } => period,
_ => match self.config.target {
TargetConfig::Atr { period, .. } => period,
let period = match effective_stop {
StopConfig::Atr { period, .. } => *period,
_ => match effective_target {
TargetConfig::Atr { period, .. } => *period,
_ => 14,
},
};
@@ -188,8 +212,8 @@ impl PortfolioEngine {
// Update trailing stop if position still open
if position.is_in_position() {
if let StopConfig::Trailing { percent } = self.config.stop {
position.update_trailing_stop(percent);
if let StopConfig::Trailing { percent } = effective_stop {
position.update_trailing_stop(*percent);
}
}
}
@@ -207,26 +231,37 @@ impl PortfolioEngine {
);
// Calculate position size
// Use per-instrument capital if set, capped at available cash
let available = inst_config
.and_then(|ic| ic.alloted_capital)
.map(|cap| cap.min(cash))
.unwrap_or(cash);
// VectorBT formula: size = cash / (price * (1 + fees))
// This ensures the position value plus entry fee equals available cash
let fee_rate = self.config.fees;
let size = if let Some(ref sizes) = signals.position_sizes {
sizes[i] * cash / (adjusted_price * (1.0 + fee_rate))
let raw_size = if let Some(ref sizes) = signals.position_sizes {
sizes[i] * available / (adjusted_price * (1.0 + fee_rate))
} else {
cash / (adjusted_price * (1.0 + fee_rate))
available / (adjusted_price * (1.0 + fee_rate))
};
// Round to lot_size
let size = inst_config.map(|ic| ic.round_to_lot(raw_size)).unwrap_or(raw_size);
if size > 0.0 {
// Calculate entry fees
let entry_fees =
self.fee_model.calculate(adjusted_price, size, signals.direction);
// Calculate stop and target prices
let (stop_price, target_price) = self.calculate_stop_target(
let (stop_price, target_price) = self.calculate_stop_target_with_config(
adjusted_price,
signals.direction,
&atr_values,
i,
effective_stop,
effective_target,
);
// Open position (passing entry_fees for trade PnL tracking)
@@ -310,18 +345,39 @@ impl PortfolioEngine {
)
}
/// Calculate stop and target prices.
/// Calculate stop and target prices using the global config.
#[allow(dead_code)]
fn calculate_stop_target(
&self,
entry_price: Price,
direction: Direction,
atr_values: &[f64],
idx: usize,
) -> (Option<Price>, Option<Price>) {
self.calculate_stop_target_with_config(
entry_price,
direction,
atr_values,
idx,
&self.config.stop,
&self.config.target,
)
}
/// Calculate stop and target prices with explicit stop/target configs.
fn calculate_stop_target_with_config(
&self,
entry_price: Price,
direction: Direction,
atr_values: &[f64],
idx: usize,
stop_config: &StopConfig,
target_config: &TargetConfig,
) -> (Option<Price>, Option<Price>) {
let multiplier = direction.multiplier();
// Calculate stop price
let stop_price = match self.config.stop {
let stop_price = match stop_config {
StopConfig::None => None,
StopConfig::Fixed { percent } => Some(entry_price * (1.0 - multiplier * percent)),
StopConfig::Atr { multiplier: m, .. } => {
@@ -336,7 +392,7 @@ impl PortfolioEngine {
};
// Calculate target price
let target_price = match self.config.target {
let target_price = match target_config {
TargetConfig::None => None,
TargetConfig::Fixed { percent } => Some(entry_price * (1.0 + multiplier * percent)),
TargetConfig::Atr { multiplier: m, .. } => {