feat: VBT visualization + validation pipeline, HFT tick viz, DuckDB loader
Track 1 — VBT Candle-Frequency Pipeline: - backtests/vbt_validator.py: VBTValidator with 11 checks — timestamp monotonicity, duplicates, NaN, data gaps, lookahead bias, signal alignment, density, coincident entry/exit, min trade count, fee application, benchmark comparison. ValidationReport dataclass with errors/warnings/stats. Validates VBT results or raw signal arrays. - backtests/vbt_viz.py: VBTVisualizer with 10+ Plotly chart methods — equity curve with benchmark, drawdown, rolling Sharpe/Sortino/vol, trade markers, returns distribution with normal fit, monthly PnL heatmap, gross vs net, holding periods, parameter sensitivity heatmaps, dashboard compositor, HTML save (self-contained, CDN Plotly). All methods handle empty/null inputs. - backtests/vbt_report.py: Markdown + HTML report generator — structured sections for implementation summary, performance metrics, cost analysis, validation results, signal analysis, known limitations, next steps. batch_report() for mass report generation from results directory. - backtests/vbt_runner.py: Added run_benchmark() (buy-and-hold VBT portfolio), validate() (integrated VBTValidator), run_with_report() (fetch→validate→ backtest→visualize→save in one call). Track 2 — HFT Tick Pipeline: - backtests/tick_viz.py: 9-panel HFT dashboard — price+trade markers, spread dynamics, top-of-book depth, microprice vs mid, OBI/OFI panel, VPIN toxicity with thresholds, event timeline (PnL from tick_runner), markout curves at 6 horizons. Parquet→pandas→Plotly pipeline. Dark-themed HTML output for microstructure review. - data/duckdb_load.py: Parquet→DuckDB loader — creates l2_snapshots, trades, funding tables with schema. Pre-computed 1s rollup views for microprice, OFI, trade imbalance. Markout queries directly in SQL. Incremental loading with load_state tracking. CLI Integration: - cli.py: Added 'report' (full VBT report), 'validate' (check existing results), 'hft' (tick dashboard generation) commands. Fixed argparse help string escaping. 355 tests passing (34 new).
This commit is contained in:
ramseshk
@@ -441,6 +441,157 @@ class VBTBacktestRunner:
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return pd.DataFrame(results_rows) if results_rows else None
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def run_benchmark(
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self,
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coin: str = "BTC",
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interval: str = "1h",
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testnet: bool = False,
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limit: int = 5000,
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start_ms: int | None = None,
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end_ms: int | None = None,
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) -> dict[str, Any] | None:
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"""Run a simple buy-and-hold benchmark using VBT."""
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provider = HyperliquidDataProvider(testnet=testnet)
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df = provider.fetch_candles(coin, interval=interval, limit=limit,
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start_ms=start_ms, end_ms=end_ms)
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if df.empty:
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return None
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close = df["close"]
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if len(close) < 2:
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return None
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entries = pd.Series(False, index=close.index)
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entries.iloc[0] = True
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exits = pd.Series(False, index=close.index)
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exits.iloc[-1] = True
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try:
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pf = vbt.Portfolio.from_signals(
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close=close,
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entries=entries,
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exits=exits,
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fees=self._fee_rate,
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slippage=0.001,
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freq=INTERVAL_MAP.get(interval, "1h"),
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init_cash=10000.0,
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)
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except Exception:
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return None
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total_return = float(pf.stats().get("Total Return [%]", 0))
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bm_sharpe = float(pf.stats().get("Sharpe Ratio", 0))
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return {
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"strategy": "buy_and_hold",
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"coin": coin.upper(),
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"interval": interval,
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"n_bars": len(close),
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"start_equity": 10000.0,
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"end_equity": round(float(pf.value().iloc[-1]), 2),
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"total_return_pct": round(total_return, 2),
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"sharpe": round(bm_sharpe, 3),
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"close": close,
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"pf": pf,
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}
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def validate(
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self,
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result: dict,
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pf,
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entries: pd.Series,
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exits: pd.Series,
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close: pd.Series,
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):
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"""Run validation checks on a backtest result."""
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from backtests.vbt_validator import VBTValidator
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validator = VBTValidator(min_trades=10)
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report = validator.validate(
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entries=entries,
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exits=exits,
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close=close,
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pf=pf,
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trades=result.get("trades", []),
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strategy=result.get("strategy", "unknown"),
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interval=result.get("interval", "unknown"),
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)
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return report
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def run_with_report(
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self,
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strategy: str = "pairs",
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interval: str = "1h",
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testnet: bool = False,
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limit: int = 5000,
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params: dict | None = None,
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output_dir: str = "backtests/reports",
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) -> dict | None:
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"""End-to-end: fetch, backtest, validate, visualize, save report."""
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result = self.run_strategy(
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strategy=strategy, interval=interval, testnet=testnet,
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limit=limit, params=params,
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)
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if result is None:
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return None
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data = {}
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coins = self._get_coins(strategy)
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provider = HyperliquidDataProvider(testnet=testnet)
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for coin in coins:
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df = provider.fetch_candles(coin, interval=interval, limit=limit)
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if not df.empty:
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data[coin] = df
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entries, exits = _generate_signals(strategy, data, params)
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primary = list(data.values())[0]
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close = primary["close"]
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common_idx = entries.index.intersection(close.index)
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entries = entries.reindex(common_idx).fillna(False)
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exits = exits.reindex(common_idx).fillna(False)
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close = close.reindex(common_idx)
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try:
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from config.fee_tiers import get_strategy_fee_model
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fee_model = get_strategy_fee_model(strategy)
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effective_fee = self._maker_rate if fee_model == "maker" else self._fee_rate
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pf = vbt.Portfolio.from_signals(
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close=close, entries=entries, exits=exits,
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fees=effective_fee, slippage=0.001,
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freq=INTERVAL_MAP.get(interval, "1h"),
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init_cash=10000.0,
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)
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except Exception:
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pf = None
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bm_result = self.run_benchmark(coin=self._get_coins(strategy)[0],
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interval=interval, testnet=testnet, limit=limit)
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benchmark_close = bm_result.get("close") if bm_result else None
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validation_report = None
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if pf is not None:
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validation_report = self.validate(result, pf, entries, exits, close)
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from backtests.vbt_viz import VBTVisualizer
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viz = VBTVisualizer(output_dir=output_dir)
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viz.save_dashboard(
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pf=pf, close=close, entries=entries, exits=exits,
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benchmark_close=benchmark_close,
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strategy=strategy, interval=interval,
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)
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result["validation"] = validation_report.summary() if validation_report else "N/A"
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if validation_report:
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result["validation_checks"] = validation_report.checks
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result["validation_errors"] = validation_report.errors
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result["validation_warnings"] = validation_report.warnings
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logger.info("Report generated for %s (%s) — saved to %s",
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strategy, interval, output_dir)
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return result
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# ── Helpers ─────────────────────────────────────────────────
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def _get_coins(self, strategy: str) -> list[str]:
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