Rename VIP→Tier, recalculate equity curve on fee tier change
Renamed all "VIP N" to "Tier N" in config, server, and HTML dropdowns. Added recalc_equity_curve() that rebuilds the equity curve with new fee rates. Previously the equity curve was passed through unchanged when switching tiers, so the chart visually stayed identical even though PnL numbers changed. Now each tier produces its own curve. Example OBI historical: Tier 0 equity ends at 141.5, Tier 6 at 149.7 — the chart visibly shifts up as fees drop from 4.5bp to 2.4bp taker.
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ramseshk
+14
-14
@@ -12,24 +12,24 @@ from typing import Optional
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# ── Perps fee tiers (base rates) ──
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PERPS_TIERS = {
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0: {"name": "VIP 0", "volume": 0, "taker": 0.00045, "maker": 0.00015},
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1: {"name": "VIP 1", "volume": 5_000_000, "taker": 0.00040, "maker": 0.00012},
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2: {"name": "VIP 2", "volume": 25_000_000, "taker": 0.00035, "maker": 0.00008},
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3: {"name": "VIP 3", "volume": 100_000_000,"taker": 0.00030, "maker": 0.00004},
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4: {"name": "VIP 4", "volume": 500_000_000, "taker": 0.00028, "maker": 0.00000},
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5: {"name": "VIP 5", "volume": 2_000_000_000, "taker": 0.00026, "maker": 0.00000},
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6: {"name": "VIP 6", "volume": 7_000_000_000, "taker": 0.00024, "maker": 0.00000},
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0: {"name": "Tier 0", "volume": 0, "taker": 0.00045, "maker": 0.00015},
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1: {"name": "Tier 1", "volume": 5_000_000, "taker": 0.00040, "maker": 0.00012},
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2: {"name": "Tier 2", "volume": 25_000_000, "taker": 0.00035, "maker": 0.00008},
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3: {"name": "Tier 3", "volume": 100_000_000,"taker": 0.00030, "maker": 0.00004},
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4: {"name": "Tier 4", "volume": 500_000_000, "taker": 0.00028, "maker": 0.00000},
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5: {"name": "Tier 5", "volume": 2_000_000_000, "taker": 0.00026, "maker": 0.00000},
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6: {"name": "Tier 6", "volume": 7_000_000_000, "taker": 0.00024, "maker": 0.00000},
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}
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# ── Spot fee tiers (base rates) ──
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SPOT_TIERS = {
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0: {"name": "VIP 0", "volume": 0, "taker": 0.00070, "maker": 0.00040},
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1: {"name": "VIP 1", "volume": 100_000, "taker": 0.00060, "maker": 0.00030},
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2: {"name": "VIP 2", "volume": 1_000_000, "taker": 0.00050, "maker": 0.00020},
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3: {"name": "VIP 3", "volume": 10_000_000, "taker": 0.00040, "maker": 0.00010},
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4: {"name": "VIP 4", "volume": 50_000_000, "taker": 0.00030, "maker": 0.00005},
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5: {"name": "VIP 5", "volume": 200_000_000, "taker": 0.00020, "maker": 0.00000},
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6: {"name": "VIP 6", "volume": 1_000_000_000,"taker":0.00010,"maker": -0.00005},
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0: {"name": "Tier 0", "volume": 0, "taker": 0.00070, "maker": 0.00040},
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1: {"name": "Tier 1", "volume": 100_000, "taker": 0.00060, "maker": 0.00030},
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2: {"name": "Tier 2", "volume": 1_000_000, "taker": 0.00050, "maker": 0.00020},
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3: {"name": "Tier 3", "volume": 10_000_000, "taker": 0.00040, "maker": 0.00010},
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4: {"name": "Tier 4", "volume": 50_000_000, "taker": 0.00030, "maker": 0.00005},
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5: {"name": "Tier 5", "volume": 200_000_000, "taker": 0.00020, "maker": 0.00000},
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6: {"name": "Tier 6", "volume": 1_000_000_000,"taker":0.00010,"maker": -0.00005},
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}
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# ── Staking discount multipliers ──
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+34
-1
@@ -200,6 +200,34 @@ async def get_backtest(name: str):
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return JSONResponse({"error": "not found"}, status_code=404)
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def recalc_equity_curve(equity_curve, trades, new_fee_rate, fee_model):
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"""Rebuild equity curve with new fee rates, preserving gross PnL."""
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if not equity_curve or not trades:
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return equity_curve
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fee_deltas = {}
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cum_delta = 0.0
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for t in trades:
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sz = t.get("size", 0)
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px = t.get("price", 0)
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old_fee = t.get("fee", 0)
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new_fee = sz * px * new_fee_rate * 2
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delta = old_fee - new_fee
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cum_delta += delta
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fee_deltas[t.get("time", "")] = cum_delta
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new_curve = []
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delta_idx = 0
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trade_times = list(fee_deltas.keys())
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cum = 0.0
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for pt in equity_curve:
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pt_time = pt.get("t", "")
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while delta_idx < len(trade_times) and trade_times[delta_idx] <= pt_time:
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cum = fee_deltas[trade_times[delta_idx]]
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delta_idx += 1
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new_curve.append({"t": pt_time, "v": round(pt.get("v", 0) + cum, 6)})
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return new_curve
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@app.get("/api/backtest/{name}/recalc")
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async def recalc_backtest(name: str, fee_tier: int = 0, staking_tier: str = "none"):
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"""Recalculate backtest PnL with different fee tier."""
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@@ -251,7 +279,12 @@ async def recalc_backtest(name: str, fee_tier: int = 0, staking_tier: str = "non
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"pnl_net_pct": round(new_pnl_pct, 4),
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"fees_total": round(new_fees, 4),
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"total_trades": len(new_trades),
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"equity_curve": data.get("equity_curve", []),
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"equity_curve": recalc_equity_curve(
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data.get("equity_curve", []),
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data.get("trades", []),
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new_fee_rate,
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fee_model
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),
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"trades": new_trades[-100:],
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"sharpe": data.get("sharpe", 0),
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"sortino": data.get("sortino", 0),
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@@ -162,13 +162,13 @@ footer a{color:#3f3f4a;text-decoration:none}footer a:hover{color:var(--tx)}
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<input type="checkbox" id="fee-toggle" checked onchange="toggleFees()" style="cursor:pointer;margin-right:4px">Inc. fees
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</label>
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<select id="fee-tier-sel" style="display:none;font-size:10px;background:var(--srf);color:var(--hi);border:1px solid var(--ln);border-radius:4px;padding:3px 6px;font-family:var(--f)" onchange="onFeeTierChange()">
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<option value="0">VIP 0 (0.045/0.015%)</option>
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<option value="1">VIP 1 (0.040/0.012%)</option>
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<option value="2">VIP 2 (0.035/0.008%)</option>
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<option value="3">VIP 3 (0.030/0.004%)</option>
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<option value="4">VIP 4 (0.028/0.000%)</option>
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<option value="5">VIP 5 (0.026/0.000%)</option>
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<option value="6">VIP 6 (0.024/0.000%)</option>
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<option value="0">Tier 0 (0.045/0.015%)</option>
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<option value="1">Tier 1 (0.040/0.012%)</option>
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<option value="2">Tier 2 (0.035/0.008%)</option>
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<option value="3">Tier 3 (0.030/0.004%)</option>
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<option value="4">Tier 4 (0.028/0.000%)</option>
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<option value="5">Tier 5 (0.026/0.000%)</option>
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<option value="6">Tier 6 (0.024/0.000%)</option>
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</select>
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<select id="stake-tier-sel" style="display:none;font-size:10px;background:var(--srf);color:var(--hi);border:1px solid var(--ln);border-radius:4px;padding:3px 6px;font-family:var(--f)" onchange="onFeeTierChange()">
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<option value="none">No Stake</option>
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