Add fee-toggle for backtests, CSV trade download, fee simulation in runner

Backtest runner: added per-trade fee simulation (maker 2bps, taker 5bps).
Each trade now records pnl_gross, pnl_net, and fee. New --no-fees flag
excludes fees from PnL. Output includes pnl_gross/pnl_gross_pct and
fees_total alongside existing pnl (net). Regenerated all 12 backtests.

Server: added /api/backtest/{name}/csv endpoint — returns trades as CSV
with columns time,side,size,price,pnl_gross,pnl_net,fee.
Content-Disposition: attachment triggers browser download.

Dashboard: added "Inc. fees" checkbox toggle in backtest detail panel.
Unchecking shows gross PnL (before fees). "↓ CSV" button downloads
the trade history. Both hidden when detail is closed.

backtests/run.py

@@ -11,6 +11,10 @@ from common.metrics import sharpe, sortino, max_drawdown, win_rate
 RESULTS_DIR = Path(__file__).resolve().parent / "results"
 os.makedirs(RESULTS_DIR, exist_ok=True)
 
+# Fee rates for backtest simulation (matching paper trader)
+TAKER_FEE = 0.0005   # 5 bps per side
+MAKER_FEE = 0.0002   # 2 bps per side
+
 CONFIGS = {
     "ofi": {"name":"Order Book Imbalance","desc":"L2 bid/ask skew — buys when bids dominate","alloc":100.0,"daily_ret":0.0012,"daily_vol":0.014,"fee_model":"taker"},
     "iceberg": {"name":"Iceberg Detection","desc":"Whale TWAP accumulation detection","alloc":100.0,"daily_ret":0.0008,"daily_vol":0.012,"fee_model":"taker"},
@@ -26,30 +30,51 @@ CONFIGS = {
     "gueant": {"name":"Guéant Market Making","desc":"Closed-form asymptotic MM — adverse selection handling","alloc":100.0,"daily_ret":0.0018,"daily_vol":0.005,"fee_model":"maker"},
 }
 
-def simulate(key, periods=720):
+def simulate(key, periods=720, include_fees=True):
     # Deterministic seed per strategy (hash() is randomized per Python process)
     _fixed_seeds = {"ofi":42,"iceberg":43,"funding_arb":44,"pairs":45,"avellaneda":46,
                     "momentum":47,"mean_rev":48,"hawkes":49,"deep_lob":50,
                     "cartea":51,"queue_imb":52,"gueant":53}
     random.seed(_fixed_seeds.get(key, 42))
     cfg = CONFIGS[key]
+    fee_rate = MAKER_FEE if cfg.get("fee_model") == "maker" else TAKER_FEE
     hr = cfg["daily_ret"]/24; hv = cfg["daily_vol"]/(24**0.5)
-    eq=100.0; curve=[]; rets=[]; trades=[]
+    eq_gross=100.0; eq_net=100.0; curve_gross=[]; curve_net=[]; rets=[]; trades=[]
+    total_fees=0.0
     dt=datetime.now()-timedelta(days=30)
     for i in range(periods):
         r = random.gauss(hr,hv)
         if random.random()<0.02: r*=random.uniform(2,5)
-        before=eq; eq*=(1+r); rets.append(r)
-        curve.append({"t":dt.isoformat(),"v":round(eq,4)})
+        before_gross=eq_gross; before_net=eq_net
+        eq_gross*=(1+r); eq_net*=(1+r); rets.append(r)
+        curve_gross.append({"t":dt.isoformat(),"v":round(eq_gross,4)})
+        curve_net.append({"t":dt.isoformat(),"v":round(eq_net,4)})
         if abs(r)>hv:
-            trades.append({"time":dt.strftime("%Y-%m-%d %H:%M"),"side":"BUY" if r>0 else "SELL","size":round(random.uniform(0.0005,0.002),4),"price":round(random.uniform(60000,65000),1),"pnl":round(eq-before,4)})
+            sz=round(random.uniform(0.0005,0.002),4)
+            px=round(random.uniform(60000,65000),1)
+            fee=sz*px*fee_rate*2  # entry + exit fee
+            total_fees+=fee
+            trades.append({"time":dt.strftime("%Y-%m-%d %H:%M"),
+                "side":"BUY" if r>0 else "SELL","size":sz,"price":px,
+                "pnl_gross":round(eq_gross-before_gross,4),
+                "pnl_net":round(eq_gross-before_gross-fee,4),
+                "fee":round(fee,6)})
         dt+=timedelta(hours=1)
-    padded=[100.0]*10+[p["v"] for p in curve]
-    total_ret=eq-100.0
+    padded=[100.0]*10+[p["v"] for p in curve_net]
+    total_ret_gross=eq_gross-100.0
+    total_ret_net=eq_net-100.0-total_fees if include_fees else eq_net-100.0
+    # Rebuild net equity curve with fees if fees included
+    if include_fees:
+        curve = [{"t":c["t"],"v":round(c["v"]-total_fees*(i/periods),4)} for i,c in enumerate(curve_net)]
+    else:
+        curve = curve_net
     return {
         "strategy":cfg["name"],"strategy_key":key,"description":cfg["desc"],"allocation":cfg["alloc"],
-        "start_time":curve[0]["t"],"end_time":curve[-1]["t"],"start_equity":100.0,"end_equity":round(eq,4),
-        "pnl":round(total_ret,4),"pnl_pct":round(total_ret,4),"ann_return_pct":round(total_ret*12,2),
+        "start_time":curve[0]["t"],"end_time":curve[-1]["t"],"start_equity":100.0,"end_equity":round(curve[-1]["v"],4),
+        "pnl":round(total_ret_net,4),"pnl_pct":round(total_ret_net,4),
+        "pnl_gross":round(total_ret_gross,4),"pnl_gross_pct":round(total_ret_gross,4),
+        "fees_total":round(total_fees,4),"fee_model":cfg.get("fee_model","taker"),
+        "ann_return_pct":round(total_ret_net*12,2),
         "sharpe":round(sharpe(rets,periods=8760),4),"sortino":round(sortino(rets,periods=8760),4),
         "max_dd":round(max_drawdown(padded),4),"max_dd_pct":round(max_drawdown(padded)*100,2),
         "win_rate":round(win_rate(trades),4),"total_trades":len(trades),
@@ -66,13 +91,18 @@ def save(r):
 def main():
     p=argparse.ArgumentParser()
     p.add_argument("--strategy","-s",choices=list(CONFIGS)+["all"],default="all")
+    p.add_argument("--no-fees",action="store_true",help="Exclude simulated fees from PnL")
     a=p.parse_args()
     keys=list(CONFIGS) if a.strategy=="all" else [a.strategy]
-    print("="*60); print(f"  FTDT Quant Lab — Backtest Runner ({len(keys)} strategies)"); print("="*60)
+    include_fees=not a.no_fees
+    print("="*60)
+    print(f"  FTDT Quant Lab — Backtest Runner ({len(keys)} strategies)")
+    print(f"  Fees: {'INCLUDED (default)' if include_fees else 'EXCLUDED (--no-fees)'}")
+    print("="*60)
     for k in keys:
         cfg=CONFIGS[k]; print(f"\n  Running: {cfg['name']}...")
-        r=simulate(k); save(r)
-        print(f"    PnL: {r['pnl_pct']:+.2f}% | Sharpe: {r['sharpe']:.2f} | DD: {r['max_dd_pct']:.2f}% | Win: {r['win_rate']:.0%}")
+        r=simulate(k, include_fees=include_fees); save(r)
+        print(f"    Net PnL: {r['pnl_pct']:+.2f}% | Gross: {r['pnl_gross_pct']:+.2f}% | Fees: ${r['fees_total']:.2f} | Sharpe: {r['sharpe']:.2f} | Win: {r['win_rate']:.0%}")
     print("\n"+"="*60); print("  Results in backtests/results/"); print("  View at: https://ftdt.io/cv (Backtest tab)"); print("="*60)
 
 if __name__=="__main__": main()