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()

dashboard/server.py

@@ -195,6 +195,29 @@ async def get_backtest(name: str):
     return JSONResponse({"error": "not found"}, status_code=404)
 
 
+@app.get("/api/backtest/{name}/csv")
+async def get_backtest_csv(name: str):
+    """Download backtest trades as CSV."""
+    from fastapi.responses import Response
+    fpath = os.path.join(BACKTEST_DIR, f"{name}.json")
+    if not os.path.exists(fpath):
+        return JSONResponse({"error": "not found"}, status_code=404)
+    with open(fpath) as f:
+        data = json.load(f)
+    trades = data.get("trades", [])
+    # Build CSV with headers
+    header = "time,side,size,price,pnl_gross,pnl_net,fee\n"
+    rows = []
+    for t in trades:
+        rows.append(f"{t.get('time','')},{t.get('side','')},{t.get('size','')},{t.get('price','')},{t.get('pnl_gross',t.get('pnl',''))},{t.get('pnl_net',t.get('pnl',''))},{t.get('fee','0')}")
+    csv_content = header + "\n".join(rows)
+    return Response(
+        content=csv_content,
+        media_type="text/csv",
+        headers={"Content-Disposition": f"attachment; filename={name}_trades.csv"}
+    )
+
+
 # ═══════════════════════════════════════════════════════════
 # Static
 # ═══════════════════════════════════════════════════════════

dashboard/static/index.html

@@ -126,8 +126,14 @@ footer a{color:#3f3f4a;text-decoration:none}footer a:hover{color:var(--tx)}
 <div class="detail-panel" id="detail-panel">
 <div class="detail-header">
 <h2 id="det-name">Strategy Detail</h2>
+<div style="display:flex;align-items:center;gap:10px">
+<label id="fee-toggle-wrap" style="display:none;font-size:11px;color:var(--tx);cursor:pointer;user-select:none">
+  <input type="checkbox" id="fee-toggle" checked onchange="toggleFees()" style="cursor:pointer;margin-right:4px">Inc. fees
+</label>
+<a id="dl-csv" href="#" style="display:none;font-size:11px;color:var(--bl);text-decoration:none;padding:4px 10px;border:1px solid var(--ln);border-radius:5px" download>↓ CSV</a>
 <button class="close-btn" onclick="closeDetail()">✕ Close</button>
 </div>
+</div>
 <div class="detail-body">
 <div class="desc-text" id="det-desc"></div>
 <div class="detail-stats" id="det-stats"></div>
@@ -140,7 +146,7 @@ footer a{color:#3f3f4a;text-decoration:none}footer a:hover{color:var(--tx)}
 
 <script>
 // ═══════════ State ═══════════
-var currentTab='live', lastData=null, lastPaper=null, lastBT=null;
+var currentTab='live', lastData=null, lastPaper=null, lastBT=null, lastBTFull=null, feeOn=true;
 var STRAT_COLORS=['#22c55e','#3b82f6','#a855f7','#f59e0b','#ef4444','#06b6d4','#ec4899','#84cc16','#6366f1','#14b8a6','#f97316','#8b5cf6'];
 
 // ═══════════ Chart for detail view ═══════════
@@ -198,6 +204,45 @@ function renCards(sgridId,ss,baseEq,tab,statsRowId){
   document.getElementById(sgridId).innerHTML=h;
 }
 
+// ═══════════ Fee toggle ═══════════
+function toggleFees(){
+  feeOn=document.getElementById('fee-toggle').checked;
+  if(lastBTFull){renderBTDetail(lastBTFull)}
+}
+
+// ═══════════ Render backtest detail with fee toggle ──
+function renderBTDetail(full){
+  var pnl=feeOn?(full.pnl||0):(full.pnl_gross||full.pnl||0);
+  var pnlPct=feeOn?(full.pnl_pct||0):(full.pnl_gross_pct||full.pnl_pct||0);
+  var fees=full.fees_total||0;
+  var strat=full.strategy||'';
+  document.getElementById('det-name').textContent=strat+(feeOn?' (net of fees)':' (gross, no fees)');
+  document.getElementById('det-desc').textContent=strat+' — '+full.num_periods+' periods, '+full.total_trades+' trades, fees $'+fees.toFixed(2)+', fee model: '+(full.fee_model||'taker');
+  document.getElementById('det-stats').innerHTML=
+    '<div class="stat"><div class="lbl">'+(feeOn?'Net PnL':'Gross PnL')+'</div><div class="val '+(pnlPct>=0?'up':'dn')+'">'+(pnlPct>=0?'+':'')+pnlPct.toFixed(2)+'%</div></div>'+
+    '<div class="stat"><div class="lbl">Sharpe</div><div class="val">'+(full.sharpe||0).toFixed(2)+'</div></div>'+
+    '<div class="stat"><div class="lbl">Sortino</div><div class="val">'+(full.sortino||0).toFixed(2)+'</div></div>'+
+    '<div class="stat"><div class="lbl">Max DD</div><div class="val dn">'+(full.max_dd*100).toFixed(2)+'%</div></div>'+
+    '<div class="stat"><div class="lbl">Win Rate</div><div class="val">'+Math.round((full.win_rate||0)*100)+'%</div></div>'+
+    '<div class="stat"><div class="lbl">Fees</div><div class="val '+(feeOn?'dn':'')+'">$'+fees.toFixed(2)+(feeOn?'':' (excl)')+'</div></div>';
+  // Equity chart
+  if(!detChart)initDetChart();
+  var pts=[],curve=full.equity_curve||[];
+  for(var i=0;i<curve.length;i++){if(curve[i]&&curve[i].t)pts.push({time:curve[i].t,value:curve[i].v})}
+  if(pts.length>0){detSer.setData(pts);detChart.timeScale().fitContent();setTimeout(function(){detChart.timeScale().fitContent()},200)}
+  // Trades table (show pnl_net or pnl_gross based on toggle)
+  var trows='',tlist=full.trades||[];
+  for(var j=Math.max(0,tlist.length-100);j<tlist.length;j++){
+    var t=tlist[j];
+    var tp=feeOn?(t.pnl_net||t.pnl||0):(t.pnl_gross||t.pnl||0);
+    var tf=t.fee||0;
+    var tside=(t.side||'').toUpperCase();
+    trows+='<tr><td>'+(t.time||'').substr(0,16)+'</td><td class="'+(tside.indexOf('BUY')>=0?'green':'red')+'">'+tside+'</td><td>'+t.size+'</td><td>$'+(t.price||0).toFixed(1)+'</td><td class="'+(tp>=0?'green':'red')+'">'+(tp>=0?'+':'')+'$'+Math.abs(tp).toFixed(4)+'</td><td class="'+(tf>0?'red':'')+'">$'+tf.toFixed(4)+'</td><td class="reason">—</td></tr>';
+  }
+  document.getElementById('det-trades').innerHTML=trows||'<tr><td colspan="7" style="text-align:center;color:var(--tx);padding:20px">No trades recorded</td></tr>';
+  setTimeout(function(){if(detChart)detChart.applyOptions({width:document.getElementById('det-chart').offsetWidth,height:280})},300);
+}
+
 // ═══════════ Open strategy detail ═══════════
 function openDetail(name,tab){
   document.getElementById('detail-overlay').classList.add('on');
@@ -210,33 +255,18 @@ function openDetail(name,tab){
     ss=lastData.strategies||{};
   } else if(tab==='backtest'&&lastBT&&lastBT[name]){
     var b=lastBT[name];
-    document.getElementById('det-desc').textContent=(b.strategy||'')+' — 30-day backtest, Sharpe '+(b.sharpe||0).toFixed(2)+', max DD '+(b.max_dd*100).toFixed(1)+'%. '+((b.total_trades||0)+' trades').replace('0 trades','');
-    document.getElementById('det-stats').innerHTML='<div class="stat"><div class="lbl">PnL</div><div class="val '+(b.pnl_pct>=0?'up':'dn')+'">'+(b.pnl_pct>=0?'+':'')+(b.pnl_pct||0).toFixed(2)+'%</div></div>'+
-      '<div class="stat"><div class="lbl">Sharpe</div><div class="val">'+(b.sharpe||0).toFixed(2)+'</div></div>'+
-      '<div class="stat"><div class="lbl">Sortino</div><div class="val">'+(b.sortino||0).toFixed(2)+'</div></div>'+
-      '<div class="stat"><div class="lbl">Max DD</div><div class="val dn">'+(b.max_dd*100).toFixed(2)+'%</div></div>'+
-      '<div class="stat"><div class="lbl">Win Rate</div><div class="val">'+Math.round((b.win_rate||0)*100)+'%</div></div>'+
-      '<div class="stat"><div class="lbl">Trades</div><div class="val">'+(b.total_trades||0)+'</div></div>';
+    document.getElementById('fee-toggle-wrap').style.display='inline';
+    document.getElementById('fee-toggle').checked=true; feeOn=true;
+    document.getElementById('dl-csv').style.display='inline';
+    document.getElementById('dl-csv').href='/cv/api/backtest/'+encodeURIComponent(b.name)+'/csv';
+    document.getElementById('det-desc').textContent='';
+    document.getElementById('det-stats').innerHTML='<div class="stat"><div class="lbl">Loading</div><div class="val">…</div></div>';
     if(detSer)detSer.setData([]);
-    document.getElementById('det-trades').innerHTML='<tr><td colspan="7" style="text-align:center;color:var(--tx);padding:20px">Loading full trade data&hellip;</td></tr>';
-    // Fetch full backtest data from API
+    document.getElementById('det-trades').innerHTML='<tr><td colspan="7" style="text-align:center;color:var(--tx);padding:20px">Loading full trade data…</td></tr>';
     fetch('/cv/api/backtest/'+encodeURIComponent(b.name)).then(function(r){return r.json()}).then(function(full){
-      document.getElementById('det-desc').textContent=(full.strategy||b.strategy)+' — '+full.num_periods+' periods, '+full.total_trades+' trades, ▲ $'+(full.pnl||0).toFixed(2);
-      // Equity chart
-      if(!detChart)initDetChart();
-      var pts=[],curve=full.equity_curve||[];
-      for(var i=0;i<curve.length;i++){if(curve[i]&&curve[i].t)pts.push({time:curve[i].t,value:curve[i].v})}
-      if(pts.length>0){detSer.setData(pts);detChart.timeScale().fitContent();setTimeout(function(){detChart.timeScale().fitContent()},200)}
-      // Trades table
-      var trows='',tlist=full.trades||[];
-      for(var j=Math.max(0,tlist.length-100);j<tlist.length;j++){
-        var t=tlist[j],tp=t.pnl||0,tside=(t.side||'').toUpperCase();
-        trows+='<tr><td>'+(t.time||'').substr(0,16)+'</td><td class="'+(tside.indexOf('BUY')>=0?'green':'red')+'">'+tside+'</td><td>'+t.size+'</td><td>$'+(t.price||0).toFixed(1)+'</td><td class="'+(tp>=0?'green':'red')+'">'+(tp>=0?'+':'')+'$'+Math.abs(tp).toFixed(4)+'</td><td class="red">—</td><td class="reason">—</td></tr>';
-      }
-      document.getElementById('det-trades').innerHTML=trows||'<tr><td colspan="7" style="text-align:center;color:var(--tx);padding:20px">No trades recorded</td></tr>';
-      setTimeout(function(){if(detChart)detChart.applyOptions({width:document.getElementById('det-chart').offsetWidth,height:280})},300);
+      lastBTFull=full; renderBTDetail(full);
     }).catch(function(e){
-      document.getElementById('det-trades').innerHTML='<tr><td colspan="7" style="text-align:center;color:var(--rd);padding:20px">Failed to load trade data: '+e.message+'</td></tr>';
+      document.getElementById('det-trades').innerHTML='<tr><td colspan="7" style="text-align:center;color:var(--rd);padding:20px">Failed to load: '+e.message+'</td></tr>';
     });
     return;
   }
@@ -275,7 +305,7 @@ function openDetail(name,tab){
   setTimeout(function(){if(detChart){detChart.applyOptions({width:document.getElementById('det-chart').offsetWidth,height:280});detChart.timeScale().fitContent()}},300);
 }
 
-function closeDetail(){document.getElementById('detail-overlay').classList.remove('on')}
+function closeDetail(){document.getElementById('detail-overlay').classList.remove('on');document.getElementById('fee-toggle-wrap').style.display='none';document.getElementById('dl-csv').style.display='none';lastBTFull=null}
 document.addEventListener('keydown',function(e){if(e.key==='Escape')closeDetail()});
 
 // ═══════════ WebSocket + render ═══════════