ftdt-quant-lab/backtests/historical_runner.py

"""
Historical backtest runner — uses REAL Hyperliquid candle data.

Fetches hourly candles from Hyperliquid mainnet info API,
runs each strategy's logic against actual price history,
simulates fills with configurable fee tiers.

No more random walks — every backtest is reproducible from real data.

Usage:
    python backtests/historical_runner.py --coin BTC --strategy all
    python backtests/historical_runner.py --coin ETH --fee-tier 3 --staking-tier gold
"""
import argparse
import json
import os
import sys
import time
import math
import random
from datetime import datetime, timedelta
from pathlib import Path
from collections import deque

sys.path.insert(0, str(Path(__file__).resolve().parent.parent))

import requests
from config.fee_tiers import get_perp_fees, PERPS_TIERS, STAKING_TIERS, STRATEGY_FEE_MODELS
from common.metrics import sharpe, sortino, max_drawdown, win_rate

# ── Constants ──
MAINNET_API = "https://api.hyperliquid.xyz/info"
RESULTS_DIR = Path(__file__).resolve().parent / "results" / "historical"
os.makedirs(RESULTS_DIR, exist_ok=True)

# Strategy configs matching paper trader
STRATEGIES = {
    "ofi":       {"name": "Order Book Imbalance", "size": 0.002, "fee_model": "taker"},
    "iceberg":   {"name": "Iceberg Detection",    "size": 0.001, "fee_model": "taker"},
    "funding_arb":{"name": "Funding Rate Arb",    "size": 0.005, "fee_model": "taker"},
    "pairs":     {"name": "Pairs Trading",        "size": 0.006, "fee_model": "taker"},
    "avellaneda":{"name": "Avellaneda-Stoikov",   "size": 0.001, "fee_model": "maker"},
    "momentum":  {"name": "Momentum Breakout",    "size": 0.002, "fee_model": "taker"},
    "mean_rev":  {"name": "Mean Reversion",       "size": 0.002, "fee_model": "taker"},
}


def fetch_candles(coin: str, interval: str = "1h", limit: int = 720) -> list[dict]:
    """Fetch historical candles from Hyperliquid mainnet.
    
    Returns list of {t: timestamp_ms, o: open, h: high, l: low, c: close, v: volume}
    Most recent first.
    """
    now_ms = int(time.time() * 1000)
    # 720 hours = 30 days
    start_ms = now_ms - (limit * 3600 * 1000)
    
    payload = {
        "type": "candleSnapshot",
        "req": {
            "coin": coin,
            "interval": interval,
            "startTime": start_ms,
            "endTime": now_ms,
        }
    }
    
    try:
        r = requests.post(MAINNET_API, json=payload, timeout=15)
        data = r.json()
        if isinstance(data, list):
            # Sort oldest first
            data.sort(key=lambda x: x["t"])
            return data
        return []
    except Exception as e:
        print(f"  Error fetching candles for {coin}: {e}")
        return []


def simulate_strategy_on_candles(
    key: str,
    candles: list[dict],
    coin_name: str = "BTC",
    allocation: float = 100.0,
    fee_tier: int = 0,
    staking_tier: str = "none",
) -> dict:
    """Run a strategy against real candle data."""
    cfg = STRATEGIES[key]
    name = cfg["name"]
    fee_model = cfg["fee_model"]
    fee_rate = get_perp_fees(fee_tier, staking_tier, fee_model)
    sz = cfg["size"]
    
    eq = allocation
    curve = []
    trades = []
    position = 0.0
    entry_price = 0.0
    total_fees = 0.0
    wins = 0
    prices_20 = deque(maxlen=20)
    eth_prices_20 = deque(maxlen=20)  # for pairs
    
    for i, candle in enumerate(candles):
        close = float(candle["c"])
        high = float(candle["h"])
        low = float(candle["l"])
        t = datetime.fromtimestamp(candle["t"] / 1000)
        
        prices_20.append(close)
        
        signal = None
        reason = ""
        signal_strength = 0.0
        
        # ── Strategy-specific signal generation ──
        
        if key == "ofi" and len(prices_20) >= 20:
            # Order Book Imbalance proxy: price momentum + volume confirmation
            vol = float(candle.get("v", 0))
            ret_5 = (close - prices_20[-5]) / prices_20[-5] if len(prices_20) >= 5 else 0
            ret_20 = (close - prices_20[0]) / prices_20[0]
            avg_vol = sum(float(c.get("v", 0)) for c in candles[max(0,i-20):i+1]) / min(i+1, 20)
            if ret_5 > 0.001 and vol > avg_vol * 1.2:
                signal = "SELL"  # momentum up, sell into strength
                reason = f"OFI: +{ret_5*100:.2f}% 5-period, vol {vol/avg_vol:.1f}x avg"
                signal_strength = abs(ret_5) * 100
            elif ret_5 < -0.001 and vol > avg_vol * 1.2:
                signal = "BUY"
                reason = f"OFI: {ret_5*100:.2f}% 5-period, vol {vol/avg_vol:.1f}x avg"
                signal_strength = abs(ret_5) * 100
        
        elif key == "iceberg" and len(prices_20) >= 10:
            # Iceberg: consecutive directional moves
            up_count = sum(1 for j in range(-9, 0) if prices_20[j+1] > prices_20[j])
            if up_count >= 7:
                signal = "BUY"
                reason = f"Iceberg: {up_count}/10 upward ticks"
                signal_strength = up_count / 10
            elif up_count <= 3:
                signal = "SELL"
                reason = f"Iceberg: {up_count}/10 upward ticks"
                signal_strength = 1 - up_count / 10
        
        elif key == "funding_arb":
            # Funding rate arb: need real funding data — skip for candle-only backtest
            pass
        
        elif key == "pairs" and len(prices_20) >= 20:
            # Pairs: BTC/ETH ratio Z-score (only works if we have both)
            # For single-coin backtest, use high/low range as proxy
            ranges = [float(c["h"]) - float(c["l"]) for c in candles[max(0,i-20):i+1]]
            avg_range = sum(ranges) / len(ranges) if ranges else 0
            current_range = high - low
            if avg_range > 0:
                z = (current_range - avg_range) / (avg_range * 0.5) if avg_range > 0 else 0
                if z > 1.5:
                    signal = "SELL"
                    reason = f"Pairs: range Z={z:.1f} (wide range → mean reversion sell)"
                    signal_strength = z
                elif z < -1.5:
                    signal = "BUY"
                    reason = f"Pairs: range Z={z:.1f} (tight range → expansion buy)"
                    signal_strength = abs(z)
        
        elif key == "avellaneda" and len(prices_20) >= 20:
            # A-S: volatility-based quoting — simulates spread capture
            returns_20 = [(prices_20[j] - prices_20[j-1]) / prices_20[j-1] for j in range(1, len(prices_20))]
            vol = (sum(r*r for r in returns_20) / len(returns_20)) ** 0.5 if returns_20 else 0
            annual_vol = vol * (365 * 24) ** 0.5
            # Fill probability based on volatility regime
            fill_prob = 0.25 if annual_vol < 0.15 else (0.08 if annual_vol > 0.60 else 0.15)
            if random.random() < fill_prob:
                spread = close * vol  # proxy spread
                signal = "BUY" if position <= 0 else "SELL"
                reason = f"A-S: vol={annual_vol:.1%}, fill_prob={fill_prob:.0%}, regime={'LOW' if annual_vol<0.15 else 'HIGH' if annual_vol>0.6 else 'NORMAL'}"
                signal_strength = fill_prob
        
        elif key == "momentum" and len(prices_20) >= 20:
            # Bollinger breakout
            avg = sum(prices_20) / len(prices_20)
            var = sum((p - avg)**2 for p in prices_20) / len(prices_20)
            std = var ** 0.5
            if std > 0 and close > avg + 2*std:
                signal = "BUY"
                reason = f"Bollinger: {close:.0f} > {avg+2*std:.0f} (2σ breakout)"
                signal_strength = (close - avg - 2*std) / std
            elif std > 0 and close < avg - 2*std:
                signal = "SELL"
                reason = f"Bollinger: {close:.0f} < {avg-2*std:.0f} (2σ breakdown)"
                signal_strength = (avg - 2*std - close) / std
        
        elif key == "mean_rev" and len(prices_20) >= 20:
            # VWAP mean reversion
            weights = [1 + j/len(prices_20) for j in range(len(prices_20))]
            vwap = sum(p*w for p, w in zip(prices_20, weights)) / sum(weights)
            std = (sum((p - vwap)**2 for p in prices_20) / len(prices_20)) ** 0.5
            dev = (close - vwap) / std if std > 0 else 0
            if dev > 1.5:
                signal = "SELL"
                reason = f"VWAP: dev={dev:.1f}σ above VWAP ${vwap:.0f}"
                signal_strength = dev
            elif dev < -1.5:
                signal = "BUY"
                reason = f"VWAP: dev={dev:.1f}σ below VWAP ${vwap:.0f}"
                signal_strength = abs(dev)
        
        # ── Execute signal ──
        if signal and signal_strength > 0.15:  # minimum strength filter
            notional = sz * close
            fee = notional * fee_rate * 2  # entry + exit
            total_fees += fee
            
            if signal.startswith("BUY"):
                if position < 0:
                    # Close short
                    close_pnl = abs(position) * (entry_price - close)
                    eq += close_pnl
                    if close_pnl > 0:
                        wins += 1
                    trades.append({
                        "time": t.strftime("%Y-%m-%d %H:%M"),
                        "side": "BUY (close short)",
                        "size": abs(position),
                        "price": close,
                        "pnl_gross": round(close_pnl, 4),
                        "pnl_net": round(close_pnl - fee, 4),
                        "fee": round(fee, 6),
                        "reason": reason,
                    })
                    position = 0
                if position == 0:
                    entry_price = close
                    position = sz
                    eq -= fee
                else:
                    entry_price = (entry_price * position + close * sz) / (position + sz)
                    position += sz
                    eq -= fee
            else:  # SELL
                if position > 0:
                    close_pnl = position * (close - entry_price)
                    eq += close_pnl
                    if close_pnl > 0:
                        wins += 1
                    trades.append({
                        "time": t.strftime("%Y-%m-%d %H:%M"),
                        "side": "SELL (close long)",
                        "size": position,
                        "price": close,
                        "pnl_gross": round(close_pnl, 4),
                        "pnl_net": round(close_pnl - fee, 4),
                        "fee": round(fee, 6),
                        "reason": reason,
                    })
                    position = 0
                if position == 0:
                    entry_price = close
                    position = -sz
                    eq -= fee
                else:
                    entry_price = (entry_price * abs(position) + close * sz) / (abs(position) + sz)
                    position -= sz
                    eq -= fee
        
        # Track equity curve
        unrealized = position * (close - entry_price) if position != 0 else 0
        curve.append({"t": t.isoformat(), "v": round(eq + unrealized, 4)})
    
    # Close any open position at last price
    if position != 0 and candles:
        last_close = float(candles[-1]["c"])
        close_pnl = abs(position) * (last_close - entry_price) * (1 if position > 0 else -1)
        eq += close_pnl
        if close_pnl > 0:
            wins += 1
    
    # ── Compute metrics ──
    pnl_net = eq - allocation
    pnl_gross = pnl_net + total_fees
    returns = []
    for i in range(1, len(curve)):
        if curve[i-1]["v"] > 0:
            returns.append((curve[i]["v"] - curve[i-1]["v"]) / curve[i-1]["v"])
    
    padded_equity = [allocation] * 10 + [c["v"] for c in curve]
    
    return {
        "strategy": name,
        "strategy_key": key,
        "coin": coin_name,  # actual ticker (BTC, ETH, etc.)
        "allocation": allocation,
        "start_time": curve[0]["t"] if curve else "",
        "end_time": curve[-1]["t"] if curve else "",
        "start_equity": allocation,
        "end_equity": round(eq, 4),
        "pnl": round(pnl_net, 4),
        "pnl_pct": round(pnl_net / allocation * 100, 2),
        "pnl_gross": round(pnl_gross, 4),
        "pnl_gross_pct": round(pnl_gross / allocation * 100, 2),
        "fees_total": round(total_fees, 4),
        "fee_tier": fee_tier,
        "staking_tier": staking_tier,
        "fee_model": fee_model,
        "sharpe": round(sharpe(returns) if returns else 0, 4),
        "sortino": round(sortino(returns) if returns else 0, 4),
        "max_dd": round(max_drawdown(padded_equity), 4),
        "max_dd_pct": round(max_drawdown(padded_equity) * 100, 2),
        "win_rate": round(win_rate(trades), 4),
        "total_trades": len(trades),
        "equity_curve": curve,
        "trades": trades[-100:],
        "num_periods": len(candles),
        "data_source": "Hyperliquid Mainnet",
        "generated_at": datetime.now().isoformat(),
    }


def main():
    p = argparse.ArgumentParser(description="FTDT Historical Backtest Runner")
    p.add_argument("--coin", default="BTC", choices=["BTC", "ETH", "SOL", "HYPE", "VVV"], help="Coin to backtest")
    p.add_argument("--strategy", "-s", choices=list(STRATEGIES) + ["all"], default="all")
    p.add_argument("--fee-tier", type=int, default=0, choices=range(7))
    p.add_argument("--staking-tier", default="none", choices=list(STAKING_TIERS.keys()))
    p.add_argument("--hours", type=int, default=720, help="Hours of history (default: 720 = 30 days)")
    a = p.parse_args()
    
    ft_info = PERPS_TIERS[a.fee_tier]
    st_info = STAKING_TIERS[a.staking_tier]
    
    print("=" * 60)
    print(f"  FTDT Quant Lab — HISTORICAL Backtest Runner")
    print(f"  Coin: {a.coin} | Period: {a.hours}h ({a.hours//24} days)")
    print(f"  Fee Tier: {ft_info['name']} | Staking: {st_info['name']}")
    print("=" * 60)
    
    # Fetch real candles
    print(f"\n  Fetching {a.coin} candles from Hyperliquid mainnet...")
    candles = fetch_candles(a.coin, interval="1h", limit=a.hours)
    
    if not candles:
        print("  ERROR: No candle data returned. Check API connectivity.")
        sys.exit(1)
    
    print(f"  Got {len(candles)} candles: "
          f"{datetime.fromtimestamp(candles[0]['t']/1000).strftime('%Y-%m-%d')} → "
          f"{datetime.fromtimestamp(candles[-1]['t']/1000).strftime('%Y-%m-%d')}")
    print(f"  Price range: ${float(candles[0]['c']):.0f} → ${float(candles[-1]['c']):.0f}")
    
    keys = list(STRATEGIES) if a.strategy == "all" else [a.strategy]
    
    for key in keys:
        cfg = STRATEGIES[key]
        print(f"\n  Running: {cfg['name']} on {a.coin}...")
        
        result = simulate_strategy_on_candles(
            key, candles, a.coin,
            fee_tier=a.fee_tier,
            staking_tier=a.staking_tier,
        )
        
        # Save
        ts = datetime.now().strftime("%Y%m%d-%H%M%S")
        filename = f"{key}_{a.coin}_{ts}.json"
        filepath = RESULTS_DIR / filename
        with open(filepath, "w") as f:
            json.dump(result, f, indent=2, default=str)
        
        print(f"    Saved: {filepath}")
        print(f"    Net PnL: {result['pnl_pct']:+.2f}% | "
              f"Gross: {result['pnl_gross_pct']:+.2f}% | "
              f"Fees: ${result['fees_total']:.2f} | "
              f"Sharpe: {result['sharpe']:.2f} | "
              f"Trades: {result['total_trades']} | "
              f"Win: {result['win_rate']:.0%}")
    
    print("\n" + "=" * 60)
    print(f"  Results in backtests/results/historical/")
    print(f"  View at: https://ftdt.io/cv")
    print("=" * 60)


if __name__ == "__main__":
    main()