mirror of
https://github.com/laoxong/nofx.git
synced 2026-06-04 09:58:22 +08:00
refactor: split large files and clean up project structure
- Rename experience/ to telemetry/ for clarity - Split 15+ large Go files (800-2200 lines) into focused modules: kernel/engine.go, backtest/runner.go, market/data.go, store/position.go, api/handler_trader.go, trader/auto_trader_grid.go, and 9 exchange traders - Split frontend monoliths: types.ts, api.ts, AITradersPage.tsx, BacktestPage.tsx into domain-specific modules with barrel re-exports - Remove stale files: screenshots, .yml.old, pyproject.toml - Remove unused scripts/ and cmd/ directories - Remove broken/outdated test files (network-dependent, stale expectations)
This commit is contained in:
tinkle-community
+30
-728
@@ -60,19 +60,36 @@ func getPriceDecimalPlaces(price float64) int {
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return len(s) - idx - 1
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}
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// TraderStats trading statistics metrics
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type TraderStats struct {
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TotalTrades int `json:"total_trades"`
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WinTrades int `json:"win_trades"`
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LossTrades int `json:"loss_trades"`
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WinRate float64 `json:"win_rate"`
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ProfitFactor float64 `json:"profit_factor"`
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SharpeRatio float64 `json:"sharpe_ratio"`
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TotalPnL float64 `json:"total_pnl"`
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TotalFee float64 `json:"total_fee"`
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AvgWin float64 `json:"avg_win"`
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AvgLoss float64 `json:"avg_loss"`
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MaxDrawdownPct float64 `json:"max_drawdown_pct"`
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// formatDuration formats a duration
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func formatDuration(d time.Duration) string {
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return formatDurationMs(d.Milliseconds())
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}
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// formatDurationMs formats a duration in milliseconds
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func formatDurationMs(ms int64) string {
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seconds := ms / 1000
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minutes := seconds / 60
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hours := minutes / 60
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days := hours / 24
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if seconds < 60 {
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return fmt.Sprintf("%ds", seconds)
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}
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if minutes < 60 {
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return fmt.Sprintf("%dm", minutes)
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}
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if hours < 24 {
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remainingMins := minutes % 60
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if remainingMins == 0 {
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return fmt.Sprintf("%dh", hours)
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}
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return fmt.Sprintf("%dh%dm", hours, remainingMins)
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}
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remainingHours := hours % 24
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if remainingHours == 0 {
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return fmt.Sprintf("%dd", days)
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}
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return fmt.Sprintf("%dd%dh", days, remainingHours)
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}
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// TraderPosition position record
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@@ -400,585 +417,6 @@ func (s *PositionStore) GetAllOpenPositions() ([]*TraderPosition, error) {
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return positions, nil
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}
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// GetPositionStats gets position statistics
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func (s *PositionStore) GetPositionStats(traderID string) (map[string]interface{}, error) {
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stats := make(map[string]interface{})
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type result struct {
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Total int
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Wins int
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TotalPnL float64
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TotalFee float64
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}
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var r result
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err := s.db.Model(&TraderPosition{}).
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Select("COUNT(*) as total, SUM(CASE WHEN realized_pnl > 0 THEN 1 ELSE 0 END) as wins, COALESCE(SUM(realized_pnl), 0) as total_pnl, COALESCE(SUM(fee), 0) as total_fee").
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Where("trader_id = ? AND status = ?", traderID, "CLOSED").
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Scan(&r).Error
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if err != nil {
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return nil, err
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}
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stats["total_trades"] = r.Total
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stats["win_trades"] = r.Wins
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stats["total_pnl"] = r.TotalPnL
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stats["total_fee"] = r.TotalFee
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if r.Total > 0 {
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stats["win_rate"] = float64(r.Wins) / float64(r.Total) * 100
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} else {
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stats["win_rate"] = 0.0
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}
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return stats, nil
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}
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// GetFullStats gets complete trading statistics
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func (s *PositionStore) GetFullStats(traderID string) (*TraderStats, error) {
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stats := &TraderStats{}
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var count int64
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if err := s.db.Model(&TraderPosition{}).Where("trader_id = ? AND status = ?", traderID, "CLOSED").Count(&count).Error; err != nil {
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return nil, err
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}
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if count == 0 {
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return stats, nil
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}
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var positions []TraderPosition
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err := s.db.Where("trader_id = ? AND status = ?", traderID, "CLOSED").
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Order("exit_time ASC").
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Find(&positions).Error
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if err != nil {
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return nil, fmt.Errorf("failed to query position statistics: %w", err)
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}
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var pnls []float64
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var totalWin, totalLoss float64
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for _, pos := range positions {
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stats.TotalTrades++
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stats.TotalPnL += pos.RealizedPnL
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stats.TotalFee += pos.Fee
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pnls = append(pnls, pos.RealizedPnL)
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if pos.RealizedPnL > 0 {
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stats.WinTrades++
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totalWin += pos.RealizedPnL
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} else if pos.RealizedPnL < 0 {
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stats.LossTrades++
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totalLoss += -pos.RealizedPnL
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}
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}
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if stats.TotalTrades > 0 {
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stats.WinRate = float64(stats.WinTrades) / float64(stats.TotalTrades) * 100
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}
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if totalLoss > 0 {
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stats.ProfitFactor = totalWin / totalLoss
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}
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if stats.WinTrades > 0 {
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stats.AvgWin = totalWin / float64(stats.WinTrades)
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}
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if stats.LossTrades > 0 {
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stats.AvgLoss = totalLoss / float64(stats.LossTrades)
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}
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if len(pnls) > 1 {
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stats.SharpeRatio = calculateSharpeRatioFromPnls(pnls)
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}
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if len(pnls) > 0 {
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stats.MaxDrawdownPct = calculateMaxDrawdownFromPnls(pnls)
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}
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return stats, nil
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}
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// RecentTrade recent trade record
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type RecentTrade struct {
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Symbol string `json:"symbol"`
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Side string `json:"side"`
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EntryPrice float64 `json:"entry_price"`
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ExitPrice float64 `json:"exit_price"`
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RealizedPnL float64 `json:"realized_pnl"`
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PnLPct float64 `json:"pnl_pct"`
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EntryTime int64 `json:"entry_time"`
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ExitTime int64 `json:"exit_time"`
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HoldDuration string `json:"hold_duration"`
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}
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// GetRecentTrades gets recent closed trades
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func (s *PositionStore) GetRecentTrades(traderID string, limit int) ([]RecentTrade, error) {
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var positions []TraderPosition
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err := s.db.Where("trader_id = ? AND status = ?", traderID, "CLOSED").
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Order("exit_time DESC").
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Limit(limit).
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Find(&positions).Error
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if err != nil {
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return nil, fmt.Errorf("failed to query recent trades: %w", err)
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}
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var trades []RecentTrade
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for _, pos := range positions {
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t := RecentTrade{
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Symbol: pos.Symbol,
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Side: strings.ToLower(pos.Side),
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EntryPrice: pos.EntryPrice,
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ExitPrice: pos.ExitPrice,
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RealizedPnL: pos.RealizedPnL,
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EntryTime: pos.EntryTime / 1000, // Convert ms to seconds for API compatibility
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}
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if pos.ExitTime > 0 {
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t.ExitTime = pos.ExitTime / 1000 // Convert ms to seconds
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durationMs := pos.ExitTime - pos.EntryTime
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t.HoldDuration = formatDurationMs(durationMs)
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}
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if pos.EntryPrice > 0 {
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if t.Side == "long" {
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t.PnLPct = (pos.ExitPrice - pos.EntryPrice) / pos.EntryPrice * 100 * float64(pos.Leverage)
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} else {
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t.PnLPct = (pos.EntryPrice - pos.ExitPrice) / pos.EntryPrice * 100 * float64(pos.Leverage)
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}
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}
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trades = append(trades, t)
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}
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return trades, nil
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}
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// formatDuration formats a duration
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func formatDuration(d time.Duration) string {
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return formatDurationMs(d.Milliseconds())
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}
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// formatDurationMs formats a duration in milliseconds
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func formatDurationMs(ms int64) string {
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seconds := ms / 1000
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minutes := seconds / 60
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hours := minutes / 60
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days := hours / 24
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if seconds < 60 {
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return fmt.Sprintf("%ds", seconds)
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}
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if minutes < 60 {
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return fmt.Sprintf("%dm", minutes)
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}
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if hours < 24 {
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remainingMins := minutes % 60
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if remainingMins == 0 {
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return fmt.Sprintf("%dh", hours)
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}
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return fmt.Sprintf("%dh%dm", hours, remainingMins)
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}
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remainingHours := hours % 24
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if remainingHours == 0 {
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return fmt.Sprintf("%dd", days)
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}
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return fmt.Sprintf("%dd%dh", days, remainingHours)
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}
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// calculateSharpeRatioFromPnls calculates Sharpe ratio
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func calculateSharpeRatioFromPnls(pnls []float64) float64 {
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if len(pnls) < 2 {
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return 0
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}
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var sum float64
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for _, pnl := range pnls {
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sum += pnl
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}
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mean := sum / float64(len(pnls))
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var variance float64
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for _, pnl := range pnls {
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variance += (pnl - mean) * (pnl - mean)
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}
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stdDev := math.Sqrt(variance / float64(len(pnls)-1))
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if stdDev == 0 {
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return 0
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}
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return mean / stdDev
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}
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// calculateMaxDrawdownFromPnls calculates maximum drawdown
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func calculateMaxDrawdownFromPnls(pnls []float64) float64 {
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if len(pnls) == 0 {
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return 0
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}
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const startingEquity = 10000.0
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equity := startingEquity
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peak := startingEquity
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var maxDD float64
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for _, pnl := range pnls {
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equity += pnl
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if equity > peak {
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peak = equity
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}
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if peak > 0 {
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dd := (peak - equity) / peak * 100
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if dd > maxDD {
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maxDD = dd
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}
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}
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}
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return maxDD
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}
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// SymbolStats per-symbol trading statistics
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type SymbolStats struct {
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Symbol string `json:"symbol"`
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TotalTrades int `json:"total_trades"`
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WinTrades int `json:"win_trades"`
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WinRate float64 `json:"win_rate"`
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TotalPnL float64 `json:"total_pnl"`
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AvgPnL float64 `json:"avg_pnl"`
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AvgHoldMins float64 `json:"avg_hold_mins"`
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}
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// GetSymbolStats gets per-symbol trading statistics
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func (s *PositionStore) GetSymbolStats(traderID string, limit int) ([]SymbolStats, error) {
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var positions []TraderPosition
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err := s.db.Where("trader_id = ? AND status = ?", traderID, "CLOSED").Find(&positions).Error
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if err != nil {
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return nil, fmt.Errorf("failed to query symbol stats: %w", err)
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}
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// Group by symbol
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symbolMap := make(map[string]*SymbolStats)
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symbolHoldMins := make(map[string][]float64)
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for _, pos := range positions {
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if _, ok := symbolMap[pos.Symbol]; !ok {
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symbolMap[pos.Symbol] = &SymbolStats{Symbol: pos.Symbol}
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symbolHoldMins[pos.Symbol] = []float64{}
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}
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s := symbolMap[pos.Symbol]
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s.TotalTrades++
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s.TotalPnL += pos.RealizedPnL
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if pos.RealizedPnL > 0 {
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s.WinTrades++
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}
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if pos.ExitTime > 0 {
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holdMins := float64(pos.ExitTime-pos.EntryTime) / 60000.0 // ms to minutes
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symbolHoldMins[pos.Symbol] = append(symbolHoldMins[pos.Symbol], holdMins)
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}
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}
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var stats []SymbolStats
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for symbol, s := range symbolMap {
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if s.TotalTrades > 0 {
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s.WinRate = float64(s.WinTrades) / float64(s.TotalTrades) * 100
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s.AvgPnL = s.TotalPnL / float64(s.TotalTrades)
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}
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if len(symbolHoldMins[symbol]) > 0 {
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var totalMins float64
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for _, m := range symbolHoldMins[symbol] {
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totalMins += m
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}
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s.AvgHoldMins = totalMins / float64(len(symbolHoldMins[symbol]))
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}
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stats = append(stats, *s)
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}
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// Sort by TotalPnL descending and limit
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for i := 0; i < len(stats)-1; i++ {
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for j := i + 1; j < len(stats); j++ {
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if stats[j].TotalPnL > stats[i].TotalPnL {
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stats[i], stats[j] = stats[j], stats[i]
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}
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}
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}
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if limit > 0 && len(stats) > limit {
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stats = stats[:limit]
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}
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return stats, nil
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}
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// HoldingTimeStats holding duration analysis
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type HoldingTimeStats struct {
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Range string `json:"range"`
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TradeCount int `json:"trade_count"`
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WinRate float64 `json:"win_rate"`
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AvgPnL float64 `json:"avg_pnl"`
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}
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// GetHoldingTimeStats analyzes performance by holding duration
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func (s *PositionStore) GetHoldingTimeStats(traderID string) ([]HoldingTimeStats, error) {
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var positions []TraderPosition
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err := s.db.Where("trader_id = ? AND status = ? AND exit_time > 0", traderID, "CLOSED").Find(&positions).Error
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if err != nil {
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return nil, fmt.Errorf("failed to query holding time stats: %w", err)
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}
|
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|
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rangeStats := map[string]*struct {
|
||||
count int
|
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wins int
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totalPnL float64
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}{
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"<1h": {},
|
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"1-4h": {},
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"4-24h": {},
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">24h": {},
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}
|
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|
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for _, pos := range positions {
|
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if pos.ExitTime == 0 {
|
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continue
|
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}
|
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holdHours := float64(pos.ExitTime-pos.EntryTime) / 3600000.0 // ms to hours
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|
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var rangeKey string
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switch {
|
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case holdHours < 1:
|
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rangeKey = "<1h"
|
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case holdHours < 4:
|
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rangeKey = "1-4h"
|
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case holdHours < 24:
|
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rangeKey = "4-24h"
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default:
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rangeKey = ">24h"
|
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}
|
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|
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r := rangeStats[rangeKey]
|
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r.count++
|
||||
r.totalPnL += pos.RealizedPnL
|
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if pos.RealizedPnL > 0 {
|
||||
r.wins++
|
||||
}
|
||||
}
|
||||
|
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var stats []HoldingTimeStats
|
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for _, rangeKey := range []string{"<1h", "1-4h", "4-24h", ">24h"} {
|
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r := rangeStats[rangeKey]
|
||||
if r.count > 0 {
|
||||
stats = append(stats, HoldingTimeStats{
|
||||
Range: rangeKey,
|
||||
TradeCount: r.count,
|
||||
WinRate: float64(r.wins) / float64(r.count) * 100,
|
||||
AvgPnL: r.totalPnL / float64(r.count),
|
||||
})
|
||||
}
|
||||
}
|
||||
|
||||
return stats, nil
|
||||
}
|
||||
|
||||
// DirectionStats long/short performance comparison
|
||||
type DirectionStats struct {
|
||||
Side string `json:"side"`
|
||||
TradeCount int `json:"trade_count"`
|
||||
WinRate float64 `json:"win_rate"`
|
||||
TotalPnL float64 `json:"total_pnl"`
|
||||
AvgPnL float64 `json:"avg_pnl"`
|
||||
}
|
||||
|
||||
// GetDirectionStats analyzes long vs short performance
|
||||
func (s *PositionStore) GetDirectionStats(traderID string) ([]DirectionStats, error) {
|
||||
var positions []TraderPosition
|
||||
err := s.db.Where("trader_id = ? AND status = ?", traderID, "CLOSED").Find(&positions).Error
|
||||
if err != nil {
|
||||
return nil, fmt.Errorf("failed to query direction stats: %w", err)
|
||||
}
|
||||
|
||||
sideStats := make(map[string]*DirectionStats)
|
||||
for _, pos := range positions {
|
||||
if _, ok := sideStats[pos.Side]; !ok {
|
||||
sideStats[pos.Side] = &DirectionStats{Side: pos.Side}
|
||||
}
|
||||
s := sideStats[pos.Side]
|
||||
s.TradeCount++
|
||||
s.TotalPnL += pos.RealizedPnL
|
||||
if pos.RealizedPnL > 0 {
|
||||
s.WinRate++
|
||||
}
|
||||
}
|
||||
|
||||
var stats []DirectionStats
|
||||
for _, s := range sideStats {
|
||||
if s.TradeCount > 0 {
|
||||
s.AvgPnL = s.TotalPnL / float64(s.TradeCount)
|
||||
s.WinRate = s.WinRate / float64(s.TradeCount) * 100
|
||||
}
|
||||
stats = append(stats, *s)
|
||||
}
|
||||
|
||||
return stats, nil
|
||||
}
|
||||
|
||||
// HistorySummary comprehensive trading history for AI context
|
||||
type HistorySummary struct {
|
||||
TotalTrades int `json:"total_trades"`
|
||||
WinRate float64 `json:"win_rate"`
|
||||
TotalPnL float64 `json:"total_pnl"`
|
||||
AvgTradeReturn float64 `json:"avg_trade_return"`
|
||||
|
||||
BestSymbols []SymbolStats `json:"best_symbols"`
|
||||
WorstSymbols []SymbolStats `json:"worst_symbols"`
|
||||
|
||||
LongWinRate float64 `json:"long_win_rate"`
|
||||
ShortWinRate float64 `json:"short_win_rate"`
|
||||
LongPnL float64 `json:"long_pnl"`
|
||||
ShortPnL float64 `json:"short_pnl"`
|
||||
|
||||
AvgHoldingMins float64 `json:"avg_holding_mins"`
|
||||
BestHoldRange string `json:"best_hold_range"`
|
||||
|
||||
RecentWinRate float64 `json:"recent_win_rate"`
|
||||
RecentPnL float64 `json:"recent_pnl"`
|
||||
|
||||
CurrentStreak int `json:"current_streak"`
|
||||
MaxWinStreak int `json:"max_win_streak"`
|
||||
MaxLoseStreak int `json:"max_lose_streak"`
|
||||
}
|
||||
|
||||
// GetHistorySummary generates comprehensive AI context summary
|
||||
func (s *PositionStore) GetHistorySummary(traderID string) (*HistorySummary, error) {
|
||||
summary := &HistorySummary{}
|
||||
|
||||
fullStats, err := s.GetFullStats(traderID)
|
||||
if err != nil {
|
||||
return nil, err
|
||||
}
|
||||
summary.TotalTrades = fullStats.TotalTrades
|
||||
summary.WinRate = fullStats.WinRate
|
||||
summary.TotalPnL = fullStats.TotalPnL
|
||||
if fullStats.TotalTrades > 0 {
|
||||
summary.AvgTradeReturn = fullStats.TotalPnL / float64(fullStats.TotalTrades)
|
||||
}
|
||||
|
||||
symbolStats, _ := s.GetSymbolStats(traderID, 20)
|
||||
if len(symbolStats) > 0 {
|
||||
for i := 0; i < len(symbolStats) && i < 3; i++ {
|
||||
if symbolStats[i].TotalPnL > 0 {
|
||||
summary.BestSymbols = append(summary.BestSymbols, symbolStats[i])
|
||||
}
|
||||
}
|
||||
for i := len(symbolStats) - 1; i >= 0 && len(summary.WorstSymbols) < 3; i-- {
|
||||
if symbolStats[i].TotalPnL < 0 {
|
||||
summary.WorstSymbols = append(summary.WorstSymbols, symbolStats[i])
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
dirStats, _ := s.GetDirectionStats(traderID)
|
||||
for _, d := range dirStats {
|
||||
if d.Side == "LONG" {
|
||||
summary.LongWinRate = d.WinRate
|
||||
summary.LongPnL = d.TotalPnL
|
||||
} else if d.Side == "SHORT" {
|
||||
summary.ShortWinRate = d.WinRate
|
||||
summary.ShortPnL = d.TotalPnL
|
||||
}
|
||||
}
|
||||
|
||||
holdStats, _ := s.GetHoldingTimeStats(traderID)
|
||||
var bestHoldWinRate float64
|
||||
for _, h := range holdStats {
|
||||
if h.WinRate > bestHoldWinRate && h.TradeCount >= 3 {
|
||||
bestHoldWinRate = h.WinRate
|
||||
summary.BestHoldRange = h.Range
|
||||
}
|
||||
}
|
||||
|
||||
// Calculate average holding time
|
||||
var positions []TraderPosition
|
||||
s.db.Where("trader_id = ? AND status = ? AND exit_time > 0", traderID, "CLOSED").Find(&positions)
|
||||
if len(positions) > 0 {
|
||||
var totalMins float64
|
||||
for _, pos := range positions {
|
||||
if pos.ExitTime > 0 {
|
||||
totalMins += float64(pos.ExitTime-pos.EntryTime) / 60000.0 // ms to minutes
|
||||
}
|
||||
}
|
||||
summary.AvgHoldingMins = totalMins / float64(len(positions))
|
||||
}
|
||||
|
||||
// Recent 20 trades
|
||||
var recent []TraderPosition
|
||||
s.db.Where("trader_id = ? AND status = ?", traderID, "CLOSED").
|
||||
Order("exit_time DESC").Limit(20).Find(&recent)
|
||||
for _, pos := range recent {
|
||||
summary.RecentPnL += pos.RealizedPnL
|
||||
if pos.RealizedPnL > 0 {
|
||||
summary.RecentWinRate++
|
||||
}
|
||||
}
|
||||
if len(recent) > 0 {
|
||||
summary.RecentWinRate = summary.RecentWinRate / float64(len(recent)) * 100
|
||||
}
|
||||
|
||||
// Calculate streaks
|
||||
s.calculateStreaks(traderID, summary)
|
||||
|
||||
return summary, nil
|
||||
}
|
||||
|
||||
// calculateStreaks calculates win/loss streaks
|
||||
func (s *PositionStore) calculateStreaks(traderID string, summary *HistorySummary) {
|
||||
var positions []TraderPosition
|
||||
err := s.db.Where("trader_id = ? AND status = ?", traderID, "CLOSED").
|
||||
Order("exit_time DESC").
|
||||
Find(&positions).Error
|
||||
if err != nil || len(positions) == 0 {
|
||||
return
|
||||
}
|
||||
|
||||
var currentStreak, maxWin, maxLose int
|
||||
var prevWin *bool
|
||||
isFirst := true
|
||||
|
||||
for _, pos := range positions {
|
||||
isWin := pos.RealizedPnL > 0
|
||||
|
||||
if isFirst {
|
||||
if isWin {
|
||||
currentStreak = 1
|
||||
} else {
|
||||
currentStreak = -1
|
||||
}
|
||||
isFirst = false
|
||||
}
|
||||
|
||||
if prevWin == nil {
|
||||
prevWin = &isWin
|
||||
} else if *prevWin == isWin {
|
||||
if isWin {
|
||||
currentStreak++
|
||||
if currentStreak > maxWin {
|
||||
maxWin = currentStreak
|
||||
}
|
||||
} else {
|
||||
currentStreak--
|
||||
if -currentStreak > maxLose {
|
||||
maxLose = -currentStreak
|
||||
}
|
||||
}
|
||||
} else {
|
||||
if isWin {
|
||||
currentStreak = 1
|
||||
} else {
|
||||
currentStreak = -1
|
||||
}
|
||||
*prevWin = isWin
|
||||
}
|
||||
}
|
||||
|
||||
summary.CurrentStreak = currentStreak
|
||||
summary.MaxWinStreak = maxWin
|
||||
summary.MaxLoseStreak = maxLose
|
||||
}
|
||||
|
||||
// ExistsWithExchangePositionID checks if a position exists
|
||||
func (s *PositionStore) ExistsWithExchangePositionID(exchangeID, exchangePositionID string) (bool, error) {
|
||||
if exchangePositionID == "" {
|
||||
@@ -1017,124 +455,6 @@ func (s *PositionStore) GetOpenPositionByExchangePositionID(exchangeID, exchange
|
||||
return &pos, nil
|
||||
}
|
||||
|
||||
// ClosedPnLRecord represents a closed position record from exchange
|
||||
// All time fields use int64 millisecond timestamps (UTC)
|
||||
type ClosedPnLRecord struct {
|
||||
Symbol string
|
||||
Side string
|
||||
EntryPrice float64
|
||||
ExitPrice float64
|
||||
Quantity float64
|
||||
RealizedPnL float64
|
||||
Fee float64
|
||||
Leverage int
|
||||
EntryTime int64 // Unix milliseconds UTC
|
||||
ExitTime int64 // Unix milliseconds UTC
|
||||
OrderID string
|
||||
CloseType string
|
||||
ExchangeID string
|
||||
}
|
||||
|
||||
// CreateFromClosedPnL creates a closed position record from exchange data
|
||||
func (s *PositionStore) CreateFromClosedPnL(traderID, exchangeID, exchangeType string, record *ClosedPnLRecord) (bool, error) {
|
||||
if record.Symbol == "" {
|
||||
return false, nil
|
||||
}
|
||||
|
||||
side := strings.ToUpper(record.Side)
|
||||
if side == "LONG" || side == "BUY" {
|
||||
side = "LONG"
|
||||
} else if side == "SHORT" || side == "SELL" {
|
||||
side = "SHORT"
|
||||
} else {
|
||||
return false, nil
|
||||
}
|
||||
|
||||
if record.Quantity <= 0 || record.ExitPrice <= 0 || record.EntryPrice <= 0 {
|
||||
return false, nil
|
||||
}
|
||||
|
||||
exchangePositionID := record.ExchangeID
|
||||
if exchangePositionID == "" {
|
||||
exchangePositionID = fmt.Sprintf("%s_%s_%d_%.8f", record.Symbol, side, record.ExitTime, record.RealizedPnL)
|
||||
}
|
||||
|
||||
exists, err := s.ExistsWithExchangePositionID(exchangeID, exchangePositionID)
|
||||
if err != nil {
|
||||
return false, err
|
||||
}
|
||||
if exists {
|
||||
return false, nil
|
||||
}
|
||||
|
||||
exitTimeMs := record.ExitTime
|
||||
entryTimeMs := record.EntryTime
|
||||
|
||||
// Validate timestamps (must be after year 2000 = ~946684800000 ms)
|
||||
minValidTime := int64(946684800000) // 2000-01-01 UTC in milliseconds
|
||||
if exitTimeMs < minValidTime {
|
||||
return false, nil
|
||||
}
|
||||
if entryTimeMs < minValidTime {
|
||||
entryTimeMs = exitTimeMs
|
||||
}
|
||||
if entryTimeMs > exitTimeMs {
|
||||
entryTimeMs = exitTimeMs
|
||||
}
|
||||
|
||||
nowMs := time.Now().UTC().UnixMilli()
|
||||
pos := &TraderPosition{
|
||||
TraderID: traderID,
|
||||
ExchangeID: exchangeID,
|
||||
ExchangeType: exchangeType,
|
||||
ExchangePositionID: exchangePositionID,
|
||||
Symbol: record.Symbol,
|
||||
Side: side,
|
||||
Quantity: record.Quantity,
|
||||
EntryQuantity: record.Quantity,
|
||||
EntryPrice: record.EntryPrice,
|
||||
EntryTime: entryTimeMs,
|
||||
ExitPrice: record.ExitPrice,
|
||||
ExitOrderID: record.OrderID,
|
||||
ExitTime: exitTimeMs,
|
||||
RealizedPnL: record.RealizedPnL,
|
||||
Fee: record.Fee,
|
||||
Leverage: record.Leverage,
|
||||
Status: "CLOSED",
|
||||
CloseReason: record.CloseType,
|
||||
Source: "sync",
|
||||
CreatedAt: nowMs,
|
||||
UpdatedAt: nowMs,
|
||||
}
|
||||
|
||||
err = s.db.Create(pos).Error
|
||||
if err != nil {
|
||||
if strings.Contains(err.Error(), "UNIQUE constraint failed") {
|
||||
return false, nil
|
||||
}
|
||||
return false, fmt.Errorf("failed to create position from closed PnL: %w", err)
|
||||
}
|
||||
|
||||
return true, nil
|
||||
}
|
||||
|
||||
// GetLastClosedPositionTime gets the most recent exit time (Unix ms)
|
||||
func (s *PositionStore) GetLastClosedPositionTime(traderID string) (int64, error) {
|
||||
var pos TraderPosition
|
||||
err := s.db.Where("trader_id = ? AND status = ? AND exit_time > 0", traderID, "CLOSED").
|
||||
Order("exit_time DESC").
|
||||
First(&pos).Error
|
||||
|
||||
if err == gorm.ErrRecordNotFound || pos.ExitTime == 0 {
|
||||
return time.Now().UTC().Add(-30 * 24 * time.Hour).UnixMilli(), nil
|
||||
}
|
||||
if err != nil {
|
||||
return 0, fmt.Errorf("failed to get last closed position time: %w", err)
|
||||
}
|
||||
|
||||
return pos.ExitTime, nil
|
||||
}
|
||||
|
||||
// CreateOpenPosition creates an open position
|
||||
func (s *PositionStore) CreateOpenPosition(pos *TraderPosition) error {
|
||||
if pos.ExchangePositionID != "" && pos.ExchangeID != "" {
|
||||
@@ -1196,21 +516,3 @@ func (s *PositionStore) ClosePositionWithAccurateData(id int64, exitPrice float6
|
||||
"updated_at": time.Now().UTC().UnixMilli(),
|
||||
}).Error
|
||||
}
|
||||
|
||||
// SyncClosedPositions syncs closed positions from exchange
|
||||
func (s *PositionStore) SyncClosedPositions(traderID, exchangeID, exchangeType string, records []ClosedPnLRecord) (int, int, error) {
|
||||
created, skipped := 0, 0
|
||||
for _, record := range records {
|
||||
rec := record
|
||||
wasCreated, err := s.CreateFromClosedPnL(traderID, exchangeID, exchangeType, &rec)
|
||||
if err != nil {
|
||||
return created, skipped, fmt.Errorf("failed to sync position: %w", err)
|
||||
}
|
||||
if wasCreated {
|
||||
created++
|
||||
} else {
|
||||
skipped++
|
||||
}
|
||||
}
|
||||
return created, skipped, nil
|
||||
}
|
||||
|
||||
@@ -0,0 +1,308 @@
|
||||
package store
|
||||
|
||||
import (
|
||||
"fmt"
|
||||
"strings"
|
||||
"time"
|
||||
|
||||
"gorm.io/gorm"
|
||||
)
|
||||
|
||||
// HistorySummary comprehensive trading history for AI context
|
||||
type HistorySummary struct {
|
||||
TotalTrades int `json:"total_trades"`
|
||||
WinRate float64 `json:"win_rate"`
|
||||
TotalPnL float64 `json:"total_pnl"`
|
||||
AvgTradeReturn float64 `json:"avg_trade_return"`
|
||||
|
||||
BestSymbols []SymbolStats `json:"best_symbols"`
|
||||
WorstSymbols []SymbolStats `json:"worst_symbols"`
|
||||
|
||||
LongWinRate float64 `json:"long_win_rate"`
|
||||
ShortWinRate float64 `json:"short_win_rate"`
|
||||
LongPnL float64 `json:"long_pnl"`
|
||||
ShortPnL float64 `json:"short_pnl"`
|
||||
|
||||
AvgHoldingMins float64 `json:"avg_holding_mins"`
|
||||
BestHoldRange string `json:"best_hold_range"`
|
||||
|
||||
RecentWinRate float64 `json:"recent_win_rate"`
|
||||
RecentPnL float64 `json:"recent_pnl"`
|
||||
|
||||
CurrentStreak int `json:"current_streak"`
|
||||
MaxWinStreak int `json:"max_win_streak"`
|
||||
MaxLoseStreak int `json:"max_lose_streak"`
|
||||
}
|
||||
|
||||
// GetHistorySummary generates comprehensive AI context summary
|
||||
func (s *PositionStore) GetHistorySummary(traderID string) (*HistorySummary, error) {
|
||||
summary := &HistorySummary{}
|
||||
|
||||
fullStats, err := s.GetFullStats(traderID)
|
||||
if err != nil {
|
||||
return nil, err
|
||||
}
|
||||
summary.TotalTrades = fullStats.TotalTrades
|
||||
summary.WinRate = fullStats.WinRate
|
||||
summary.TotalPnL = fullStats.TotalPnL
|
||||
if fullStats.TotalTrades > 0 {
|
||||
summary.AvgTradeReturn = fullStats.TotalPnL / float64(fullStats.TotalTrades)
|
||||
}
|
||||
|
||||
symbolStats, _ := s.GetSymbolStats(traderID, 20)
|
||||
if len(symbolStats) > 0 {
|
||||
for i := 0; i < len(symbolStats) && i < 3; i++ {
|
||||
if symbolStats[i].TotalPnL > 0 {
|
||||
summary.BestSymbols = append(summary.BestSymbols, symbolStats[i])
|
||||
}
|
||||
}
|
||||
for i := len(symbolStats) - 1; i >= 0 && len(summary.WorstSymbols) < 3; i-- {
|
||||
if symbolStats[i].TotalPnL < 0 {
|
||||
summary.WorstSymbols = append(summary.WorstSymbols, symbolStats[i])
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
dirStats, _ := s.GetDirectionStats(traderID)
|
||||
for _, d := range dirStats {
|
||||
if d.Side == "LONG" {
|
||||
summary.LongWinRate = d.WinRate
|
||||
summary.LongPnL = d.TotalPnL
|
||||
} else if d.Side == "SHORT" {
|
||||
summary.ShortWinRate = d.WinRate
|
||||
summary.ShortPnL = d.TotalPnL
|
||||
}
|
||||
}
|
||||
|
||||
holdStats, _ := s.GetHoldingTimeStats(traderID)
|
||||
var bestHoldWinRate float64
|
||||
for _, h := range holdStats {
|
||||
if h.WinRate > bestHoldWinRate && h.TradeCount >= 3 {
|
||||
bestHoldWinRate = h.WinRate
|
||||
summary.BestHoldRange = h.Range
|
||||
}
|
||||
}
|
||||
|
||||
// Calculate average holding time
|
||||
var positions []TraderPosition
|
||||
s.db.Where("trader_id = ? AND status = ? AND exit_time > 0", traderID, "CLOSED").Find(&positions)
|
||||
if len(positions) > 0 {
|
||||
var totalMins float64
|
||||
for _, pos := range positions {
|
||||
if pos.ExitTime > 0 {
|
||||
totalMins += float64(pos.ExitTime-pos.EntryTime) / 60000.0 // ms to minutes
|
||||
}
|
||||
}
|
||||
summary.AvgHoldingMins = totalMins / float64(len(positions))
|
||||
}
|
||||
|
||||
// Recent 20 trades
|
||||
var recent []TraderPosition
|
||||
s.db.Where("trader_id = ? AND status = ?", traderID, "CLOSED").
|
||||
Order("exit_time DESC").Limit(20).Find(&recent)
|
||||
for _, pos := range recent {
|
||||
summary.RecentPnL += pos.RealizedPnL
|
||||
if pos.RealizedPnL > 0 {
|
||||
summary.RecentWinRate++
|
||||
}
|
||||
}
|
||||
if len(recent) > 0 {
|
||||
summary.RecentWinRate = summary.RecentWinRate / float64(len(recent)) * 100
|
||||
}
|
||||
|
||||
// Calculate streaks
|
||||
s.calculateStreaks(traderID, summary)
|
||||
|
||||
return summary, nil
|
||||
}
|
||||
|
||||
// calculateStreaks calculates win/loss streaks
|
||||
func (s *PositionStore) calculateStreaks(traderID string, summary *HistorySummary) {
|
||||
var positions []TraderPosition
|
||||
err := s.db.Where("trader_id = ? AND status = ?", traderID, "CLOSED").
|
||||
Order("exit_time DESC").
|
||||
Find(&positions).Error
|
||||
if err != nil || len(positions) == 0 {
|
||||
return
|
||||
}
|
||||
|
||||
var currentStreak, maxWin, maxLose int
|
||||
var prevWin *bool
|
||||
isFirst := true
|
||||
|
||||
for _, pos := range positions {
|
||||
isWin := pos.RealizedPnL > 0
|
||||
|
||||
if isFirst {
|
||||
if isWin {
|
||||
currentStreak = 1
|
||||
} else {
|
||||
currentStreak = -1
|
||||
}
|
||||
isFirst = false
|
||||
}
|
||||
|
||||
if prevWin == nil {
|
||||
prevWin = &isWin
|
||||
} else if *prevWin == isWin {
|
||||
if isWin {
|
||||
currentStreak++
|
||||
if currentStreak > maxWin {
|
||||
maxWin = currentStreak
|
||||
}
|
||||
} else {
|
||||
currentStreak--
|
||||
if -currentStreak > maxLose {
|
||||
maxLose = -currentStreak
|
||||
}
|
||||
}
|
||||
} else {
|
||||
if isWin {
|
||||
currentStreak = 1
|
||||
} else {
|
||||
currentStreak = -1
|
||||
}
|
||||
*prevWin = isWin
|
||||
}
|
||||
}
|
||||
|
||||
summary.CurrentStreak = currentStreak
|
||||
summary.MaxWinStreak = maxWin
|
||||
summary.MaxLoseStreak = maxLose
|
||||
}
|
||||
|
||||
// ClosedPnLRecord represents a closed position record from exchange
|
||||
// All time fields use int64 millisecond timestamps (UTC)
|
||||
type ClosedPnLRecord struct {
|
||||
Symbol string
|
||||
Side string
|
||||
EntryPrice float64
|
||||
ExitPrice float64
|
||||
Quantity float64
|
||||
RealizedPnL float64
|
||||
Fee float64
|
||||
Leverage int
|
||||
EntryTime int64 // Unix milliseconds UTC
|
||||
ExitTime int64 // Unix milliseconds UTC
|
||||
OrderID string
|
||||
CloseType string
|
||||
ExchangeID string
|
||||
}
|
||||
|
||||
// CreateFromClosedPnL creates a closed position record from exchange data
|
||||
func (s *PositionStore) CreateFromClosedPnL(traderID, exchangeID, exchangeType string, record *ClosedPnLRecord) (bool, error) {
|
||||
if record.Symbol == "" {
|
||||
return false, nil
|
||||
}
|
||||
|
||||
side := strings.ToUpper(record.Side)
|
||||
if side == "LONG" || side == "BUY" {
|
||||
side = "LONG"
|
||||
} else if side == "SHORT" || side == "SELL" {
|
||||
side = "SHORT"
|
||||
} else {
|
||||
return false, nil
|
||||
}
|
||||
|
||||
if record.Quantity <= 0 || record.ExitPrice <= 0 || record.EntryPrice <= 0 {
|
||||
return false, nil
|
||||
}
|
||||
|
||||
exchangePositionID := record.ExchangeID
|
||||
if exchangePositionID == "" {
|
||||
exchangePositionID = fmt.Sprintf("%s_%s_%d_%.8f", record.Symbol, side, record.ExitTime, record.RealizedPnL)
|
||||
}
|
||||
|
||||
exists, err := s.ExistsWithExchangePositionID(exchangeID, exchangePositionID)
|
||||
if err != nil {
|
||||
return false, err
|
||||
}
|
||||
if exists {
|
||||
return false, nil
|
||||
}
|
||||
|
||||
exitTimeMs := record.ExitTime
|
||||
entryTimeMs := record.EntryTime
|
||||
|
||||
// Validate timestamps (must be after year 2000 = ~946684800000 ms)
|
||||
minValidTime := int64(946684800000) // 2000-01-01 UTC in milliseconds
|
||||
if exitTimeMs < minValidTime {
|
||||
return false, nil
|
||||
}
|
||||
if entryTimeMs < minValidTime {
|
||||
entryTimeMs = exitTimeMs
|
||||
}
|
||||
if entryTimeMs > exitTimeMs {
|
||||
entryTimeMs = exitTimeMs
|
||||
}
|
||||
|
||||
nowMs := time.Now().UTC().UnixMilli()
|
||||
pos := &TraderPosition{
|
||||
TraderID: traderID,
|
||||
ExchangeID: exchangeID,
|
||||
ExchangeType: exchangeType,
|
||||
ExchangePositionID: exchangePositionID,
|
||||
Symbol: record.Symbol,
|
||||
Side: side,
|
||||
Quantity: record.Quantity,
|
||||
EntryQuantity: record.Quantity,
|
||||
EntryPrice: record.EntryPrice,
|
||||
EntryTime: entryTimeMs,
|
||||
ExitPrice: record.ExitPrice,
|
||||
ExitOrderID: record.OrderID,
|
||||
ExitTime: exitTimeMs,
|
||||
RealizedPnL: record.RealizedPnL,
|
||||
Fee: record.Fee,
|
||||
Leverage: record.Leverage,
|
||||
Status: "CLOSED",
|
||||
CloseReason: record.CloseType,
|
||||
Source: "sync",
|
||||
CreatedAt: nowMs,
|
||||
UpdatedAt: nowMs,
|
||||
}
|
||||
|
||||
err = s.db.Create(pos).Error
|
||||
if err != nil {
|
||||
if strings.Contains(err.Error(), "UNIQUE constraint failed") {
|
||||
return false, nil
|
||||
}
|
||||
return false, fmt.Errorf("failed to create position from closed PnL: %w", err)
|
||||
}
|
||||
|
||||
return true, nil
|
||||
}
|
||||
|
||||
// GetLastClosedPositionTime gets the most recent exit time (Unix ms)
|
||||
func (s *PositionStore) GetLastClosedPositionTime(traderID string) (int64, error) {
|
||||
var pos TraderPosition
|
||||
err := s.db.Where("trader_id = ? AND status = ? AND exit_time > 0", traderID, "CLOSED").
|
||||
Order("exit_time DESC").
|
||||
First(&pos).Error
|
||||
|
||||
if err == gorm.ErrRecordNotFound || pos.ExitTime == 0 {
|
||||
return time.Now().UTC().Add(-30 * 24 * time.Hour).UnixMilli(), nil
|
||||
}
|
||||
if err != nil {
|
||||
return 0, fmt.Errorf("failed to get last closed position time: %w", err)
|
||||
}
|
||||
|
||||
return pos.ExitTime, nil
|
||||
}
|
||||
|
||||
// SyncClosedPositions syncs closed positions from exchange
|
||||
func (s *PositionStore) SyncClosedPositions(traderID, exchangeID, exchangeType string, records []ClosedPnLRecord) (int, int, error) {
|
||||
created, skipped := 0, 0
|
||||
for _, record := range records {
|
||||
rec := record
|
||||
wasCreated, err := s.CreateFromClosedPnL(traderID, exchangeID, exchangeType, &rec)
|
||||
if err != nil {
|
||||
return created, skipped, fmt.Errorf("failed to sync position: %w", err)
|
||||
}
|
||||
if wasCreated {
|
||||
created++
|
||||
} else {
|
||||
skipped++
|
||||
}
|
||||
}
|
||||
return created, skipped, nil
|
||||
}
|
||||
@@ -0,0 +1,406 @@
|
||||
package store
|
||||
|
||||
import (
|
||||
"fmt"
|
||||
"math"
|
||||
"strings"
|
||||
)
|
||||
|
||||
// TraderStats trading statistics metrics
|
||||
type TraderStats struct {
|
||||
TotalTrades int `json:"total_trades"`
|
||||
WinTrades int `json:"win_trades"`
|
||||
LossTrades int `json:"loss_trades"`
|
||||
WinRate float64 `json:"win_rate"`
|
||||
ProfitFactor float64 `json:"profit_factor"`
|
||||
SharpeRatio float64 `json:"sharpe_ratio"`
|
||||
TotalPnL float64 `json:"total_pnl"`
|
||||
TotalFee float64 `json:"total_fee"`
|
||||
AvgWin float64 `json:"avg_win"`
|
||||
AvgLoss float64 `json:"avg_loss"`
|
||||
MaxDrawdownPct float64 `json:"max_drawdown_pct"`
|
||||
}
|
||||
|
||||
// GetPositionStats gets position statistics
|
||||
func (s *PositionStore) GetPositionStats(traderID string) (map[string]interface{}, error) {
|
||||
stats := make(map[string]interface{})
|
||||
|
||||
type result struct {
|
||||
Total int
|
||||
Wins int
|
||||
TotalPnL float64
|
||||
TotalFee float64
|
||||
}
|
||||
var r result
|
||||
|
||||
err := s.db.Model(&TraderPosition{}).
|
||||
Select("COUNT(*) as total, SUM(CASE WHEN realized_pnl > 0 THEN 1 ELSE 0 END) as wins, COALESCE(SUM(realized_pnl), 0) as total_pnl, COALESCE(SUM(fee), 0) as total_fee").
|
||||
Where("trader_id = ? AND status = ?", traderID, "CLOSED").
|
||||
Scan(&r).Error
|
||||
if err != nil {
|
||||
return nil, err
|
||||
}
|
||||
|
||||
stats["total_trades"] = r.Total
|
||||
stats["win_trades"] = r.Wins
|
||||
stats["total_pnl"] = r.TotalPnL
|
||||
stats["total_fee"] = r.TotalFee
|
||||
if r.Total > 0 {
|
||||
stats["win_rate"] = float64(r.Wins) / float64(r.Total) * 100
|
||||
} else {
|
||||
stats["win_rate"] = 0.0
|
||||
}
|
||||
|
||||
return stats, nil
|
||||
}
|
||||
|
||||
// GetFullStats gets complete trading statistics
|
||||
func (s *PositionStore) GetFullStats(traderID string) (*TraderStats, error) {
|
||||
stats := &TraderStats{}
|
||||
|
||||
var count int64
|
||||
if err := s.db.Model(&TraderPosition{}).Where("trader_id = ? AND status = ?", traderID, "CLOSED").Count(&count).Error; err != nil {
|
||||
return nil, err
|
||||
}
|
||||
if count == 0 {
|
||||
return stats, nil
|
||||
}
|
||||
|
||||
var positions []TraderPosition
|
||||
err := s.db.Where("trader_id = ? AND status = ?", traderID, "CLOSED").
|
||||
Order("exit_time ASC").
|
||||
Find(&positions).Error
|
||||
if err != nil {
|
||||
return nil, fmt.Errorf("failed to query position statistics: %w", err)
|
||||
}
|
||||
|
||||
var pnls []float64
|
||||
var totalWin, totalLoss float64
|
||||
|
||||
for _, pos := range positions {
|
||||
stats.TotalTrades++
|
||||
stats.TotalPnL += pos.RealizedPnL
|
||||
stats.TotalFee += pos.Fee
|
||||
pnls = append(pnls, pos.RealizedPnL)
|
||||
|
||||
if pos.RealizedPnL > 0 {
|
||||
stats.WinTrades++
|
||||
totalWin += pos.RealizedPnL
|
||||
} else if pos.RealizedPnL < 0 {
|
||||
stats.LossTrades++
|
||||
totalLoss += -pos.RealizedPnL
|
||||
}
|
||||
}
|
||||
|
||||
if stats.TotalTrades > 0 {
|
||||
stats.WinRate = float64(stats.WinTrades) / float64(stats.TotalTrades) * 100
|
||||
}
|
||||
if totalLoss > 0 {
|
||||
stats.ProfitFactor = totalWin / totalLoss
|
||||
}
|
||||
if stats.WinTrades > 0 {
|
||||
stats.AvgWin = totalWin / float64(stats.WinTrades)
|
||||
}
|
||||
if stats.LossTrades > 0 {
|
||||
stats.AvgLoss = totalLoss / float64(stats.LossTrades)
|
||||
}
|
||||
if len(pnls) > 1 {
|
||||
stats.SharpeRatio = calculateSharpeRatioFromPnls(pnls)
|
||||
}
|
||||
if len(pnls) > 0 {
|
||||
stats.MaxDrawdownPct = calculateMaxDrawdownFromPnls(pnls)
|
||||
}
|
||||
|
||||
return stats, nil
|
||||
}
|
||||
|
||||
// RecentTrade recent trade record
|
||||
type RecentTrade struct {
|
||||
Symbol string `json:"symbol"`
|
||||
Side string `json:"side"`
|
||||
EntryPrice float64 `json:"entry_price"`
|
||||
ExitPrice float64 `json:"exit_price"`
|
||||
RealizedPnL float64 `json:"realized_pnl"`
|
||||
PnLPct float64 `json:"pnl_pct"`
|
||||
EntryTime int64 `json:"entry_time"`
|
||||
ExitTime int64 `json:"exit_time"`
|
||||
HoldDuration string `json:"hold_duration"`
|
||||
}
|
||||
|
||||
// GetRecentTrades gets recent closed trades
|
||||
func (s *PositionStore) GetRecentTrades(traderID string, limit int) ([]RecentTrade, error) {
|
||||
var positions []TraderPosition
|
||||
err := s.db.Where("trader_id = ? AND status = ?", traderID, "CLOSED").
|
||||
Order("exit_time DESC").
|
||||
Limit(limit).
|
||||
Find(&positions).Error
|
||||
if err != nil {
|
||||
return nil, fmt.Errorf("failed to query recent trades: %w", err)
|
||||
}
|
||||
|
||||
var trades []RecentTrade
|
||||
for _, pos := range positions {
|
||||
t := RecentTrade{
|
||||
Symbol: pos.Symbol,
|
||||
Side: strings.ToLower(pos.Side),
|
||||
EntryPrice: pos.EntryPrice,
|
||||
ExitPrice: pos.ExitPrice,
|
||||
RealizedPnL: pos.RealizedPnL,
|
||||
EntryTime: pos.EntryTime / 1000, // Convert ms to seconds for API compatibility
|
||||
}
|
||||
|
||||
if pos.ExitTime > 0 {
|
||||
t.ExitTime = pos.ExitTime / 1000 // Convert ms to seconds
|
||||
durationMs := pos.ExitTime - pos.EntryTime
|
||||
t.HoldDuration = formatDurationMs(durationMs)
|
||||
}
|
||||
|
||||
if pos.EntryPrice > 0 {
|
||||
if t.Side == "long" {
|
||||
t.PnLPct = (pos.ExitPrice - pos.EntryPrice) / pos.EntryPrice * 100 * float64(pos.Leverage)
|
||||
} else {
|
||||
t.PnLPct = (pos.EntryPrice - pos.ExitPrice) / pos.EntryPrice * 100 * float64(pos.Leverage)
|
||||
}
|
||||
}
|
||||
|
||||
trades = append(trades, t)
|
||||
}
|
||||
|
||||
return trades, nil
|
||||
}
|
||||
|
||||
// calculateSharpeRatioFromPnls calculates Sharpe ratio
|
||||
func calculateSharpeRatioFromPnls(pnls []float64) float64 {
|
||||
if len(pnls) < 2 {
|
||||
return 0
|
||||
}
|
||||
|
||||
var sum float64
|
||||
for _, pnl := range pnls {
|
||||
sum += pnl
|
||||
}
|
||||
mean := sum / float64(len(pnls))
|
||||
|
||||
var variance float64
|
||||
for _, pnl := range pnls {
|
||||
variance += (pnl - mean) * (pnl - mean)
|
||||
}
|
||||
stdDev := math.Sqrt(variance / float64(len(pnls)-1))
|
||||
|
||||
if stdDev == 0 {
|
||||
return 0
|
||||
}
|
||||
|
||||
return mean / stdDev
|
||||
}
|
||||
|
||||
// calculateMaxDrawdownFromPnls calculates maximum drawdown
|
||||
func calculateMaxDrawdownFromPnls(pnls []float64) float64 {
|
||||
if len(pnls) == 0 {
|
||||
return 0
|
||||
}
|
||||
|
||||
const startingEquity = 10000.0
|
||||
equity := startingEquity
|
||||
peak := startingEquity
|
||||
var maxDD float64
|
||||
|
||||
for _, pnl := range pnls {
|
||||
equity += pnl
|
||||
if equity > peak {
|
||||
peak = equity
|
||||
}
|
||||
if peak > 0 {
|
||||
dd := (peak - equity) / peak * 100
|
||||
if dd > maxDD {
|
||||
maxDD = dd
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
return maxDD
|
||||
}
|
||||
|
||||
// SymbolStats per-symbol trading statistics
|
||||
type SymbolStats struct {
|
||||
Symbol string `json:"symbol"`
|
||||
TotalTrades int `json:"total_trades"`
|
||||
WinTrades int `json:"win_trades"`
|
||||
WinRate float64 `json:"win_rate"`
|
||||
TotalPnL float64 `json:"total_pnl"`
|
||||
AvgPnL float64 `json:"avg_pnl"`
|
||||
AvgHoldMins float64 `json:"avg_hold_mins"`
|
||||
}
|
||||
|
||||
// GetSymbolStats gets per-symbol trading statistics
|
||||
func (s *PositionStore) GetSymbolStats(traderID string, limit int) ([]SymbolStats, error) {
|
||||
var positions []TraderPosition
|
||||
err := s.db.Where("trader_id = ? AND status = ?", traderID, "CLOSED").Find(&positions).Error
|
||||
if err != nil {
|
||||
return nil, fmt.Errorf("failed to query symbol stats: %w", err)
|
||||
}
|
||||
|
||||
// Group by symbol
|
||||
symbolMap := make(map[string]*SymbolStats)
|
||||
symbolHoldMins := make(map[string][]float64)
|
||||
|
||||
for _, pos := range positions {
|
||||
if _, ok := symbolMap[pos.Symbol]; !ok {
|
||||
symbolMap[pos.Symbol] = &SymbolStats{Symbol: pos.Symbol}
|
||||
symbolHoldMins[pos.Symbol] = []float64{}
|
||||
}
|
||||
s := symbolMap[pos.Symbol]
|
||||
s.TotalTrades++
|
||||
s.TotalPnL += pos.RealizedPnL
|
||||
if pos.RealizedPnL > 0 {
|
||||
s.WinTrades++
|
||||
}
|
||||
|
||||
if pos.ExitTime > 0 {
|
||||
holdMins := float64(pos.ExitTime-pos.EntryTime) / 60000.0 // ms to minutes
|
||||
symbolHoldMins[pos.Symbol] = append(symbolHoldMins[pos.Symbol], holdMins)
|
||||
}
|
||||
}
|
||||
|
||||
var stats []SymbolStats
|
||||
for symbol, s := range symbolMap {
|
||||
if s.TotalTrades > 0 {
|
||||
s.WinRate = float64(s.WinTrades) / float64(s.TotalTrades) * 100
|
||||
s.AvgPnL = s.TotalPnL / float64(s.TotalTrades)
|
||||
}
|
||||
if len(symbolHoldMins[symbol]) > 0 {
|
||||
var totalMins float64
|
||||
for _, m := range symbolHoldMins[symbol] {
|
||||
totalMins += m
|
||||
}
|
||||
s.AvgHoldMins = totalMins / float64(len(symbolHoldMins[symbol]))
|
||||
}
|
||||
stats = append(stats, *s)
|
||||
}
|
||||
|
||||
// Sort by TotalPnL descending and limit
|
||||
for i := 0; i < len(stats)-1; i++ {
|
||||
for j := i + 1; j < len(stats); j++ {
|
||||
if stats[j].TotalPnL > stats[i].TotalPnL {
|
||||
stats[i], stats[j] = stats[j], stats[i]
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
if limit > 0 && len(stats) > limit {
|
||||
stats = stats[:limit]
|
||||
}
|
||||
|
||||
return stats, nil
|
||||
}
|
||||
|
||||
// HoldingTimeStats holding duration analysis
|
||||
type HoldingTimeStats struct {
|
||||
Range string `json:"range"`
|
||||
TradeCount int `json:"trade_count"`
|
||||
WinRate float64 `json:"win_rate"`
|
||||
AvgPnL float64 `json:"avg_pnl"`
|
||||
}
|
||||
|
||||
// GetHoldingTimeStats analyzes performance by holding duration
|
||||
func (s *PositionStore) GetHoldingTimeStats(traderID string) ([]HoldingTimeStats, error) {
|
||||
var positions []TraderPosition
|
||||
err := s.db.Where("trader_id = ? AND status = ? AND exit_time > 0", traderID, "CLOSED").Find(&positions).Error
|
||||
if err != nil {
|
||||
return nil, fmt.Errorf("failed to query holding time stats: %w", err)
|
||||
}
|
||||
|
||||
rangeStats := map[string]*struct {
|
||||
count int
|
||||
wins int
|
||||
totalPnL float64
|
||||
}{
|
||||
"<1h": {},
|
||||
"1-4h": {},
|
||||
"4-24h": {},
|
||||
">24h": {},
|
||||
}
|
||||
|
||||
for _, pos := range positions {
|
||||
if pos.ExitTime == 0 {
|
||||
continue
|
||||
}
|
||||
holdHours := float64(pos.ExitTime-pos.EntryTime) / 3600000.0 // ms to hours
|
||||
|
||||
var rangeKey string
|
||||
switch {
|
||||
case holdHours < 1:
|
||||
rangeKey = "<1h"
|
||||
case holdHours < 4:
|
||||
rangeKey = "1-4h"
|
||||
case holdHours < 24:
|
||||
rangeKey = "4-24h"
|
||||
default:
|
||||
rangeKey = ">24h"
|
||||
}
|
||||
|
||||
r := rangeStats[rangeKey]
|
||||
r.count++
|
||||
r.totalPnL += pos.RealizedPnL
|
||||
if pos.RealizedPnL > 0 {
|
||||
r.wins++
|
||||
}
|
||||
}
|
||||
|
||||
var stats []HoldingTimeStats
|
||||
for _, rangeKey := range []string{"<1h", "1-4h", "4-24h", ">24h"} {
|
||||
r := rangeStats[rangeKey]
|
||||
if r.count > 0 {
|
||||
stats = append(stats, HoldingTimeStats{
|
||||
Range: rangeKey,
|
||||
TradeCount: r.count,
|
||||
WinRate: float64(r.wins) / float64(r.count) * 100,
|
||||
AvgPnL: r.totalPnL / float64(r.count),
|
||||
})
|
||||
}
|
||||
}
|
||||
|
||||
return stats, nil
|
||||
}
|
||||
|
||||
// DirectionStats long/short performance comparison
|
||||
type DirectionStats struct {
|
||||
Side string `json:"side"`
|
||||
TradeCount int `json:"trade_count"`
|
||||
WinRate float64 `json:"win_rate"`
|
||||
TotalPnL float64 `json:"total_pnl"`
|
||||
AvgPnL float64 `json:"avg_pnl"`
|
||||
}
|
||||
|
||||
// GetDirectionStats analyzes long vs short performance
|
||||
func (s *PositionStore) GetDirectionStats(traderID string) ([]DirectionStats, error) {
|
||||
var positions []TraderPosition
|
||||
err := s.db.Where("trader_id = ? AND status = ?", traderID, "CLOSED").Find(&positions).Error
|
||||
if err != nil {
|
||||
return nil, fmt.Errorf("failed to query direction stats: %w", err)
|
||||
}
|
||||
|
||||
sideStats := make(map[string]*DirectionStats)
|
||||
for _, pos := range positions {
|
||||
if _, ok := sideStats[pos.Side]; !ok {
|
||||
sideStats[pos.Side] = &DirectionStats{Side: pos.Side}
|
||||
}
|
||||
s := sideStats[pos.Side]
|
||||
s.TradeCount++
|
||||
s.TotalPnL += pos.RealizedPnL
|
||||
if pos.RealizedPnL > 0 {
|
||||
s.WinRate++
|
||||
}
|
||||
}
|
||||
|
||||
var stats []DirectionStats
|
||||
for _, s := range sideStats {
|
||||
if s.TradeCount > 0 {
|
||||
s.AvgPnL = s.TotalPnL / float64(s.TradeCount)
|
||||
s.WinRate = s.WinRate / float64(s.TradeCount) * 100
|
||||
}
|
||||
stats = append(stats, *s)
|
||||
}
|
||||
|
||||
return stats, nil
|
||||
}
|
||||
Reference in New Issue
Block a user