toki
9d8dde6dc9
packages/domain/market: timeframemap 타입 추가 및 테스트 services/api/internal/socket/market: multi-timeframe 소켓 메시지 지원 services/worker/internal/socket/backtest_mapping: 백테스트 매핑 함수에 multi-timeframe 반영
319 lines
9.5 KiB
Go
319 lines
9.5 KiB
Go
package socket
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import (
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"fmt"
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"strings"
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"time"
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altv1 "git.toki-labs.com/toki/alt/packages/contracts/gen/go/alt/v1"
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"git.toki-labs.com/toki/alt/packages/domain/backtest"
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"git.toki-labs.com/toki/alt/packages/domain/market"
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)
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// backtest_mapping.go owns backtest-specific conversions plus shared scalar
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// enum helpers. Keeping domain-to-proto mapping in worker socket code (and out
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// of the API) honours the rail design where the worker owns persistence shapes
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// while the API stays a thin pass-through.
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// runSpecFromProto validates an inbound BacktestRunSpec and converts it into the
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// worker-owned domain RunSpec. Validation lives next to the conversion so a
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// malformed start request never reaches the runner.
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func runSpecFromProto(spec *altv1.BacktestRunSpec) (backtest.RunSpec, error) {
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if spec == nil {
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return backtest.RunSpec{}, fmt.Errorf("backtest spec is required")
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}
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if spec.GetStrategyId() == "" {
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return backtest.RunSpec{}, fmt.Errorf("backtest spec: strategy_id is required")
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}
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mkt, err := marketFromProto(spec.GetMarket())
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if err != nil {
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return backtest.RunSpec{}, fmt.Errorf("backtest spec: %w", err)
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}
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timeframe, err := timeframeFromProto(spec.GetTimeframe())
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if err != nil {
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return backtest.RunSpec{}, fmt.Errorf("backtest spec: %w", err)
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}
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fromMs := spec.GetFromUnixMs()
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toMs := spec.GetToUnixMs()
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if fromMs == 0 {
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return backtest.RunSpec{}, fmt.Errorf("backtest spec: from_unix_ms is required")
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}
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if toMs == 0 {
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return backtest.RunSpec{}, fmt.Errorf("backtest spec: to_unix_ms is required")
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}
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from := time.UnixMilli(fromMs).UTC()
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to := time.UnixMilli(toMs).UTC()
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if from.After(to) {
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return backtest.RunSpec{}, fmt.Errorf("backtest spec: from cannot be after to")
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}
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var selector backtest.InputSelector
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if spec.GetSelector() != nil {
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pSel := spec.GetSelector()
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for _, id := range pSel.GetInstrumentIds() {
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trimmed := strings.TrimSpace(id)
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if trimmed == "" {
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return backtest.RunSpec{}, fmt.Errorf("backtest spec: selector: instrument_id cannot be blank")
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}
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selector.InstrumentIDs = append(selector.InstrumentIDs, market.InstrumentID(trimmed))
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}
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for _, sym := range pSel.GetSymbols() {
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trimmed := strings.TrimSpace(sym)
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if trimmed == "" {
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return backtest.RunSpec{}, fmt.Errorf("backtest spec: selector: symbol cannot be blank")
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}
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selector.Symbols = append(selector.Symbols, trimmed)
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}
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}
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return backtest.RunSpec{
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StrategyID: backtest.StrategyID(spec.GetStrategyId()),
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Market: mkt,
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Timeframe: timeframe,
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From: from,
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To: to,
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Selector: selector,
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}, nil
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}
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func marketFromProto(m altv1.Market) (market.Market, error) {
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switch m {
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case altv1.Market_MARKET_KR:
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return market.MarketKR, nil
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case altv1.Market_MARKET_US:
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return market.MarketUS, nil
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default:
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return "", fmt.Errorf("unsupported market %q", m.String())
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}
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}
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func marketToProto(m market.Market) altv1.Market {
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switch m {
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case market.MarketKR:
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return altv1.Market_MARKET_KR
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case market.MarketUS:
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return altv1.Market_MARKET_US
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default:
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return altv1.Market_MARKET_UNSPECIFIED
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}
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}
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func timeframeFromProto(t altv1.Timeframe) (market.Timeframe, error) {
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switch t {
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case altv1.Timeframe_TIMEFRAME_MONTHLY:
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return market.TimeframeMonthly, nil
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case altv1.Timeframe_TIMEFRAME_DAILY:
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return market.TimeframeDaily, nil
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case altv1.Timeframe_TIMEFRAME_MINUTE_1:
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return market.TimeframeMin1, nil
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case altv1.Timeframe_TIMEFRAME_MINUTE_5:
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return market.TimeframeMin5, nil
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default:
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return "", fmt.Errorf("unsupported timeframe %q", t.String())
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}
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}
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func timeframeToProto(t market.Timeframe) altv1.Timeframe {
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switch t {
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case market.TimeframeMonthly:
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return altv1.Timeframe_TIMEFRAME_MONTHLY
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case market.TimeframeDaily:
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return altv1.Timeframe_TIMEFRAME_DAILY
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case market.TimeframeMin1:
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return altv1.Timeframe_TIMEFRAME_MINUTE_1
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case market.TimeframeMin5:
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return altv1.Timeframe_TIMEFRAME_MINUTE_5
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default:
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return altv1.Timeframe_TIMEFRAME_UNSPECIFIED
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}
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}
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// runStatusFromProto maps a request status filter to the domain status. The
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// unspecified enum maps to an empty status, which the store treats as "list all".
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func runStatusFromProto(s altv1.BacktestRunStatus) backtest.RunStatus {
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switch s {
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case altv1.BacktestRunStatus_BACKTEST_RUN_STATUS_PENDING:
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return backtest.RunStatusPending
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case altv1.BacktestRunStatus_BACKTEST_RUN_STATUS_RUNNING:
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return backtest.RunStatusRunning
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case altv1.BacktestRunStatus_BACKTEST_RUN_STATUS_SUCCEEDED:
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return backtest.RunStatusSucceeded
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case altv1.BacktestRunStatus_BACKTEST_RUN_STATUS_FAILED:
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return backtest.RunStatusFailed
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case altv1.BacktestRunStatus_BACKTEST_RUN_STATUS_CANCELED:
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return backtest.RunStatusCanceled
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default:
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return ""
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}
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}
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func runStatusToProto(s backtest.RunStatus) altv1.BacktestRunStatus {
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switch s {
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case backtest.RunStatusPending:
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return altv1.BacktestRunStatus_BACKTEST_RUN_STATUS_PENDING
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case backtest.RunStatusRunning:
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return altv1.BacktestRunStatus_BACKTEST_RUN_STATUS_RUNNING
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case backtest.RunStatusSucceeded:
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return altv1.BacktestRunStatus_BACKTEST_RUN_STATUS_SUCCEEDED
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case backtest.RunStatusFailed:
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return altv1.BacktestRunStatus_BACKTEST_RUN_STATUS_FAILED
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case backtest.RunStatusCanceled:
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return altv1.BacktestRunStatus_BACKTEST_RUN_STATUS_CANCELED
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default:
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return altv1.BacktestRunStatus_BACKTEST_RUN_STATUS_UNSPECIFIED
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}
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}
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func runSpecToProto(spec backtest.RunSpec) *altv1.BacktestRunSpec {
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var pSel *altv1.BacktestInputSelector
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if len(spec.Selector.InstrumentIDs) > 0 || len(spec.Selector.Symbols) > 0 {
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insts := make([]string, len(spec.Selector.InstrumentIDs))
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for i, id := range spec.Selector.InstrumentIDs {
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insts[i] = string(id)
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}
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pSel = &altv1.BacktestInputSelector{
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InstrumentIds: insts,
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Symbols: spec.Selector.Symbols,
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}
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}
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return &altv1.BacktestRunSpec{
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StrategyId: string(spec.StrategyID),
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Market: marketToProto(spec.Market),
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Timeframe: timeframeToProto(spec.Timeframe),
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FromUnixMs: timeToUnixMs(spec.From),
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ToUnixMs: timeToUnixMs(spec.To),
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Selector: pSel,
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}
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}
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func runToProto(run backtest.Run) *altv1.BacktestRun {
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return &altv1.BacktestRun{
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Id: string(run.ID),
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Spec: runSpecToProto(run.Spec),
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Status: runStatusToProto(run.Status),
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CreatedAtUnixMs: timeToUnixMs(run.CreatedAt),
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UpdatedAtUnixMs: timeToUnixMs(run.UpdatedAt),
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}
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}
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func runsToProto(runs []backtest.Run) []*altv1.BacktestRun {
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out := make([]*altv1.BacktestRun, len(runs))
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for i, run := range runs {
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out[i] = runToProto(run)
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}
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return out
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}
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func resultToProto(result backtest.Result) *altv1.BacktestResult {
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return &altv1.BacktestResult{
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RunId: string(result.RunID),
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StartingCash: priceToProto(result.StartingCash),
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EndingEquity: priceToProto(result.EndingEquity),
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Trades: tradesToProto(result.Trades),
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Positions: positionsToProto(result.Positions),
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Summary: summaryToProto(result.Summary),
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EquityCurve: equityCurveToProto(result.EquityCurve),
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}
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}
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func resultsToProto(results []backtest.Result) []*altv1.BacktestResult {
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out := make([]*altv1.BacktestResult, len(results))
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for i, result := range results {
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out[i] = resultToProto(result)
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}
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return out
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}
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func tradesToProto(trades []backtest.TradeSummary) []*altv1.BacktestTrade {
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if len(trades) == 0 {
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return nil
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}
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out := make([]*altv1.BacktestTrade, len(trades))
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for i, t := range trades {
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out[i] = &altv1.BacktestTrade{
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InstrumentId: string(t.InstrumentID),
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Side: string(t.Side),
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Quantity: quantityToProto(t.Quantity),
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Price: priceToProto(t.Price),
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TimestampUnixMs: timeToUnixMs(t.Timestamp),
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}
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}
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return out
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}
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func positionsToProto(positions []backtest.PositionSummary) []*altv1.BacktestPosition {
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if len(positions) == 0 {
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return nil
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}
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out := make([]*altv1.BacktestPosition, len(positions))
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for i, p := range positions {
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out[i] = &altv1.BacktestPosition{
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InstrumentId: string(p.InstrumentID),
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Quantity: quantityToProto(p.Quantity),
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LastPrice: priceToProto(p.LastPrice),
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}
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}
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return out
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}
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func summaryToProto(summary backtest.SummaryMetrics) *altv1.BacktestSummaryMetrics {
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return &altv1.BacktestSummaryMetrics{
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StartingCash: priceToProto(summary.StartingCash),
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EndingEquity: priceToProto(summary.EndingEquity),
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TotalReturn: decimalToProto(summary.TotalReturn),
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TradeCount: int32(summary.TradeCount),
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}
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}
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func equityCurveToProto(points []backtest.EquityPoint) []*altv1.BacktestEquityPoint {
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if len(points) == 0 {
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return nil
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}
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out := make([]*altv1.BacktestEquityPoint, len(points))
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for i, p := range points {
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out[i] = &altv1.BacktestEquityPoint{
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TimestampUnixMs: timeToUnixMs(p.Timestamp),
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Equity: priceToProto(p.Equity),
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}
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}
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return out
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}
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func priceToProto(price market.Price) *altv1.Price {
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return &altv1.Price{
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Currency: currencyToProto(price.Currency),
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Amount: decimalToProto(price.Amount),
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}
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}
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func quantityToProto(quantity market.Quantity) *altv1.Quantity {
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return &altv1.Quantity{
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Amount: decimalToProto(quantity.Amount),
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}
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}
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func decimalToProto(decimal market.Decimal) *altv1.Decimal {
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return &altv1.Decimal{Value: decimal.Value}
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}
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func currencyToProto(c market.Currency) altv1.Currency {
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switch c {
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case market.CurrencyKRW:
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return altv1.Currency_CURRENCY_KRW
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case market.CurrencyUSD:
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return altv1.Currency_CURRENCY_USD
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default:
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return altv1.Currency_CURRENCY_UNSPECIFIED
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}
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}
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// timeToUnixMs converts a domain timestamp to epoch milliseconds. A zero time
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// maps to 0 so empty/unset timestamps stay unambiguous on the wire.
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func timeToUnixMs(t time.Time) int64 {
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if t.IsZero() {
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return 0
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}
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return t.UTC().UnixMilli()
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}
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