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매매시 현재가 적용

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Macbook
2026-06-23 00:12:23 +09:00
parent 351c5600b8
commit 6e86ec7ecb
16 changed files with 221 additions and 79 deletions
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backend/src/main/java/com/goldenchart/dto/BacktestSettingsDto.java
+5 -5
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@@ -32,13 +32,13 @@ public class BacktestSettingsDto {
private BigDecimal slippageRate = new BigDecimal("0.00050");
// ── 진입/청산 가격 ─────────────────────────────────────────────────────────
/** CLOSE | NEXT_OPEN */
/** CURRENT | CLOSE(레거시) | NEXT_OPEN */
@Builder.Default
private String entryPriceType = "CLOSE";
private String entryPriceType = "CURRENT";
/** CLOSE | NEXT_OPEN */
/** CURRENT | CLOSE(레거시) | NEXT_OPEN */
@Builder.Default
private String exitPriceType = "CLOSE";
private String exitPriceType = "CURRENT";
// ── 포지션 방향 ────────────────────────────────────────────────────────────
/** LONG | SHORT | BOTH */
@@ -109,7 +109,7 @@ public class BacktestSettingsDto {
private String analysisMethod = "MARK_TO_MARKET";
/**
* SCAN_SIGNALS — 조건 스캔(봉 종가·DSL 충족, 차트 마커와 동일)
* SCAN_SIGNALS — 조건 스캔(현재가·DSL 충족, 차트 마커와 동일)
* BACKTEST_ENGINE — 슬리피지·손절/익절·진입/청산가 등 백테스트 설정 반영 (기본)
*/
@Builder.Default
backend/src/main/java/com/goldenchart/entity/GcBacktestSettings.java
+4 -4
View File
@@ -42,15 +42,15 @@ public class GcBacktestSettings {
private BigDecimal slippageRate = new BigDecimal("0.00050");
// ── 진입/청산 가격 ─────────────────────────────────────────────────────────
/** CLOSE | NEXT_OPEN */
/** CURRENT | CLOSE(레거시) | NEXT_OPEN */
@Column(name = "entry_price_type", nullable = false, length = 20)
@Builder.Default
private String entryPriceType = "CLOSE";
private String entryPriceType = "CURRENT";
/** CLOSE | NEXT_OPEN */
/** CURRENT | CLOSE(레거시) | NEXT_OPEN */
@Column(name = "exit_price_type", nullable = false, length = 20)
@Builder.Default
private String exitPriceType = "CLOSE";
private String exitPriceType = "CURRENT";
// ── 포지션 방향 ────────────────────────────────────────────────────────────
/** LONG | SHORT | BOTH */
backend/src/main/java/com/goldenchart/service/BacktestSettingsService.java
+4 -4
View File
@@ -33,8 +33,8 @@ public class BacktestSettingsService {
entity.setCommissionType(dto.getCommissionType());
entity.setCommissionRate(dto.getCommissionRate());
entity.setSlippageRate(dto.getSlippageRate());
entity.setEntryPriceType(dto.getEntryPriceType());
entity.setExitPriceType(dto.getExitPriceType());
entity.setEntryPriceType(TradeExecutionPriceSupport.normalizePriceType(dto.getEntryPriceType()));
entity.setExitPriceType(TradeExecutionPriceSupport.normalizePriceType(dto.getExitPriceType()));
entity.setPositionDirection(dto.getPositionDirection());
entity.setTradeSizeType(dto.getTradeSizeType());
entity.setTradeSizeValue(dto.getTradeSizeValue());
@@ -71,8 +71,8 @@ public class BacktestSettingsService {
.commissionType(e.getCommissionType())
.commissionRate(e.getCommissionRate())
.slippageRate(e.getSlippageRate())
.entryPriceType(e.getEntryPriceType())
.exitPriceType(e.getExitPriceType())
.entryPriceType(TradeExecutionPriceSupport.normalizePriceType(e.getEntryPriceType()))
.exitPriceType(TradeExecutionPriceSupport.normalizePriceType(e.getExitPriceType()))
.positionDirection(e.getPositionDirection())
.tradeSizeType(e.getTradeSizeType())
.tradeSizeValue(e.getTradeSizeValue())
backend/src/main/java/com/goldenchart/service/BacktestingService.java
+8 -12
View File
@@ -50,7 +50,7 @@ public class BacktestingService {
private static final BacktestSettingsDto DEFAULT_SETTINGS = new BacktestSettingsDto();
/** 조건 스캔 — 종가·DSL 충족 (슬리피지·손절/익절 Rule 미적용) */
/** 조건 스캔 — 현재가·DSL 충족 (슬리피지·손절/익절 Rule 미적용) */
public static final String TRADE_EXEC_SCAN_SIGNALS = "SCAN_SIGNALS";
/** 백테스트 엔진 — 슬리피지·리스크 Rule·진입/청산가 반영 */
public static final String TRADE_EXEC_BACKTEST_ENGINE = "BACKTEST_ENGINE";
@@ -221,8 +221,12 @@ public class BacktestingService {
int barCount = series.getBarCount();
int loopStart = Math.max(0, Math.min(evalStartIndex, barCount));
final String entryPriceType = scanExec ? "CLOSE" : cfg.getEntryPriceType();
final String exitPriceType = scanExec ? "CLOSE" : cfg.getExitPriceType();
final String entryPriceType = scanExec
? TradeExecutionPriceSupport.PRICE_CURRENT
: cfg.getEntryPriceType();
final String exitPriceType = scanExec
? TradeExecutionPriceSupport.PRICE_CURRENT
: cfg.getExitPriceType();
for (int i = loopStart; i < barCount; i++) {
double closePrice = getPrice(series, req.getBars(), i, entryPriceType);
@@ -730,15 +734,7 @@ public class BacktestingService {
// ── 가격 결정 ─────────────────────────────────────────────────────────────
private double getPrice(BarSeries series, List<OhlcvBar> bars, int i, String priceType) {
if ("NEXT_OPEN".equals(priceType) && i + 1 < bars.size())
return bars.get(i + 1).getOpen();
if ("OPEN".equals(priceType))
return series.getBar(i).getOpenPrice().doubleValue();
if ("HIGH".equals(priceType))
return series.getBar(i).getHighPrice().doubleValue();
if ("LOW".equals(priceType))
return series.getBar(i).getLowPrice().doubleValue();
return series.getBar(i).getClosePrice().doubleValue();
return TradeExecutionPriceSupport.backtestExecutionPrice(series, bars, i, priceType);
}
private double applySlippage(double price, BacktestSettingsDto cfg, boolean isBuy) {
backend/src/main/java/com/goldenchart/service/BarCloseStrategyEvaluationService.java
+13 -7
View File
@@ -79,12 +79,14 @@ public class BarCloseStrategyEvaluationService {
if (!"BUY".equals(closeSignal) && !"SELL".equals(closeSignal)) continue;
publishStrategySignal(market, ct, signalBar, closeSignal, s, signalExecType);
double execPrice = TradeExecutionPriceSupport.resolveLiveExecutionPrice(
ta4jStorage, market, ct, signalBar);
publishStrategySignal(market, ct, signalBar, closeSignal, s, signalExecType, execPrice);
try {
tradeSignalService.save(
s.getDeviceId(), s.getUserId(),
market, s.getStrategyId(), null,
closeSignal, signalBar.getClosePrice().doubleValue(),
closeSignal, execPrice,
candleTimeEpoch, ct, signalExecType);
if (s.getUserId() != null) {
String strategyName = tradeSignalService.resolveStrategyName(
@@ -92,7 +94,7 @@ public class BarCloseStrategyEvaluationService {
orderExecutionQueue.submitSignal(
s.getUserId(), market,
s.getStrategyId(), closeSignal,
signalBar.getClosePrice().doubleValue(),
execPrice,
ct, strategyName, signalExecType);
}
} catch (Exception e) {
@@ -138,8 +140,12 @@ public class BarCloseStrategyEvaluationService {
}
private void publishStrategySignal(String market, String candleType, Bar bar, String signal,
GcLiveStrategySettings setting, String executionType) {
GcLiveStrategySettings setting, String executionType,
double executionPrice) {
long barStartEpoch = bar.getEndTime().getEpochSecond() - bar.getTimePeriod().getSeconds();
double signalPrice = executionPrice > 0
? executionPrice
: TradeExecutionPriceSupport.signalBarPrice(bar);
// [기존] 차트 캔들 스트림에 signal 필드 포함하여 발행 (차트 마커 렌더링용, 하위 호환)
CandleBarDto dto = CandleBarDto.builder()
@@ -164,15 +170,15 @@ public class BarCloseStrategyEvaluationService {
.candleType(candleType)
.strategyId(setting.getStrategyId())
.signalType(signal)
.price(bar.getClosePrice().doubleValue())
.price(signalPrice)
.candleTime(barStartEpoch)
.executionType(executionType)
.timestamp(System.currentTimeMillis())
.build();
signalEventBroker.publishToUser(setting.getUserId(), setting.getDeviceId(), signalEvent);
log.info("[BarCloseEval] bar-close signal={} market={} candleType={} strategyId={} userId={}",
signal, market, candleType, setting.getStrategyId(), setting.getUserId());
log.info("[BarCloseEval] bar-close signal={} market={} candleType={} strategyId={} userId={} price={}",
signal, market, candleType, setting.getStrategyId(), setting.getUserId(), signalPrice);
}
private void trimEvaluatedKeys() {
backend/src/main/java/com/goldenchart/service/LiveConditionStatusService.java
+7 -7
View File
@@ -816,7 +816,7 @@ public class LiveConditionStatusService {
boolean inPosition = false;
for (int i = startIdx; i <= primarySeries.getEndIndex(); i++) {
long barTimeSec = barOpenEpochSec(primarySeries, i);
double close = primarySeries.getBar(i).getClosePrice().doubleValue();
double execPrice = TradeExecutionPriceSupport.signalBarPrice(primarySeries, i);
if (signalOnly) {
if (entryRule.isSatisfied(i, null)) {
@@ -824,7 +824,7 @@ public class LiveConditionStatusService {
signals.add(BacktestResponse.Signal.builder()
.time(barTimeSec)
.type("BUY")
.price(close)
.price(execPrice)
.barIndex(i)
.quantity(0)
.build());
@@ -834,7 +834,7 @@ public class LiveConditionStatusService {
signals.add(BacktestResponse.Signal.builder()
.time(barTimeSec)
.type("SELL")
.price(close)
.price(execPrice)
.barIndex(i)
.quantity(0)
.build());
@@ -848,11 +848,11 @@ public class LiveConditionStatusService {
signals.add(BacktestResponse.Signal.builder()
.time(barTimeSec)
.type("BUY")
.price(close)
.price(execPrice)
.barIndex(i)
.quantity(0)
.build());
record.enter(i, primarySeries.numFactory().numOf(close),
record.enter(i, primarySeries.numFactory().numOf(execPrice),
primarySeries.numFactory().numOf(1));
inPosition = true;
}
@@ -861,11 +861,11 @@ public class LiveConditionStatusService {
signals.add(BacktestResponse.Signal.builder()
.time(barTimeSec)
.type("SELL")
.price(close)
.price(execPrice)
.barIndex(i)
.quantity(0)
.build());
record.exit(i, primarySeries.numFactory().numOf(close),
record.exit(i, primarySeries.numFactory().numOf(execPrice),
primarySeries.numFactory().numOf(1));
inPosition = false;
}
backend/src/main/java/com/goldenchart/service/PaperTradingService.java
+1 -10
View File
@@ -492,16 +492,7 @@ public class PaperTradingService {
}
public double resolveMarkPrice(String symbol) {
try {
if (!ta4jStorage.exists(symbol, "1m")) return 0;
BarSeries series = ta4jStorage.getOrCreate(symbol, "1m");
if (!series.isEmpty()) {
Bar last = series.getLastBar();
return last.getClosePrice().doubleValue();
}
} catch (Exception ignored) {
}
return 0;
return TradeExecutionPriceSupport.resolveLiveExecutionPrice(ta4jStorage, symbol, "1m", null);
}
public PaperSummaryDto resetAccount(Long userId) {
backend/src/main/java/com/goldenchart/service/TradeExecutionPriceSupport.java
+96
View File
@@ -0,0 +1,96 @@
package com.goldenchart.service;
import com.goldenchart.dto.OhlcvBar;
import com.goldenchart.storage.Ta4jStorage;
import org.ta4j.core.Bar;
import org.ta4j.core.BarSeries;
import java.util.List;
/**
* 매매 시그널 체결가 — 종가·시장가 대신 현재가(해당 시점 최신 체결가) 기준.
*
* <p>히스토리 백테스트: 시그널 봉의 종가 = 그 시점의 현재가.
* <p>실시간: ta4j 시리즈 최신 봉 종가(틱 갱신) 우선.
*/
public final class TradeExecutionPriceSupport {
public static final String PRICE_CURRENT = "CURRENT";
/** 레거시 — CURRENT 와 동일 취급 */
public static final String PRICE_CLOSE = "CLOSE";
public static final String PRICE_NEXT_OPEN = "NEXT_OPEN";
private TradeExecutionPriceSupport() {
}
/** CLOSE·MARKET·blank → CURRENT */
public static String normalizePriceType(String priceType) {
if (priceType == null || priceType.isBlank()) return PRICE_CURRENT;
return switch (priceType.toUpperCase()) {
case PRICE_CLOSE, "MARKET" -> PRICE_CURRENT;
default -> priceType.toUpperCase();
};
}
/**
* 백테스트·조건 스캔 — 시그널 발생 봉의 체결가.
*/
public static double signalBarPrice(BarSeries series, int barIndex) {
if (series == null || barIndex < series.getBeginIndex() || barIndex > series.getEndIndex()) {
return 0.0;
}
return series.getBar(barIndex).getClosePrice().doubleValue();
}
public static double signalBarPrice(Bar bar) {
if (bar == null) return 0.0;
return bar.getClosePrice().doubleValue();
}
/**
* 실시간 체결가 — 차트 분봉·1m 시리즈 최신 틱가, 없으면 fallback 봉 종가.
*/
public static double resolveLiveExecutionPrice(Ta4jStorage storage, String market,
String candleType, Bar fallbackBar) {
double fromSeries = lastSeriesClosePrice(storage, market, candleType);
if (fromSeries > 0) return fromSeries;
fromSeries = lastSeriesClosePrice(storage, market, "1m");
if (fromSeries > 0) return fromSeries;
return signalBarPrice(fallbackBar);
}
/**
* 백테스트 진입/청산가 — entryPriceType / exitPriceType.
*/
public static double backtestExecutionPrice(BarSeries series, List<OhlcvBar> bars,
int barIndex, String priceType) {
String normalized = normalizePriceType(priceType);
if (PRICE_NEXT_OPEN.equals(normalized) && bars != null && barIndex + 1 < bars.size()) {
return bars.get(barIndex + 1).getOpen();
}
if ("OPEN".equals(normalized)) {
return series.getBar(barIndex).getOpenPrice().doubleValue();
}
if ("HIGH".equals(normalized)) {
return series.getBar(barIndex).getHighPrice().doubleValue();
}
if ("LOW".equals(normalized)) {
return series.getBar(barIndex).getLowPrice().doubleValue();
}
// CURRENT (기본) — 시그널 봉 현재가 = 종가
return signalBarPrice(series, barIndex);
}
private static double lastSeriesClosePrice(Ta4jStorage storage, String market, String candleType) {
if (storage == null || market == null || candleType == null) return 0.0;
try {
if (!storage.exists(market, candleType)) return 0.0;
BarSeries series = storage.getOrCreate(market, candleType);
if (series.isEmpty()) return 0.0;
double p = series.getLastBar().getClosePrice().doubleValue();
return p > 0 ? p : 0.0;
} catch (Exception ignored) {
return 0.0;
}
}
}
backend/src/main/java/com/goldenchart/websocket/LiveStrategyScheduler.java
+6 -5
View File
@@ -6,6 +6,7 @@ import com.goldenchart.entity.GcLiveStrategySettings;
import com.goldenchart.repository.GcLiveStrategySettingsRepository;
import com.goldenchart.service.LiveStrategyEvaluator;
import com.goldenchart.service.StrategyConditionTimeframeService;
import com.goldenchart.service.TradeExecutionPriceSupport;
import com.goldenchart.service.TradeSignalService;
import com.goldenchart.trading.pipeline.OrderExecutionQueue;
import com.goldenchart.storage.Ta4jStorage;
@@ -74,9 +75,9 @@ public class LiveStrategyScheduler {
String signal = evaluator.evaluateSettingRealtimeTick(s, market, candleType);
if ("BUY".equals(signal) || "SELL".equals(signal)) {
// 현재 진행 중인 캔들 정보 조회
org.ta4j.core.Bar lastBar = series.getLastBar();
// Ta4j 0.22: getEndTime() → Instant; 시작 시간 = endTime - duration
double execPrice = TradeExecutionPriceSupport.resolveLiveExecutionPrice(
ta4jStorage, market, candleType, lastBar);
long barStartEpoch = lastBar.getEndTime().getEpochSecond()
- lastBar.getTimePeriod().getSeconds();
@@ -103,7 +104,7 @@ public class LiveStrategyScheduler {
.candleType(candleType)
.strategyId(s.getStrategyId())
.signalType(signal)
.price(lastBar.getClosePrice().doubleValue())
.price(execPrice)
.candleTime(barStartEpoch)
.executionType("REALTIME_TICK")
.timestamp(System.currentTimeMillis())
@@ -118,7 +119,7 @@ public class LiveStrategyScheduler {
s.getDeviceId(), s.getUserId(),
market, s.getStrategyId(), null,
signal,
lastBar.getClosePrice().doubleValue(),
execPrice,
barStartEpoch, candleType, "REALTIME_TICK"
);
if (s.getUserId() != null) {
@@ -127,7 +128,7 @@ public class LiveStrategyScheduler {
orderExecutionQueue.submitSignal(
s.getUserId(), market,
s.getStrategyId(), signal,
lastBar.getClosePrice().doubleValue(),
execPrice,
candleType, strategyName, "REALTIME_TICK");
}
} catch (Exception ex) {
backend/src/test/java/com/goldenchart/service/TradeExecutionPriceSupportTest.java
+52
View File
@@ -0,0 +1,52 @@
package com.goldenchart.service;
import com.goldenchart.dto.OhlcvBar;
import org.junit.jupiter.api.Test;
import org.ta4j.core.BarSeries;
import org.ta4j.core.BaseBarSeriesBuilder;
import java.time.Duration;
import java.time.Instant;
import java.util.List;
import static org.junit.jupiter.api.Assertions.assertEquals;
class TradeExecutionPriceSupportTest {
@Test
void normalizePriceType_mapsCloseAndMarketToCurrent() {
assertEquals("CURRENT", TradeExecutionPriceSupport.normalizePriceType("CLOSE"));
assertEquals("CURRENT", TradeExecutionPriceSupport.normalizePriceType("MARKET"));
assertEquals("NEXT_OPEN", TradeExecutionPriceSupport.normalizePriceType("next_open"));
}
@Test
void backtestExecutionPrice_currentUsesSignalBarClose() {
BarSeries series = new BaseBarSeriesBuilder().build();
Instant t0 = Instant.parse("2024-01-01T00:00:00Z");
series.barBuilder()
.timePeriod(Duration.ofMinutes(1))
.endTime(t0.plus(Duration.ofMinutes(1)))
.openPrice(100).highPrice(110).lowPrice(90).closePrice(105)
.add();
series.barBuilder()
.timePeriod(Duration.ofMinutes(1))
.endTime(t0.plus(Duration.ofMinutes(2)))
.openPrice(105).highPrice(120).lowPrice(100).closePrice(115)
.add();
List<OhlcvBar> bars = List.of(
OhlcvBar.builder().time(t0.getEpochSecond()).open(100).high(110).low(90).close(105).build(),
OhlcvBar.builder().time(t0.plus(Duration.ofMinutes(1)).getEpochSecond())
.open(105).high(120).low(100).close(115).build()
);
double current = TradeExecutionPriceSupport.backtestExecutionPrice(
series, bars, 0, "CURRENT");
assertEquals(105.0, current, 1e-9);
double nextOpen = TradeExecutionPriceSupport.backtestExecutionPrice(
series, bars, 0, "NEXT_OPEN");
assertEquals(105.0, nextOpen, 1e-9);
}
}
frontend/src/components/BacktestSettingsModal.tsx
+6 -6
View File
@@ -18,7 +18,7 @@ const FIELD_META: Partial<Record<keyof BacktestSettingsDto, FieldMeta>> = {
tradeExecutionMode: {
label: '매매 체결 방식',
description:
'시그널·체결가 산출 방식입니다.\n• 백테스트 엔진: 슬리피지, 손절/익절, 진입/청산가 반영. 실제 수익률 분석에 가깝습니다.\n• 조건 스캔: 봉 종가·DSL 충족 기준. 차트 마커·조건 패널과 동일합니다.',
'시그널·체결가 산출 방식입니다.\n• 백테스트 엔진: 슬리피지, 손절/익절, 진입/청산가 반영. 실제 수익률 분석에 가깝습니다.\n• 조건 스캔: 현재가·DSL 충족 기준. 차트 마커·조건 패널과 동일합니다.',
},
positionMode: {
label: '시그널 생성 방식',
@@ -53,12 +53,12 @@ const FIELD_META: Partial<Record<keyof BacktestSettingsDto, FieldMeta>> = {
entryPriceType: {
label: '진입 가격 기준',
description:
'매수 신호 발생 시 어느 가격에 진입하는지 결정합니다.\n• CLOSE(종가): 신호 발생 봉의 종가로 즉시 진입. 구현이 단순하지만 후행성(look-ahead bias) 우려가 있습니다.\n• NEXT_OPEN(다음봉 시가): 신호 다음 봉 시가에 진입. 실제 트레이딩과 가장 유사한 현실적 시뮬레이션입니다.',
'매수 신호 발생 시 어느 가격에 진입하는지 결정합니다.\n• CURRENT(현재가): 신호 발생 시점의 현재가로 즉시 진입.\n• NEXT_OPEN(다음봉 시가): 신호 다음 봉 시가에 진입. 실제 트레이딩과 가장 유사한 현실적 시뮬레이션입니다.',
},
exitPriceType: {
label: '청산 가격 기준',
description:
'매도 신호 발생 시 어느 가격에 청산하는지 결정합니다.\n• CLOSE(종가): 신호 발생 봉의 종가로 즉시 청산합니다.\n• NEXT_OPEN(다음봉 시가): 신호 다음 봉 시가에 청산. 야간 갭 하락 등 실제 리스크를 반영합니다.',
'매도 신호 발생 시 어느 가격에 청산하는지 결정합니다.\n• CURRENT(현재가): 신호 발생 시점의 현재가로 즉시 청산합니다.\n• NEXT_OPEN(다음봉 시가): 신호 다음 봉 시가에 청산. 야간 갭 하락 등 실제 리스크를 반영합니다.',
},
positionDirection: {
label: '포지션 방향',
@@ -151,7 +151,7 @@ const SECTIONS: SettingSection[] = [
key: 'tradeExecutionMode', type: 'select',
opts: [
{ value: 'BACKTEST_ENGINE', label: '백테스트 엔진 (슬리피지·리스크 반영)' },
{ value: 'SCAN_SIGNALS', label: '조건 스캔 (봉 종가·DSL 충족)' },
{ value: 'SCAN_SIGNALS', label: '조건 스캔 (현재가·DSL 충족)' },
],
},
],
@@ -203,11 +203,11 @@ const SECTIONS: SettingSection[] = [
fields: [
{
key: 'entryPriceType', type: 'select',
opts: [{ value:'CLOSE', label:'종가 (Close)' }, { value:'NEXT_OPEN', label:'다음봉 시가 (Next Open)' }],
opts: [{ value:'CURRENT', label:'현재가 (Current)' }, { value:'NEXT_OPEN', label:'다음봉 시가 (Next Open)' }],
},
{
key: 'exitPriceType', type: 'select',
opts: [{ value:'CLOSE', label:'종가 (Close)' }, { value:'NEXT_OPEN', label:'다음봉 시가 (Next Open)' }],
opts: [{ value:'CURRENT', label:'현재가 (Current)' }, { value:'NEXT_OPEN', label:'다음봉 시가 (Next Open)' }],
},
{
key: 'positionDirection', type: 'select',
frontend/src/components/BacktestSettingsPanel.tsx
+8 -8
View File
@@ -233,19 +233,19 @@ export const BacktestSettingsPanel: React.FC<BacktestSettingsPanelProps> = ({
<BtSection title="거래 가격 기준">
<BtGrid>
<BtField label="진입 가격 기준" desc="매수 신호 시 진입 가격. 종가 즉시 진입 또는 다음 봉 시가 진입.">
<BtField label="진입 가격 기준" desc="매수 신호 시 진입 가격. 현재가(시그널 시점) 또는 다음 봉 시가.">
<select className="stg-select stg-select--wide"
value={cfg.entryPriceType}
onChange={e => field('entryPriceType', e.target.value as 'CLOSE' | 'NEXT_OPEN')}>
<option value="CLOSE">종가 (Close)</option>
value={cfg.entryPriceType === 'CLOSE' ? 'CURRENT' : cfg.entryPriceType}
onChange={e => field('entryPriceType', e.target.value as 'CURRENT' | 'NEXT_OPEN')}>
<option value="CURRENT">현재가 (Current)</option>
<option value="NEXT_OPEN">다음봉 시가 (Next Open)</option>
</select>
</BtField>
<BtField label="청산 가격 기준" desc="매도 신호 시 청산 가격. 종가 즉시 청산 또는 다음 봉 시가 청산.">
<BtField label="청산 가격 기준" desc="매도 신호 시 청산 가격. 현재가(시그널 시점) 또는 다음 봉 시가.">
<select className="stg-select stg-select--wide"
value={cfg.exitPriceType}
onChange={e => field('exitPriceType', e.target.value as 'CLOSE' | 'NEXT_OPEN')}>
<option value="CLOSE">종가 (Close)</option>
value={cfg.exitPriceType === 'CLOSE' ? 'CURRENT' : cfg.exitPriceType}
onChange={e => field('exitPriceType', e.target.value as 'CURRENT' | 'NEXT_OPEN')}>
<option value="CURRENT">현재가 (Current)</option>
<option value="NEXT_OPEN">다음봉 시가 (Next Open)</option>
</select>
</BtField>
frontend/src/utils/backendApi.ts
+4 -4
View File
@@ -1419,8 +1419,8 @@ export interface BacktestSettingsDto {
commissionType: 'LINEAR' | 'ZERO';
commissionRate: number;
slippageRate: number;
entryPriceType: 'CLOSE' | 'NEXT_OPEN';
exitPriceType: 'CLOSE' | 'NEXT_OPEN';
entryPriceType: 'CURRENT' | 'CLOSE' | 'NEXT_OPEN';
exitPriceType: 'CURRENT' | 'CLOSE' | 'NEXT_OPEN';
positionDirection: 'LONG' | 'SHORT' | 'BOTH';
tradeSizeType: 'CAPITAL_PCT' | 'FIXED_AMOUNT';
tradeSizeValue: number;
@@ -1447,8 +1447,8 @@ export const DEFAULT_BACKTEST_SETTINGS: BacktestSettingsDto = {
commissionType: 'LINEAR',
commissionRate: 0.0015,
slippageRate: 0.0005,
entryPriceType: 'CLOSE',
exitPriceType: 'CLOSE',
entryPriceType: 'CURRENT',
exitPriceType: 'CURRENT',
positionDirection: 'LONG',
tradeSizeType: 'CAPITAL_PCT',
tradeSizeValue: 100,
frontend/src/utils/strategyEvaluationReport.ts
+1 -1
View File
@@ -432,7 +432,7 @@ export function buildStrategyEvaluationReportModel(opts: {
'분석 기간 전체 캔들 기준으로, 최초 매수 이전 매도·최종 매도 이후 매수 시그널은 제외했습니다. '
+ '매도는 보유 물량 전량 매도로 가정합니다. '
+ (opts.tradeExecutionMode === 'SCAN_SIGNALS'
? '체결가: 조건 스캔(봉 종가·DSL 충족).'
? '체결가: 조건 스캔(현재가·DSL 충족).'
: '체결가: 백테스트 설정(슬리피지·손절/익절·진입/청산가) 반영.'),
};
}
frontend/src/utils/tradeExecutionMode.ts
+2 -2
View File
@@ -14,8 +14,8 @@ export const TRADE_EXECUTION_MODE_OPTIONS: {
},
{
value: 'SCAN_SIGNALS',
label: '조건 스캔 (봉 종가·DSL 충족)',
desc: '차트 마커·조건 패널과 동일. 봉 종가 기준 이상적 체결.',
label: '조건 스캔 (현재가·DSL 충족)',
desc: '차트 마커·조건 패널과 동일. 시그널 시점 현재가 기준 체결.',
},
];
packages/shared/src/api/backendApi.ts
+4 -4
View File
@@ -1130,8 +1130,8 @@ export interface BacktestSettingsDto {
commissionType: 'LINEAR' | 'ZERO';
commissionRate: number;
slippageRate: number;
entryPriceType: 'CLOSE' | 'NEXT_OPEN';
exitPriceType: 'CLOSE' | 'NEXT_OPEN';
entryPriceType: 'CURRENT' | 'CLOSE' | 'NEXT_OPEN';
exitPriceType: 'CURRENT' | 'CLOSE' | 'NEXT_OPEN';
positionDirection: 'LONG' | 'SHORT' | 'BOTH';
tradeSizeType: 'CAPITAL_PCT' | 'FIXED_AMOUNT';
tradeSizeValue: number;
@@ -1154,8 +1154,8 @@ export const DEFAULT_BACKTEST_SETTINGS: BacktestSettingsDto = {
commissionType: 'LINEAR',
commissionRate: 0.0015,
slippageRate: 0.0005,
entryPriceType: 'CLOSE',
exitPriceType: 'CLOSE',
entryPriceType: 'CURRENT',
exitPriceType: 'CURRENT',
positionDirection: 'LONG',
tradeSizeType: 'CAPITAL_PCT',
tradeSizeValue: 100,