Macbook
119 lines
3.6 KiB
TypeScript
119 lines
3.6 KiB
TypeScript
import type { PaperSummaryDto, PaperTradeDto } from './backendApi';
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import { buildAnalysisFromPaperTrades, computePaperMetrics } from './paperMetrics';
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export interface LiveExecutionItem {
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id: string;
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symbol: string;
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strategyLabel: string;
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sourceLabel: string;
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/** 체결 시점 평가 시간봉 */
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timeframe: string;
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executionType?: string;
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strategyId?: number | null;
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trades: PaperTradeDto[];
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createdAt: string;
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totalReturnPct: number;
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winRatePct: number;
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tradeCount: number;
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roundTripCount: number;
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mddPct: number;
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sharpeRatio: number;
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profitFactor: number;
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}
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function dayKey(iso: string | null | undefined): string {
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if (!iso) return 'unknown';
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return iso.slice(0, 10);
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}
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function sourceLabel(source: string): string {
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if (source === 'STRATEGY') return '자동';
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return '수동';
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}
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function resolveStrategyLabel(
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trades: PaperTradeDto[],
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strategyNames: Record<number, string>,
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): string {
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for (const t of trades) {
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if (t.strategyName?.trim()) return t.strategyName.trim();
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}
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const first = trades[0];
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if (first?.strategyId != null) {
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return strategyNames[first.strategyId] ?? `전략 #${first.strategyId}`;
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}
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return '수동 매매';
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}
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/** 자동매매: 종목·전략·시간봉·실행방식 기준 / 수동: 종목·일자 기준 */
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function groupKey(t: PaperTradeDto): string {
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if (t.source === 'STRATEGY') {
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const tf = t.candleType ?? 'unknown';
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const exec = t.executionType ?? '';
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return `${t.symbol}|${t.strategyId ?? 0}|${tf}|${exec}|STRATEGY`;
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}
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return `${t.symbol}|manual|${dayKey(t.createdAt)}|MANUAL`;
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}
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/** 가상투자·모의투자 체결 이력을 실행 단위 목록으로 그룹 */
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export function buildLiveExecutionItems(
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trades: PaperTradeDto[],
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summary: PaperSummaryDto | null,
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strategyNames: Record<number, string> = {},
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): LiveExecutionItem[] {
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if (!trades.length) return [];
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const groups = new Map<string, PaperTradeDto[]>();
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for (const t of trades) {
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const key = groupKey(t);
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const list = groups.get(key) ?? [];
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list.push(t);
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groups.set(key, list);
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}
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const initial = summary?.initialCapital ?? 10_000_000;
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return [...groups.entries()]
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.map(([key, groupTrades]) => {
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const sorted = [...groupTrades].sort((a, b) =>
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(a.createdAt ?? '').localeCompare(b.createdAt ?? ''),
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);
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const first = sorted[0];
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const last = sorted[sorted.length - 1];
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const analysis = buildAnalysisFromPaperTrades(sorted, initial);
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const metrics = computePaperMetrics(sorted, summary);
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return {
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id: key,
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symbol: first.symbol,
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strategyLabel: resolveStrategyLabel(sorted, strategyNames),
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sourceLabel: sourceLabel(first.source),
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timeframe: first.candleType ?? 'unknown',
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executionType: first.executionType ?? undefined,
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strategyId: first.strategyId,
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trades: sorted,
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createdAt: last.createdAt ?? first.createdAt ?? new Date().toISOString(),
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totalReturnPct: analysis.totalReturnPct,
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winRatePct: analysis.winRate,
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tradeCount: sorted.length,
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roundTripCount: analysis.numberOfPositions,
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mddPct: analysis.maxDrawdownPct,
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sharpeRatio: analysis.sharpeRatio,
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profitFactor: metrics.profitFactor,
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};
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})
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.sort((a, b) => b.createdAt.localeCompare(a.createdAt));
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}
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export function paperTradesToSignals(trades: PaperTradeDto[]) {
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return trades
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.filter(t => t.createdAt)
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.map(t => ({
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time: Math.floor(new Date(t.createdAt!).getTime() / 1000),
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type: t.side as 'BUY' | 'SELL',
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price: t.price,
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quantity: t.quantity,
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barIndex: 0,
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}));
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}
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