Files
foxhunt/services/backtesting_service/src/repository_impl.rs
jgrusewski 1534c498cc fix: resolve merge conflicts from dead code cleanup integration
- Fix backtesting_service compilation after merging dead code removal
- Remove orphaned trait impl methods (check_data_availability, get_sentiment_data,
  create_backtest_record, update_backtest_status, store_time_series_data)
- Wire up OHLCV fields (open/high/low/volume) in baseline strategies:
  MA crossover uses bar range for volatility filter and bullish bar detection,
  buy-and-hold adds volume-based liquidity filter
- Remove TimeFrame enum (unused, all data is minute bars)
- Simplify NewsEvent to unit struct (sentiment fields were never populated)
- Remove dead extract_features method and bar_history buffer from MLPoweredStrategy

Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
2026-02-24 13:47:32 +01:00

261 lines
9.2 KiB
Rust

//! Repository implementations that wrap existing storage infrastructure
use anyhow::Result;
use async_trait::async_trait;
use chrono::{DateTime, Utc};
use std::collections::HashMap;
use std::sync::Arc;
use common::MarketDataEvent;
use data::providers::benzinga::{BenzingaConfig, BenzingaHistoricalProvider};
use data::providers::databento::{DatabentoConfig, DatabentoHistoricalProvider};
use data::providers::traits::{HistoricalProvider, HistoricalSchema};
use data::types::TimeRange;
use crate::dbn_repository::DbnMarketDataRepository;
use crate::foxhunt::tli::BacktestStatus;
use crate::performance::PerformanceMetrics;
use crate::repositories::{
DefaultRepositories, MarketDataRepository, NewsRepository, TradingRepository,
};
use crate::storage::{BacktestSummary, StorageManager};
use crate::strategy_engine::{BacktestTrade, MarketData};
/// Market data repository implementation using data providers
pub struct DataProviderMarketDataRepository {
databento_provider: Arc<DatabentoHistoricalProvider>,
}
impl DataProviderMarketDataRepository {
/// Create a new market data repository with Databento provider
pub async fn new() -> Result<Self> {
let databento_config = DatabentoConfig::default();
// DatabentoHistoricalProvider::new returns Result, use await
let databento_provider =
Arc::new(DatabentoHistoricalProvider::new(databento_config).await?);
Ok(Self { databento_provider })
}
}
#[async_trait]
impl MarketDataRepository for DataProviderMarketDataRepository {
async fn load_historical_data(
&self,
symbols: &[String],
start_time: i64,
end_time: i64,
) -> Result<Vec<MarketData>> {
let start_date = DateTime::from_timestamp_nanos(start_time);
let end_date = DateTime::from_timestamp_nanos(end_time);
// Create TimeRange for the request
let time_range = TimeRange::new(start_date, end_date)
.map_err(|e| anyhow::anyhow!("Failed to create time range: {}", e))?;
// Convert symbols to Symbol type and load data for each
let mut all_market_data = Vec::new();
for symbol_str in symbols {
let symbol = common::Symbol::from(symbol_str.as_str());
// Fetch historical OHLCV bars from Databento
let market_events = self
.databento_provider
.fetch(&symbol, HistoricalSchema::OHLCV, time_range)
.await?;
// Convert MarketDataEvents to MarketData format
for event in market_events {
if let MarketDataEvent::Bar(bar_event) = event {
all_market_data.push(MarketData {
symbol: bar_event.symbol.to_string(),
timestamp: bar_event.end_timestamp,
open: bar_event.open,
high: bar_event.high,
low: bar_event.low,
close: bar_event.close,
volume: bar_event.volume,
});
}
}
}
// Sort by timestamp
all_market_data.sort_by(|a, b| a.timestamp.cmp(&b.timestamp));
Ok(all_market_data)
}
}
/// Trading repository implementation that wraps StorageManager
pub struct StorageManagerTradingRepository {
storage_manager: Arc<StorageManager>,
}
impl StorageManagerTradingRepository {
/// Create a new trading repository with storage manager
pub fn new(storage_manager: Arc<StorageManager>) -> Self {
Self { storage_manager }
}
}
#[async_trait]
impl TradingRepository for StorageManagerTradingRepository {
async fn save_backtest_results(
&self,
backtest_id: &str,
trades: &[BacktestTrade],
metrics: &PerformanceMetrics,
) -> Result<()> {
self.storage_manager
.save_backtest_results(backtest_id, trades, metrics)
.await
}
async fn load_backtest_results(
&self,
backtest_id: &str,
) -> Result<(Vec<BacktestTrade>, PerformanceMetrics)> {
self.storage_manager
.load_backtest_results(backtest_id)
.await
}
async fn list_backtests(
&self,
limit: u32,
offset: u32,
strategy_name: Option<String>,
status_filter: Option<BacktestStatus>,
) -> Result<Vec<BacktestSummary>> {
self.storage_manager
.list_backtests(limit, offset, strategy_name, status_filter)
.await
}
}
/// News repository implementation using Benzinga provider
pub struct BenzingaNewsRepository {
benzinga_provider: Arc<BenzingaHistoricalProvider>,
}
impl BenzingaNewsRepository {
/// Create a new news repository with Benzinga provider
pub async fn new() -> Result<Self> {
let benzinga_config = BenzingaConfig::default();
// BenzingaHistoricalProvider::new returns Result (not async)
let benzinga_provider = Arc::new(BenzingaHistoricalProvider::new(benzinga_config)?);
Ok(Self { benzinga_provider })
}
}
#[async_trait]
impl NewsRepository for BenzingaNewsRepository {
async fn load_news_events(
&self,
symbols: &[String],
start_time: DateTime<Utc>,
end_time: DateTime<Utc>,
) -> Result<Vec<crate::strategy_engine::NewsEvent>> {
// Convert &[String] to Vec<&str>
let symbol_refs: Vec<&str> = symbols.iter().map(|s| s.as_str()).collect();
let news_events = self
.benzinga_provider
.get_all_events(Some(&symbol_refs), start_time, end_time)
.await?;
// Convert data::providers::common::NewsEvent to backtesting NewsEvent (unit struct)
let converted_events: Vec<_> = news_events
.iter()
.map(|_| crate::strategy_engine::NewsEvent)
.collect();
Ok(converted_events)
}
}
/// Factory function to create repository implementation with dependency injection
///
/// Supports two modes controlled by USE_DBN_DATA environment variable:
/// - "true": Use local DBN files (for backtesting with real historical data)
/// - "false" or unset: Use Databento API (default for production)
///
/// When using DBN mode, the following environment variables are required:
/// - DBN_SYMBOL_MAPPINGS: Comma-separated list of symbol:path pairs
/// Example: "ES.FUT:test_data/real/databento/ES.FUT_ohlcv-1m_2024-01-02.dbn"
pub async fn create_repositories(
storage_manager: Arc<StorageManager>,
) -> Result<DefaultRepositories> {
// Check if we should use DBN files instead of API
let use_dbn_data = std::env::var("USE_DBN_DATA")
.ok()
.and_then(|v| v.parse::<bool>().ok())
.unwrap_or(false);
let market_data: Box<dyn MarketDataRepository> = if use_dbn_data {
tracing::info!("Using DBN file-based market data repository");
// Parse DBN file mappings from environment variable (symbol:path pairs)
let mappings_str = std::env::var("DBN_SYMBOL_MAPPINGS").unwrap_or_else(|_| {
"ES.FUT:test_data/real/databento/ES.FUT_ohlcv-1m_2024-01-02.dbn".to_string()
});
let mut file_mapping = HashMap::new();
for pair in mappings_str.split(',') {
let parts: Vec<&str> = pair.trim().split(':').collect();
if parts.len() == 2 {
#[allow(clippy::indexing_slicing)] // Length checked above: parts.len() == 2
let symbol = parts[0].trim().to_string();
#[allow(clippy::indexing_slicing)] // Length checked above: parts.len() == 2
let path = parts[1].trim().to_string();
file_mapping.insert(symbol.clone(), path.clone());
tracing::info!(" DBN file mapping: {} -> {}", symbol, path);
}
}
if file_mapping.is_empty() {
return Err(anyhow::anyhow!(
"USE_DBN_DATA=true but no valid DBN_SYMBOL_MAPPINGS provided. \
Expected format: 'SYMBOL1:path1,SYMBOL2:path2'"
));
}
// Parse symbol mappings (for test compatibility, e.g., BTC/USD -> ES.FUT)
let symbol_map_str = std::env::var("DBN_SYMBOL_MAP").unwrap_or_default();
let mut symbol_mappings = HashMap::new();
if !symbol_map_str.is_empty() {
for pair in symbol_map_str.split(',') {
let parts: Vec<&str> = pair.trim().split(':').collect();
if parts.len() == 2 {
let from_symbol = parts[0].trim().to_string();
let to_symbol = parts[1].trim().to_string();
symbol_mappings.insert(from_symbol.clone(), to_symbol.clone());
tracing::info!(" Symbol mapping: {} -> {}", from_symbol, to_symbol);
}
}
}
Box::new(DbnMarketDataRepository::new_with_mappings(file_mapping, symbol_mappings).await?)
} else {
tracing::info!("Using Databento API-based market data repository");
Box::new(DataProviderMarketDataRepository::new().await?)
};
let trading = Box::new(StorageManagerTradingRepository::new(storage_manager))
as Box<dyn TradingRepository>;
let news = Box::new(BenzingaNewsRepository::new().await?) as Box<dyn NewsRepository>;
Ok(DefaultRepositories {
market_data,
trading,
news,
})
}