foxhunt/services/backtesting_service/examples/debug_dbn_raw_prices.rs

//! Debug DBN Raw Prices
//!
//! Prints the first 20 bars with RAW price values to diagnose conversion issues.

use anyhow::Result;
use dbn::decode::{DecodeRecordRef, DbnDecoder};
use dbn::{OhlcvMsg, VersionUpgradePolicy};

#[tokio::main]
async fn main() -> Result<()> {
    println!("DBN Raw Price Debug");
    println!("===================\n");

    let file_path = "test_data/real/databento/ES.FUT_ohlcv-1m_2024-01-02.dbn";

    // Create decoder
    let mut decoder = DbnDecoder::from_file(file_path)?;
    decoder.set_upgrade_policy(VersionUpgradePolicy::UpgradeToV3)?;

    let mut count = 0;
    let start_bar = 1495;  // Start from bar 1495
    let max_bars = 1520;  // Show through bar 1520

    println!("Bar# | RAW Open       | RAW High       | RAW Low        | RAW Close      | Converted Close | % Change");
    println!("{}", "-".repeat(120));

    let mut prev_close_converted = 0.0;

    while let Some(record_ref) = decoder.decode_record_ref()? {
        if let Some(ohlcv) = record_ref.get::<OhlcvMsg>() {
            count += 1;

            // Skip bars before start_bar
            if count < start_bar {
                continue;
            }

            // Raw values
            let raw_open = ohlcv.open;
            let raw_high = ohlcv.high;
            let raw_low = ohlcv.low;
            let raw_close = ohlcv.close;

            // Converted value (current method: divide by 1 billion)
            let converted_close = raw_close as f64 / 1_000_000_000.0;

            // Alternative conversion (divide by 10 million - 2 decimal places less)
            let alt_converted_close = raw_close as f64 / 10_000_000.0;

            // Calculate percent change from previous bar
            let pct_change = if count > 1 {
                ((converted_close - prev_close_converted) / prev_close_converted).abs() * 100.0
            } else {
                0.0
            };

            println!("{:4} | {:14} | {:14} | {:14} | {:14} | ${:11.2} | {:6.2}%",
                count, raw_open, raw_high, raw_low, raw_close, converted_close, pct_change);

            // Show alternative conversion for anomalous bars
            if pct_change > 10.0 && count > 1 {
                println!("     | Alternative (÷10M): ${:.2} | % change: {:.2}%",
                    alt_converted_close,
                    ((alt_converted_close - (prev_close_converted * 100.0)) / (prev_close_converted * 100.0)).abs() * 100.0
                );
            }

            prev_close_converted = converted_close;

            if count >= max_bars {
                break;
            }
        }
    }

    println!("\n📊 Analysis:");
    println!("  Current conversion: price_i64 / 1,000,000,000 (9 decimal places)");
    println!("  Alternative conversion: price_i64 / 10,000,000 (7 decimal places)");
    println!("\n  If alternating between two price levels, check:");
    println!("  1. Whether some bars use different scale factors");
    println!("  2. Whether price encoding varies by bar type/flag");
    println!("  3. Whether DBN metadata specifies per-message scale");

    Ok(())
}