perf: backtest optimization - 15s eval interval + 50k batch + OHLC TP/SL check

backend/backtest.py

@@ -137,36 +137,88 @@ class Position:
 # ─── 回测引擎 ────────────────────────────────────────────────────
 
 class BacktestEngine:
-    def __init__(self, symbol: str):
+    def __init__(self, symbol: str, eval_interval_ms: int = 15000):
         self.symbol = symbol
         self.state = SymbolState(symbol)
-        self.state.warmup = False  # 回测不需要warmup标记
+        self.state.warmup = False
         self.positions: list[Position] = []
         self.closed_positions: list[Position] = []
         self.cooldown_until: int = 0
-        self.equity_curve: list[tuple[int, float]] = []  # (ts, cumulative_pnl_r)
+        self.equity_curve: list[tuple[int, float]] = []
         self.cumulative_pnl = 0.0
         self.trade_count = 0
+        self.eval_interval_ms = eval_interval_ms
+        self.last_eval_ts: int = 0
+        # 每个eval周期内追踪高低价（用于止盈止损检查）
+        self.period_high: float = 0.0
+        self.period_low: float = float('inf')
+        self.period_last_price: float = 0.0
+        self.period_last_ts: int = 0
 
     def process_tick(self, agg_id: int, time_ms: int, price: float, qty: float, is_buyer_maker: int):
-        """处理单个tick"""
+        """处理单个tick — 轻量更新状态 + 追踪高低价"""
-        # 1. 更新状态
+        # 1. 更新核心状态（CVD/ATR/VWAP等）
         self.state.process_trade(agg_id, time_ms, price, qty, is_buyer_maker)
 
-        # 2. 检查持仓止盈止损
+        # 2. 追踪区间高低价
+        if price > self.period_high:
+            self.period_high = price
+        if price < self.period_low:
+            self.period_low = price
+        self.period_last_price = price
+        self.period_last_ts = time_ms
+
+        # 3. 每eval_interval检查一次止盈止损 + 评估信号
+        if time_ms - self.last_eval_ts >= self.eval_interval_ms:
+            self._evaluate(time_ms, price)
+            self.last_eval_ts = time_ms
+            self.period_high = price
+            self.period_low = price
+
+    def _evaluate(self, time_ms: int, price: float):
+        """每15秒执行一次：检查止盈止损 + 评估新信号"""
         atr = self.state.atr_calc.atr
+
+        # 检查持仓止盈止损（用区间高低价模拟逐tick精度）
         for pos in self.positions[:]:
-            if pos.check_exit(time_ms, price, atr):
+            # 用high/low检查是否触发TP/SL
+            exited = False
+            if pos.direction == "LONG":
+                # 先检查止损（用low）
+                if self.period_low <= pos.sl_price:
+                    exited = pos.check_exit(time_ms, pos.sl_price, atr)
+                # 再检查止盈（用high）
+                elif self.period_high >= pos.tp1_price or (pos.tp1_hit and self.period_high >= pos.tp2_price):
+                    check_price = pos.tp2_price if pos.tp1_hit and self.period_high >= pos.tp2_price else pos.tp1_price
+                    exited = pos.check_exit(time_ms, check_price, atr)
+                else:
+                    # 用TP1检查（可能只触发TP1不退出）
+                    pos.check_exit(time_ms, self.period_high, atr)
+            else:  # SHORT
+                if self.period_high >= pos.sl_price:
+                    exited = pos.check_exit(time_ms, pos.sl_price, atr)
+                elif self.period_low <= pos.tp1_price or (pos.tp1_hit and self.period_low <= pos.tp2_price):
+                    check_price = pos.tp2_price if pos.tp1_hit and self.period_low <= pos.tp2_price else pos.tp1_price
+                    exited = pos.check_exit(time_ms, check_price, atr)
+                else:
+                    pos.check_exit(time_ms, self.period_low, atr)
+
+            # 时间止损检查
+            if not exited and pos.status in ("active", "tp1_hit"):
+                exited = pos.check_exit(time_ms, price, atr)
+
+            if exited or pos.status not in ("active", "tp1_hit"):
+                if pos in self.positions:
                     self.positions.remove(pos)
                     self.closed_positions.append(pos)
                     self.cumulative_pnl += pos.pnl_r
                     self.equity_curve.append((time_ms, self.cumulative_pnl))
 
-        # 3. 评估新信号
+        # 评估新信号
         if time_ms < self.cooldown_until:
             return
         if len(self.positions) > 0:
-            return  # 不同时持多个仓位
+            return
 
         result = self.state.evaluate_signal(time_ms)
         signal = result.get("signal")
@@ -356,7 +408,7 @@ def run_backtest(symbol: str, start_ms: int, end_ms: int, warmup_ms: int = WINDO
     warmup_count = 0
 
     with conn.cursor("warmup_cursor") as cur:
-        cur.itersize = 10000
+        cur.itersize = 50000
         cur.execute(
             "SELECT agg_id, time_ms, price, qty, is_buyer_maker FROM agg_trades "
             "WHERE symbol = %s AND time_ms >= %s AND time_ms < %s ORDER BY agg_id ASC",
@@ -370,13 +422,13 @@ def run_backtest(symbol: str, start_ms: int, end_ms: int, warmup_ms: int = WINDO
 
     # 回测主循环
     total_count = load_trades(symbol, start_ms, end_ms)
-    logger.info(f"开始回测: {symbol}, {total_count:,} 条tick")
+    logger.info(f"开始回测: {symbol}, {total_count:,} 条tick, 评估间隔: {engine.eval_interval_ms}ms")
 
     processed = 0
     last_log = time.time()
 
     with conn.cursor("backtest_cursor") as cur:
-        cur.itersize = 10000
+        cur.itersize = 50000
         cur.execute(
             "SELECT agg_id, time_ms, price, qty, is_buyer_maker FROM agg_trades "
             "WHERE symbol = %s AND time_ms >= %s AND time_ms <= %s ORDER BY agg_id ASC",