run backtest with derivatives

bitfinexcom · Sep 21, 2023 · 2a549d7 · 2a549d7
1 parent 4e89b31
commit 2a549d7
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Showing 2 changed files with 32 additions and 2 deletions.
diff --git a/src/components/StrategyEditor/StrategyEditor.container.js b/src/components/StrategyEditor/StrategyEditor.container.js
@@ -104,6 +104,9 @@ const mapDispatchToProps = (dispatch) => ({
       constraints,
       label,
       id,
+      leverageSettings,
+      stopOrderSettings,
+      margin,
     } = data
     const processedStrategy = _omitBy(strategyContent, _isEmpty)
     const sync = true
@@ -125,9 +128,12 @@ const mapDispatchToProps = (dispatch) => ({
             trades,
             candleSeed,
             sync,
+            margin,
             processedStrategy,
             uuidv4(),
             constraints,
+            leverageSettings,
+            stopOrderSettings,
           ],
         ],
       }),

diff --git a/src/components/StrategyEditor/StrategyEditor.helpers.js b/src/components/StrategyEditor/StrategyEditor.helpers.js
@@ -149,13 +149,20 @@ export const prepareStrategyBacktestingArgs = (strategy) => {
       maxDrawdownPerc,
       startDate,
       endDate,
+      margin,
+      useMaxLeverage,
+      increaseLeverage,
+      leverage,
+      addStopOrder,
+      stopOrderPercent,
     },
     strategyContent,
     id,
   } = strategy
 
-  return {
+  const args = {
     symbol: symbol?.wsID,
+    label,
     startNum: new Date(startDate).getTime(),
     endNum: new Date(endDate).getTime(),
     [STRATEGY_OPTIONS_KEYS.TIMEFRAME]: timeframe,
@@ -164,13 +171,30 @@ export const prepareStrategyBacktestingArgs = (strategy) => {
     id,
     [STRATEGY_OPTIONS_KEYS.CANDLES]: candles,
     [STRATEGY_OPTIONS_KEYS.CANDLE_SEED]: candleSeed,
+    [STRATEGY_OPTIONS_KEYS.MARGIN]: margin,
     constraints: {
       [STRATEGY_OPTIONS_KEYS.CAPITAL_ALLOCATION]: Number(capitalAllocation),
       [STRATEGY_OPTIONS_KEYS.STOP_LOSS_PERC]: Number(stopLossPerc),
       [STRATEGY_OPTIONS_KEYS.MAX_DRAWDOWN_PERC]: Number(maxDrawdownPerc),
     },
-    label,
+    leverageSettings: {},
+    stopOrderSettings: {
+      addStopOrder,
+    },
+  }
+
+  if (margin) {
+    args.leverageSettings.useMaxLeverage = useMaxLeverage
+    if (!useMaxLeverage) {
+      args.leverageSettings.leverage = Number(leverage)
+      args.leverageSettings.increaseLeverage = increaseLeverage
+    }
   }
+  if (addStopOrder && stopOrderPercent) {
+    args.stopOrderSettings.stopOrderPercent = Number(stopOrderPercent)
+  }
+
+  return args
 }
 
 export const prepareStrategyToLoad = (strategyToLoad, markets, strategies) => {