feat(core): add shared DTOs, MqttTopics constants, DatabaseBootstrapper, and ManagedMqttClient extensions

2026-08-24 21:35:24 +02:00
parent 6ab84fe1de
commit 44b161d509
39 changed files with 2545 additions and 709 deletions
@@ -0,0 +1,145 @@
+using System;
+using System.Collections.Generic;
+using System.Text.Json.Serialization;
+using FinlyticCore.Dtos.TechnicalAnalysis;
+
+namespace FinlyticCore.Dtos.Simulation;
+
+/// <param name="StrategyParameters">
+/// Per-run overrides for <paramref name="StrategyKey"/>'s tunable indicator parameters, keyed by
+/// <c>"{StrategyKey}.{ParameterName}"</c> (e.g. <c>"MeanReversion.RsiOversold"</c>) - see
+/// <c>TechnicalContext.ParameterOverrides</c>. <see langword="null"/>/empty means "use that strategy's own
+/// hardcoded defaults". Deliberately scoped to backtesting only - live scanning never applies these.
+/// </param>
+public record BacktestRequestDto(
+    string Isin,
+    string Symbol,
+    string StrategyKey,
+    string Timeframe,
+    DateTime StartDateUtc,
+    DateTime EndDateUtc,
+    decimal StartingCapital = 10000m,
+    decimal RiskPerTradePercent = 1.0m, // 1% Risiko pro Trade
+    bool IncludeFeesAndSlippage = true,
+    bool SimulateKnockOutDerivatives = false,
+    decimal? TargetLeverage = 5.0m,
+    Dictionary<string, decimal>? StrategyParameters = null
+);
+
+public record BacktestTradeDto(
+    Guid TradeId,
+    DateTime EntryTimeUtc,
+    DateTime ExitTimeUtc,
+    SignalDirection Direction,
+    decimal EntryPrice,
+    decimal ExitPrice,
+    decimal Quantity,
+    decimal InitialStopLoss,
+    decimal RealizedPnlEur,
+    decimal ReturnPercent,
+    decimal RMultiple,
+    string ExitReason, // "TP1_Hit", "TP2_Hit", "BreakEven", "TrailingStop", "KnockedOut", "TimeExpired"
+    decimal MaxAdverseExcursionPercent, // MAE: Maximaler zwischenzeitlicher Buchverlust
+    decimal MaxFavorableExcursionPercent // MFE: Maximaler zwischenzeitlicher Buchgewinn
+);
+
+public record EquityPointDto(
+    DateTime TimestampUtc,
+    decimal PortfolioValue,
+    decimal DrawdownPercent
+);
+
+public record BacktestReportDto(
+    Guid RunId,
+    string Isin,
+    string Symbol,
+    string StrategyKey,
+    string Timeframe,
+    DateTime StartDateUtc,
+    DateTime EndDateUtc,
+    int TotalTrades,
+    int WinningTrades,
+    int LosingTrades,
+    decimal WinRatePercent,
+    decimal ProfitFactor,
+    decimal MaxDrawdownPercent,
+    decimal TotalReturnPercent,
+    decimal ExpectancyEur,
+    decimal SharpeRatio,
+    decimal AverageRiskRewardRatio,
+    TimeSpan AverageHoldingDuration,
+    List<BacktestTradeDto> Trades,
+    List<EquityPointDto> EquityCurve
+);
+
+public record StrategyAssetReliabilityDto(
+    string Isin,
+    string StrategyKey,
+    decimal ReliabilityScore, // 0 - 100
+    decimal WinRatePercent,
+    decimal ProfitFactor,
+    int SampleTradeCount,
+    bool IsStrategyApprovedForAsset,
+    string RecommendedAction // "BOOST_SCORE", "NEUTRAL", "VETO_DISABLE"
+);
+
+public record GetReliabilityRequest(
+    string Isin,
+    string StrategyKey,
+    string Timeframe = "15m"
+);
+
+/// <summary>
+/// Filters for <c>MqttTopics.Channels.SimGetBacktestHistory</c>. <see cref="StrategyKey"/> is optional -
+/// <see langword="null"/> returns every strategy's runs for the ISIN, so the Web UI can show "all history for
+/// this asset" and let the user narrow down from there.
+/// </summary>
+public record GetBacktestHistoryRequest(
+    string Isin,
+    string? StrategyKey = null,
+    int Limit = 20
+);
+
+/// <summary>
+/// One row of the backtest history list - a lightweight summary (no <c>Trades</c>/<c>EquityCurve</c>) mapped
+/// 1:1 from a persisted <c>SimulationRunEntity</c>, so listing many runs for an asset stays cheap. Fetch the
+/// full <see cref="BacktestReportDto"/> for one specific run via <c>SimGetBacktestRunDetail</c> when the user
+/// drills into it.
+/// </summary>
+public record BacktestHistoryEntryDto(
+    Guid RunId,
+    string Isin,
+    string Symbol,
+    string StrategyKey,
+    string Timeframe,
+    DateTime StartDateUtc,
+    DateTime EndDateUtc,
+    int TotalTrades,
+    decimal WinRatePercent,
+    decimal ProfitFactor,
+    decimal MaxDrawdownPercent,
+    decimal TotalReturnPercent,
+    decimal SharpeRatio,
+    DateTime CreatedAtUtc
+);
+
+/// <summary>Looks up one specific past backtest run's full report by its RunId (<c>MqttTopics.Channels.SimGetBacktestRunDetail</c>).</summary>
+public record GetBacktestRunDetailRequest(Guid RunId);
+
+/// <summary>Looks up a saved parameter profile for one (Isin, StrategyKey) pair (<c>MqttTopics.Channels.SimGetStrategyParameters</c>).</summary>
+public record GetStrategyParametersRequest(string Isin, string StrategyKey);
+
+/// <summary>Upserts a saved parameter profile for one (Isin, StrategyKey) pair (<c>MqttTopics.Channels.SimSaveStrategyParameters</c>).</summary>
+public record SaveStrategyParametersRequest(string Isin, string StrategyKey, Dictionary<string, decimal> Parameters);
+
+/// <summary>
+/// A saved set of tunable indicator parameter overrides for one (Isin, StrategyKey) pair, keyed by
+/// <c>"{StrategyKey}.{ParameterName}"</c> (matching <c>TechnicalContext.ParameterOverrides</c> 1:1) - see
+/// <c>SimulationStrategyParameterEntity</c>.
+/// </summary>
+public record StrategyParameterProfileDto(
+    string Isin,
+    string StrategyKey,
+    Dictionary<string, decimal> Parameters,
+    DateTime UpdatedAtUtc
+);