feat: trading bot MVP — ICT Order Block + Liquidity Sweep strategy
Full-stack trading bot with: - FastAPI backend with ICT strategy (Order Block + Liquidity Sweep detection) - Backtester engine with rolling window, spread simulation, and performance metrics - Hybrid market data service (yfinance + TwelveData with rate limiting + SQLite cache) - Simulated exchange for paper trading - React/TypeScript frontend with TradingView lightweight-charts v5 - Live dashboard with candlestick chart, OHLC legend, trade markers - Backtest page with configurable parameters, equity curve, and trade table - WebSocket support for real-time updates - Bot runner with asyncio loop for automated trading Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
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204
backend/app/core/exchange/simulated.py
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204
backend/app/core/exchange/simulated.py
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"""
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SimulatedExchange — paper trading 100% local, sans broker.
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Les ordres sont simulés en mémoire. Les prix viennent du MarketDataService
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(yfinance + TwelveData + cache DB).
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"""
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import logging
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import uuid
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from datetime import datetime, timezone
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from typing import Optional
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import pandas as pd
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from app.core.exchange.base import (
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AbstractExchange,
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AccountInfo,
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OpenTrade,
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OrderResult,
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)
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logger = logging.getLogger(__name__)
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class SimulatedExchange(AbstractExchange):
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"""
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Exchange simulé pour le paper trading.
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Les positions sont gardées en mémoire (réinitialisées au redémarrage).
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Les trades fermés sont persistés en DB via le BotRunner.
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"""
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def __init__(
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self,
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market_data_service, # MarketDataService — évite l'import circulaire
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initial_balance: float = 10_000.0,
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) -> None:
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self._market_data = market_data_service
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self._balance = initial_balance
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self._initial_balance = initial_balance
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self._open_trades: dict[str, OpenTrade] = {}
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# ── AbstractExchange interface ────────────────────────────────────────────
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async def get_candles(
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self,
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instrument: str,
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granularity: str,
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count: int = 200,
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from_time=None,
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to_time=None,
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) -> pd.DataFrame:
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return await self._market_data.get_candles(
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instrument, granularity, count,
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start=from_time, end=to_time,
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)
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async def place_order(
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self,
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instrument: str,
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units: float,
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stop_loss: float,
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take_profit: float,
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) -> OrderResult:
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price = await self._market_data.get_latest_price(instrument)
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if price is None:
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raise ValueError(f"Prix introuvable pour {instrument}")
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direction = "buy" if units > 0 else "sell"
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trade_id = f"SIM-{uuid.uuid4().hex[:8].upper()}"
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now = datetime.now(timezone.utc).replace(tzinfo=None)
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trade = OpenTrade(
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trade_id=trade_id,
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instrument=instrument,
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direction=direction,
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units=abs(units),
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entry_price=price,
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stop_loss=stop_loss,
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take_profit=take_profit,
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unrealized_pnl=0.0,
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opened_at=now,
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)
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self._open_trades[trade_id] = trade
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logger.info(
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"[SIM] Ordre ouvert %s %s %.2f @ %.5f | SL=%.5f TP=%.5f",
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direction.upper(), instrument, abs(units), price, stop_loss, take_profit,
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)
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return OrderResult(
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trade_id=trade_id,
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instrument=instrument,
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direction=direction,
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units=abs(units),
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entry_price=price,
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stop_loss=stop_loss,
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take_profit=take_profit,
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opened_at=now,
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)
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async def close_trade(self, trade_id: str) -> float:
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trade = self._open_trades.pop(trade_id, None)
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if trade is None:
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raise ValueError(f"Trade {trade_id} introuvable")
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price = await self._market_data.get_latest_price(trade.instrument)
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if price is None:
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price = trade.entry_price
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pnl = self._calc_pnl(trade, price)
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self._balance += pnl
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logger.info(
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"[SIM] Trade fermé %s %s @ %.5f | PnL=%.2f | Balance=%.2f",
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trade_id, trade.instrument, price, pnl, self._balance,
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)
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return pnl
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async def get_open_trades(self) -> list[OpenTrade]:
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# Mettre à jour le PnL flottant
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updated: list[OpenTrade] = []
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for trade in self._open_trades.values():
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price = await self._market_data.get_latest_price(trade.instrument)
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if price is not None:
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pnl = self._calc_pnl(trade, price)
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updated.append(OpenTrade(
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trade_id=trade.trade_id,
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instrument=trade.instrument,
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direction=trade.direction,
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units=trade.units,
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entry_price=trade.entry_price,
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stop_loss=trade.stop_loss,
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take_profit=trade.take_profit,
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unrealized_pnl=pnl,
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opened_at=trade.opened_at,
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))
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else:
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updated.append(trade)
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return updated
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async def get_account_info(self) -> AccountInfo:
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open_trades = await self.get_open_trades()
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unrealized = sum(t.unrealized_pnl for t in open_trades)
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return AccountInfo(
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balance=self._balance,
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nav=self._balance + unrealized,
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unrealized_pnl=unrealized,
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currency="USD",
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)
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async def get_price(self, instrument: str) -> float:
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price = await self._market_data.get_latest_price(instrument)
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if price is None:
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raise ValueError(f"Prix introuvable pour {instrument}")
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return price
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# ── Simulation du tick (appelée par BotRunner) ────────────────────────────
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async def check_sl_tp(self, instrument: str) -> list[tuple[str, float]]:
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"""
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Vérifie si SL ou TP sont touchés pour les positions ouvertes.
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Retourne la liste des (trade_id, pnl) des positions fermées.
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"""
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price = await self._market_data.get_latest_price(instrument)
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if price is None:
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return []
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closed: list[tuple[str, float]] = []
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for trade_id, trade in list(self._open_trades.items()):
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if trade.instrument != instrument:
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continue
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hit = self._is_sl_tp_hit(trade, price)
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if hit:
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exit_price = trade.stop_loss if hit == "sl" else trade.take_profit
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pnl = self._calc_pnl(trade, exit_price)
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self._balance += pnl
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del self._open_trades[trade_id]
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logger.info(
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"[SIM] %s touché — %s %s | PnL=%.2f",
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hit.upper(), trade_id, trade.instrument, pnl,
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)
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closed.append((trade_id, pnl))
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return closed
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# ── Helpers ───────────────────────────────────────────────────────────────
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def _calc_pnl(self, trade: OpenTrade, exit_price: float) -> float:
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if trade.direction == "buy":
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return (exit_price - trade.entry_price) * trade.units
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return (trade.entry_price - exit_price) * trade.units
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def _is_sl_tp_hit(self, trade: OpenTrade, current_price: float) -> Optional[str]:
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if trade.direction == "buy":
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if current_price <= trade.stop_loss:
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return "sl"
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if current_price >= trade.take_profit:
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return "tp"
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else:
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if current_price >= trade.stop_loss:
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return "sl"
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if current_price <= trade.take_profit:
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return "tp"
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return None
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