Remove deprecated modules and files related to the backtesting framework, including backtest.py, cli.py, config.py, data.py, intrabar.py, logging_utils.py, market_costs.py, metrics.py, trade.py, and supertrend indicators. Introduce a new structure for the backtesting engine with improved organization and functionality, including a CLI handler, data manager, and reporting capabilities. Update dependencies in pyproject.toml to support the new architecture.

engine/market.py

@@ -0,0 +1,156 @@
+"""
+Market type definitions and configuration for backtesting.
+
+Supports different market types with their specific trading conditions:
+- SPOT: No leverage, no funding, long-only
+- PERPETUAL: Leverage, funding rates, long/short
+"""
+from dataclasses import dataclass
+from enum import Enum
+
+
+class MarketType(Enum):
+    """Supported market types for backtesting."""
+    SPOT = "spot"
+    PERPETUAL = "perpetual"
+
+
+@dataclass(frozen=True)
+class MarketConfig:
+    """
+    Configuration for a specific market type.
+    
+    Attributes:
+        market_type: The market type enum value
+        maker_fee: Maker fee as decimal (e.g., 0.0008 = 0.08%)
+        taker_fee: Taker fee as decimal (e.g., 0.001 = 0.1%)
+        max_leverage: Maximum allowed leverage
+        funding_rate: Funding rate per 8 hours as decimal (perpetuals only)
+        funding_interval_hours: Hours between funding payments
+        maintenance_margin_rate: Rate for liquidation calculation
+        supports_short: Whether short-selling is supported
+    """
+    market_type: MarketType
+    maker_fee: float
+    taker_fee: float
+    max_leverage: int
+    funding_rate: float
+    funding_interval_hours: int
+    maintenance_margin_rate: float
+    supports_short: bool
+
+
+# OKX-based default configurations
+SPOT_CONFIG = MarketConfig(
+    market_type=MarketType.SPOT,
+    maker_fee=0.0008,       # 0.08%
+    taker_fee=0.0010,       # 0.10%
+    max_leverage=1,
+    funding_rate=0.0,
+    funding_interval_hours=0,
+    maintenance_margin_rate=0.0,
+    supports_short=False,
+)
+
+PERPETUAL_CONFIG = MarketConfig(
+    market_type=MarketType.PERPETUAL,
+    maker_fee=0.0002,       # 0.02%
+    taker_fee=0.0005,       # 0.05%
+    max_leverage=125,
+    funding_rate=0.0001,    # 0.01% per 8 hours (simplified average)
+    funding_interval_hours=8,
+    maintenance_margin_rate=0.004,  # 0.4% for BTC on OKX
+    supports_short=True,
+)
+
+
+def get_market_config(market_type: MarketType) -> MarketConfig:
+    """
+    Get the configuration for a specific market type.
+    
+    Args:
+        market_type: The market type to get configuration for
+        
+    Returns:
+        MarketConfig with default values for that market type
+    """
+    configs = {
+        MarketType.SPOT: SPOT_CONFIG,
+        MarketType.PERPETUAL: PERPETUAL_CONFIG,
+    }
+    return configs[market_type]
+
+
+def get_ccxt_symbol(symbol: str, market_type: MarketType) -> str:
+    """
+    Convert a standard symbol to CCXT format for the given market type.
+    
+    Args:
+        symbol: Standard symbol (e.g., 'BTC/USDT')
+        market_type: The market type
+        
+    Returns:
+        CCXT-formatted symbol (e.g., 'BTC/USDT:USDT' for perpetuals)
+    """
+    if market_type == MarketType.PERPETUAL:
+        # OKX perpetual format: BTC/USDT:USDT
+        quote = symbol.split('/')[1] if '/' in symbol else 'USDT'
+        return f"{symbol}:{quote}"
+    return symbol
+
+
+def calculate_leverage_stop_loss(
+    leverage: int,
+    maintenance_margin_rate: float = 0.004
+) -> float:
+    """
+    Calculate the implicit stop-loss percentage from leverage.
+    
+    At a given leverage, liquidation occurs when the position loses
+    approximately (1/leverage - maintenance_margin_rate) of its value.
+    
+    Args:
+        leverage: Position leverage multiplier
+        maintenance_margin_rate: Maintenance margin rate (default OKX BTC: 0.4%)
+        
+    Returns:
+        Stop-loss percentage as decimal (e.g., 0.196 for 19.6%)
+    """
+    if leverage <= 1:
+        return 1.0  # No forced stop for spot
+    
+    return (1 / leverage) - maintenance_margin_rate
+
+
+def calculate_liquidation_price(
+    entry_price: float,
+    leverage: float,
+    is_long: bool,
+    maintenance_margin_rate: float = 0.004
+) -> float:
+    """
+    Calculate the liquidation price for a leveraged position.
+    
+    Args:
+        entry_price: Position entry price
+        leverage: Position leverage
+        is_long: True for long positions, False for short
+        maintenance_margin_rate: Maintenance margin rate (default OKX BTC: 0.4%)
+        
+    Returns:
+        Liquidation price
+    """
+    if leverage <= 1:
+        return 0.0 if is_long else float('inf')
+    
+    # Simplified liquidation formula
+    # Long: liq_price = entry * (1 - 1/leverage + maintenance_margin_rate)
+    # Short: liq_price = entry * (1 + 1/leverage - maintenance_margin_rate)
+    margin_ratio = 1 / leverage
+    
+    if is_long:
+        liq_price = entry_price * (1 - margin_ratio + maintenance_margin_rate)
+    else:
+        liq_price = entry_price * (1 + margin_ratio - maintenance_margin_rate)
+    
+    return liq_price