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fix: backtest historical date range - paginated getCandlesByRange #77

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Merged
fray-cloud merged 1 commit into from
Apr 2, 2026
Merged

fix: backtest historical date range - paginated getCandlesByRange #77

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41 changes: 11 additions & 30 deletions apps/worker-service/src/backtests/backtests.service.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -212,8 +212,7 @@ export class BacktestsService implements OnModuleInit, OnModuleDestroy {
}

/**
* Fetch historical candles by paginating through exchange API.
* 200 candles per request, walking backwards from endDate.
* Fetch historical candles for the given date range using paginated exchange API calls.
*/
private async fetchHistoricalCandles(
exchange: ExchangeId,
Expand All @@ -233,36 +232,18 @@ export class BacktestsService implements OnModuleInit, OnModuleDestroy {
if (!adapterFactory) throw new Error(`Unsupported exchange: ${exchange}`);

const adapter = adapterFactory();
const allCandles: Candle[] = [];
const startMs = startDate.getTime();
const endMs = endDate.getTime();

// Fetch in pages of 200 candles
// Most exchanges return candles in reverse chronological order,
// but our adapter reverses them to chronological
let fetchedCandles = await adapter.getCandles(symbol, interval, 200);

// Filter to date range
for (const c of fetchedCandles) {
if (c.timestamp >= startMs && c.timestamp <= endMs) {
allCandles.push(c);
}
}

// If we need more historical data, paginate
// This is a simplified approach — for a production system we'd
// use exchange-specific pagination parameters (e.g., `endTime`)
if (allCandles.length > 0) {
// Sort chronologically
allCandles.sort((a, b) => a.timestamp - b.timestamp);
}

// Cache for reuse
if (allCandles.length > 0) {
await this.redis.set(cacheKey, JSON.stringify(allCandles), 'EX', CANDLE_CACHE_TTL);
const candles = await adapter.getCandlesByRange(
symbol,
interval,
startDate.getTime(),
endDate.getTime(),
);

if (candles.length > 0) {
await this.redis.set(cacheKey, JSON.stringify(candles), 'EX', CANDLE_CACHE_TTL);
}

return allCandles;
return candles;
}

/**
Expand Down
72 changes: 72 additions & 0 deletions packages/exchange-adapters/src/binance/binance.rest.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -11,6 +11,18 @@ import { IExchangeRest } from '../interfaces/exchange-rest';

const BASE_URL = 'https://api.binance.com';

function parseIntervalMs(interval: string): number {
const INTERVAL_MS: Record<string, number> = {
'1m': 60_000,
'5m': 300_000,
'15m': 900_000,
'1h': 3_600_000,
'4h': 14_400_000,
'1d': 86_400_000,
};
return INTERVAL_MS[interval] ?? 60_000;
}

interface BinanceOrderResponse {
orderId: number;
symbol: string;
Expand Down Expand Up @@ -168,6 +180,66 @@ export class BinanceRest implements IExchangeRest {
}));
}

async getCandlesByRange(
symbol: string,
interval: string,
startTime: number,
endTime: number,
): Promise<Candle[]> {
const PAGE_LIMIT = 1000;
const intervalMs = parseIntervalMs(interval);
const allCandles: Candle[] = [];
let pageStart = startTime;
const MAX_PAGES = 100;

for (let page = 0; page < MAX_PAGES; page++) {
const res = await fetch(
`${BASE_URL}/api/v3/klines?symbol=${symbol}&interval=${interval}&limit=${PAGE_LIMIT}&startTime=${pageStart}&endTime=${endTime}`,
);
if (!res.ok) {
const body = await res.text();
throw new Error(`Binance API error ${res.status}: ${body}`);
}
const data = (await res.json()) as Array<
[
number,
string,
string,
string,
string,
string,
number,
string,
number,
string,
string,
string,
]
>;
if (data.length === 0) break;

for (const k of data) {
allCandles.push({
exchange: this.exchangeId,
symbol,
interval,
open: k[1],
high: k[2],
low: k[3],
close: k[4],
volume: k[5],
timestamp: k[0],
});
}

if (data.length < PAGE_LIMIT) break;
pageStart = data[data.length - 1][0] + intervalMs;
if (pageStart > endTime) break;
}

return allCandles;
}

private mapOrderResult(o: BinanceOrderResponse): OrderResult {
return {
exchange: this.exchangeId,
Expand Down
74 changes: 74 additions & 0 deletions packages/exchange-adapters/src/bybit/bybit.rest.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -12,6 +12,18 @@ import { IExchangeRest } from '../interfaces/exchange-rest';
const BASE_URL = 'https://api.bybit.com';
const RECV_WINDOW = '5000';

function parseIntervalMs(interval: string): number {
const INTERVAL_MS: Record<string, number> = {
'1m': 60_000,
'5m': 300_000,
'15m': 900_000,
'1h': 3_600_000,
'4h': 14_400_000,
'1d': 86_400_000,
};
return INTERVAL_MS[interval] ?? 60_000;
}

export class BybitRest implements IExchangeRest {
readonly exchangeId = 'bybit' as const;

Expand Down Expand Up @@ -214,6 +226,68 @@ export class BybitRest implements IExchangeRest {
}));
}

async getCandlesByRange(
symbol: string,
interval: string,
startTime: number,
endTime: number,
): Promise<Candle[]> {
const INTERVAL_MAP: Record<string, string> = {
'1m': '1',
'5m': '5',
'15m': '15',
'1h': '60',
'4h': '240',
'1d': 'D',
};
const bybitInterval = INTERVAL_MAP[interval] || '1';
const intervalMs = parseIntervalMs(interval);
Comment on lines +243 to +244
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@sourcery-ai sourcery-ai Bot Apr 2, 2026

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issue (bug_risk): Bybit candle interval handling has the same silent fallback-to-1m behavior as Upbit.

An unsupported interval currently falls back to Bybit '1' with intervalMs as 1 minute, which can silently distort backtest data. Consider validating interval against INTERVAL_MAP and throwing for unsupported values instead of defaulting.

const PAGE_LIMIT = 1000;
const allCandles: Candle[] = [];
let pageStart = startTime;
const MAX_PAGES = 100;

for (let page = 0; page < MAX_PAGES; page++) {
const res = await fetch(
`${BASE_URL}/v5/market/kline?category=spot&symbol=${symbol}&interval=${bybitInterval}&limit=${PAGE_LIMIT}&start=${pageStart}&end=${endTime}`,
);
if (!res.ok) {
const body = await res.text();
throw new Error(`Bybit API error ${res.status}: ${body}`);
}
const data = (await res.json()) as {
retCode: number;
retMsg: string;
result: { list: Array<[string, string, string, string, string, string, string]> };
};
if (data.retCode !== 0) {
throw new Error(`Bybit API error: ${data.retMsg}`);
}
const list = data.result?.list ?? [];
if (list.length === 0) break;

// Bybit returns newest-first; reverse to chronological
const page_candles = list.reverse().map((k) => ({
exchange: this.exchangeId,
symbol,
interval,
open: k[1],
high: k[2],
low: k[3],
close: k[4],
volume: k[5],
timestamp: Number(k[0]),
}));
allCandles.push(...page_candles);

if (list.length < PAGE_LIMIT) break;
pageStart = page_candles[page_candles.length - 1].timestamp + intervalMs;
if (pageStart > endTime) break;
}

return allCandles;
}

private mapOrder(o: BybitOrder): OrderResult {
return {
exchange: this.exchangeId,
Expand Down
6 changes: 6 additions & 0 deletions packages/exchange-adapters/src/interfaces/exchange-rest.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -25,4 +25,10 @@ export interface IExchangeRest {
): Promise<OrderResult>;
getMarkets(): Promise<Market[]>;
getCandles(symbol: string, interval: string, limit?: number): Promise<Candle[]>;
getCandlesByRange(
symbol: string,
interval: string,
startTime: number,
endTime: number,
): Promise<Candle[]>;
}
84 changes: 84 additions & 0 deletions packages/exchange-adapters/src/upbit/upbit.rest.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -13,6 +13,18 @@ import { IExchangeRest } from '../interfaces/exchange-rest';

const BASE_URL = 'https://api.upbit.com';

function parseIntervalMs(interval: string): number {
const INTERVAL_MS: Record<string, number> = {
'1m': 60_000,
'5m': 300_000,
'15m': 900_000,
'1h': 3_600_000,
'4h': 14_400_000,
'1d': 86_400_000,
};
return INTERVAL_MS[interval] ?? 60_000;
}

interface UpbitTrade {
market: string;
uuid: string;
Expand Down Expand Up @@ -177,6 +189,78 @@ export class UpbitRest implements IExchangeRest {
}));
}

async getCandlesByRange(
symbol: string,
interval: string,
startTime: number,
endTime: number,
): Promise<Candle[]> {
const INTERVAL_MAP: Record<string, string> = {
'1m': 'minutes/1',
'5m': 'minutes/5',
'15m': 'minutes/15',
'1h': 'minutes/60',
'4h': 'minutes/240',
'1d': 'days',
};
const path = INTERVAL_MAP[interval] || 'minutes/1';
const intervalMs = parseIntervalMs(interval);
const PAGE_LIMIT = 200;
const allCandles: Candle[] = [];
// Upbit paginates backward via `to` (exclusive end, ISO 8601)
let pageEnd = endTime;
const MAX_PAGES = 100;

for (let page = 0; page < MAX_PAGES; page++) {
const toParam = new Date(pageEnd + 1).toISOString();
const res = await fetch(
`${BASE_URL}/v1/candles/${path}?market=${symbol}&count=${PAGE_LIMIT}&to=${toParam}`,
);
if (!res.ok) {
const body = await res.text();
throw new Error(`Upbit API error ${res.status}: ${body}`);
}
const data = (await res.json()) as Array<{
candle_date_time_utc: string;
opening_price: number;
high_price: number;
low_price: number;
trade_price: number;
candle_acc_trade_volume: number;
timestamp: number;
}>;
if (data.length === 0) break;

// data is newest-first; filter to range and prepend to result
const inRange: Candle[] = [];
for (const k of data) {
if (k.timestamp < startTime) continue;
if (k.timestamp > endTime) continue;
inRange.push({
exchange: this.exchangeId,
symbol,
interval,
open: String(k.opening_price),
high: String(k.high_price),
low: String(k.low_price),
close: String(k.trade_price),
volume: String(k.candle_acc_trade_volume),
timestamp: k.timestamp,
});
}
// prepend so final array is chronological
allCandles.unshift(...inRange.reverse());

const oldestInPage = data[data.length - 1].timestamp;
if (oldestInPage <= startTime) break;
if (data.length < PAGE_LIMIT) break;
pageEnd = oldestInPage - intervalMs;
if (pageEnd < startTime) break;
}

return allCandles;
}

private mapOrderResponse(o: UpbitOrderResponse): OrderResult {
const execVol = parseFloat(o.executed_volume);

Expand Down
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