feat: implement spec-02 — signals, CSV loader, BacktestEngine, and CLI#4
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feat: implement spec-02 — signals, CSV loader, BacktestEngine, and CLI#4
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Adds the signal system with look-ahead bias prevention via publication_offset, CsvSignalProvider, SignalRegistry wired into BacktestEngine and TradingContext, the `nexa run` CLI, full PnL/VWAP/ metrics analysis, and the DA data loading layer. Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
Codecov Report✅ All modified and coverable lines are covered by tests. 📢 Thoughts on this report? Let us know! |
… _load_module - cancel_order success path (backtest.py:152-153) was untested - get_signal_history (backtest.py:250-251) was never called in tests - spec_from_file_location returning None (cli/main.py:123) was untested Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
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Summary
signals/) —SignalProviderprotocol,SignalRegistry,CsvSignalProviderwithpublication_offsetfor look-ahead bias preventionengines/backtest.py) — DA-only replay with simulated clock, wires signals intoTradingContextanalysis/) — PnL calculation, VWAP benchmark comparison, metrics (win rate, volume, trade count)data/) —ParquetLoaderfor DA clearing prices, standard Parquet schemacli/main.py) —nexa runcommand (algo path, exchange, products, date range, data dir)examples/simple_da_algo.py) — runnable algo using a price forecast signalpyproject.toml: promotedpandasandclickto core deps, addednexascript entry point, addedpandas-stubsdev depTest plan
make cipasses (lint + typecheck + tests)nexa run examples/simple_da_algo.py --exchange nordpool --products NO1_DA --start 2026-03-01 --end 2026-03-31 --data-dir tests/fixturesruns end-to-endcurrent_time + publication_offsetare not visible🤖 Generated with Claude Code