backtest-kit
Advanced tools
A TypeScript framework for backtesting and live trading strategies on multi-asset, crypto, forex or DEX (peer-to-peer marketplace), spot, futures with crash-safe persistence, signal validation, and AI optimization.
Build reliable trading systems: backtest on historical data, deploy live bots with recovery, and optimize strategies using LLMs like Ollama.
📚 API Reference | 🌟 Quick Start | 📰 Article
New to backtest-kit? The fastest way to get a real, production-ready setup is to clone the reference implementation — a fully working news-sentiment AI trading system with LLM forecasting, multi-timeframe data, and a documented February 2026 backtest. Start there instead of from scratch.
Minimal scaffold — all boilerplate stays inside
@backtest-kit/cli:
npx @backtest-kit/cli --init --output backtest-kit-project
cd backtest-kit-project
npm install
npm start
The generated project contains only your strategy files. There is no bootstrap, exchange registration, or runner code to maintain — all of that lives inside @backtest-kit/cli and is invoked via npm start. Library documentation is fetched automatically into docs/lib/ on init.
Full-control scaffold — all wiring is in your project files:
npx -y @backtest-kit/sidekick my-trading-bot
cd my-trading-bot
npm start
Sidekick generates a project where the exchange adapter, frame definitions, risk rules, strategy logic, and runner script all live as editable source files inside the project. Use it when you need full visibility and control over every part of the setup.
Automatic restarts — Zero-downtime trading:
npx @backtest-kit/cli --docker
cd backtest-kit-docker
MODE=live SYMBOL=TRXUSDT STRATEGY_FILE=./content/feb_2026/feb_2026.strategy.ts docker-compose up -d
docker-compose logs -f
CLI can create a ready-to-use Docker workspace: self-contained directory with docker-compose.yaml and a strategy entry point. CLI supports Multiple Symbol in Parallel for powerusers.
Want to see the code? 👉 Demo app 👈
npm install backtest-kit ccxt ollama uuid
Install the core library and peer dependencies manually. Use this approach when integrating backtest-kit into an existing project or when you need full control over your package setup.
With the calculation of PnL, Peak Profit and Max Drawdown for each Entry
import { setLogger, setConfig } from 'backtest-kit';
// Enable logging
setLogger({
log: console.log,
debug: console.debug,
info: console.info,
warn: console.warn,
});
// Global config (optional)
setConfig({
CC_PERCENT_SLIPPAGE: 0.1, // % slippage
CC_PERCENT_FEE: 0.1, // % fee
CC_SCHEDULE_AWAIT_MINUTES: 120, // Pending signal timeout
});
import ccxt from 'ccxt';
import { addExchangeSchema, addStrategySchema, addFrameSchema, addRiskSchema } from 'backtest-kit';
// Exchange (data source)
addExchangeSchema({
exchangeName: 'binance',
getCandles: async (symbol, interval, since, limit) => {
const exchange = new ccxt.binance();
const ohlcv = await exchange.fetchOHLCV(symbol, interval, since.getTime(), limit);
return ohlcv.map(([timestamp, open, high, low, close, volume]) => ({ timestamp, open, high, low, close, volume }));
},
formatPrice: (symbol, price) => price.toFixed(2),
formatQuantity: (symbol, quantity) => quantity.toFixed(8),
});
// Risk profile
addRiskSchema({
riskName: 'demo',
validations: [
// TP at least 1%
({ pendingSignal, currentPrice }) => {
const { priceOpen = currentPrice, priceTakeProfit, position } = pendingSignal;
const tpDistance = position === 'long' ? ((priceTakeProfit - priceOpen) / priceOpen) * 100 : ((priceOpen - priceTakeProfit) / priceOpen) * 100;
if (tpDistance < 1) throw new Error(`TP too close: ${tpDistance.toFixed(2)}%`);
},
// R/R at least 2:1
({ pendingSignal, currentPrice }) => {
const { priceOpen = currentPrice, priceTakeProfit, priceStopLoss, position } = pendingSignal;
const reward = position === 'long' ? priceTakeProfit - priceOpen : priceOpen - priceTakeProfit;
const risk = position === 'long' ? priceOpen - priceStopLoss : priceStopLoss - priceOpen;
if (reward / risk < 2) throw new Error('Poor R/R ratio');
},
],
});
// Time frame
addFrameSchema({
frameName: '1d-test',
interval: '1m',
startDate: new Date('2025-12-01'),
endDate: new Date('2025-12-02'),
});
import { v4 as uuid } from 'uuid';
import { addStrategySchema, getCandles, dumpAgentAnswer, dumpRecord } from 'backtest-kit';
import { json } from './utils/json.mjs'; // LLM wrapper
import { getMessages } from './utils/messages.mjs'; // Market data prep
addStrategySchema({
strategyName: 'llm-strategy',
interval: '5m',
riskName: 'demo',
getSignal: async (symbol) => {
const candles1h = await getCandles(symbol, "1h", 24);
const candles15m = await getCandles(symbol, "15m", 48);
const candles5m = await getCandles(symbol, "5m", 60);
const candles1m = await getCandles(symbol, "1m", 60);
const messages = await getMessages(symbol, {
candles1h,
candles15m,
candles5m,
candles1m,
}); // Calculate indicators / Fetch news
const resultId = uuid();
const signal = await json(messages); // LLM generates signal
await dumpAgentAnswer({
dumpId: "position-context",
bucketName: "multi-timeframe-strategy",
messages: messages, // pass saved messages here
description: "agent reasoning for this signal",
});
await dumpRecord({
dumpId: "position-entry",
bucketName: "multi-timeframe-strategy",
record: signal, // pass saved signal record here
description: "signal entry parameters",
});
return { ...signal, id: resultId };
},
});
import { Backtest, listenSignalBacktest, listenDoneBacktest } from 'backtest-kit';
Backtest.background('BTCUSDT', {
strategyName: 'llm-strategy',
exchangeName: 'binance',
frameName: '1d-test',
});
listenSignalBacktest((event) => console.log(event));
listenDoneBacktest(async (event) => {
await Backtest.dump(event.symbol, event.strategyName); // Generate report
});
import { Live, listenSignalLive } from 'backtest-kit';
Live.background('BTCUSDT', {
strategyName: 'llm-strategy',
exchangeName: 'binance', // Use API keys in .env
});
listenSignalLive((event) => console.log(event));
listenRisk, listenError, listenPartialProfit/Loss for alerts.Backtest.dump(), Live.dump().Customize via setConfig():
CC_SCHEDULE_AWAIT_MINUTES: Pending timeout (default: 120).CC_AVG_PRICE_CANDLES_COUNT: VWAP candles (default: 5).Backtest Kit is not a data-processing library - it is a time execution engine. Think of the engine as an async stream of time, where your strategy is evaluated step by step.
These three functions work together to dynamically manage the position. To reduce position linearity, by default, each DCA entry is formatted as a fixed unit of $100. This can be changed. No mathematical knowledge is required.
Public API:
commitAverageBuy — adds a new DCA entry. By default, only accepted when current price is below a new low. Silently rejected otherwise. This prevents averaging up. Can be overridden using setConfigcommitPartialProfit — closes X% of the position at a profit. Locks in gains while keeping exposure.commitPartialLoss — closes X% of the position at a loss. Cuts exposure before the stop-loss is hit.Scenario: LONG entry @ 1000, 4 DCA attempts (1 rejected), 3 partials, closed at TP.
totalInvested = $400 (4 × $100, rejected attempt not counted).
Entries
entry#1 @ 1000 → 0.10000 coins
commitPartialProfit(30%) @ 1150 ← cnt=1
entry#2 @ 950 → 0.10526 coins
entry#3 @ 880 → 0.11364 coins
commitPartialLoss(20%) @ 860 ← cnt=3
entry#4 @ 920 → 0.10870 coins
commitPartialProfit(40%) @ 1050 ← cnt=4
entry#5 @ 980 ✗ REJECTED (980 > ep3≈929.92)
totalInvested = $400
Partial#1 — commitPartialProfit @ 1150, 30%, cnt=1
effectivePrice = hm(1000) = 1000
costBasis = $100
partialDollarValue = 30% × 100 = $30 → weight = 30/400 = 0.075
pnl = (1150−1000)/1000 × 100 = +15.00%
costBasis → $70
coins sold: 0.03000 × 1150 = $34.50
remaining: 0.07000
DCA after Partial#1
entry#2 @ 950 (950 < ep1=1000 ✓ accepted)
entry#3 @ 880 (880 < ep1=1000 ✓ accepted)
coins: 0.07000 + 0.10526 + 0.11364 = 0.28890
Partial#2 — commitPartialLoss @ 860, 20%, cnt=3
costBasis = 70 + 100 + 100 = $270
ep2 = 270 / 0.28890 ≈ 934.58
partialDollarValue = 20% × 270 = $54 → weight = 54/400 = 0.135
pnl = (860−934.58)/934.58 × 100 ≈ −7.98%
costBasis → $216
coins sold: 0.05778 × 860 = $49.69
remaining: 0.23112
DCA after Partial#2
entry#4 @ 920 (920 < ep2=934.58 ✓ accepted)
coins: 0.23112 + 0.10870 = 0.33982
Partial#3 — commitPartialProfit @ 1050, 40%, cnt=4
costBasis = 216 + 100 = $316
ep3 = 316 / 0.33982 ≈ 929.92
partialDollarValue = 40% × 316 = $126.4 → weight = 126.4/400 = 0.316
pnl = (1050−929.92)/929.92 × 100 ≈ +12.91%
costBasis → $189.6
coins sold: 0.13593 × 1050 = $142.72
remaining: 0.20389
DCA after Partial#3 — rejected
entry#5 @ 980 (980 > ep3≈929.92 ✗ REJECTED)
Close at TP @ 1200
ep_final = ep3 ≈ 929.92 (no new entries)
coins: 0.20389
remainingDollarValue = 400 − 30 − 54 − 126.4 = $189.6
weight = 189.6/400 = 0.474
pnl = (1200−929.92)/929.92 × 100 ≈ +29.04%
coins sold: 0.20389 × 1200 = $244.67
Result (toProfitLossDto)
0.075 × (+15.00) = +1.125
0.135 × (−7.98) = −1.077
0.316 × (+12.91) = +4.080
0.474 × (+29.04) = +13.765
─────────────────────────────
≈ +17.89%
Cross-check (coins):
34.50 + 49.69 + 142.72 + 244.67 = $471.58
(471.58 − 400) / 400 × 100 = +17.90% ✓
priceOpen is the harmonic mean of all accepted DCA entries. After each partial close (commitPartialProfit or commitPartialLoss), the remaining cost basis is carried forward into the harmonic mean calculation for subsequent entries — so priceOpen shifts after every partial, which in turn changes whether the next commitAverageBuy call will be accepted.
Broker.useBrokerAdapter connects a live exchange (ccxt, Binance, etc.) to the framework with transaction safety. Every commit method fires before the internal position state mutates. If the exchange rejects the order, the fill times out, or the network fails, the adapter throws, the mutation is skipped, and backtest-kit retries automatically on the next tick.
Spot
import ccxt from "ccxt";
import { singleshot, sleep } from "functools-kit";
import {
Broker,
IBroker,
BrokerSignalOpenPayload,
BrokerSignalClosePayload,
BrokerPartialProfitPayload,
BrokerPartialLossPayload,
BrokerTrailingStopPayload,
BrokerTrailingTakePayload,
BrokerBreakevenPayload,
BrokerAverageBuyPayload,
} from "backtest-kit";
const FILL_POLL_INTERVAL_MS = 10_000;
const FILL_POLL_ATTEMPTS = 10;
/**
* Sleep between cancelOrder and fetchBalance to allow Binance to settle the
* cancellation — reads immediately after cancel may return stale data.
*/
const CANCEL_SETTLE_MS = 2_000;
/**
* Slippage buffer for stop_loss_limit on Spot — limit price is set slightly
* below stopPrice so the order fills even on a gap down instead of hanging.
*/
const STOP_LIMIT_SLIPPAGE = 0.995;
const getSpotExchange = singleshot(async () => {
const exchange = new ccxt.binance({
apiKey: process.env.BINANCE_API_KEY,
secret: process.env.BINANCE_API_SECRET,
options: {
defaultType: "spot",
adjustForTimeDifference: true,
recvWindow: 60000,
},
enableRateLimit: true,
});
await exchange.loadMarkets();
return exchange;
});
/**
* Resolve base currency from market metadata — safe for all quote currencies (USDT, USDC, FDUSD, etc.)
*/
function getBase(exchange: ccxt.binance, symbol: string): string {
return exchange.markets[symbol].base;
}
/**
* Truncate qty to exchange precision, always rounding down.
* Prevents over-selling due to floating point drift from fetchBalance.
*/
function truncateQty(exchange: ccxt.binance, symbol: string, qty: number): number {
return parseFloat(exchange.amountToPrecision(symbol, qty, exchange.TRUNCATE));
}
/**
* Fetch current free balance for base currency of symbol.
*/
async function fetchFreeQty(exchange: ccxt.binance, symbol: string): Promise<number> {
const balance = await exchange.fetchBalance();
const base = getBase(exchange, symbol);
return parseFloat(String(balance?.free?.[base] ?? 0));
}
/**
* Cancel all orders in parallel — allSettled so a single failure (already filled,
* network blip) does not leave remaining orders uncancelled.
*/
async function cancelAllOrders(exchange: ccxt.binance, orders: ccxt.Order[], symbol: string): Promise<void> {
await Promise.allSettled(orders.map((o) => exchange.cancelOrder(o.id, symbol)));
}
/**
* Place a stop_loss_limit sell order with a slippage buffer on the limit price.
* stop_loss_limit requires both stopPrice (trigger) and price (limit fill).
* Setting them equal risks non-fill on gap down — limit is offset by STOP_LIMIT_SLIPPAGE.
*/
async function createStopLossOrder(
exchange: ccxt.binance,
symbol: string,
qty: number,
stopPrice: number
): Promise<void> {
const limitPrice = parseFloat(exchange.priceToPrecision(symbol, stopPrice * STOP_LIMIT_SLIPPAGE));
await exchange.createOrder(symbol, "stop_loss_limit", "sell", qty, limitPrice, { stopPrice });
}
/**
* Place a limit order and poll until filled (status === "closed").
* On timeout: cancel the order, settle, check partial fill and sell it via market,
* restore SL/TP on remaining position so it is never left unprotected, then throw.
*/
async function createLimitOrderAndWait(
exchange: ccxt.binance,
symbol: string,
side: "buy" | "sell",
qty: number,
price: number,
restore?: { tpPrice: number; slPrice: number }
): Promise<void> {
const order = await exchange.createOrder(symbol, "limit", side, qty, price);
for (let i = 0; i < FILL_POLL_ATTEMPTS; i++) {
await sleep(FILL_POLL_INTERVAL_MS);
const status = await exchange.fetchOrder(order.id, symbol);
if (status.status === "closed") {
return;
}
}
await exchange.cancelOrder(order.id, symbol);
// Wait for Binance to settle the cancellation before reading filled qty
await sleep(CANCEL_SETTLE_MS);
const final = await exchange.fetchOrder(order.id, symbol);
const filledQty = final.filled ?? 0;
if (filledQty > 0) {
// Sell partial fill via market to restore clean exchange state before backtest-kit retries
const rollbackSide = side === "buy" ? "sell" : "buy";
await exchange.createOrder(symbol, "market", rollbackSide, filledQty);
}
// Restore SL/TP on remaining position so it is not left unprotected during retry
if (restore) {
const remainingQty = truncateQty(exchange, symbol, await fetchFreeQty(exchange, symbol));
if (remainingQty > 0) {
await exchange.createOrder(symbol, "limit", "sell", remainingQty, restore.tpPrice);
await createStopLossOrder(exchange, symbol, remainingQty, restore.slPrice);
}
}
throw new Error(`Limit order ${order.id} [${side} ${qty} ${symbol} @ ${price}] not filled in time — partial fill rolled back, backtest-kit will retry`);
}
Broker.useBrokerAdapter(
class implements IBroker {
async waitForInit(): Promise<void> {
await getSpotExchange();
}
async onSignalOpenCommit(payload: BrokerSignalOpenPayload): Promise<void> {
const { symbol, cost, priceOpen, priceTakeProfit, priceStopLoss, position } = payload;
// Spot does not support short selling — reject immediately so backtest-kit skips the mutation
if (position === "short") {
throw new Error(`SpotBrokerAdapter: short position is not supported on spot (symbol=${symbol})`);
}
const exchange = await getSpotExchange();
const qty = truncateQty(exchange, symbol, cost / priceOpen);
// Guard: truncation may produce 0 if cost/price is below lot size
if (qty <= 0) {
throw new Error(`Computed qty is zero for ${symbol} — cost=${cost}, price=${priceOpen}`);
}
const openPrice = parseFloat(exchange.priceToPrecision(symbol, priceOpen));
const tpPrice = parseFloat(exchange.priceToPrecision(symbol, priceTakeProfit));
const slPrice = parseFloat(exchange.priceToPrecision(symbol, priceStopLoss));
// Entry: no restore needed — position does not exist yet if entry times out
await createLimitOrderAndWait(exchange, symbol, "buy", qty, openPrice);
// Post-fill: if TP/SL placement fails, position is open and unprotected — close via market
try {
await exchange.createOrder(symbol, "limit", "sell", qty, tpPrice);
await createStopLossOrder(exchange, symbol, qty, slPrice);
} catch (err) {
await exchange.createOrder(symbol, "market", "sell", qty);
throw err;
}
}
async onSignalCloseCommit(payload: BrokerSignalClosePayload): Promise<void> {
const { symbol, currentPrice, priceTakeProfit, priceStopLoss } = payload;
const exchange = await getSpotExchange();
const openOrders = await exchange.fetchOpenOrders(symbol);
await cancelAllOrders(exchange, openOrders, symbol);
await sleep(CANCEL_SETTLE_MS);
const qty = truncateQty(exchange, symbol, await fetchFreeQty(exchange, symbol));
// Position already closed by SL/TP on exchange — nothing to do, commit succeeds
if (qty === 0) {
return;
}
const closePrice = parseFloat(exchange.priceToPrecision(symbol, currentPrice));
const tpPrice = parseFloat(exchange.priceToPrecision(symbol, priceTakeProfit));
const slPrice = parseFloat(exchange.priceToPrecision(symbol, priceStopLoss));
// Restore SL/TP if close times out so position is not left unprotected during retry
await createLimitOrderAndWait(exchange, symbol, "sell", qty, closePrice, { tpPrice, slPrice });
}
async onPartialProfitCommit(payload: BrokerPartialProfitPayload): Promise<void> {
const { symbol, percentToClose, currentPrice, priceTakeProfit, priceStopLoss } = payload;
const exchange = await getSpotExchange();
const openOrders = await exchange.fetchOpenOrders(symbol);
await cancelAllOrders(exchange, openOrders, symbol);
await sleep(CANCEL_SETTLE_MS);
const totalQty = await fetchFreeQty(exchange, symbol);
// Position may have already been closed by SL/TP on exchange — skip gracefully
if (totalQty === 0) {
throw new Error(`PartialProfit skipped: no open position for ${symbol} on exchange — SL/TP may have already been filled`);
}
const qty = truncateQty(exchange, symbol, totalQty * (percentToClose / 100));
const remainingQty = truncateQty(exchange, symbol, totalQty - qty);
const closePrice = parseFloat(exchange.priceToPrecision(symbol, currentPrice));
const tpPrice = parseFloat(exchange.priceToPrecision(symbol, priceTakeProfit));
const slPrice = parseFloat(exchange.priceToPrecision(symbol, priceStopLoss));
// Restore SL/TP on remaining qty if partial close times out so position is not left unprotected
await createLimitOrderAndWait(exchange, symbol, "sell", qty, closePrice, { tpPrice, slPrice });
// Restore SL/TP on remaining qty after successful partial close
if (remainingQty > 0) {
try {
await exchange.createOrder(symbol, "limit", "sell", remainingQty, tpPrice);
await createStopLossOrder(exchange, symbol, remainingQty, slPrice);
} catch (err) {
// Remaining position is unprotected — close via market
await exchange.createOrder(symbol, "market", "sell", remainingQty);
throw err;
}
}
}
async onPartialLossCommit(payload: BrokerPartialLossPayload): Promise<void> {
const { symbol, percentToClose, currentPrice, priceTakeProfit, priceStopLoss } = payload;
const exchange = await getSpotExchange();
const openOrders = await exchange.fetchOpenOrders(symbol);
await cancelAllOrders(exchange, openOrders, symbol);
await sleep(CANCEL_SETTLE_MS);
const totalQty = await fetchFreeQty(exchange, symbol);
// Position may have already been closed by SL/TP on exchange — skip gracefully
if (totalQty === 0) {
throw new Error(`PartialLoss skipped: no open position for ${symbol} on exchange — SL/TP may have already been filled`);
}
const qty = truncateQty(exchange, symbol, totalQty * (percentToClose / 100));
const remainingQty = truncateQty(exchange, symbol, totalQty - qty);
const closePrice = parseFloat(exchange.priceToPrecision(symbol, currentPrice));
const tpPrice = parseFloat(exchange.priceToPrecision(symbol, priceTakeProfit));
const slPrice = parseFloat(exchange.priceToPrecision(symbol, priceStopLoss));
// Restore SL/TP on remaining qty if partial close times out so position is not left unprotected
await createLimitOrderAndWait(exchange, symbol, "sell", qty, closePrice, { tpPrice, slPrice });
// Restore SL/TP on remaining qty after successful partial close
if (remainingQty > 0) {
try {
await exchange.createOrder(symbol, "limit", "sell", remainingQty, tpPrice);
await createStopLossOrder(exchange, symbol, remainingQty, slPrice);
} catch (err) {
// Remaining position is unprotected — close via market
await exchange.createOrder(symbol, "market", "sell", remainingQty);
throw err;
}
}
}
async onTrailingStopCommit(payload: BrokerTrailingStopPayload): Promise<void> {
const { symbol, newStopLossPrice } = payload;
const exchange = await getSpotExchange();
// Cancel existing SL order only — Spot has no reduceOnly, filter by side + type
const orders = await exchange.fetchOpenOrders(symbol);
const slOrder = orders.find((o) =>
o.side === "sell" &&
["stop_loss_limit", "stop", "STOP_LOSS_LIMIT"].includes(o.type ?? "")
) ?? null;
if (slOrder) {
await exchange.cancelOrder(slOrder.id, symbol);
await sleep(CANCEL_SETTLE_MS);
}
const qty = truncateQty(exchange, symbol, await fetchFreeQty(exchange, symbol));
// Position may have already been closed by SL/TP on exchange — skip gracefully
if (qty === 0) {
throw new Error(`TrailingStop skipped: no open position for ${symbol} on exchange — SL/TP may have already been filled`);
}
const slPrice = parseFloat(exchange.priceToPrecision(symbol, newStopLossPrice));
await createStopLossOrder(exchange, symbol, qty, slPrice);
}
async onTrailingTakeCommit(payload: BrokerTrailingTakePayload): Promise<void> {
const { symbol, newTakeProfitPrice } = payload;
const exchange = await getSpotExchange();
// Cancel existing TP order only — Spot has no reduceOnly, filter by side + type
const orders = await exchange.fetchOpenOrders(symbol);
const tpOrder = orders.find((o) =>
o.side === "sell" &&
["limit", "LIMIT"].includes(o.type ?? "")
) ?? null;
if (tpOrder) {
await exchange.cancelOrder(tpOrder.id, symbol);
await sleep(CANCEL_SETTLE_MS);
}
const qty = truncateQty(exchange, symbol, await fetchFreeQty(exchange, symbol));
// Position may have already been closed by SL/TP on exchange — skip gracefully
if (qty === 0) {
throw new Error(`TrailingTake skipped: no open position for ${symbol} on exchange — SL/TP may have already been filled`);
}
const tpPrice = parseFloat(exchange.priceToPrecision(symbol, newTakeProfitPrice));
await exchange.createOrder(symbol, "limit", "sell", qty, tpPrice);
}
async onBreakevenCommit(payload: BrokerBreakevenPayload): Promise<void> {
const { symbol, newStopLossPrice } = payload;
const exchange = await getSpotExchange();
// Cancel existing SL order only — Spot has no reduceOnly, filter by side + type
const orders = await exchange.fetchOpenOrders(symbol);
const slOrder = orders.find((o) =>
o.side === "sell" &&
["stop_loss_limit", "stop", "STOP_LOSS_LIMIT"].includes(o.type ?? "")
) ?? null;
if (slOrder) {
await exchange.cancelOrder(slOrder.id, symbol);
await sleep(CANCEL_SETTLE_MS);
}
const qty = truncateQty(exchange, symbol, await fetchFreeQty(exchange, symbol));
// Position may have already been closed by SL/TP on exchange — skip gracefully
if (qty === 0) {
throw new Error(`Breakeven skipped: no open position for ${symbol} on exchange — SL/TP may have already been filled`);
}
const slPrice = parseFloat(exchange.priceToPrecision(symbol, newStopLossPrice));
await createStopLossOrder(exchange, symbol, qty, slPrice);
}
async onAverageBuyCommit(payload: BrokerAverageBuyPayload): Promise<void> {
const { symbol, currentPrice, cost, priceTakeProfit, priceStopLoss } = payload;
const exchange = await getSpotExchange();
// Cancel existing SL/TP first — existing check must happen after cancel+settle
// to avoid race condition where SL/TP fills between the existence check and cancel
const openOrders = await exchange.fetchOpenOrders(symbol);
await cancelAllOrders(exchange, openOrders, symbol);
await sleep(CANCEL_SETTLE_MS);
// Guard against DCA into a ghost position — checked after cancel so the snapshot is fresh
const existing = await fetchFreeQty(exchange, symbol);
const minNotional = exchange.markets[symbol].limits?.cost?.min ?? 1;
// Compare notional value rather than raw qty — avoids float === 0 trap
// and correctly rejects dust balances left over from previous trades
if (existing * currentPrice < minNotional) {
throw new Error(`AverageBuy skipped: no open position for ${symbol} on exchange — SL/TP may have already been filled`);
}
const qty = truncateQty(exchange, symbol, cost / currentPrice);
// Guard: truncation may produce 0 if cost/price is below lot size
if (qty <= 0) {
throw new Error(`Computed qty is zero for ${symbol} — cost=${cost}, price=${currentPrice}`);
}
const entryPrice = parseFloat(exchange.priceToPrecision(symbol, currentPrice));
const tpPrice = parseFloat(exchange.priceToPrecision(symbol, priceTakeProfit));
const slPrice = parseFloat(exchange.priceToPrecision(symbol, priceStopLoss));
// DCA entry: restore SL/TP on existing qty if times out so position is not left unprotected
await createLimitOrderAndWait(exchange, symbol, "buy", qty, entryPrice, { tpPrice, slPrice });
// Refetch balance after fill — existing snapshot is stale after cancel + fill
const totalQty = truncateQty(exchange, symbol, await fetchFreeQty(exchange, symbol));
// Recreate SL/TP on fresh total qty after successful fill
try {
await exchange.createOrder(symbol, "limit", "sell", totalQty, tpPrice);
await createStopLossOrder(exchange, symbol, totalQty, slPrice);
} catch (err) {
// Total position is unprotected — close via market
await exchange.createOrder(symbol, "market", "sell", totalQty);
throw err;
}
}
}
);
Broker.enable();
Futures
import ccxt from "ccxt";
import { singleshot, sleep } from "functools-kit";
import {
Broker,
IBroker,
BrokerSignalOpenPayload,
BrokerSignalClosePayload,
BrokerPartialProfitPayload,
BrokerPartialLossPayload,
BrokerTrailingStopPayload,
BrokerTrailingTakePayload,
BrokerBreakevenPayload,
BrokerAverageBuyPayload,
} from "backtest-kit";
const FILL_POLL_INTERVAL_MS = 10_000;
const FILL_POLL_ATTEMPTS = 10;
/**
* Sleep between cancelOrder and fetchPositions to allow Binance to settle the
* cancellation — reads immediately after cancel may return stale data.
*/
const CANCEL_SETTLE_MS = 2_000;
/**
* 3x leverage — conservative choice for $1000 total fiat.
* Enough to matter, not enough to liquidate on normal volatility.
* Applied per-symbol on first open via setLeverage.
*/
const FUTURES_LEVERAGE = 3;
const getFuturesExchange = singleshot(async () => {
const exchange = new ccxt.binance({
apiKey: process.env.BINANCE_API_KEY,
secret: process.env.BINANCE_API_SECRET,
options: {
defaultType: "future",
adjustForTimeDifference: true,
recvWindow: 60000,
},
enableRateLimit: true,
});
await exchange.loadMarkets();
return exchange;
});
/**
* Truncate qty to exchange precision, always rounding down.
* Prevents over-selling due to floating point drift from fetchPositions.
*/
function truncateQty(exchange: ccxt.binance, symbol: string, qty: number): number {
return parseFloat(exchange.amountToPrecision(symbol, qty, exchange.TRUNCATE));
}
/**
* Resolve position for symbol filtered by side — safe in both one-way and hedge mode.
*/
function findPosition(positions: ccxt.Position[], symbol: string, side: "long" | "short") {
// Hedge mode: positions have explicit side field
const hedged = positions.find((p) => p.symbol === symbol && p.side === side);
if (hedged) {
return hedged;
}
// One-way mode: single position per symbol, side field may be undefined or mismatched
const pos = positions.find((p) => p.symbol === symbol) ?? null;
if (pos && pos.side && pos.side !== side) {
console.warn(`findPosition: expected side="${side}" but exchange returned side="${pos.side}" for ${symbol} — possible one-way/hedge mode mismatch`);
}
return pos;
}
/**
* Fetch current contracts qty for symbol/side.
*/
async function fetchContractsQty(
exchange: ccxt.binance,
symbol: string,
side: "long" | "short"
): Promise<number> {
const positions = await exchange.fetchPositions([symbol]);
const pos = findPosition(positions, symbol, side);
return Math.abs(parseFloat(String(pos?.contracts ?? 0)));
}
/**
* Cancel all orders in parallel — allSettled so a single failure (already filled,
* network blip) does not leave remaining orders uncancelled.
*/
async function cancelAllOrders(exchange: ccxt.binance, orders: ccxt.Order[], symbol: string): Promise<void> {
await Promise.allSettled(orders.map((o) => exchange.cancelOrder(o.id, symbol)));
}
/**
* Resolve Binance positionSide string from position direction.
* Required in hedge mode to correctly route orders; ignored in one-way mode.
*/
function toPositionSide(position: "long" | "short"): "LONG" | "SHORT" {
return position === "long" ? "LONG" : "SHORT";
}
/**
* Place a limit order and poll until filled (status === "closed").
* On timeout: cancel the order, settle, check partial fill and close it via market,
* restore SL/TP on remaining position so it is never left unprotected, then throw.
*
* positionSide is forwarded into rollback market order so hedge mode accounts
* correctly route the close without -4061 error.
*/
async function createLimitOrderAndWait(
exchange: ccxt.binance,
symbol: string,
side: "buy" | "sell",
qty: number,
price: number,
params: Record<string, unknown> = {},
restore?: { exitSide: "buy" | "sell"; tpPrice: number; slPrice: number; positionSide: "long" | "short" }
): Promise<void> {
const order = await exchange.createOrder(symbol, "limit", side, qty, price, params);
for (let i = 0; i < FILL_POLL_ATTEMPTS; i++) {
await sleep(FILL_POLL_INTERVAL_MS);
const status = await exchange.fetchOrder(order.id, symbol);
if (status.status === "closed") {
return;
}
}
await exchange.cancelOrder(order.id, symbol);
// Wait for Binance to settle the cancellation before reading filled qty
await sleep(CANCEL_SETTLE_MS);
const final = await exchange.fetchOrder(order.id, symbol);
const filledQty = final.filled ?? 0;
if (filledQty > 0) {
// Close partial fill via market — positionSide required in hedge mode (-4061 without it)
const rollbackSide = side === "buy" ? "sell" : "buy";
const rollbackPositionSide = params.positionSide ?? (restore ? toPositionSide(restore.positionSide) : undefined);
await exchange.createOrder(symbol, "market", rollbackSide, filledQty, undefined, {
reduceOnly: true,
...(rollbackPositionSide ? { positionSide: rollbackPositionSide } : {}),
});
}
// Restore SL/TP on remaining position so it is not left unprotected during retry
if (restore) {
const remainingQty = truncateQty(exchange, symbol, await fetchContractsQty(exchange, symbol, restore.positionSide));
if (remainingQty > 0) {
await exchange.createOrder(symbol, "limit", restore.exitSide, remainingQty, restore.tpPrice, { reduceOnly: true });
await exchange.createOrder(symbol, "stop_market", restore.exitSide, remainingQty, undefined, { stopPrice: restore.slPrice, reduceOnly: true });
}
}
throw new Error(`Limit order ${order.id} [${side} ${qty} ${symbol} @ ${price}] not filled in time — partial fill rolled back, backtest-kit will retry`);
}
Broker.useBrokerAdapter(
class implements IBroker {
async waitForInit(): Promise<void> {
await getFuturesExchange();
}
async onSignalOpenCommit(payload: BrokerSignalOpenPayload): Promise<void> {
const { symbol, cost, priceOpen, priceTakeProfit, priceStopLoss, position } = payload;
const exchange = await getFuturesExchange();
// Set leverage before entry — ensures consistent leverage regardless of previous session state
await exchange.setLeverage(FUTURES_LEVERAGE, symbol);
const qty = truncateQty(exchange, symbol, cost / priceOpen);
// Guard: truncation may produce 0 if cost/price is below lot size
if (qty <= 0) {
throw new Error(`Computed qty is zero for ${symbol} — cost=${cost}, price=${priceOpen}`);
}
const openPrice = parseFloat(exchange.priceToPrecision(symbol, priceOpen));
const tpPrice = parseFloat(exchange.priceToPrecision(symbol, priceTakeProfit));
const slPrice = parseFloat(exchange.priceToPrecision(symbol, priceStopLoss));
const entrySide = position === "long" ? "buy" : "sell";
const exitSide = position === "long" ? "sell" : "buy";
// positionSide required in hedge mode (-4061 without it); ignored in one-way mode
const positionSide = toPositionSide(position);
// Entry: no restore needed — position does not exist yet if entry times out
await createLimitOrderAndWait(exchange, symbol, entrySide, qty, openPrice, { positionSide });
// Post-fill: if TP/SL placement fails, position is open and unprotected — close via market
try {
await exchange.createOrder(symbol, "limit", exitSide, qty, tpPrice, { reduceOnly: true, positionSide });
await exchange.createOrder(symbol, "stop_market", exitSide, qty, undefined, { stopPrice: slPrice, reduceOnly: true, positionSide });
} catch (err) {
await exchange.createOrder(symbol, "market", exitSide, qty, undefined, { reduceOnly: true, positionSide });
throw err;
}
}
async onSignalCloseCommit(payload: BrokerSignalClosePayload): Promise<void> {
const { symbol, position, currentPrice, priceTakeProfit, priceStopLoss } = payload;
const exchange = await getFuturesExchange();
const openOrders = await exchange.fetchOpenOrders(symbol);
await cancelAllOrders(exchange, openOrders, symbol);
await sleep(CANCEL_SETTLE_MS);
const qty = truncateQty(exchange, symbol, await fetchContractsQty(exchange, symbol, position));
const exitSide = position === "long" ? "sell" : "buy";
// Position already closed by SL/TP on exchange — throw so backtest-kit can reconcile
// the close price via its own mechanism rather than assuming a successful manual close
if (qty === 0) {
throw new Error(`SignalClose skipped: no open position for ${symbol} on exchange — SL/TP may have already been filled`);
}
const closePrice = parseFloat(exchange.priceToPrecision(symbol, currentPrice));
const tpPrice = parseFloat(exchange.priceToPrecision(symbol, priceTakeProfit));
const slPrice = parseFloat(exchange.priceToPrecision(symbol, priceStopLoss));
// reduceOnly: prevents accidental reversal if qty has drift vs real position
// Restore SL/TP if close times out so position is not left unprotected during retry
await createLimitOrderAndWait(
exchange, symbol, exitSide, qty, closePrice,
{ reduceOnly: true },
{ exitSide, tpPrice, slPrice, positionSide: position }
);
}
async onPartialProfitCommit(payload: BrokerPartialProfitPayload): Promise<void> {
const { symbol, percentToClose, currentPrice, position, priceTakeProfit, priceStopLoss } = payload;
const exchange = await getFuturesExchange();
const openOrders = await exchange.fetchOpenOrders(symbol);
await cancelAllOrders(exchange, openOrders, symbol);
await sleep(CANCEL_SETTLE_MS);
const totalQty = await fetchContractsQty(exchange, symbol, position);
// Position may have already been closed by SL/TP on exchange — skip gracefully
if (totalQty === 0) {
throw new Error(`PartialProfit skipped: no open position for ${symbol} on exchange — SL/TP may have already been filled`);
}
const qty = truncateQty(exchange, symbol, totalQty * (percentToClose / 100));
const remainingQty = truncateQty(exchange, symbol, totalQty - qty);
const closePrice = parseFloat(exchange.priceToPrecision(symbol, currentPrice));
const tpPrice = parseFloat(exchange.priceToPrecision(symbol, priceTakeProfit));
const slPrice = parseFloat(exchange.priceToPrecision(symbol, priceStopLoss));
const exitSide = position === "long" ? "sell" : "buy";
const positionSide = toPositionSide(position);
// reduceOnly: prevents accidental reversal if qty has drift vs real position
// Restore SL/TP on remaining qty if partial close times out so position is not left unprotected
await createLimitOrderAndWait(
exchange, symbol, exitSide, qty, closePrice,
{ reduceOnly: true },
{ exitSide, tpPrice, slPrice, positionSide: position }
);
// Restore SL/TP on remaining qty after successful partial close
if (remainingQty > 0) {
try {
await exchange.createOrder(symbol, "limit", exitSide, remainingQty, tpPrice, { reduceOnly: true, positionSide });
await exchange.createOrder(symbol, "stop_market", exitSide, remainingQty, undefined, { stopPrice: slPrice, reduceOnly: true, positionSide });
} catch (err) {
// Remaining position is unprotected — close via market
await exchange.createOrder(symbol, "market", exitSide, remainingQty, undefined, { reduceOnly: true, positionSide });
throw err;
}
}
}
async onPartialLossCommit(payload: BrokerPartialLossPayload): Promise<void> {
const { symbol, percentToClose, currentPrice, position, priceTakeProfit, priceStopLoss } = payload;
const exchange = await getFuturesExchange();
const openOrders = await exchange.fetchOpenOrders(symbol);
await cancelAllOrders(exchange, openOrders, symbol);
await sleep(CANCEL_SETTLE_MS);
const totalQty = await fetchContractsQty(exchange, symbol, position);
// Position may have already been closed by SL/TP on exchange — skip gracefully
if (totalQty === 0) {
throw new Error(`PartialLoss skipped: no open position for ${symbol} on exchange — SL/TP may have already been filled`);
}
const qty = truncateQty(exchange, symbol, totalQty * (percentToClose / 100));
const remainingQty = truncateQty(exchange, symbol, totalQty - qty);
const closePrice = parseFloat(exchange.priceToPrecision(symbol, currentPrice));
const tpPrice = parseFloat(exchange.priceToPrecision(symbol, priceTakeProfit));
const slPrice = parseFloat(exchange.priceToPrecision(symbol, priceStopLoss));
const exitSide = position === "long" ? "sell" : "buy";
const positionSide = toPositionSide(position);
// reduceOnly: prevents accidental reversal if qty has drift vs real position
// Restore SL/TP on remaining qty if partial close times out so position is not left unprotected
await createLimitOrderAndWait(
exchange, symbol, exitSide, qty, closePrice,
{ reduceOnly: true },
{ exitSide, tpPrice, slPrice, positionSide: position }
);
// Restore SL/TP on remaining qty after successful partial close
if (remainingQty > 0) {
try {
await exchange.createOrder(symbol, "limit", exitSide, remainingQty, tpPrice, { reduceOnly: true, positionSide });
await exchange.createOrder(symbol, "stop_market", exitSide, remainingQty, undefined, { stopPrice: slPrice, reduceOnly: true, positionSide });
} catch (err) {
// Remaining position is unprotected — close via market
await exchange.createOrder(symbol, "market", exitSide, remainingQty, undefined, { reduceOnly: true, positionSide });
throw err;
}
}
}
async onTrailingStopCommit(payload: BrokerTrailingStopPayload): Promise<void> {
const { symbol, newStopLossPrice, position } = payload;
const exchange = await getFuturesExchange();
// Cancel existing SL order only — filter by reduceOnly to avoid cancelling unrelated orders
const orders = await exchange.fetchOpenOrders(symbol);
const slOrder = orders.find((o) =>
!!o.reduceOnly &&
["stop_market", "stop", "STOP_MARKET"].includes(o.type ?? "")
) ?? null;
if (slOrder) {
await exchange.cancelOrder(slOrder.id, symbol);
await sleep(CANCEL_SETTLE_MS);
}
const qty = truncateQty(exchange, symbol, await fetchContractsQty(exchange, symbol, position));
const exitSide = position === "long" ? "sell" : "buy";
// Position may have already been closed by SL/TP on exchange — skip gracefully
if (qty === 0) {
throw new Error(`TrailingStop skipped: no open position for ${symbol} on exchange — SL/TP may have already been filled`);
}
const slPrice = parseFloat(exchange.priceToPrecision(symbol, newStopLossPrice));
const positionSide = toPositionSide(position);
// positionSide required in hedge mode (-4061 without it); ignored in one-way mode
await exchange.createOrder(symbol, "stop_market", exitSide, qty, undefined, { stopPrice: slPrice, reduceOnly: true, positionSide });
}
async onTrailingTakeCommit(payload: BrokerTrailingTakePayload): Promise<void> {
const { symbol, newTakeProfitPrice, position } = payload;
const exchange = await getFuturesExchange();
// Cancel existing TP order only — filter by reduceOnly to avoid cancelling unrelated orders
const orders = await exchange.fetchOpenOrders(symbol);
const tpOrder = orders.find((o) =>
!!o.reduceOnly &&
["limit", "LIMIT"].includes(o.type ?? "")
) ?? null;
if (tpOrder) {
await exchange.cancelOrder(tpOrder.id, symbol);
await sleep(CANCEL_SETTLE_MS);
}
const qty = truncateQty(exchange, symbol, await fetchContractsQty(exchange, symbol, position));
const exitSide = position === "long" ? "sell" : "buy";
// Position may have already been closed by SL/TP on exchange — skip gracefully
if (qty === 0) {
throw new Error(`TrailingTake skipped: no open position for ${symbol} on exchange — SL/TP may have already been filled`);
}
const tpPrice = parseFloat(exchange.priceToPrecision(symbol, newTakeProfitPrice));
const positionSide = toPositionSide(position);
// positionSide required in hedge mode (-4061 without it); ignored in one-way mode
await exchange.createOrder(symbol, "limit", exitSide, qty, tpPrice, { reduceOnly: true, positionSide });
}
async onBreakevenCommit(payload: BrokerBreakevenPayload): Promise<void> {
const { symbol, newStopLossPrice, position } = payload;
const exchange = await getFuturesExchange();
// Cancel existing SL order only — filter by reduceOnly to avoid cancelling unrelated orders
const orders = await exchange.fetchOpenOrders(symbol);
const slOrder = orders.find((o) =>
!!o.reduceOnly &&
["stop_market", "stop", "STOP_MARKET"].includes(o.type ?? "")
) ?? null;
if (slOrder) {
await exchange.cancelOrder(slOrder.id, symbol);
await sleep(CANCEL_SETTLE_MS);
}
const qty = truncateQty(exchange, symbol, await fetchContractsQty(exchange, symbol, position));
const exitSide = position === "long" ? "sell" : "buy";
// Position may have already been closed by SL/TP on exchange — skip gracefully
if (qty === 0) {
throw new Error(`Breakeven skipped: no open position for ${symbol} on exchange — SL/TP may have already been filled`);
}
const slPrice = parseFloat(exchange.priceToPrecision(symbol, newStopLossPrice));
const positionSide = toPositionSide(position);
// positionSide required in hedge mode (-4061 without it); ignored in one-way mode
await exchange.createOrder(symbol, "stop_market", exitSide, qty, undefined, { stopPrice: slPrice, reduceOnly: true, positionSide });
}
async onAverageBuyCommit(payload: BrokerAverageBuyPayload): Promise<void> {
const { symbol, currentPrice, cost, position, priceTakeProfit, priceStopLoss } = payload;
const exchange = await getFuturesExchange();
// Cancel existing SL/TP first — existing check must happen after cancel+settle
// to avoid race condition where SL/TP fills between the existence check and cancel
const openOrders = await exchange.fetchOpenOrders(symbol);
await cancelAllOrders(exchange, openOrders, symbol);
await sleep(CANCEL_SETTLE_MS);
// Guard against DCA into a ghost position — checked after cancel so the snapshot is fresh
const existing = await fetchContractsQty(exchange, symbol, position);
const minNotional = exchange.markets[symbol].limits?.cost?.min ?? 1;
// Compare notional value rather than raw contracts — avoids float === 0 trap
// and correctly rejects dust positions left over from previous trades
if (existing * currentPrice < minNotional) {
throw new Error(`AverageBuy skipped: no open position for ${symbol} on exchange — SL/TP may have already been filled`);
}
const qty = truncateQty(exchange, symbol, cost / currentPrice);
// Guard: truncation may produce 0 if cost/price is below lot size
if (qty <= 0) {
throw new Error(`Computed qty is zero for ${symbol} — cost=${cost}, price=${currentPrice}`);
}
const entryPrice = parseFloat(exchange.priceToPrecision(symbol, currentPrice));
const tpPrice = parseFloat(exchange.priceToPrecision(symbol, priceTakeProfit));
const slPrice = parseFloat(exchange.priceToPrecision(symbol, priceStopLoss));
// positionSide required in hedge mode to add to correct side; ignored in one-way mode
const positionSide = toPositionSide(position);
const entrySide = position === "long" ? "buy" : "sell";
const exitSide = position === "long" ? "sell" : "buy";
// DCA entry: restore SL/TP on existing qty if times out so position is not left unprotected
await createLimitOrderAndWait(
exchange, symbol, entrySide, qty, entryPrice,
{ positionSide },
{ exitSide, tpPrice, slPrice, positionSide: position }
);
// Refetch contracts after fill — existing snapshot is stale after cancel + fill
const totalQty = truncateQty(exchange, symbol, await fetchContractsQty(exchange, symbol, position));
// Recreate SL/TP on fresh total qty after successful fill
try {
await exchange.createOrder(symbol, "limit", exitSide, totalQty, tpPrice, { reduceOnly: true, positionSide });
await exchange.createOrder(symbol, "stop_market", exitSide, totalQty, undefined, { stopPrice: slPrice, reduceOnly: true, positionSide });
} catch (err) {
// Total position is unprotected — close via market
await exchange.createOrder(symbol, "market", exitSide, totalQty, undefined, { reduceOnly: true, positionSide });
throw err;
}
}
}
);
Broker.enable();
Signal open/close events are routed automatically via an internal event bus once Broker.enable() is called. No manual wiring needed. All other operations (partialProfit, trailingStop, breakeven, averageBuy) are intercepted explicitly before the corresponding state mutation.
backtest-kit uses Node.js AsyncLocalStorage to automatically provide
temporal time context to your strategies.
For a candle with:
timestamp = candle open time (openTime)stepMs = interval duration (e.g., 60000ms for "1m")timestamp + stepMsAlignment: All timestamps are aligned down to interval boundary. For example, for 15m interval: 00:17 → 00:15, 00:44 → 00:30
Adapter contract:
sincelimit candlessince + i * stepMs for i = 0..limit-1How since is calculated from when:
when = current execution context time (from AsyncLocalStorage)alignedWhen = Math.floor(when / stepMs) * stepMs (aligned down to interval boundary)since = alignedWhen - limit * stepMs (go back limit candles from aligned when)Boundary semantics (inclusive/exclusive):
since is always inclusive — first candle has timestamp === since
Exactly limit candles are returned
Last candle has timestamp === since + (limit - 1) * stepMs — inclusive
For getCandles: alignedWhen is exclusive — candle at that timestamp is NOT included (it's a pending/incomplete candle)
For getRawCandles: eDate is exclusive — candle at that timestamp is NOT included (it's a pending/incomplete candle)
For getNextCandles: alignedWhen is inclusive — first candle starts at alignedWhen (it's the current candle for backtest, already closed in historical data)
getCandles(symbol, interval, limit) - Returns exactly limit candles
when down to interval boundarysince = alignedWhen - limit * stepMs[since, alignedWhen) — half-open intervalgetCandles("BTCUSDT", "1m", 100) returns 100 candles ending before aligned whengetNextCandles(symbol, interval, limit) - Returns exactly limit candles (backtest only)
when down to interval boundarysince = alignedWhen (starts from aligned when, going forward)[alignedWhen, alignedWhen + limit * stepMs) — half-open intervalgetNextCandles("BTCUSDT", "1m", 10) returns next 10 candles starting from aligned whengetRawCandles(symbol, interval, limit?, sDate?, eDate?) - Flexible parameter combinations:
(limit) - since = alignedWhen - limit * stepMs, range [since, alignedWhen)(limit, sDate) - since = align(sDate), returns limit candles forward, range [since, since + limit * stepMs)(limit, undefined, eDate) - since = align(eDate) - limit * stepMs, eDate — exclusive, range [since, eDate)(undefined, sDate, eDate) - since = align(sDate), limit calculated from range, sDate — inclusive, eDate — exclusive, range [sDate, eDate)(limit, sDate, eDate) - since = align(sDate), returns limit candles, sDate — inclusivePersistent Cache:
since + i * stepMs for i = 0..limit-1According to this timestamp of a candle in backtest-kit is exactly the openTime, not closeTime
Key principles:
sincelimit candlessince + i * stepMsOrder book fetching uses the same temporal alignment as candles, but with a configurable time offset window instead of candle intervals.
**Time range calculation:**
- `when` = current execution context time (from AsyncLocalStorage)
- `offsetMinutes` = `CC_ORDER_BOOK_TIME_OFFSET_MINUTES` (configurable)
- `alignedTo` = `Math.floor(when / (offsetMinutes * 60000)) * (offsetMinutes * 60000)`
- `to` = `alignedTo` (aligned down to offset boundary)
- `from` = `alignedTo - offsetMinutes * 60000`
**Adapter contract:**
- `getOrderBook(symbol, depth, from, to, backtest)` is called on the exchange schema
- `depth` defaults to `CC_ORDER_BOOK_MAX_DEPTH_LEVELS`
- The `from`/`to` range represents a time window of exactly `offsetMinutes` duration
- Schema implementation may use the time range (backtest) or ignore it (live trading)
**Example with CC_ORDER_BOOK_TIME_OFFSET_MINUTES = 10:**
```
when = 1704067920000 // 2024-01-01 00:12:00 UTC
offsetMinutes = 10
offsetMs = 10 * 60000 // 600000ms
alignedTo = Math.floor(1704067920000 / 600000) * 600000
= 1704067800000 // 2024-01-01 00:10:00 UTC
to = 1704067800000 // 00:10:00 UTC
from = 1704067200000 // 00:00:00 UTC
```
Unlike candles, most exchanges (e.g. Binance GET /api/v3/depth) only expose the current order book with no historical query support — for backtest you must provide your own snapshot storage.
Key principles:
CC_ORDER_BOOK_TIME_OFFSET_MINUTES boundaryto = aligned timestamp, from = to - offsetMinutes * 60000depth defaults to CC_ORDER_BOOK_MAX_DEPTH_LEVELS(symbol, depth, from, to, backtest) — may ignore from/to in live modeAggregated trades fetching uses the same look-ahead bias protection as candles - to is always aligned down to the nearest minute boundary so future trades are never visible to the strategy.
Key principles:
to is always aligned down to the 1-minute boundary — prevents look-ahead biaslimit: returns one full window (CC_AGGREGATED_TRADES_MAX_MINUTES)limit: paginates backwards until collected, then slices to most recent limit(symbol, from, to, backtest) — may ignore from/to in live modeTime range calculation:
when = current execution context time (from AsyncLocalStorage)alignedTo = Math.floor(when / 60000) * 60000 (aligned down to 1-minute boundary)windowMs = CC_AGGREGATED_TRADES_MAX_MINUTES * 60000 − 60000to = alignedTo, from = alignedTo − windowMsWithout limit: fetches a single window and returns it as-is.
With limit: paginates backwards in CC_AGGREGATED_TRADES_MAX_MINUTES chunks until at least limit trades are collected, then slices to the most recent limit trades.
Example with CC_AGGREGATED_TRADES_MAX_MINUTES = 60, limit = 200:
when = 1704067920000 // 2024-01-01 00:12:00 UTC
alignedTo = 1704067800000 // 2024-01-01 00:12:00 → aligned to 00:12:00
windowMs = 59 * 60000 // 3540000ms = 59 minutes
Window 1: from = 00:12:00 − 59m = 23:13:00
to = 00:12:00
→ got 120 trades — not enough
Window 2: from = 23:13:00 − 59m = 22:14:00
to = 23:13:00
→ got 100 more → total 220 trades
result = last 200 of 220 (most recent)
Adapter contract:
getAggregatedTrades(symbol, from, to, backtest) is called on the exchange schemafrom/to are Date objectsCompatible with: garch for volatility modelling and volume-anomaly for detecting abnormal trade volume — both accept the same from/to time range format that getAggregatedTrades produces.
Why align timestamps to interval boundaries?
Because candle APIs return data starting from exact interval boundaries:
// 15-minute interval example:
when = 1704067920000 // 00:12:00
step = 15 // 15 minutes
stepMs = 15 * 60000 // 900000ms
// Alignment: round down to nearest interval boundary
alignedWhen = Math.floor(when / stepMs) * stepMs
// = Math.floor(1704067920000 / 900000) * 900000
// = 1704067200000 (00:00:00)
// Calculate since for 4 candles backwards:
since = alignedWhen - 4 * stepMs
// = 1704067200000 - 4 * 900000
// = 1704063600000 (23:00:00 previous day)
// Expected candles:
// [0] timestamp = 1704063600000 (23:00)
// [1] timestamp = 1704064500000 (23:15)
// [2] timestamp = 1704065400000 (23:30)
// [3] timestamp = 1704066300000 (23:45)
Pending candle exclusion: The candle at 00:00:00 (alignedWhen) is NOT included in the result. At when=00:12:00, this candle covers the period [00:00, 00:15) and is still open (pending). Pending candles have incomplete OHLCV data that would distort technical indicators. Only fully closed candles are returned.
Validation is applied consistently across:
getCandles() - validates first timestamp and countgetNextCandles() - validates first timestamp and countgetRawCandles() - validates first timestamp and countResult: Deterministic candle retrieval with exact timestamp matching.
All candle timestamp alignment uses UTC (Unix epoch). For intervals like 4h, boundaries are 00:00, 04:00, 08:00, 12:00, 16:00, 20:00 UTC. If your local timezone offset is not a multiple of the interval, the since timestamps will look "uneven" in local time.
For example, in UTC+5 the same 4h candle request logs as:
since: Sat Sep 20 2025 13:00:00 GMT+0500 ← looks uneven (13:00)
since: Sat Sep 20 2025 17:00:00 GMT+0500 ← looks uneven (17:00)
since: Sat Sep 20 2025 21:00:00 GMT+0500 ← looks uneven (21:00)
since: Sun Sep 21 2025 05:00:00 GMT+0500 ← looks uneven (05:00)
But in UTC these are perfectly aligned 4h boundaries:
since: Sat, 20 Sep 2025 08:00:00 GMT ← 08:00 UTC ✓
since: Sat, 20 Sep 2025 12:00:00 GMT ← 12:00 UTC ✓
since: Sat, 20 Sep 2025 16:00:00 GMT ← 16:00 UTC ✓
since: Sun, 21 Sep 2025 00:00:00 GMT ← 00:00 UTC ✓
Use toUTCString() or toISOString() in callbacks to see the actual aligned UTC times.
getCandles() always returns data UP TO the current backtest timestamp using async_hooksBacktest Kit exposes the same runtime in two equivalent forms. Both approaches use the same engine and guarantees - only the consumption model differs.
Suitable for production bots, monitoring, and long-running processes.
Backtest.background('BTCUSDT', config);
listenSignalBacktest(event => { /* handle signals */ });
listenDoneBacktest(event => { /* finalize / dump report */ });
Suitable for research, scripting, testing, and LLM agents.
for await (const event of Backtest.run('BTCUSDT', config)) {
// signal | trade | progress | done
}
Open-source QuantConnect/MetaTrader without the vendor lock-in
Unlike cloud-based platforms, backtest-kit runs entirely in your environment. You own the entire stack from data ingestion to live execution. In addition to Ollama, you can use neural-trader in getSignal function or any other third party library
The backtest-kit ecosystem extends beyond the core library, offering complementary packages and tools to enhance your trading system development experience:
The @backtest-kit/cli package is a zero-boilerplate CLI runner for backtest-kit strategies. Point it at your strategy file and run backtests, paper trading, or live bots — no infrastructure code required.
--backtest, --paper, --live with graceful SIGINT shutdown@backtest-kit/ui with a single --ui flag--telegramdump/, modules/, and template/ are automatically isolated by entry point directoryThe fastest way to run any backtest-kit strategy from the command line. Instead of writing boilerplate for storage, notifications, candle caching, and signal logging, add one dependency and wire up your package.json scripts. Works equally well for a single-strategy project or a monorepo with dozens of strategies in separate subdirectories.
npx -y @backtest-kit/cli --init
The @backtest-kit/pinets package lets you run TradingView Pine Script strategies directly in Node.js. Port your existing Pine Script indicators to backtest-kit with zero rewrite using the PineTS runtime.
.pine files or pass code strings directlyplot() outputs to structured signalsPerfect for traders who already have working TradingView strategies. Instead of rewriting your Pine Script logic in JavaScript, simply copy your .pine file and use getSignal() to extract trading signals. Works seamlessly with backtest-kit's temporal context - no look-ahead bias possible.
npm install @backtest-kit/pinets pinets backtest-kit
The @backtest-kit/graph package lets you compose backtest-kit computations as a typed directed acyclic graph (DAG). Define source nodes that fetch market data and output nodes that compute derived values — then resolve the whole graph in topological order with automatic parallelism.
Promise.all parallelismINode for runtime/storage, high-level sourceNode + outputNode builders for authoringserialize / deserialize convert the graph to a flat IFlatNode[] list with id / nodeIdssourceNode receives (symbol, when, exchangeName) from the execution context automaticallyPerfect for multi-timeframe strategies where multiple Pine Script or indicator computations must be combined. Instead of manually chaining async calls, define each computation as a node and let the graph resolve dependencies in parallel. Adding a new filter or timeframe requires no changes to the existing wiring.
npm install @backtest-kit/graph backtest-kit
The @backtest-kit/ui package is a full-stack UI framework for visualizing cryptocurrency trading signals, backtests, and real-time market data. Combines a Node.js backend server with a React dashboard - all in one package.
Perfect for monitoring your trading bots in production. Instead of building custom dashboards, @backtest-kit/ui provides a complete visualization layer out of the box. Each signal view includes detailed information forms, multi-timeframe candlestick charts, and JSON export for all data.
npm install @backtest-kit/ui backtest-kit ccxt
The @backtest-kit/mongo package replaces the default file-based ./dump/ storage with MongoDB as the source of truth and Redis as an O(1) lookup cache. All 15 IPersist*Instance contracts from backtest-kit are implemented — strategy code stays unchanged.
GET + one findById, no B-tree scansfindOneAndUpdate with upsert: true guarantees read-after-write correctness with no race conditionsremoved flag instead of being physically deletedsetup() into your entry point, everything else stays the samePerfect for production deployments where the default file-based storage is a bottleneck or a reliability concern. During backtests, backtest-kit performs thousands of context-keyed reads per second — Redis eliminates the per-request B-tree traversal and makes repeated reads effectively free. MongoDB provides durability, atomic upserts, and a queryable signal history that survives process restarts.
npm install @backtest-kit/mongo backtest-kit mongoose ioredis
The @backtest-kit/ollama package is a multi-provider LLM inference library that supports 10+ providers including OpenAI, Claude, DeepSeek, Grok, Mistral, Perplexity, Cohere, Alibaba, Hugging Face, and Ollama with unified API and automatic token rotation.
Ideal for building multi-provider LLM strategies with fallback chains and ensemble predictions. The package returns structured trading signals with validated TP/SL levels, making it perfect for use in getSignal functions. Supports both backtest and live trading modes.
npm install @backtest-kit/ollama agent-swarm-kit backtest-kit
The @backtest-kit/signals package is a technical analysis and trading signal generation library designed for AI-powered trading systems. It computes 50+ indicators across 4 timeframes and generates markdown reports optimized for LLM consumption.
Perfect for injecting comprehensive market context into your LLM-powered strategies. Instead of manually calculating indicators, @backtest-kit/signals provides a single function call that adds all technical analysis to your message context. Works seamlessly with getSignal function in backtest-kit strategies.
npm install @backtest-kit/signals backtest-kit
The @backtest-kit/sidekick package scaffolds a project where all wiring is visible and editable in your project files — exchange adapter, frame definitions, risk rules, strategy logic, and the runner script. Think of it as the eject of @backtest-kit/cli --init: instead of the boilerplate being hidden inside the CLI package, it lives directly in your project.
The fastest way to bootstrap a new trading bot project. Instead of manually setting up dependencies, configurations, and boilerplate code, simply run one command and get a working project with LLM-powered strategy, multi-timeframe technical analysis, and risk management validation.
npx -y @backtest-kit/sidekick my-trading-bot
cd my-trading-bot
npm start
The backtest-monorepo-parallel repository is a TypeScript monorepo template that runs 9 symbols in parallel in a single Node process on top of shared Mongo + Redis infrastructure, with a self-enforcement runtime that exposes the workspace DI container to ./content/ strategy files. No wiring, no bundler hooks, no strategy-author changes.
listenActivePing → commitAverageBuy loop on a commodity i5-13420H laptopBacktest.background(...) contexts share one event loop, one Mongo pool, one Redis pool — no IPC, no fork overheadtypes.d.ts and reachable from strategy files at evaluation time--entry flag toggles between parallel runner (CC_SYMBOL_LIST fan-out) and single-strategy CLI mode./content/Use when you need to backtest many symbols concurrently against the same strategy without spawning subprocesses, and want a scaffold where new services, collections, and Redis caches drop in alongside existing ones without restructuring. Ideal as the starting point for a production parallel-symbol backtesting setup.
git clone https://github.com/backtest-kit/backtest-monorepo-parallel.git
The backtest-kit-redis-mongo-docker repository is a production-grade integration that replaces the default file-based ./dump/ persistence with MongoDB as the source of truth and Redis as an O(1) lookup cache, packaged with docker-compose for one-command deploys.
IPersist*Instance contract (Candle, Signal, Schedule, Risk, Partial, Breakeven, Storage, Notification, Log, Measure, Interval, Memory, Recent, State, Session) on top of MongoDB + RedisfindOneAndUpdate with unique compound indexes — no E11000 leaks under concurrent writes*CacheService over ioredis for context-key → id lookups; cache miss falls back to Mongo and backfills automaticallywhen: Number column on every signal-affecting schema, fed by backtest-kit 9.0+'s when: Date adapter argumentCC_MONGO_CONNECTION_STRING / CC_REDIS_* env varsDrop-in persistence upgrade for any backtest-kit project that outgrows the default file-based ./dump/ layout — strategy code, runners, and the CLI entry point stay unchanged. Use it when you need durable storage, concurrent-safe writes, fast restart recovery, or a containerized deployment for live and paper trading.
git clone https://github.com/backtest-kit/backtest-kit-redis-mongo-docker.git
The backtest-kit-skills repository is a Claude Code agent skill and Mintlify documentation source for the backtest-kit framework — AI-assisted strategy writing, debugging help, and full API reference in one place.
~/.claude/skills/backtest-kit/ — strategy generation, debugging, and API referenceawait, wrong TP/SL direction, top-level commit calls)Install the skill once and get AI-assisted backtest-kit development inside Claude Code. The skill knows the full API surface — schemas, commit functions, event listeners, broker adapters — so you can describe what you want in plain language and get working TypeScript strategy code.
npx skills add https://github.com/backtest-kit/backtest-kit-skills
The uzse-backtest-app repository is a reference implementation for running Pine Script strategies on regional stock exchanges not available on TradingView (UZSE, MSE, DSE, and others). It downloads raw trade history, builds Japanese candlesticks, and feeds them into backtest-kit via a custom MongoDB exchange adapter.
1daddExchangeSchema@backtest-kit/pinets integration — run any Pine Script v5/v6 indicator on local market dataPerfect for traders working with emerging or regional markets absent from TradingView. Download trade history, build candles once, then use the full backtest-kit + Pine Script toolchain for backtesting and live signal generation — with no dependency on any third-party charting platform.
git clone https://github.com/backtest-kit/uzse-backtest-app.git
Link to the source code
Trains a feed-forward TensorFlow neural network (8→6→4→1 architecture) every 8 hours to predict where the next candle will close within its high-low range. When current price is below predicted price, opens a LONG with 1% trailing take-profit.
Link to the source code
Runs btc_dec2025_range.pine on 1h candles via @backtest-kit/pinets, extracting Bollinger Bands, range boundaries, and volume spikes. Signals fire only on confirmed breakouts when price hasn't already moved past the signal close.
Link to the source code
The strategy takes published signals from a real Telegram crypto channel (Crypto Yoda), enters at the same price zone and timestamp, but inverts the direction and uses the liquidity of the crowd that blindly follows the recommendation regardless of the contents of the order book.
Link to the source code
Every 4-8 hours, fetches live crypto/macro news via Tavily, passes headlines to Ollama (local LLM), and opens positions based on bullish/bearish/wait forecasts. Conflicting signals flip positions mid-trade. Achieved +16.99% during a -16.4% month.
Link to the source code
Opens a SHORT on every pending signal, then adds rungs (up to 10) whenever price spikes upward outside a ±1-5% band around last entry. Closes at 0.5% blended profit.
Link to the source code
Same mechanics as SHORT version but LONG-biased with 3% profit target. Deployed 2.4 entries per trade on average, achieved +67.85% PNL on deployed capital with improved percentage drawdown (-2.59% vs -3.99% without DCA).
Link to the source code
Python-based (WASI) strategy that uses EMA(9) and EMA(21) crossover signals executed via WebAssembly. Trades trigger when fast EMA crosses slow EMA, confirmed by 4h range midpoint.
TheOneTrade is the commercial vendor behind backtest-kit, providing paid support, custom strategy development, managed accounts, team training, and enterprise licensing. Contact for SLAs, private features, or quant team engagements that fall outside the MIT-licensed open-source scope.
For language models: Read extended description in ./LLMs.md
520+ tests cover validation, recovery, reports, and events.
Fork/PR on GitHub.
MIT © tripolskypetr
FAQs
A TypeScript library for trading system backtest
The npm package backtest-kit receives a total of 984 weekly downloads. As such, backtest-kit popularity was classified as not popular.
We found that backtest-kit demonstrated a healthy version release cadence and project activity because the last version was released less than a year ago. It has 1 open source maintainer collaborating on the project.
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