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fix(backtest): correct position holding duration calculation in backtest mode #1291

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fix(backtest): correct position holding duration calculation in backtest mode #1291

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27 changes: 14 additions & 13 deletions backtest/runner.go
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Original file line number Diff line number Diff line change
Expand Up @@ -503,18 +503,19 @@ func (r *Runner) buildDecisionContext(ts int64, marketData map[string]*market.Da

runtime := int((ts - int64(r.cfg.StartTS*1000)) / 60000)
ctx := &decision.Context{
CurrentTime: time.UnixMilli(ts).UTC().Format("2006-01-02 15:04:05 UTC"),
RuntimeMinutes: runtime,
CallCount: callCount,
Account: accountInfo,
Positions: positions,
CandidateCoins: candidateCoins,
PromptVariant: r.cfg.PromptVariant,
MarketDataMap: marketData,
MultiTFMarket: multiTF,
BTCETHLeverage: r.cfg.Leverage.BTCETHLeverage,
AltcoinLeverage: r.cfg.Leverage.AltcoinLeverage,
Timeframes: r.cfg.Timeframes,
CurrentTime: time.UnixMilli(ts).UTC().Format("2006-01-02 15:04:05 UTC"),
CurrentTimestampMs: ts, // Set current backtest timestamp for accurate holding duration calculation
RuntimeMinutes: runtime,
CallCount: callCount,
Account: accountInfo,
Positions: positions,
CandidateCoins: candidateCoins,
PromptVariant: r.cfg.PromptVariant,
MarketDataMap: marketData,
MultiTFMarket: multiTF,
BTCETHLeverage: r.cfg.Leverage.BTCETHLeverage,
AltcoinLeverage: r.cfg.Leverage.AltcoinLeverage,
Timeframes: r.cfg.Timeframes,
}

// Fetch quantitative data if enabled in strategy (uses current data as approximation)
Expand Down Expand Up @@ -847,7 +848,7 @@ func (r *Runner) convertPositions(priceMap map[string]float64) []decision.Positi
UnrealizedPnLPct: 0,
LiquidationPrice: pos.LiquidationPrice,
MarginUsed: pos.Margin,
UpdateTime: time.Now().UnixMilli(),
UpdateTime: pos.OpenTime, // Use position open time instead of current system time
})
}
return list
Expand Down
42 changes: 24 additions & 18 deletions decision/engine.go
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Original file line number Diff line number Diff line change
Expand Up @@ -106,23 +106,24 @@ type RecentOrder struct {

// Context trading context (complete information passed to AI)
type Context struct {
CurrentTime string `json:"current_time"`
RuntimeMinutes int `json:"runtime_minutes"`
CallCount int `json:"call_count"`
Account AccountInfo `json:"account"`
Positions []PositionInfo `json:"positions"`
CandidateCoins []CandidateCoin `json:"candidate_coins"`
PromptVariant string `json:"prompt_variant,omitempty"`
TradingStats *TradingStats `json:"trading_stats,omitempty"`
RecentOrders []RecentOrder `json:"recent_orders,omitempty"`
MarketDataMap map[string]*market.Data `json:"-"`
MultiTFMarket map[string]map[string]*market.Data `json:"-"`
OITopDataMap map[string]*OITopData `json:"-"`
QuantDataMap map[string]*QuantData `json:"-"`
OIRankingData *provider.OIRankingData `json:"-"` // Market-wide OI ranking data
BTCETHLeverage int `json:"-"`
AltcoinLeverage int `json:"-"`
Timeframes []string `json:"-"`
CurrentTime string `json:"current_time"`
CurrentTimestampMs int64 `json:"-"` // Current timestamp in milliseconds (for backtest time calculations)
RuntimeMinutes int `json:"runtime_minutes"`
CallCount int `json:"call_count"`
Account AccountInfo `json:"account"`
Positions []PositionInfo `json:"positions"`
CandidateCoins []CandidateCoin `json:"candidate_coins"`
PromptVariant string `json:"prompt_variant,omitempty"`
TradingStats *TradingStats `json:"trading_stats,omitempty"`
RecentOrders []RecentOrder `json:"recent_orders,omitempty"`
MarketDataMap map[string]*market.Data `json:"-"`
MultiTFMarket map[string]map[string]*market.Data `json:"-"`
OITopDataMap map[string]*OITopData `json:"-"`
QuantDataMap map[string]*QuantData `json:"-"`
OIRankingData *provider.OIRankingData `json:"-"` // Market-wide OI ranking data
BTCETHLeverage int `json:"-"`
AltcoinLeverage int `json:"-"`
Timeframes []string `json:"-"`
}

// Decision AI trading decision
Expand Down Expand Up @@ -1035,7 +1036,12 @@ func (e *StrategyEngine) formatPositionInfo(index int, pos PositionInfo, ctx *Co

holdingDuration := ""
if pos.UpdateTime > 0 {
durationMs := time.Now().UnixMilli() - pos.UpdateTime
// Use context timestamp if available (for backtest), otherwise use system time (for live trading)
currentTimeMs := ctx.CurrentTimestampMs
if currentTimeMs == 0 {
currentTimeMs = time.Now().UnixMilli()
}
durationMs := currentTimeMs - pos.UpdateTime
durationMin := durationMs / (1000 * 60)
if durationMin < 60 {
holdingDuration = fmt.Sprintf(" | Holding Duration %d min", durationMin)
Expand Down