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Phase 4.2 / 0.2: realistischer Demo-Modus (Exit-Slippage + Fees)

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- DemoModel (pure, getestet): ExitFillPrice (Signalpreis minus halber Spread,
  geclamped) + CloseWithFees (Erlös zum Fill-Preis minus Round-Trip-Fee).
- CopyTradingEngine Demo-Close nutzt es: ExitPrice = realistischer Fill statt
  Signalpreis, RealizedPnl netto nach Fees, ClosedTrade.TotalFees befuellt.
  -> Demo-PnL ist nicht mehr systematisch geschoent (Master-Validierung brauchbar).
- DemoModelTests (Fill-Clamping, Round-Trip-Fee, 0-Fee).

207 Tests gruen. Build/Smoke gruen.

Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
This commit is contained in:
Richard
2026-07-07 18:49:38 +02:00
co-authored by Claude Opus 4.8
parent b259f310d3
commit 54ed1a414e
3 changed files with 98 additions and 3 deletions
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src/PolyTrader.Modules.CopyTrading/Services/CopyTradingEngine.cs
+10 -3
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@@ -633,8 +633,14 @@ namespace PolyTraderSharp.Services
{
_positionRepo.DeleteDemo(account.AccountId, signal.TokenId);
decimal exitUsd = TradeMath.ExitValue(openPos.Size, signal.Price);
decimal realizedPnl = TradeMath.RealizedPnl(openPos.Size, signal.Price, openPos.AmountUsd);
// Phase 4.2: realistischer Demo-Close (Exit-Slippage + Fees), statt zum
// Signalpreis ohne Kosten – sonst ist Demo als Master-Validierung wertlos.
int demoFeeBps = _state.MarketCache.TryGetValue(signal.TokenId, out var demoMd)
? (demoMd.TakerFeeBps > 0 ? demoMd.TakerFeeBps : FeeModel.FallbackBps(demoMd.Category))
: FeeModel.FallbackBps(null);
var (exitUsd, realizedPnl, totalFees) = DemoModel.CloseWithFees(
openPos.Size, signal.Price, openPos.AmountUsd, demoFeeBps, DemoModel.FallbackHalfSpread);
decimal demoExitPrice = DemoModel.ExitFillPrice(signal.Price, DemoModel.FallbackHalfSpread);
_state.GlobalPnl += realizedPnl;
account.UpdateBalance(account.AvailableBalance + exitUsd);
@@ -652,10 +658,11 @@ namespace PolyTraderSharp.Services
Outcome = signal.Outcome,
Side = signal.Side,
EntryPrice = openPos.EntryPrice,
ExitPrice = signal.Price,
ExitPrice = demoExitPrice,
Size = openPos.Size,
RealizedPnl = realizedPnl,
PnlPercent = TradeMath.PnlPercent(realizedPnl, openPos.AmountUsd),
TotalFees = totalFees,
OpenedAt = openPos.OpenedAt,
ClosedAt = DateTime.UtcNow,
ExitReason = signal.Reason