🕸️ @backtest-kit/graph

Compose backtest-kit computations as a typed directed acyclic graph. Declare source nodes that fetch market data and output nodes that derive values from them — then resolve the whole graph in topological order, in parallel, fully type-inferred.

📚 Docs · 🌟 Reference implementation · 🐙 GitHub

npm install @backtest-kit/graph backtest-kit

What it's for

A trading signal is rarely one number — it's a small computation: pull 4h trend, pull 15m entry, combine them, maybe gate on RSI. Written inline, that becomes a tangle of awaits with hand-managed ordering. This package lets you declare it as a graph of typed nodes: leaves (sourceNode) fetch data, branches (outputNode) compute from their children, and resolve() walks the tree bottom-up — resolving every node's dependencies in parallel (Promise.all) before computing the node itself. Swapping a timeframe or adding a filter node needs no change to the strategy wiring, and TypeScript infers the value type through the entire graph.

It plugs straight into a getSignal and runs inside backtest-kit's execution context, so a sourceNode's fetch automatically receives (symbol, when, currentPrice, exchangeName) — the same look-ahead-safe "now" the rest of the engine sees.

Multi-timeframe Pine strategy (the canonical example)

A two-timeframe strategy: a 4h Pine Script acts as a trend filter, a 15m Pine Script generates the entry. The output node combines them and returns null whenever the trend disagrees with the entry — so a long signal is suppressed in a downtrend and vice-versa.

import { extract, run, toSignalDto, File } from '@backtest-kit/pinets';
import { addStrategySchema, Cache } from 'backtest-kit';
import { randomString } from 'functools-kit';
import { sourceNode, outputNode, resolve } from '@backtest-kit/graph';

// SourceNode — 4h trend filter, cached per candle interval
const higherTimeframe = sourceNode(Cache.fn(async (symbol) => {
  const plots = await run(File.fromPath('timeframe_4h.pine'), { symbol, timeframe: '4h', limit: 100 });
  return extract(plots, { allowLong: 'AllowLong', allowShort: 'AllowShort', noTrades: 'NoTrades' });
}, { interval: '4h', key: ([symbol]) => symbol }));

// SourceNode — 15m entry signal, cached per candle interval
const lowerTimeframe = sourceNode(Cache.fn(async (symbol) => {
  const plots = await run(File.fromPath('timeframe_15m.pine'), { symbol, timeframe: '15m', limit: 100 });
  return extract(plots, { position: 'Signal', priceOpen: 'Close', priceTakeProfit: 'TakeProfit', priceStopLoss: 'StopLoss', minuteEstimatedTime: 'EstimatedTime' });
}, { interval: '15m', key: ([symbol]) => symbol }));

// OutputNode — applies the MTF filter, returns ISignalDto or null
const mtfSignal = outputNode(async ([higher, lower]) => {
  if (higher.noTrades) return null;
  if (lower.position === 0) return null;
  if (higher.allowShort && lower.position === 1) return null;   // long blocked in downtrend
  if (higher.allowLong  && lower.position === -1) return null;  // short blocked in uptrend
  return toSignalDto(randomString(), lower, null);
}, higherTimeframe, lowerTimeframe);

addStrategySchema({
  strategyName: 'mtf_graph_strategy', interval: '5m',
  getSignal: (symbol) => resolve(mtfSignal),
  actions: ['partial_profit_action', 'breakeven_action'],
});

Both Pine nodes resolve in parallel; their typed results flow into compute. Replacing either script — or adding a third filter node — requires no change to the strategy registration.

The model

Two layers, by design: a low-level runtime interface (INode) that serializes to a DB and reconstructs without builders, and a high-level authoring API (TypedNode + sourceNode/outputNode) that gives full type inference. You write with the builders; the runtime and storage use the interface.

• 📊 DAG execution — nodes resolve bottom-up in topological order with Promise.all parallelism.
• 🔒 Type-safe values — TypeScript infers each node's return type through the graph via generics (OutputNode<[SourceNode<number>, SourceNode<string>], …>).
• 💾 DB-ready — serialize/deserialize convert the graph to a flat IFlatNode[] list with id/nodeIds.
• 🔌 Context-aware fetch — SourceNode.fetch receives (symbol, when, currentPrice, exchangeName) from the execution context automatically.

Authoring API

outputNode infers the type of values in compute from the nodes you pass:

import { sourceNode, outputNode, resolve } from '@backtest-kit/graph';

const closePrice = sourceNode(async (symbol, when, currentPrice, exchangeName) => {
  const candles = await getCandles(symbol, '1h', 1, exchangeName);
  return candles[0].close;                       // SourceNode<number>
});
const volume = sourceNode(async (symbol, when, currentPrice, exchangeName) => {
  const candles = await getCandles(symbol, '1h', 1, exchangeName);
  return candles[0].volume;                      // SourceNode<number>
});

const vwap = outputNode(([price, vol]) => price * vol, closePrice, volume); // price, vol: number
const result = await resolve(vwap);              // Promise<number>, inside a strategy

const price = sourceNode(async (symbol) => 42);        // SourceNode<number>
const name  = sourceNode(async (symbol) => 'BTCUSDT'); // SourceNode<string>
const flag  = sourceNode(async (symbol) => true);      // SourceNode<boolean>

const result = outputNode(
  ([p, n, f]) => `${n}: ${p} (active: ${f})`,          // p: number, n: string, f: boolean
  price, name, flag,
); // OutputNode<[SourceNode<number>, SourceNode<string>, SourceNode<boolean>], string>

import { NodeType, TypedNode, resolve } from '@backtest-kit/graph';

const signal: TypedNode = {
  type: NodeType.OutputNode,
  nodes: [
    { type: NodeType.SourceNode, fetch: async (symbol) => extract(await run(File.fromPath('timeframe_4h.pine'),  { symbol, timeframe: '4h',  limit: 100 }), { allowLong: 'AllowLong', allowShort: 'AllowShort', noTrades: 'NoTrades' }) },
    { type: NodeType.SourceNode, fetch: async (symbol) => extract(await run(File.fromPath('timeframe_15m.pine'), { symbol, timeframe: '15m', limit: 100 }), { position: 'Signal', priceOpen: 'Close', priceTakeProfit: 'TakeProfit', priceStopLoss: 'StopLoss' }) },
  ],
  compute: ([higher, lower]) => {
    if (higher.noTrades || lower.position === 0) return null;
    if (higher.allowShort && lower.position === 1) return null;
    if (higher.allowLong  && lower.position === -1) return null;
    return lower.position;
  },
};
const result = await resolve(signal);

import { addStrategy } from 'backtest-kit';
import { sourceNode, outputNode, resolve } from '@backtest-kit/graph';

const rsi = sourceNode(async (symbol, when, currentPrice, exchangeName) => 55.2 /* compute RSI */);
const signal = outputNode(([rsiValue]) => rsiValue < 30 ? 1 : rsiValue > 70 ? -1 : 0, rsi);

addStrategy({
  strategyName: 'graph-rsi', interval: '1h', riskName: 'demo',
  getSignal: async (symbol) => {
    const direction = await resolve(signal);     // 1 | -1 | 0
    return direction === 1 ? { position: 'long', /* … */ } : null;
  },
});

Runtime interface & storage

import { INode, Value } from '@backtest-kit/graph';
import NodeType from '@backtest-kit/graph/enum/NodeType';

const priceNode: INode = { type: NodeType.SourceNode, description: 'Close price', fetch: async (symbol, when, currentPrice, exchangeName) => 42 };
const doubled:   INode = { type: NodeType.OutputNode, description: 'Doubled price', nodes: [priceNode], compute: ([price]) => (price as number) * 2 };

INode has no generic parameters — values in compute is typed as Value[] (string | number | boolean | null). Use TypedNode + builders for full IntelliSense.

serialize flattens the graph into IFlatNode[], replacing object references in nodes with nodeIds; deserialize rebuilds the tree:

import { serialize, deserialize, IFlatNode } from '@backtest-kit/graph';

const flat: IFlatNode[] = serialize([vwap]);
// [ { id:'abc', type:'source_node', nodeIds:[] },          // closePrice
//   { id:'def', type:'source_node', nodeIds:[] },          // volume
//   { id:'ghi', type:'output_node', nodeIds:['abc','def'] } ] // vwap
await db.collection('nodes').insertMany(flat);

const stored = await db.collection('nodes').find().toArray();
const roots: INode[] = deserialize(stored);    // nodes[] re-wired from nodeIds

fetch and compute are not stored — restore them on the application side after deserialize.

Returns all nodes in topological order (dependencies before parents), deduplicated by reference:

import { deepFlat } from '@backtest-kit/graph';
const all = deepFlat([vwap]); // [closePrice, volume, vwap]
all.forEach(node => console.log(node.description));

API reference

| Export | Description | |--------|-------------| | sourceNode(fetch) | Builder — typed source (leaf) node; fetch(symbol, when, currentPrice, exchangeName) | | outputNode(compute, ...nodes) | Builder — typed output node; infers values types from nodes | | resolve(node) | Recursively resolves a graph within backtest-kit execution context | | serialize(roots) | Flattens a node tree into IFlatNode[] for DB storage | | deserialize(flat) | Reconstructs a node tree from IFlatNode[], returns root nodes | | deepFlat(nodes) | Returns all nodes in topological order (dependencies first) | | INode | Base runtime interface (untyped; used internally and for serialization) | | TypedNode | Discriminated union for authoring with full IntelliSense | | IFlatNode | Serialized node shape for DB storage (id, type, nodeIds) | | NodeType | Enum — SourceNode (source_node) / OutputNode (output_node) | | Value | string \| number \| boolean \| null | | ExchangeName | Exchange-name type alias passed to fetch |

Complete source map. enum/NodeType.ts · helpers/{node,resolve,serialize,deepFlat}.ts · interfaces/{Node,TypedNode,FlatNode}.interface.ts · model/ExchangeName.model.ts · index.ts — every export above is one of these files; nothing in src/ is undocumented.

🤝 Contribute

Fork / PR on GitHub.

📜 License

MIT © tripolskypetr