feat: simulate trading fees/slippage in backtest, compute real PnL for real trades

Backtest/walk-forward priced every fill at the exact candle close with zero
cost, making reported win rate/profit factor systematically more optimistic
than live trading. Added configurable taker-fee + slippage simulation
(defaults 0.1%/0.05% per fill) applied to every entry/exit, threaded through
walk-forward's grid search and both API endpoints.

sync_real_trades() hardcoded pnl=0 for every real trade needing it, silently
reporting break-even for real-money trades regardless of actual outcome.
Replaced with FIFO lot matching per (user, symbol, exchange), and fixed
orders.py to persist the exchange's actual average fill price instead of
the (always-None-for-market-orders) requested price, so there's real price
data to match against.

Also verified (and locked in with regression tests) that Divergence/SMC's
pivot-confirmation delay is already causally consistent between live and
backtest — no repaint, no look-ahead leak.

187 backend tests pass (+17).

Co-Authored-By: Claude Sonnet 5 <noreply@anthropic.com>

backend/app/api/v1/backtest.py

@@ -11,7 +11,12 @@ from app.database import get_db
 from app.models.candle import Candle
 from app.models.symbol import Symbol
 from app.models.exchange import Exchange
-from app.services.backtest_engine import run_backtest as _run_backtest, MIN_CANDLES
+from app.services.backtest_engine import (
+    run_backtest as _run_backtest,
+    MIN_CANDLES,
+    DEFAULT_TAKER_FEE_PCT,
+    DEFAULT_SLIPPAGE_PCT,
+)
 
 logger = logging.getLogger(__name__)
 router = APIRouter(prefix="/backtest", tags=["backtest"])
@@ -76,11 +81,13 @@ async def run_backtest(
     timeframe: str = Query("30m"),
     days: int = Query(7),
     trade_size: float = Query(10.0),
+    fee_pct: float = Query(DEFAULT_TAKER_FEE_PCT, ge=0, description="Round-trip-per-fill taker fee, e.g. 0.001 = 0.1%"),
+    slippage_pct: float = Query(DEFAULT_SLIPPAGE_PCT, ge=0, description="Adverse slippage per fill, e.g. 0.0005 = 0.05%"),
     db: AsyncSession = Depends(get_db),
 ):
     """Run backtest and return JSON results."""
     result = await _run_backtest(
-        db, symbol, exchange, timeframe, days, Decimal(str(trade_size))
+        db, symbol, exchange, timeframe, days, Decimal(str(trade_size)), fee_pct, slippage_pct,
     )
     if "error" in result:
         raise HTTPException(status_code=400, detail=result["error"])
@@ -94,7 +101,9 @@ async def run_backtest_post(
     timeframe: str = Query("30m"),
     days: int = Query(7),
     trade_size: float = Query(10.0),
+    fee_pct: float = Query(DEFAULT_TAKER_FEE_PCT, ge=0),
+    slippage_pct: float = Query(DEFAULT_SLIPPAGE_PCT, ge=0),
     db: AsyncSession = Depends(get_db),
 ):
     """Alias for GET /backtest/run — supports POST method."""
-    return await run_backtest(symbol, exchange, timeframe, days, trade_size, db)
+    return await run_backtest(symbol, exchange, timeframe, days, trade_size, fee_pct, slippage_pct, db)

backend/app/api/v1/orders.py

@@ -96,7 +96,11 @@ async def place_order(
             current_user.username, exchange_name, req.symbol, req.side, req.amount,
         )
 
-        # Persist to real_trades
+        # Persist to real_trades. For market orders `req.price` is None (no
+        # limit price was ever set) — the actual execution price only comes
+        # back from the exchange as `order.average`/`order.price`. Without
+        # it, this row would have no price at all and PnL could never be
+        # computed for it later (see sync_real_trades' FIFO PnL matching).
         real_trade = RealTrade(
             user_id=current_user.id,
             exchange=exchange_name,
@@ -104,7 +108,7 @@ async def place_order(
             side=req.side,
             order_type=req.order_type,
             amount=req.amount,
-            price=req.price,
+            price=order.average or order.price or req.price,
             filled_amount=order.filled,
             status=order.status,
             order_id=order.order_id,

backend/app/api/v1/walk_forward.py

@@ -21,6 +21,7 @@ from app.database import get_db
 from app.core.deps import get_current_user
 from app.models.user import User as UserModel
 from app.services.walk_forward import run_walk_forward
+from app.services.backtest_engine import DEFAULT_TAKER_FEE_PCT, DEFAULT_SLIPPAGE_PCT
 
 logger = logging.getLogger(__name__)
 router = APIRouter(prefix="/walk-forward", tags=["walk_forward"])
@@ -35,6 +36,8 @@ async def run(
     train_days: int = Query(270, ge=30, description="Train window size per fold, in days"),
     test_days: int = Query(90, ge=14, description="Held-out test window size per fold, in days"),
     trade_size: float = Query(10.0),
+    fee_pct: float = Query(DEFAULT_TAKER_FEE_PCT, ge=0, description="Round-trip-per-fill taker fee, e.g. 0.001 = 0.1%"),
+    slippage_pct: float = Query(DEFAULT_SLIPPAGE_PCT, ge=0, description="Adverse slippage per fill, e.g. 0.0005 = 0.05%"),
     db: AsyncSession = Depends(get_db),
     current_user: UserModel = Depends(get_current_user),
 ):
@@ -43,6 +46,7 @@ async def run(
         db, symbol, exchange, timeframe,
         total_days=total_days, train_days=train_days, test_days=test_days,
         trade_size=Decimal(str(trade_size)),
+        fee_pct=fee_pct, slippage_pct=slippage_pct,
     )
     if "error" in result:
         raise HTTPException(status_code=400, detail=result["error"])