feat: strategy builder

backend/routers/strategy_builder.py

@@ -41,12 +41,21 @@ class ScenarioIn(BaseModel):
     # options (e.g. dte_min=20, dte_max=60) instead of horizon_days doing double duty.
     dte_min: Optional[int] = None
     dte_max: Optional[int] = None
-    # "Dériver d'un historique" mode: reconstruct the chain (and every leg strike drawn
+    # "Analyse période historique" mode: reconstruct the chain (and every leg strike drawn
     # from it, including in /optimize) as it stood at/before this date instead of live —
     # e.g. so the optimizer searches over what was ACTUALLY quoted on the day a realized
     # scenario's window starts, not today's chain. None (default) = live, unchanged
-    # behavior for the normal Construire flow.
+    # behavior for the normal Construire flow. This is the position's ENTRY date.
     as_of: Optional[str] = None
+    # The scrubbed-to day within the historical period: when set, surface_scenario is a
+    # REAL smile fit from the Saxo chain at/before this date (services.vol_surface.Surface,
+    # built the same way surface_now already is) instead of apply_scenario's parametric
+    # spot/IV/skew/term shock — Surface and ScenarioSurface expose the same .spot/.iv_at()
+    # interface, so this is a drop-in substitution, not a new pricing path. horizon_days
+    # should equal (checkpoint_as_of - as_of).days so the elapsed-time math stays
+    # consistent with what's actually being priced. None (default) = today's synthetic
+    # scenario shock, unchanged behavior.
+    checkpoint_as_of: Optional[str] = None
 
     @property
     def shocked_rate(self) -> float:
@@ -119,6 +128,7 @@ class StrategySaveRequest(BaseModel):
     net_pnl_scenario: Optional[float] = None
     net_delta: Optional[float] = None
     notes: Optional[str] = ""
+    source: str = "synthetic"  # "synthetic" (Construire) | "historical" (Analyse période historique)
 
 
 def _build_surfaces(scenario: ScenarioIn):
@@ -127,14 +137,23 @@ def _build_surfaces(scenario: ScenarioIn):
         dte_min=scenario.dte_min, dte_max=scenario.dte_max, as_of=scenario.as_of,
     )
     surface_now = build_surface(chain_slice)
-    surface_scenario = apply_scenario(
-        surface_now,
-        spot_shock_pct=scenario.spot_shock_pct,
-        iv_level_shift=scenario.iv_level_shift,
-        skew_tilt=scenario.skew_tilt,
-        term_slope_shift=scenario.term_slope_shift,
-        manual_grid=scenario.manual_grid,
-    )
+    if scenario.checkpoint_as_of:
+        # Real smile-of-the-day, not a hypothesis — same fitting code as surface_now
+        # (build_surface), just fed the chain as it stood at the scrubbed-to date.
+        checkpoint_chain = get_chain_slice(
+            scenario.symbol, scenario.horizon_days, scenario.n_expiries,
+            dte_min=scenario.dte_min, dte_max=scenario.dte_max, as_of=scenario.checkpoint_as_of,
+        )
+        surface_scenario = build_surface(checkpoint_chain)
+    else:
+        surface_scenario = apply_scenario(
+            surface_now,
+            spot_shock_pct=scenario.spot_shock_pct,
+            iv_level_shift=scenario.iv_level_shift,
+            skew_tilt=scenario.skew_tilt,
+            term_slope_shift=scenario.term_slope_shift,
+            manual_grid=scenario.manual_grid,
+        )
     return chain_slice, surface_now, surface_scenario
 
 
@@ -287,6 +306,8 @@ def optimize(req: OptimizeRequest):
             top_n=req.constraints.top_n,
             contract_size=req.scenario.contract_size,
             greek_profile=req.greek_profile.model_dump() if req.greek_profile else None,
+            as_of=req.scenario.as_of,
+            checkpoint_as_of=req.scenario.checkpoint_as_of,
         )
     except Exception as e:
         import traceback

backend/services/database.py

@@ -341,6 +341,11 @@ def init_db():
         "ALTER TABLE strategy_scenarios ADD COLUMN rate_shock_bps REAL DEFAULT 0",
         "ALTER TABLE strategy_scenarios ADD COLUMN dte_min INTEGER",
         "ALTER TABLE strategy_scenarios ADD COLUMN dte_max INTEGER",
+        # Strategy Builder — Construire/Analyse historique merge: tags which mode priced
+        # this strategy when it was saved, so the saved-strategies library (now shown in
+        # both modes) can badge it and the other mode knows it's re-pricing a strategy that
+        # wasn't originally priced there.
+        "ALTER TABLE saved_strategies ADD COLUMN source TEXT DEFAULT 'synthetic'",
     ]:
         try:
             c.execute(_sql)
@@ -6421,8 +6426,8 @@ def save_strategy(strategy: Dict[str, Any]) -> str:
     conn = get_conn()
     conn.execute("""INSERT INTO saved_strategies (
         id, scenario_id, symbol, template_name, objective, legs,
-        entry_cost, max_gain, max_loss, net_pnl_scenario, net_delta, notes
-    ) VALUES (?,?,?,?,?,?,?,?,?,?,?,?)""", (
+        entry_cost, max_gain, max_loss, net_pnl_scenario, net_delta, notes, source
+    ) VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?)""", (
         strategy_id,
         strategy.get("scenario_id"),
         strategy["symbol"],
@@ -6435,6 +6440,7 @@ def save_strategy(strategy: Dict[str, Any]) -> str:
         strategy.get("net_pnl_scenario"),
         strategy.get("net_delta"),
         strategy.get("notes", ""),
+        strategy.get("source", "synthetic"),
     ))
     conn.commit()
     conn.close()

backend/services/strategy_optimizer.py

@@ -274,14 +274,23 @@ def optimize(
     dte_max: Optional[int] = None,
     greek_profile: Optional[Dict[str, Any]] = None,
     as_of: Optional[str] = None,
+    checkpoint_as_of: Optional[str] = None,
 ) -> List[Dict[str, Any]]:
     r = rate + rate_shock_bps / 10000.0
     chain_slice = get_chain_slice(symbol, horizon_days, n_expiries, dte_min=dte_min, dte_max=dte_max, as_of=as_of)
     surface_now = build_surface(chain_slice)
-    surface_scenario = apply_scenario(
-        surface_now, spot_shock_pct=spot_shock_pct, iv_level_shift=iv_level_shift,
-        skew_tilt=skew_tilt, term_slope_shift=term_slope_shift, manual_grid=manual_grid,
-    )
+    if checkpoint_as_of:
+        # Real smile-of-the-day (same fitting as surface_now) instead of a parametric
+        # shock — see routers.strategy_builder.ScenarioIn.checkpoint_as_of. Surface and
+        # ScenarioSurface share the same .spot/.iv_at() interface, so every candidate
+        # evaluated below (_evaluate/_residual_search) needs no change.
+        checkpoint_chain = get_chain_slice(symbol, horizon_days, n_expiries, dte_min=dte_min, dte_max=dte_max, as_of=checkpoint_as_of)
+        surface_scenario = build_surface(checkpoint_chain)
+    else:
+        surface_scenario = apply_scenario(
+            surface_now, spot_shock_pct=spot_shock_pct, iv_level_shift=iv_level_shift,
+            skew_tilt=skew_tilt, term_slope_shift=term_slope_shift, manual_grid=manual_grid,
+        )
 
     candidates = generate_all(chain_slice)
     scored: List[Dict[str, Any]] = []

backend/services/strategy_replay.py

@@ -118,6 +118,10 @@ def replay_position(
             "date": d, "spot": chain.get("spot"),
             "position_value": round(value, 2),
             "pnl": round(value - entry_value, 2),
+            # Every day's real per-leg quote/IV/greeks, not just entry/exit — lets the
+            # "Analyse période historique" day-scrubber show the real leg detail for
+            # whichever day is currently scrubbed to, not only the window's endpoints.
+            "legs": day_legs,
         })
 
     if not points: