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