DOLPHIN/nautilus_dolphin/mc/mc_validator.py

"""
Monte Carlo Configuration Validator
===================================

Internal consistency validation for all constraint groups V1-V4.

Validation Pipeline:
    V1: Range check        - each param within declared [lo, hi]
    V2: Constraint groups  - CG-VD, CG-LEV, CG-EXIT, CG-RISK, CG-ACB, etc.
    V3: Cross-group check  - inter-subsystem coherence
    V4: Degenerate check   - would produce 0 trades or infinite leverage

Reference: MONTE_CARLO_SYSTEM_ENVELOPE_SPEC.md Section 4
"""

from typing import Dict, List, Optional, Tuple, Any
from dataclasses import dataclass
from enum import Enum
import numpy as np

from .mc_sampler import MCTrialConfig, MCSampler


class ValidationStatus(Enum):
    """Validation result status."""
    VALID = "VALID"
    REJECTED_V1 = "REJECTED_V1"  # Range check failed
    REJECTED_V2 = "REJECTED_V2"  # Constraint group failed
    REJECTED_V3 = "REJECTED_V3"  # Cross-group check failed
    REJECTED_V4 = "REJECTED_V4"  # Degenerate configuration


@dataclass
class ValidationResult:
    """Result of validation."""
    status: ValidationStatus
    trial_id: int
    reject_reason: Optional[str] = None
    warnings: List[str] = None
    
    def __post_init__(self):
        if self.warnings is None:
            self.warnings = []
    
    def is_valid(self) -> bool:
        """Check if configuration is valid."""
        return self.status == ValidationStatus.VALID
    
    def to_dict(self) -> Dict[str, Any]:
        """Convert to dictionary."""
        return {
            'status': self.status.value,
            'trial_id': self.trial_id,
            'reject_reason': self.reject_reason,
            'warnings': self.warnings,
        }


class MCValidator:
    """
    Monte Carlo Configuration Validator.
    
    Implements the full V1-V4 validation pipeline.
    """
    
    def __init__(self, verbose: bool = False):
        """
        Initialize validator.
        
        Parameters
        ----------
        verbose : bool
            Print detailed validation messages
        """
        self.verbose = verbose
        self.sampler = MCSampler()
    
    def validate(self, config: MCTrialConfig) -> ValidationResult:
        """
        Run full validation pipeline on a configuration.
        
        Parameters
        ----------
        config : MCTrialConfig
            Configuration to validate
            
        Returns
        -------
        ValidationResult
            Validation result with status and details
        """
        warnings = []
        
        # V1: Range checks
        v1_passed, v1_reason = self._validate_v1_ranges(config)
        if not v1_passed:
            return ValidationResult(
                status=ValidationStatus.REJECTED_V1,
                trial_id=config.trial_id,
                reject_reason=v1_reason,
                warnings=warnings
            )
        
        # V2: Constraint group rules
        v2_passed, v2_reason = self._validate_v2_constraint_groups(config)
        if not v2_passed:
            return ValidationResult(
                status=ValidationStatus.REJECTED_V2,
                trial_id=config.trial_id,
                reject_reason=v2_reason,
                warnings=warnings
            )
        
        # V3: Cross-group checks
        v3_passed, v3_reason, v3_warnings = self._validate_v3_cross_group(config)
        warnings.extend(v3_warnings)
        if not v3_passed:
            return ValidationResult(
                status=ValidationStatus.REJECTED_V3,
                trial_id=config.trial_id,
                reject_reason=v3_reason,
                warnings=warnings
            )
        
        # V4: Degenerate check (lightweight - no actual backtest)
        v4_passed, v4_reason = self._validate_v4_degenerate(config)
        if not v4_passed:
            return ValidationResult(
                status=ValidationStatus.REJECTED_V4,
                trial_id=config.trial_id,
                reject_reason=v4_reason,
                warnings=warnings
            )
        
        return ValidationResult(
            status=ValidationStatus.VALID,
            trial_id=config.trial_id,
            reject_reason=None,
            warnings=warnings
        )
    
    def _validate_v1_ranges(self, config: MCTrialConfig) -> Tuple[bool, Optional[str]]:
        """
        V1: Range checks - each param within declared [lo, hi].
        """
        params = config._asdict()
        
        for name, pdef in self.sampler.PARAMS.items():
            if pdef.param_type.value in ('derived', 'fixed'):
                continue
            
            value = params.get(name)
            if value is None:
                return False, f"Missing parameter: {name}"
            
            # Check lower bound
            if pdef.lo is not None and value < pdef.lo:
                return False, f"{name}={value} below minimum {pdef.lo}"
            
            # Check upper bound (handle dependent bounds)
            hi = pdef.hi
            if hi is None and name == 'vel_div_extreme':
                hi = params.get('vel_div_threshold', -0.02) * 1.5
            
            if hi is not None and value > hi:
                return False, f"{name}={value} above maximum {hi}"
        
        return True, None
    
    def _validate_v2_constraint_groups(self, config: MCTrialConfig) -> Tuple[bool, Optional[str]]:
        """
        V2: Constraint group rules.
        """
        # CG-VD: Velocity Divergence thresholds
        if not self._check_cg_vd(config):
            return False, "CG-VD: Velocity divergence constraints violated"
        
        # CG-LEV: Leverage bounds
        if not self._check_cg_lev(config):
            return False, "CG-LEV: Leverage constraints violated"
        
        # CG-EXIT: Exit management
        if not self._check_cg_exit(config):
            return False, "CG-EXIT: Exit constraints violated"
        
        # CG-RISK: Combined risk
        if not self._check_cg_risk(config):
            return False, "CG-RISK: Risk cap exceeded"
        
        # CG-DC-LEV: DC leverage adjustments
        if not self._check_cg_dc_lev(config):
            return False, "CG-DC-LEV: DC leverage adjustment constraints violated"
        
        # CG-ACB: ACB beta bounds
        if not self._check_cg_acb(config):
            return False, "CG-ACB: ACB beta constraints violated"
        
        # CG-SP: SmartPlacer rates
        if not self._check_cg_sp(config):
            return False, "CG-SP: SmartPlacer rate constraints violated"
        
        # CG-OB-SIG: OB signal constraints
        if not self._check_cg_ob_sig(config):
            return False, "CG-OB-SIG: OB signal constraints violated"
        
        return True, None
    
    def _check_cg_vd(self, config: MCTrialConfig) -> bool:
        """CG-VD: Velocity Divergence constraints."""
        # extreme < threshold (both negative; extreme is more negative)
        if config.vel_div_extreme >= config.vel_div_threshold:
            if self.verbose:
                print(f"  CG-VD fail: extreme={config.vel_div_extreme} >= threshold={config.vel_div_threshold}")
            return False
        
        # extreme >= -0.15 (below this, no bars fire at all)
        if config.vel_div_extreme < -0.15:
            if self.verbose:
                print(f"  CG-VD fail: extreme={config.vel_div_extreme} < -0.15")
            return False
        
        # threshold <= -0.005 (above this, too many spurious entries)
        if config.vel_div_threshold > -0.005:
            if self.verbose:
                print(f"  CG-VD fail: threshold={config.vel_div_threshold} > -0.005")
            return False
        
        # abs(extreme / threshold) >= 1.5 (meaningful separation)
        separation = abs(config.vel_div_extreme / config.vel_div_threshold)
        if separation < 1.5:
            if self.verbose:
                print(f"  CG-VD fail: separation={separation:.2f} < 1.5")
            return False
        
        return True
    
    def _check_cg_lev(self, config: MCTrialConfig) -> bool:
        """CG-LEV: Leverage bounds."""
        # min_leverage < max_leverage
        if config.min_leverage >= config.max_leverage:
            if self.verbose:
                print(f"  CG-LEV fail: min={config.min_leverage} >= max={config.max_leverage}")
            return False
        
        # max_leverage - min_leverage >= 1.0 (meaningful range)
        if config.max_leverage - config.min_leverage < 1.0:
            if self.verbose:
                print(f"  CG-LEV fail: range={config.max_leverage - config.min_leverage:.2f} < 1.0")
            return False
        
        # max_leverage * fraction <= 2.0 (notional-capital safety cap)
        notional_cap = config.max_leverage * config.fraction
        if notional_cap > 2.0:
            if self.verbose:
                print(f"  CG-LEV fail: notional_cap={notional_cap:.2f} > 2.0")
            return False
        
        return True
    
    def _check_cg_exit(self, config: MCTrialConfig) -> bool:
        """CG-EXIT: Exit management constraints."""
        tp_decimal = config.fixed_tp_pct
        sl_decimal = config.stop_pct / 100.0  # Convert from percentage to decimal
        
        # TP must be achievable before SL
        if tp_decimal > sl_decimal * 5.0:
            if self.verbose:
                print(f"  CG-EXIT fail: TP={tp_decimal:.4f} > SL*5={sl_decimal*5:.4f}")
            return False
        
        # minimum 30 bps TP
        if tp_decimal < 0.0030:
            if self.verbose:
                print(f"  CG-EXIT fail: TP={tp_decimal:.4f} < 0.0030")
            return False
        
        # minimum 20 bps SL width
        if sl_decimal < 0.0020:
            if self.verbose:
                print(f"  CG-EXIT fail: SL={sl_decimal:.4f} < 0.0020")
            return False
        
        # minimum meaningful hold period
        if config.max_hold_bars < 20:
            if self.verbose:
                print(f"  CG-EXIT fail: max_hold={config.max_hold_bars} < 20")
            return False
        
        # TP:SL ratio >= 0.10x
        if sl_decimal > 0 and tp_decimal / sl_decimal < 0.10:
            if self.verbose:
                print(f"  CG-EXIT fail: TP/SL ratio={tp_decimal/sl_decimal:.2f} < 0.10")
            return False
        
        return True
    
    def _check_cg_risk(self, config: MCTrialConfig) -> bool:
        """CG-RISK: Combined risk constraints."""
        # fraction * max_leverage <= 2.0 (mirrors CG-LEV)
        max_notional_fraction = config.fraction * config.max_leverage
        if max_notional_fraction > 2.0:
            if self.verbose:
                print(f"  CG-RISK fail: max_notional={max_notional_fraction:.2f} > 2.0")
            return False
        
        # minimum meaningful position
        if max_notional_fraction < 0.10:
            if self.verbose:
                print(f"  CG-RISK fail: max_notional={max_notional_fraction:.2f} < 0.10")
            return False
        
        return True
    
    def _check_cg_dc_lev(self, config: MCTrialConfig) -> bool:
        """CG-DC-LEV: DC leverage adjustment constraints."""
        if not config.use_direction_confirm:
            # DC not used - constraints don't apply
            return True
        
        # dc_leverage_boost >= 1.0 (must boost, not reduce)
        if config.dc_leverage_boost < 1.0:
            if self.verbose:
                print(f"  CG-DC-LEV fail: boost={config.dc_leverage_boost:.2f} < 1.0")
            return False
        
        # dc_leverage_reduce < 1.0 (must reduce, not boost)
        if config.dc_leverage_reduce >= 1.0:
            if self.verbose:
                print(f"  CG-DC-LEV fail: reduce={config.dc_leverage_reduce:.2f} >= 1.0")
            return False
        
        # DC swing bounded: boost * (1/reduce) <= 4.0
        dc_swing = config.dc_leverage_boost * (1.0 / config.dc_leverage_reduce)
        if dc_swing > 4.0:
            if self.verbose:
                print(f"  CG-DC-LEV fail: dc_swing={dc_swing:.2f} > 4.0")
            return False
        
        return True
    
    def _check_cg_acb(self, config: MCTrialConfig) -> bool:
        """CG-ACB: ACB beta bounds."""
        # acb_beta_low < acb_beta_high
        if config.acb_beta_low >= config.acb_beta_high:
            if self.verbose:
                print(f"  CG-ACB fail: low={config.acb_beta_low:.2f} >= high={config.acb_beta_high:.2f}")
            return False
        
        # acb_beta_high - acb_beta_low >= 0.20 (meaningful dynamic range)
        if config.acb_beta_high - config.acb_beta_low < 0.20:
            if self.verbose:
                print(f"  CG-ACB fail: range={config.acb_beta_high - config.acb_beta_low:.2f} < 0.20")
            return False
        
        # acb_beta_high <= 1.50 (cap at 150%)
        if config.acb_beta_high > 1.50:
            if self.verbose:
                print(f"  CG-ACB fail: high={config.acb_beta_high:.2f} > 1.50")
            return False
        
        return True
    
    def _check_cg_sp(self, config: MCTrialConfig) -> bool:
        """CG-SP: SmartPlacer rate constraints."""
        if not config.use_sp_slippage:
            # Slippage disabled - rates don't matter
            return True
        
        # Rates must be in [0, 1]
        if not (0.0 <= config.sp_maker_entry_rate <= 1.0):
            if self.verbose:
                print(f"  CG-SP fail: entry_rate={config.sp_maker_entry_rate:.2f} not in [0,1]")
            return False
        
        if not (0.0 <= config.sp_maker_exit_rate <= 1.0):
            if self.verbose:
                print(f"  CG-SP fail: exit_rate={config.sp_maker_exit_rate:.2f} not in [0,1]")
            return False
        
        return True
    
    def _check_cg_ob_sig(self, config: MCTrialConfig) -> bool:
        """CG-OB-SIG: OB signal constraints."""
        # ob_imbalance_bias in [-1.0, 1.0]
        if not (-1.0 <= config.ob_imbalance_bias <= 1.0):
            if self.verbose:
                print(f"  CG-OB-SIG fail: bias={config.ob_imbalance_bias:.2f} not in [-1,1]")
            return False
        
        # ob_depth_scale > 0
        if config.ob_depth_scale <= 0:
            if self.verbose:
                print(f"  CG-OB-SIG fail: depth_scale={config.ob_depth_scale:.2f} <= 0")
            return False
        
        return True
    
    def _validate_v3_cross_group(
        self, config: MCTrialConfig
    ) -> Tuple[bool, Optional[str], List[str]]:
        """
        V3: Cross-group coherence checks.
        Returns (passed, reason, warnings).
        """
        warnings = []
        
        # Signal threshold vs exit: TP must be achievable before max_hold_bars expires
        # Approximate: at typical vol, price moves ~0.03% per 5s bar
        expected_tp_bars = config.fixed_tp_pct / 0.0003
        if expected_tp_bars > config.max_hold_bars * 3:
            warnings.append(
                f"TP_TIME_RISK: expected_tp_bars={expected_tp_bars:.0f} > max_hold*3={config.max_hold_bars*3}"
            )
        
        # Leverage convexity vs range: extreme convexity with wide leverage range
        # produces near-binary leverage
        if config.leverage_convexity > 5.0 and (config.max_leverage - config.min_leverage) > 5.0:
            warnings.append(
                f"HIGH_CONVEXITY_WIDE_RANGE: near-binary leverage behaviour likely"
            )
        
        # OB skip + DC skip double-filtering: very few trades may fire
        if config.dc_skip_contradicts and config.ob_imbalance_bias > 0.15:
            warnings.append(
                f"DOUBLE_FILTER_RISK: DC skip + strong OB contradiction may starve trades"
            )
        
        # Reject only on critical cross-group violations
        # (none currently defined - all are warnings)
        
        return True, None, warnings
    
    def _validate_v4_degenerate(self, config: MCTrialConfig) -> Tuple[bool, Optional[str]]:
        """
        V4: Degenerate configuration check (lightweight heuristics).
        
        Full pre-flight with 500 bars is done in mc_executor during actual trial.
        This is just a quick sanity check.
        """
        # Check for numerical extremes that would cause issues
        
        # Fraction too small - would produce micro-positions
        if config.fraction < 0.02:
            return False, f"FRACTION_TOO_SMALL: fraction={config.fraction} < 0.02"
        
        # Leverage range too narrow for convexity to matter
        leverage_range = config.max_leverage - config.min_leverage
        if leverage_range < 0.5 and config.leverage_convexity > 2.0:
            return False, f"NARROW_RANGE_HIGH_CONVEXITY: range={leverage_range:.2f}, convexity={config.leverage_convexity:.2f}"
        
        # Max hold too short for vol filter to stabilize
        if config.max_hold_bars < config.vd_trend_lookback + 10:
            return False, f"HOLD_TOO_SHORT: max_hold={config.max_hold_bars} < trend_lookback+10={config.vd_trend_lookback+10}"
        
        # IRP lookback too short for meaningful alignment
        if config.lookback < 50:
            return False, f"LOOKBACK_TOO_SHORT: lookback={config.lookback} < 50"
        
        return True, None
    
    def validate_batch(
        self,
        configs: List[MCTrialConfig]
    ) -> List[ValidationResult]:
        """
        Validate a batch of configurations.
        
        Parameters
        ----------
        configs : List[MCTrialConfig]
            Configurations to validate
            
        Returns
        -------
        List[ValidationResult]
            Validation results (same order as input)
        """
        results = []
        for config in configs:
            result = self.validate(config)
            results.append(result)
        return results
    
    def get_validity_stats(self, results: List[ValidationResult]) -> Dict[str, Any]:
        """
        Get statistics about validation results.
        """
        total = len(results)
        if total == 0:
            return {'total': 0}
        
        by_status = {}
        for status in ValidationStatus:
            by_status[status.value] = sum(1 for r in results if r.status == status)
        
        rejection_reasons = {}
        for r in results:
            if r.reject_reason:
                reason = r.reject_reason.split(':')[0] if ':' in r.reject_reason else r.reject_reason
                rejection_reasons[reason] = rejection_reasons.get(reason, 0) + 1
        
        return {
            'total': total,
            'valid': by_status.get(ValidationStatus.VALID.value, 0),
            'rejected_v1': by_status.get(ValidationStatus.REJECTED_V1.value, 0),
            'rejected_v2': by_status.get(ValidationStatus.REJECTED_V2.value, 0),
            'rejected_v3': by_status.get(ValidationStatus.REJECTED_V3.value, 0),
            'rejected_v4': by_status.get(ValidationStatus.REJECTED_V4.value, 0),
            'validity_rate': by_status.get(ValidationStatus.VALID.value, 0) / total,
            'rejection_reasons': rejection_reasons,
        }


def test_validator():
    """Quick test of the validator."""
    validator = MCValidator(verbose=True)
    sampler = MCSampler(base_seed=42)
    
    # Generate some test configurations
    trials = sampler.generate_trials(n_samples_per_switch=10, max_trials=100)
    
    # Validate
    results = validator.validate_batch(trials)
    
    # Stats
    stats = validator.get_validity_stats(results)
    print(f"\nValidation Stats:")
    print(f"  Total: {stats['total']}")
    print(f"  Valid: {stats['valid']} ({stats['validity_rate']*100:.1f}%)")
    print(f"  Rejected V1: {stats['rejected_v1']}")
    print(f"  Rejected V2: {stats['rejected_v2']}")
    print(f"  Rejected V3: {stats['rejected_v3']}")
    print(f"  Rejected V4: {stats['rejected_v4']}")
    
    # Show some rejections
    print("\nSample Rejections:")
    for r in results:
        if not r.is_valid():
            print(f"  Trial {r.trial_id}: {r.status.value} - {r.reject_reason}")
            if len([x for x in results if not x.is_valid()]) > 5:
                break
    
    return results


if __name__ == "__main__":
    test_validator()