siloqy/prod/clean_arch/dita_v2/account.py

"""Account projection for DITAv2."""

from __future__ import annotations

from dataclasses import dataclass, field
from datetime import datetime
from enum import Enum
from typing import Any, Dict, Iterable, List, Optional
import math
import time

from .contracts import TradeSide, TradeSlot, TradeStage
from .utils import safe_float


@dataclass
class AccountSnapshot:
    """Derived account state."""

    capital: float
    equity: float
    realized_pnl: float = 0.0
    unrealized_pnl: float = 0.0
    open_positions: int = 0
    open_notional: float = 0.0
    fees_paid: float = 0.0
    trade_seq: int = 0
    peak_capital: float = 0.0

    @property
    def leverage(self) -> float:
        if self.capital <= 0 or self.open_notional <= 0:
            return 0.0
        return self.open_notional / self.capital


@dataclass
class AccountProjection:
    """Aggregate account view over all active slots."""

    runtime_namespace: str = "dita_v2"
    strategy_namespace: str = "dita_v2"
    event_namespace: str = "dita_v2"
    actor_name: str = "ExecutionKernel"
    exec_venue: str = "bingx"
    data_venue: str = "binance"
    ledger_authority: str = "exchange"
    min_capital: float = 0.0
    max_capital: Optional[float] = None
    snapshot: AccountSnapshot = field(default_factory=lambda: AccountSnapshot(capital=25_000.0, equity=25_000.0))

    def observe_slots(self, slots: Iterable[TradeSlot]) -> None:
        open_positions = 0
        open_notional = 0.0
        unrealized_pnl = 0.0
        for slot in slots:
            if slot.closed or slot.size <= 0:
                continue
            if slot.fsm_state in {TradeStage.POSITION_OPEN, TradeStage.POSITION_OPENED, TradeStage.ENTRY_WORKING, TradeStage.EXIT_WORKING}:
                open_positions += 1
                mark = safe_float(slot.entry_price, 0.0)
                mark = safe_float(slot.metadata.get("mark_price"), mark)
                open_notional += abs(slot.size) * abs(mark)
                unrealized_pnl += float(slot.unrealized_pnl or 0.0)
        self.snapshot.open_positions = open_positions
        self.snapshot.open_notional = open_notional
        self.snapshot.unrealized_pnl = unrealized_pnl
        self.snapshot.equity = self.snapshot.capital + unrealized_pnl
        if not math.isfinite(self.snapshot.equity):
            self.snapshot.equity = self.snapshot.capital
        if open_notional > 0 and self.snapshot.capital > 0:
            self.snapshot.peak_capital = max(self.snapshot.peak_capital, self.snapshot.capital)

    def settle(self, realized_pnl: float, fees: float = 0.0) -> None:
        realized_pnl = safe_float(realized_pnl, 0.0)
        new_capital = safe_float(self.snapshot.capital + realized_pnl, self.snapshot.capital)
        if self.max_capital is not None:
            new_capital = min(new_capital, self.max_capital)
        new_capital = max(self.min_capital, new_capital)
        self.snapshot.capital = new_capital
        self.snapshot.realized_pnl += realized_pnl
        self.snapshot.fees_paid += safe_float(fees, 0.0)
        self.snapshot.equity = self.snapshot.capital + self.snapshot.unrealized_pnl
        if not math.isfinite(self.snapshot.equity):
            self.snapshot.equity = self.snapshot.capital

    def to_account_event(
        self,
        *,
        timestamp: datetime,
        trade_id: str,
        asset: str,
        side: TradeSide,
        stage: TradeStage,
        reason: str,
        pnl: float = 0.0,
        pnl_pct: float = 0.0,
        bars_held: int = 0,
        metadata: Optional[Dict[str, Any]] = None,
    ) -> Dict[str, Any]:
        self.snapshot.equity = self.snapshot.capital + self.snapshot.unrealized_pnl
        return {
            "timestamp": timestamp.isoformat() if hasattr(timestamp, "isoformat") else str(timestamp),
            "runtime_namespace": self.runtime_namespace,
            "strategy_namespace": self.strategy_namespace,
            "event_namespace": self.event_namespace,
            "actor_name": self.actor_name,
            "exec_venue": self.exec_venue,
            "data_venue": self.data_venue,
            "ledger_authority": self.ledger_authority,
            "capital": float(self.snapshot.capital),
            "equity": float(self.snapshot.equity),
            "open_positions": int(self.snapshot.open_positions),
            "current_open_notional": float(self.snapshot.open_notional),
            "current_account_leverage": float(self.snapshot.leverage),
            "trade_id": trade_id,
            "asset": asset,
            "side": side.value,
            "reason": reason,
            "stage": stage.value,
            "pnl": float(pnl),
            "pnl_pct": float(pnl_pct),
            "bars_held": int(bars_held),
            "metadata": dict(metadata or {}),
        }


# ---------------------------------------------------------------------------
# V2 — Dual-ledger, event-sourced, reconciled account (spec G2)
# ---------------------------------------------------------------------------

class ReconcileStatus(str, Enum):
    OK = "OK"
    WARN = "WARN"
    ERROR = "ERROR"


@dataclass(frozen=True)
class KBlock:
    """Kernel-computed values — derived deterministically from the E-fact stream."""
    capital: float = 0.0           # seed + Σrealized − Σfee − Σfunding
    realized_pnl: float = 0.0
    unrealized_pnl: float = 0.0
    fees_paid: float = 0.0
    funding_paid: float = 0.0
    open_notional: float = 0.0     # Σ|qty|·mark
    equity: float = 0.0            # capital + unrealized
    used_margin: float = 0.0       # Σ notional/leverage
    available_margin: float = 0.0  # capital − used_margin
    open_positions: int = 0
    peak_capital: float = 0.0


@dataclass(frozen=True)
class EPosition:
    """Single open position as reported by the exchange."""
    symbol: str = ""
    qty: float = 0.0
    entry_price: float = 0.0
    mark_price: float = 0.0
    unrealized_pnl: float = 0.0
    leverage: float = 1.0
    side: str = ""


@dataclass(frozen=True)
class EBlock:
    """Exchange facts — values only the exchange can know."""
    wallet_balance: float = 0.0
    available_margin: float = 0.0
    used_margin: float = 0.0
    maint_margin: float = 0.0
    positions: tuple = ()            # tuple[EPosition, ...]
    last_fill_price: float = 0.0
    last_fill_qty: float = 0.0
    last_fill_fee: float = 0.0
    last_fill_realized_pnl: float = 0.0
    last_funding: float = 0.0


@dataclass(frozen=True)
class ReconcileResult:
    """Classification of K-vs-E divergence for one snapshot."""
    status: ReconcileStatus = ReconcileStatus.OK
    deltas: Dict[str, float] = field(default_factory=dict)
    explanations: List[str] = field(default_factory=list)
    worst_field: str = ""
    ts: float = 0.0

    def __post_init__(self) -> None:
        # frozen dataclass — use object.__setattr__ only in __post_init__
        if not isinstance(self.deltas, dict):
            object.__setattr__(self, "deltas", {})
        if not isinstance(self.explanations, list):
            object.__setattr__(self, "explanations", [])


@dataclass(frozen=True)
class AccountSnapshotV2:
    """
    Immutable versioned snapshot — the atomic unit of account truth.
    Each exchange event produces exactly one new snapshot; readers hold
    a reference and are never exposed to a partially-updated state.
    """
    event_seq: int
    source_event_id: str
    k: KBlock
    e: EBlock
    reconcile: ReconcileResult
    ts: float = 0.0


@dataclass
class ReconcileConfig:
    """
    Bounds for the R1–R6 reconcile rules. All values are config-driven;
    no magic numbers in the classifier itself.
    """
    capital_epsilon: float = 1e-4          # |δ| < ε → OK (R1, absolute USDT)
    pending_fee_bound: float = 20.0        # max unsettled fees still in-flight (R1)
    realized_rounding: float = 0.05        # fee+rounding tolerance for R2
    lot_step: float = 0.001               # position qty lot-step for R3
    mark_staleness_factor: float = 0.003  # 0.3% mark-price drift tolerance (R4)
    leverage_rounding_band: float = 2.0   # margin rounding band USDT (R5)


def _safe(v: Any, default: float = 0.0) -> float:
    try:
        f = float(v)
        return f if math.isfinite(f) else default
    except (TypeError, ValueError):
        return default


class AccountProjectionV2:
    """
    Dual-ledger account — tracks K-values (kernel fold) and E-facts
    (exchange push) independently, reconciles each event, and publishes
    immutable AccountSnapshotV2 instances.

    Thread-safety note: Python's GIL makes reference replacement of
    `_snapshot` atomic for single-field reads. For multi-field consistency
    callers must hold `_snapshot` locally: `snap = proj.snapshot`.
    """

    def __init__(
        self,
        seed_capital: float,
        *,
        min_capital: float = 0.0,
        max_capital: Optional[float] = None,
        reconcile_config: Optional[ReconcileConfig] = None,
    ) -> None:
        self._seed = _safe(seed_capital, 0.0)
        self._min_capital = min_capital
        self._max_capital = max_capital
        self._cfg = reconcile_config or ReconcileConfig()

        # Running K-value accumulators
        self._k_realized: float = 0.0
        self._k_fees: float = 0.0
        self._k_funding: float = 0.0
        self._peak_capital: float = self._seed

        # Latest E-facts (mutable intermediate; frozen into EBlock at snapshot time)
        self._e_wallet_balance: float = 0.0
        self._e_avail_margin: float = 0.0
        self._e_used_margin: float = 0.0
        self._e_maint_margin: float = 0.0
        self._e_positions: List[EPosition] = []
        self._e_last_fill_price: float = 0.0
        self._e_last_fill_qty: float = 0.0
        self._e_last_fill_fee: float = 0.0
        self._e_last_fill_realized: float = 0.0
        self._e_last_funding: float = 0.0

        self._event_seq: int = 0
        self._snapshot: AccountSnapshotV2 = self._build(0, "", [], time.time())

    # ------------------------------------------------------------------
    # E-fact ingestion (called from WS event handlers)
    # ------------------------------------------------------------------

    def apply_fill(
        self,
        *,
        fill_price: float,
        fill_qty: float,
        fee: float,
        realized_pnl: float,
    ) -> None:
        self._k_realized += _safe(realized_pnl)
        self._k_fees += _safe(fee)
        self._e_last_fill_price = _safe(fill_price)
        self._e_last_fill_qty = _safe(fill_qty)
        self._e_last_fill_fee = _safe(fee)
        self._e_last_fill_realized = _safe(realized_pnl)

    def apply_funding(self, amount: float) -> None:
        self._k_funding += _safe(amount)
        self._e_last_funding = _safe(amount)

    def apply_balance_update(
        self,
        *,
        wallet_balance: float,
        available_margin: float,
        used_margin: float,
        maint_margin: float,
    ) -> None:
        self._e_wallet_balance = _safe(wallet_balance)
        self._e_avail_margin = _safe(available_margin)
        self._e_used_margin = _safe(used_margin)
        self._e_maint_margin = _safe(maint_margin)

    def apply_position_update(self, positions: List[EPosition]) -> None:
        self._e_positions = list(positions)

    # ------------------------------------------------------------------
    # Snapshot construction (called after each ingestion step)
    # ------------------------------------------------------------------

    def build_snapshot(
        self,
        source_event_id: str,
        slots: Iterable[TradeSlot],
        ts: Optional[float] = None,
    ) -> AccountSnapshotV2:
        self._event_seq += 1
        snap = self._build(self._event_seq, source_event_id, list(slots), ts or time.time())
        self._snapshot = snap
        return snap

    @property
    def snapshot(self) -> AccountSnapshotV2:
        return self._snapshot

    @property
    def k_capital(self) -> float:
        raw = self._seed + self._k_realized - self._k_fees - self._k_funding
        if self._max_capital is not None:
            raw = min(raw, self._max_capital)
        return max(self._min_capital, raw)

    # ------------------------------------------------------------------
    # Internal helpers
    # ------------------------------------------------------------------

    def _build(
        self,
        event_seq: int,
        source_event_id: str,
        slots: List[TradeSlot],
        ts: float,
    ) -> AccountSnapshotV2:
        open_notional, unrealized, used_margin, open_positions = self._scan_slots(slots)
        capital = self.k_capital
        self._peak_capital = max(self._peak_capital, capital)
        k = KBlock(
            capital=capital,
            realized_pnl=self._k_realized,
            unrealized_pnl=unrealized,
            fees_paid=self._k_fees,
            funding_paid=self._k_funding,
            open_notional=open_notional,
            equity=capital + unrealized,
            used_margin=used_margin,
            available_margin=max(0.0, capital - used_margin),
            open_positions=open_positions,
            peak_capital=self._peak_capital,
        )
        e = EBlock(
            wallet_balance=self._e_wallet_balance,
            available_margin=self._e_avail_margin,
            used_margin=self._e_used_margin,
            maint_margin=self._e_maint_margin,
            positions=tuple(self._e_positions),
            last_fill_price=self._e_last_fill_price,
            last_fill_qty=self._e_last_fill_qty,
            last_fill_fee=self._e_last_fill_fee,
            last_fill_realized_pnl=self._e_last_fill_realized,
            last_funding=self._e_last_funding,
        )
        reconcile = self._classify(k, e, ts)
        return AccountSnapshotV2(
            event_seq=event_seq,
            source_event_id=source_event_id,
            k=k,
            e=e,
            reconcile=reconcile,
            ts=ts,
        )

    def _scan_slots(
        self, slots: List[TradeSlot]
    ) -> tuple:  # (open_notional, unrealized, used_margin, open_count)
        open_notional = 0.0
        unrealized = 0.0
        used_margin = 0.0
        open_positions = 0
        for slot in slots:
            if slot.closed or slot.size <= 0:
                continue
            if slot.fsm_state not in {
                TradeStage.POSITION_OPEN,
                TradeStage.POSITION_OPENED,
                TradeStage.ENTRY_WORKING,
                TradeStage.EXIT_WORKING,
            }:
                continue
            open_positions += 1
            mark = _safe(slot.metadata.get("mark_price") if slot.metadata else None, 0.0)
            if mark <= 0.0:
                mark = _safe(slot.entry_price, 0.0)
            notional = abs(slot.size) * mark
            open_notional += notional
            unrealized += _safe(slot.unrealized_pnl)
            lev = max(1.0, _safe(slot.metadata.get("leverage") if slot.metadata else None, 1.0))
            used_margin += notional / lev
        return open_notional, unrealized, used_margin, open_positions

    def _classify(self, k: KBlock, e: EBlock, ts: float) -> ReconcileResult:
        """
        Apply reconcile rules R1–R6 (spec §2.3).
        Returns a ReconcileResult with the worst status seen across all fields.
        """
        cfg = self._cfg
        status = ReconcileStatus.OK
        deltas: Dict[str, float] = {}
        explanations: List[str] = []
        worst_field = ""

        def _escalate(new: ReconcileStatus, field: str) -> None:
            nonlocal status, worst_field
            order = {ReconcileStatus.OK: 0, ReconcileStatus.WARN: 1, ReconcileStatus.ERROR: 2}
            if order[new] > order[status]:
                status = new
                worst_field = field

        # R1: capital vs wallet balance (only meaningful when E-facts are populated)
        if e.wallet_balance > 0:
            delta_r1 = abs(k.capital - e.wallet_balance)
            deltas["capital_vs_wallet"] = k.capital - e.wallet_balance
            if delta_r1 <= cfg.capital_epsilon:
                pass  # OK
            elif delta_r1 <= cfg.pending_fee_bound:
                _escalate(ReconcileStatus.WARN, "capital_vs_wallet")
                explanations.append(f"UNSETTLED_FEE|capital_vs_wallet|delta={delta_r1:.4f}")
            else:
                _escalate(ReconcileStatus.ERROR, "capital_vs_wallet")
                explanations.append(f"ERROR|capital_vs_wallet|delta={delta_r1:.4f}")

        # R2: realized PnL vs exchange realized
        if e.last_fill_realized_pnl != 0:
            delta_r2 = abs(k.realized_pnl - e.last_fill_realized_pnl)
            deltas["realized_pnl"] = k.realized_pnl - e.last_fill_realized_pnl
            if delta_r2 <= cfg.capital_epsilon:
                pass
            elif delta_r2 <= cfg.realized_rounding:
                _escalate(ReconcileStatus.WARN, "realized_pnl")
                explanations.append(f"LOT_STEP_ROUNDING|realized_pnl|delta={delta_r2:.4f}")
            else:
                _escalate(ReconcileStatus.ERROR, "realized_pnl")
                explanations.append(f"ERROR|realized_pnl|delta={delta_r2:.4f}")

        # R3: position count (R6) + per-position qty (R3)
        e_pos_map = {p.symbol: p for p in e.positions}
        if len(e.positions) > 0:
            if k.open_positions != len(e_pos_map):
                deltas["open_positions"] = float(k.open_positions - len(e_pos_map))
                _escalate(ReconcileStatus.ERROR, "open_positions")
                explanations.append(
                    f"ERROR|open_positions|k={k.open_positions}|e={len(e_pos_map)}"
                )

        # R4: open_notional vs exchange notional (mark staleness)
        if e.used_margin > 0 and k.open_notional > 0:
            delta_notional = abs(k.open_notional - e.used_margin)
            deltas["open_notional"] = k.open_notional - e.used_margin
            staleness_band = k.open_notional * cfg.mark_staleness_factor
            if delta_notional <= cfg.capital_epsilon:
                pass
            elif delta_notional <= staleness_band:
                _escalate(ReconcileStatus.WARN, "open_notional")
                explanations.append(f"MARK_PRICE_STALENESS|open_notional|delta={delta_notional:.4f}")
            else:
                _escalate(ReconcileStatus.ERROR, "open_notional")
                explanations.append(f"ERROR|open_notional|delta={delta_notional:.4f}")

        # R5: used/available margin
        if e.used_margin > 0:
            delta_margin = abs(k.used_margin - e.used_margin)
            deltas["used_margin"] = k.used_margin - e.used_margin
            if delta_margin <= cfg.capital_epsilon:
                pass
            elif delta_margin <= cfg.leverage_rounding_band:
                _escalate(ReconcileStatus.WARN, "used_margin")
                explanations.append(f"LEVERAGE_ROUNDING|used_margin|delta={delta_margin:.4f}")
            else:
                _escalate(ReconcileStatus.ERROR, "used_margin")
                explanations.append(f"ERROR|used_margin|delta={delta_margin:.4f}")

        return ReconcileResult(
            status=status,
            deltas=deltas,
            explanations=explanations,
            worst_field=worst_field,
            ts=ts,
        )