siloqy/prod/bingx/friction.py

from __future__ import annotations

from decimal import Decimal
from typing import Any

from nautilus_trader.model.enums import LiquiditySide
from nautilus_trader.model.enums import OrderType
from nautilus_trader.model.enums import TimeInForce
from nautilus_trader.model.objects import Price
from nautilus_trader.model.objects import Quantity
from nautilus_trader.model.orders import Order


def _decimal(value: Any) -> Decimal | None:
    if value in (None, "", "null"):
        return None
    try:
        return Decimal(str(value))
    except Exception:
        return None


def _decimal_text(value: Decimal | None) -> str | None:
    if value is None:
        return None
    text = format(value.normalize(), "f")
    if "." in text:
        text = text.rstrip("0").rstrip(".")
    return text or "0"


def _fill_quality_score(
    *,
    slippage_bps: Decimal | None,
    fee_bps: Decimal | None,
    liquidity_side: LiquiditySide,
) -> tuple[Decimal, str]:
    """Return a compact fill-quality score and label.

    The score is intentionally conservative: 100 is ideal, and lower scores
    reflect adverse slippage plus fee drag. Maker fills are allowed a small
    bonus because they are typically less toxic than taker fills.
    """
    score = Decimal("100")
    if slippage_bps is not None:
        score -= abs(slippage_bps)
    if fee_bps is not None:
        score -= abs(fee_bps)
    if liquidity_side == LiquiditySide.MAKER:
        score += Decimal("1")
    score = max(Decimal("0"), min(Decimal("100"), score))
    if score >= Decimal("99"):
        label = "excellent"
    elif score >= Decimal("95"):
        label = "good"
    elif score >= Decimal("85"):
        label = "fair"
    else:
        label = "poor"
    return score, label


def _price_from_order(order: Order) -> Decimal | None:
    if getattr(order, "has_price", False):
        price = getattr(order, "price", None)
        if price is not None:
            try:
                return price.as_decimal()
            except Exception:
                return _decimal(price)
    return None


def infer_liquidity_side(order: Order, row: dict[str, Any] | None = None) -> LiquiditySide:
    row = row or {}
    explicit = row.get("liquiditySide") or row.get("liquidity_side")
    if isinstance(explicit, str):
        upper = explicit.upper()
        if "MAKER" in upper:
            return LiquiditySide.MAKER
        if "TAKER" in upper:
            return LiquiditySide.TAKER
    for key in ("isMaker", "maker", "m"):
        value = row.get(key)
        if isinstance(value, bool):
            return LiquiditySide.MAKER if value else LiquiditySide.TAKER
        if isinstance(value, str):
            lower = value.strip().lower()
            if lower in {"true", "1", "yes", "maker"}:
                return LiquiditySide.MAKER
            if lower in {"false", "0", "no", "taker"}:
                return LiquiditySide.TAKER
    if bool(getattr(order, "is_post_only", False)):
        return LiquiditySide.MAKER
    tif = getattr(order, "time_in_force", None)
    if tif in {TimeInForce.IOC, TimeInForce.FOK}:
        return LiquiditySide.TAKER
    if order.order_type in {
        OrderType.MARKET,
        OrderType.STOP_MARKET,
        OrderType.MARKET_IF_TOUCHED,
        OrderType.TRAILING_STOP_MARKET,
    }:
        return LiquiditySide.TAKER
    if order.order_type in {
        OrderType.LIMIT,
        OrderType.STOP_LIMIT,
        OrderType.LIMIT_IF_TOUCHED,
        OrderType.TRAILING_STOP_LIMIT,
    }:
        return LiquiditySide.MAKER
    return LiquiditySide.NO_LIQUIDITY_SIDE


def reference_price(order: Order, row: dict[str, Any] | None = None) -> tuple[Decimal | None, str]:
    row = row or {}
    for key in ("referencePrice", "referencePx", "expectedPrice", "expectedPx", "bestPrice"):
        value = _decimal(row.get(key))
        if value is not None and value > 0:
            return value, key
    if getattr(order, "has_price", False):
        price = _price_from_order(order)
        if price is not None and price > 0:
            return price, "order_price"
    if getattr(order, "has_trigger_price", False) and order.order_type in {
        OrderType.STOP_MARKET,
        OrderType.MARKET_IF_TOUCHED,
        OrderType.TRAILING_STOP_MARKET,
    }:
        trigger = getattr(order, "trigger_price", None)
        if trigger is not None:
            try:
                value = trigger.as_decimal()
            except Exception:
                value = _decimal(trigger)
            if value is not None and value > 0:
                return value, "trigger_price"
    return None, "unavailable"


def _commission_quote(
    *,
    commission_amount: Decimal,
    commission_asset: str,
    quote_currency: str,
    base_currency: str,
    last_px: Decimal | None,
    estimate_quote: Decimal,
) -> tuple[Decimal, str]:
    if commission_amount == 0:
        return estimate_quote, "estimated"
    if commission_asset == quote_currency:
        return commission_amount, "quote"
    if commission_asset == base_currency and last_px is not None:
        return commission_amount * last_px, "base_converted"
    return estimate_quote, "estimated"


def estimate_friction(
    order: Order,
    row: dict[str, Any],
    *,
    last_qty: Quantity | None = None,
    last_px: Price | None = None,
    quote_currency: str,
    base_currency: str,
    maker_fee: Decimal,
    taker_fee: Decimal,
    feed_source: str = "unknown",
) -> dict[str, Any]:
    qty = last_qty.as_decimal() if last_qty is not None else _decimal(row.get("lastFilledQty") or row.get("executedQty")) or Decimal("0")
    px = last_px.as_decimal() if last_px is not None else _decimal(row.get("lastFillPrice") or row.get("avgPrice") or row.get("price"))
    notional = qty * px if px is not None else Decimal("0")
    liquidity_side = infer_liquidity_side(order, row)
    fee_rate = maker_fee if liquidity_side == LiquiditySide.MAKER else taker_fee if liquidity_side == LiquiditySide.TAKER else taker_fee
    estimated_fee_quote = notional * fee_rate if notional > 0 else Decimal("0")
    commission_amount = _decimal(row.get("commission")) or Decimal("0")
    commission_asset = str(row.get("commissionAsset") or quote_currency)
    actual_fee_quote, commission_source = _commission_quote(
        commission_amount=commission_amount,
        commission_asset=commission_asset,
        quote_currency=quote_currency,
        base_currency=base_currency,
        last_px=px,
        estimate_quote=estimated_fee_quote,
    )
    reference_px, reference_source = reference_price(order, row)
    slippage_quote = None
    slippage_bps = None
    if reference_px is not None and px is not None and qty > 0:
        side = getattr(order.side, "name", str(order.side)).upper()
        delta = px - reference_px if side == "BUY" else reference_px - px
        slippage_quote = delta * qty
        if reference_px > 0:
            slippage_bps = (delta / reference_px) * Decimal("10000")
    net_friction_quote = actual_fee_quote + (slippage_quote or Decimal("0"))
    gross_friction_quote = abs(actual_fee_quote) + abs(slippage_quote or Decimal("0"))
    fee_bps = None
    if notional > 0:
        fee_bps = (actual_fee_quote / notional) * Decimal("10000")
    fill_quality_score, fill_quality_class = _fill_quality_score(
        slippage_bps=slippage_bps,
        fee_bps=fee_bps,
        liquidity_side=liquidity_side,
    )
    return {
        "liquidity_side": getattr(liquidity_side, "name", str(liquidity_side)),
        "feed_source": str(feed_source or "unknown"),
        "commission_asset": commission_asset,
        "commission_source": commission_source,
        "commission_quote": _decimal_text(actual_fee_quote),
        "estimated_fee_quote": _decimal_text(estimated_fee_quote),
        "fee_rate": _decimal_text(fee_rate),
        "fee_bps": _decimal_text(fee_bps),
        "reference_px": _decimal_text(reference_px),
        "reference_source": reference_source,
        "slippage_quote": _decimal_text(slippage_quote),
        "slippage_bps": _decimal_text(slippage_bps),
        "net_friction_quote": _decimal_text(net_friction_quote),
        "gross_friction_quote": _decimal_text(gross_friction_quote),
        "fill_quality_score": _decimal_text(fill_quality_score),
        "fill_quality_class": fill_quality_class,
        "notional_quote": _decimal_text(notional),
        "last_qty": _decimal_text(qty),
        "last_px": _decimal_text(px),
    }