nofx/backtest/runner_orders.go

package backtest

import (
	"fmt"
	"strings"
	"time"

	"nofx/kernel"
	"nofx/logger"
	"nofx/market"
	"nofx/store"
)

func (r *Runner) executeDecision(dec kernel.Decision, priceMap map[string]float64, ts int64, cycle int) (store.DecisionAction, []TradeEvent, string, error) {
	symbol := dec.Symbol
	if symbol == "" {
		return store.DecisionAction{}, nil, "", fmt.Errorf("empty symbol in decision")
	}

	usedLeverage := r.resolveLeverage(dec.Leverage, symbol)
	actionRecord := store.DecisionAction{
		Action:    dec.Action,
		Symbol:    symbol,
		Leverage:  usedLeverage,
		Timestamp: time.UnixMilli(ts).UTC(),
	}

	if priceMap == nil {
		return actionRecord, nil, "", fmt.Errorf("priceMap is nil")
	}

	basePrice, ok := priceMap[symbol]
	if !ok || basePrice <= 0 {
		return actionRecord, nil, "", fmt.Errorf("price unavailable for %s (found=%v, price=%.4f)", symbol, ok, basePrice)
	}
	fillPrice := r.executionPrice(symbol, basePrice, ts)

	switch dec.Action {
	case "open_long":
		qty := r.determineQuantity(dec, basePrice)
		if qty <= 0 {
			return actionRecord, nil, "", fmt.Errorf("invalid qty")
		}
		pos, fee, execPrice, err := r.account.Open(symbol, "long", qty, usedLeverage, fillPrice, ts)
		if err != nil {
			return actionRecord, nil, "", err
		}
		actionRecord.Quantity = qty
		actionRecord.Price = execPrice
		actionRecord.Leverage = pos.Leverage
		trade := TradeEvent{
			Timestamp:     ts,
			Symbol:        symbol,
			Action:        dec.Action,
			Side:          "long",
			Quantity:      qty,
			Price:         execPrice,
			Fee:           fee,
			Slippage:      execPrice - basePrice,
			OrderValue:    execPrice * qty,
			RealizedPnL:   0,
			Leverage:      pos.Leverage,
			Cycle:         cycle,
			PositionAfter: pos.Quantity,
		}
		return actionRecord, []TradeEvent{trade}, "", nil

	case "open_short":
		qty := r.determineQuantity(dec, basePrice)
		if qty <= 0 {
			return actionRecord, nil, "", fmt.Errorf("invalid qty")
		}
		pos, fee, execPrice, err := r.account.Open(symbol, "short", qty, usedLeverage, fillPrice, ts)
		if err != nil {
			return actionRecord, nil, "", err
		}
		actionRecord.Quantity = qty
		actionRecord.Price = execPrice
		actionRecord.Leverage = pos.Leverage
		trade := TradeEvent{
			Timestamp:     ts,
			Symbol:        symbol,
			Action:        dec.Action,
			Side:          "short",
			Quantity:      qty,
			Price:         execPrice,
			Fee:           fee,
			Slippage:      basePrice - execPrice,
			OrderValue:    execPrice * qty,
			RealizedPnL:   0,
			Leverage:      pos.Leverage,
			Cycle:         cycle,
			PositionAfter: pos.Quantity,
		}
		return actionRecord, []TradeEvent{trade}, "", nil

	case "close_long":
		qty := r.determineCloseQuantity(symbol, "long", dec)
		if qty <= 0 {
			return actionRecord, nil, "", fmt.Errorf("invalid close qty")
		}
		posLev := r.account.positionLeverage(symbol, "long")
		realized, fee, execPrice, err := r.account.Close(symbol, "long", qty, fillPrice)
		if err != nil {
			return actionRecord, nil, "", err
		}
		actionRecord.Quantity = qty
		actionRecord.Price = execPrice
		actionRecord.Leverage = posLev
		trade := TradeEvent{
			Timestamp:     ts,
			Symbol:        symbol,
			Action:        dec.Action,
			Side:          "long",
			Quantity:      qty,
			Price:         execPrice,
			Fee:           fee,
			Slippage:      basePrice - execPrice,
			OrderValue:    execPrice * qty,
			RealizedPnL:   realized - fee,
			Leverage:      posLev,
			Cycle:         cycle,
			PositionAfter: r.remainingPosition(symbol, "long"),
		}
		return actionRecord, []TradeEvent{trade}, "", nil

	case "close_short":
		qty := r.determineCloseQuantity(symbol, "short", dec)
		if qty <= 0 {
			return actionRecord, nil, "", fmt.Errorf("invalid close qty")
		}
		posLev := r.account.positionLeverage(symbol, "short")
		realized, fee, execPrice, err := r.account.Close(symbol, "short", qty, fillPrice)
		if err != nil {
			return actionRecord, nil, "", err
		}
		actionRecord.Quantity = qty
		actionRecord.Price = execPrice
		actionRecord.Leverage = posLev
		trade := TradeEvent{
			Timestamp:     ts,
			Symbol:        symbol,
			Action:        dec.Action,
			Side:          "short",
			Quantity:      qty,
			Price:         execPrice,
			Fee:           fee,
			Slippage:      execPrice - basePrice,
			OrderValue:    execPrice * qty,
			RealizedPnL:   realized - fee,
			Leverage:      posLev,
			Cycle:         cycle,
			PositionAfter: r.remainingPosition(symbol, "short"),
		}
		return actionRecord, []TradeEvent{trade}, "", nil

	case "hold", "wait":
		return actionRecord, nil, fmt.Sprintf("hold position: %s", dec.Action), nil
	default:
		return actionRecord, nil, "", fmt.Errorf("unsupported action %s", dec.Action)
	}
}

// MinPositionSizeUSD is the minimum position size in USD to avoid dust positions
const MinPositionSizeUSD = 10.0

func (r *Runner) determineQuantity(dec kernel.Decision, price float64) float64 {
	snapshot := r.snapshotState()
	equity := snapshot.Equity
	if equity <= 0 {
		equity = r.account.InitialBalance()
	}

	// Get leverage for this symbol
	leverage := r.resolveLeverage(dec.Leverage, dec.Symbol)
	if leverage <= 0 {
		leverage = 5
	}

	// Calculate available margin (leave some buffer for fees)
	availableCash := r.account.Cash()
	maxMarginToUse := availableCash * 0.9 // Use max 90% of available cash
	maxPositionValue := maxMarginToUse * float64(leverage)

	sizeUSD := dec.PositionSizeUSD
	if sizeUSD <= 0 {
		// Default to 5% of equity, but cap to available margin
		sizeUSD = 0.05 * equity
	}

	// Cap position size to what we can actually afford
	if sizeUSD > maxPositionValue {
		logger.Infof("📊 Backtest: capping position from %.2f to %.2f (available margin: %.2f, leverage: %dx)",
			sizeUSD, maxPositionValue, maxMarginToUse, leverage)
		sizeUSD = maxPositionValue
	}

	// Reject positions below minimum size to avoid dust positions
	if sizeUSD < MinPositionSizeUSD {
		logger.Infof("📊 Backtest: rejecting position size %.2f USD (below minimum %.2f USD)",
			sizeUSD, MinPositionSizeUSD)
		return 0
	}

	qty := sizeUSD / price
	if qty < 0 {
		qty = 0
	}
	return qty
}

func (r *Runner) determineCloseQuantity(symbol, side string, dec kernel.Decision) float64 {
	for _, pos := range r.account.Positions() {
		if pos.Symbol == strings.ToUpper(symbol) && pos.Side == side {
			return pos.Quantity
		}
	}
	return 0
}

func (r *Runner) resolveLeverage(requested int, symbol string) int {
	sym := strings.ToUpper(symbol)
	isBTCETH := sym == "BTCUSDT" || sym == "ETHUSDT"

	// Determine configured max leverage for this symbol type
	var maxLeverage int
	if isBTCETH {
		maxLeverage = r.cfg.Leverage.BTCETHLeverage
		if maxLeverage <= 0 {
			maxLeverage = 10 // Default max for BTC/ETH
		}
	} else {
		maxLeverage = r.cfg.Leverage.AltcoinLeverage
		if maxLeverage <= 0 {
			maxLeverage = 5 // Default max for altcoins
		}
	}

	// Use requested leverage if provided, otherwise use max as default
	leverage := requested
	if leverage <= 0 {
		leverage = maxLeverage
	}

	// Enforce max leverage limit
	if leverage > maxLeverage {
		logger.Infof("📊 Backtest: capping leverage from %dx to %dx for %s",
			leverage, maxLeverage, symbol)
		leverage = maxLeverage
	}

	return leverage
}

func (r *Runner) remainingPosition(symbol, side string) float64 {
	for _, pos := range r.account.Positions() {
		if pos.Symbol == strings.ToUpper(symbol) && pos.Side == side {
			return pos.Quantity
		}
	}
	return 0
}

func (r *Runner) snapshotPositions(priceMap map[string]float64) []store.PositionSnapshot {
	positions := r.account.Positions()
	list := make([]store.PositionSnapshot, 0, len(positions))
	for _, pos := range positions {
		price := priceMap[pos.Symbol]
		list = append(list, store.PositionSnapshot{
			Symbol:           pos.Symbol,
			Side:             pos.Side,
			PositionAmt:      pos.Quantity,
			EntryPrice:       pos.EntryPrice,
			MarkPrice:        price,
			UnrealizedProfit: unrealizedPnL(pos, price),
			Leverage:         float64(pos.Leverage),
			LiquidationPrice: pos.LiquidationPrice,
		})
	}
	return list
}

func (r *Runner) convertPositions(priceMap map[string]float64) []kernel.PositionInfo {
	positions := r.account.Positions()
	list := make([]kernel.PositionInfo, 0, len(positions))
	for _, pos := range positions {
		price := priceMap[pos.Symbol]
		pnl := unrealizedPnL(pos, price)
		// Calculate P&L percentage based on entry notional (position cost)
		pnlPct := 0.0
		if pos.Notional > 0 {
			pnlPct = (pnl / pos.Notional) * 100
		}
		list = append(list, kernel.PositionInfo{
			Symbol:           pos.Symbol,
			Side:             pos.Side,
			EntryPrice:       pos.EntryPrice,
			MarkPrice:        price,
			Quantity:         pos.Quantity,
			Leverage:         pos.Leverage,
			UnrealizedPnL:    pnl,
			UnrealizedPnLPct: pnlPct,
			LiquidationPrice: pos.LiquidationPrice,
			MarginUsed:       pos.Margin,
			UpdateTime:       time.Now().UnixMilli(),
		})
	}
	return list
}

func (r *Runner) executionPrice(symbol string, markPrice float64, ts int64) float64 {
	curr, next := r.feed.decisionBarSnapshot(symbol, ts)
	switch r.cfg.FillPolicy {
	case FillPolicyNextOpen:
		if next != nil && next.Open > 0 {
			return next.Open
		}
	case FillPolicyBarVWAP:
		if curr != nil {
			if vwap := barVWAP(*curr); vwap > 0 {
				return vwap
			}
		}
	case FillPolicyMidPrice:
		if curr != nil && curr.High > 0 && curr.Low > 0 {
			return (curr.High + curr.Low) / 2
		}
	}
	return markPrice
}

func (r *Runner) totalMarginUsed() float64 {
	sum := 0.0
	for _, pos := range r.account.Positions() {
		sum += pos.Margin
	}
	return sum
}

func (r *Runner) checkLiquidation(ts int64, priceMap map[string]float64, cycle int) ([]TradeEvent, string, error) {
	positions := append([]*position(nil), r.account.Positions()...)
	events := make([]TradeEvent, 0)
	var noteBuilder strings.Builder

	for _, pos := range positions {
		price := priceMap[pos.Symbol]
		liqPrice := pos.LiquidationPrice
		trigger := false
		execPrice := price
		if pos.Side == "long" {
			if price <= liqPrice && liqPrice > 0 {
				trigger = true
				execPrice = liqPrice
			}
		} else {
			if price >= liqPrice && liqPrice > 0 {
				trigger = true
				execPrice = liqPrice
			}
		}
		if !trigger {
			continue
		}

		realized, fee, finalPrice, err := r.account.Close(pos.Symbol, pos.Side, pos.Quantity, execPrice)
		if err != nil {
			return nil, "", err
		}

		noteBuilder.WriteString(fmt.Sprintf("%s %s @ %.4f; ", pos.Symbol, pos.Side, finalPrice))

		evt := TradeEvent{
			Timestamp:       ts,
			Symbol:          pos.Symbol,
			Action:          "liquidated",
			Side:            pos.Side,
			Quantity:        pos.Quantity,
			Price:           finalPrice,
			Fee:             fee,
			Slippage:        0,
			OrderValue:      finalPrice * pos.Quantity,
			RealizedPnL:     realized - fee,
			Leverage:        pos.Leverage,
			Cycle:           cycle,
			PositionAfter:   0,
			LiquidationFlag: true,
			Note:            fmt.Sprintf("forced liquidation at %.4f", finalPrice),
		}
		events = append(events, evt)
	}

	if len(events) == 0 {
		return events, "", nil
	}

	note := strings.TrimSuffix(noteBuilder.String(), "; ")

	r.stateMu.Lock()
	r.state.Liquidated = true
	r.state.LiquidationNote = note
	r.stateMu.Unlock()

	return events, note, nil
}

func barVWAP(k market.Kline) float64 {
	values := []float64{k.Open, k.High, k.Low, k.Close}
	sum := 0.0
	count := 0.0
	for _, v := range values {
		if v > 0 {
			sum += v
			count++
		}
	}
	if count == 0 {
		return 0
	}
	return sum / count
}