Encelado/Encelado/src/Encelado.Core/Baskets/BasketPosition.cs

using System.Globalization;

namespace Encelado.Core.Baskets;

/// <summary>The lifecycle of one basket. Transitions are checked by <see cref="BasketLifecycle"/>.</summary>
public enum BasketState
{
    Idle = 0,
    Entering,
    Open,
    Adding,
    Exiting,
    Closed,
    Error,

    /// <summary>Leg A was sent and the venue has not said what became of it; nothing else happens on this basket until it does.</summary>
    PendingA,

    /// <summary>Leg A is filled, leg B was sent and the venue has not said what became of it.</summary>
    PendingB,
}

public static class BasketLifecycle
{
    public static bool CanTransition(BasketState from, BasketState to) => (from, to) switch
    {
        (BasketState.Idle, BasketState.Entering) => true,
        (BasketState.Entering, BasketState.Open) => true,
        (BasketState.Entering, BasketState.Idle) => true,      // leg-risk unwind, both legs flat again
        (BasketState.Entering, BasketState.Error) => true,
        (BasketState.Entering, BasketState.PendingA) => true,  // leg A sent, outcome unknown past the leg timeout
        (BasketState.Entering, BasketState.PendingB) => true,  // leg A filled, leg B outcome unknown
        (BasketState.PendingA, BasketState.Entering) => true,  // leg A filled: sending leg B
        (BasketState.PendingA, BasketState.Idle) => true,      // leg A rejected, or filled and unwound because the signal decayed
        (BasketState.PendingA, BasketState.Error) => true,
        (BasketState.PendingB, BasketState.Open) => true,      // leg B filled
        (BasketState.PendingB, BasketState.Idle) => true,      // leg B rejected, leg A unwound
        (BasketState.PendingB, BasketState.Error) => true,
        (BasketState.Open, BasketState.Adding) => true,
        (BasketState.Adding, BasketState.Open) => true,
        (BasketState.Adding, BasketState.Error) => true,
        (BasketState.Open, BasketState.Exiting) => true,
        (BasketState.Exiting, BasketState.Closed) => true,
        (BasketState.Exiting, BasketState.Error) => true,
        (BasketState.Closed, BasketState.Idle) => true,
        (BasketState.Error, BasketState.Idle) => true,          // after a manual/automatic reconciliation
        (BasketState.Error, BasketState.Exiting) => true,
        _ => from == to,
    };

    /// <summary>A basket waiting for the venue: no evaluation, no new order, until the order register resolves it.</summary>
    public static bool IsPending(this BasketState state) => state is BasketState.PendingA or BasketState.PendingB;
}

/// <summary>One leg of an open basket, as filled.</summary>
public sealed class BasketLeg
{
    public required string Symbol { get; init; }

    public required long InstrumentId { get; init; }

    public required bool IsBuy { get; init; }

    public double Units { get; set; }

    /// <summary>Volume-weighted entry across the initial fill and the adds.</summary>
    public double EntryPrice { get; set; }

    public long PositionId { get; set; }

    public string ClientRef { get; set; } = string.Empty;

    public DateTime OpenedUtc { get; set; }

    public double EntryFeesUsd { get; set; }

    public double StopLossRate { get; set; }

    /// <summary>Extra positions opened by adds on the same leg (eToro opens a new position per order).</summary>
    public List<(long PositionId, double Units, double Price, string ClientRef)> Adds { get; } = [];

    public IEnumerable<long> AllPositionIds
    {
        get
        {
            if (PositionId != 0)
            {
                yield return PositionId;
            }

            foreach ((long id, _, _, _) in Adds)
            {
                yield return id;
            }
        }
    }

    public double TotalUnits => Units + Adds.Sum(static a => a.Units);

    /// <summary>Signed pips from entry at the exit price of this leg (bid for a long, ask for a short).</summary>
    public double Pips(double exitPrice, double pip) => (IsBuy ? exitPrice - EntryPrice : EntryPrice - exitPrice) / pip;

    /// <summary>Writes the leg as a named JSON object (the shape of <c>baskets_state.json</c>).</summary>
    public static void Write(System.Text.Json.Utf8JsonWriter w, string name, BasketLeg leg)
    {
        ArgumentNullException.ThrowIfNull(w);
        ArgumentNullException.ThrowIfNull(leg);
        w.WriteStartObject(name);
        w.WriteString("symbol", leg.Symbol);
        w.WriteNumber("instrumentId", leg.InstrumentId);
        w.WriteBoolean("isBuy", leg.IsBuy);
        w.WriteNumber("units", leg.Units);
        w.WriteNumber("entryPrice", leg.EntryPrice);
        w.WriteNumber("positionId", leg.PositionId);
        w.WriteString("clientRef", leg.ClientRef);
        w.WriteString("openedUtc", leg.OpenedUtc.ToString("O", CultureInfo.InvariantCulture));
        w.WriteNumber("entryFeesUsd", leg.EntryFeesUsd);
        w.WriteNumber("stopLossRate", leg.StopLossRate);
        w.WriteStartArray("adds");
        foreach ((long id, double units, double price, string clientRef) in leg.Adds)
        {
            w.WriteStartObject();
            w.WriteNumber("positionId", id);
            w.WriteNumber("units", units);
            w.WriteNumber("price", price);
            w.WriteString("clientRef", clientRef);
            w.WriteEndObject();
        }

        w.WriteEndArray();
        w.WriteEndObject();
    }

    public static BasketLeg Read(System.Text.Json.JsonElement e)
    {
        BasketLeg leg = new()
        {
            Symbol = e.GetProperty("symbol").GetString() ?? string.Empty,
            InstrumentId = e.GetProperty("instrumentId").GetInt64(),
            IsBuy = e.GetProperty("isBuy").GetBoolean(),
            Units = e.GetProperty("units").GetDouble(),
            EntryPrice = e.GetProperty("entryPrice").GetDouble(),
            PositionId = e.GetProperty("positionId").GetInt64(),
            ClientRef = e.GetProperty("clientRef").GetString() ?? string.Empty,
            OpenedUtc = DateTime.Parse(e.GetProperty("openedUtc").GetString()!, CultureInfo.InvariantCulture, DateTimeStyles.AdjustToUniversal | DateTimeStyles.AssumeUniversal),
            EntryFeesUsd = e.GetProperty("entryFeesUsd").GetDouble(),
            StopLossRate = e.GetProperty("stopLossRate").GetDouble(),
        };
        if (e.TryGetProperty("adds", out System.Text.Json.JsonElement adds))
        {
            foreach (System.Text.Json.JsonElement a in adds.EnumerateArray())
            {
                leg.Adds.Add((a.GetProperty("positionId").GetInt64(), a.GetProperty("units").GetDouble(), a.GetProperty("price").GetDouble(), a.GetProperty("clientRef").GetString() ?? string.Empty));
            }
        }

        return leg;
    }
}

/// <summary>An open (or opening/closing) basket: both legs plus what the decision knew at entry.</summary>
public sealed class BasketPosition
{
    public required string BasketId { get; init; }

    public required string Name { get; init; }

    public required bool BuyCross { get; init; }

    public required BasketLeg A { get; init; }

    public required BasketLeg B { get; init; }

    public required DateTime OpenedUtc { get; init; }

    public required double EntryZ { get; init; }

    public double LastAddZ { get; set; }

    public int Adds { get; set; }

    public int BarsHeld { get; set; }

    /// <summary>Cost estimate written at entry, in pip-equivalents of leg A.</summary>
    public double EntryCostPips { get; init; }

    public double TpPips { get; init; }

    public double MaxLossUsd { get; init; }

    public double EquityAtEntry { get; init; }

    public int BarsWithBrokenCorrelation { get; set; }

    /// <summary>Consecutive bar closes with a spread beyond the anomaly multiple: the forced exit waits for persistence.</summary>
    public int BarsWithSpreadAnomaly { get; set; }

    /// <summary>Overnight and other fees accrued so far, in USD (positive = cost).</summary>
    public double AccruedFeesUsd { get; set; }

    public string EntryMotivazione { get; init; } = string.Empty;

    /// <summary>Sum of the two legs' pips at the given exit prices — the "Pips" of the Titany screen.</summary>
    public double PipsTotal(double exitA, double exitB, double pipA, double pipB) => A.Pips(exitA, pipA) + B.Pips(exitB, pipB);

    /// <summary>
    /// Net P&amp;L in USD at the given exit prices: both legs converted to the account
    /// currency, minus entry fees and accrued overnight.
    /// </summary>
    public double NetPnlUsd(double exitA, double exitB, Func<string, double?> mid)
    {
        double pa = PipMath.LegPnlUsd(A.Symbol, A.IsBuy, A.TotalUnits, A.EntryPrice, exitA, mid);
        double pb = PipMath.LegPnlUsd(B.Symbol, B.IsBuy, B.TotalUnits, B.EntryPrice, exitB, mid);
        if (double.IsNaN(pa) || double.IsNaN(pb))
        {
            return double.NaN;
        }

        return pa + pb - A.EntryFeesUsd - B.EntryFeesUsd - AccruedFeesUsd;
    }

    public string Describe() => string.Create(CultureInfo.InvariantCulture,
        $"{Name} {(BuyCross ? "compro" : "vendo")} il cross: {(A.IsBuy ? "long" : "short")} {A.TotalUnits:0.##} {A.Symbol} @ {A.EntryPrice}, {(B.IsBuy ? "long" : "short")} {B.TotalUnits:0.##} {B.Symbol} @ {B.EntryPrice}, z entrata {EntryZ:+0.00;-0.00}, {Adds} aggiunte, {BarsHeld} barre");
}