trader-mcp/strategies/trend_follower.py

from __future__ import annotations

from datetime import datetime, timezone

from src.trader_mcp.strategy_sdk import Strategy
from src.trader_mcp.logging_utils import log_event


class Strategy(Strategy):
    LABEL = "Trend Follower"
    STRATEGY_PROFILE = {
        "expects": {
            "trend": "strong",
            "volatility": "moderate",
            "event_risk": "low",
            "liquidity": "normal",
        },
        "avoids": {
            "trend": "range",
            "volatility": "chaotic",
            "event_risk": "high",
            "liquidity": "thin",
        },
        "risk_profile": "growth",
        "capabilities": ["directional_continuation", "momentum_following", "inventory_accumulation"],
        "role": "primary",
        "inventory_behavior": "accumulative_long",
        "requires_rebalance_before_start": False,
        "requires_rebalance_before_stop": False,
        "safe_when_unbalanced": True,
        "can_run_with": ["exposure_protector"],
    }
    TICK_MINUTES = 0.5
    CONFIG_SCHEMA = {
        "trade_side": {"type": "string", "default": "both"},
        "balance_target": {"type": "float", "default": 1.0, "min": 0.0, "max": 1.0},
        "entry_offset_pct": {"type": "float", "default": 0.003, "min": 0.0, "max": 1.0},
        "exit_offset_pct": {"type": "float", "default": 0.002, "min": 0.0, "max": 1.0},
        "order_notional_quote": {"type": "float", "default": 0.0, "min": 0.0},
        "max_order_notional_quote": {"type": "float", "default": 0.0, "min": 0.0},
        "cooldown_ticks": {"type": "int", "default": 2, "min": 0, "max": 1000},
        "debug_orders": {"type": "bool", "default": True},
    }
    STATE_SCHEMA = {
        "last_price": {"type": "float", "default": 0.0},
        "last_action": {"type": "string", "default": "idle"},
        "last_error": {"type": "string", "default": ""},
        "debug_log": {"type": "list", "default": []},
        "trade_side": {"type": "string", "default": "both"},
        "cooldown_remaining": {"type": "int", "default": 0},
        "last_order_at": {"type": "float", "default": 0.0},
        "last_order_price": {"type": "float", "default": 0.0},
        "base_available": {"type": "float", "default": 0.0},
        "counter_available": {"type": "float", "default": 0.0},
    }

    def init(self):
        return {
            "last_price": 0.0,
            "last_action": "idle",
            "last_error": "",
            "debug_log": ["init trend follower"],
            "trade_side": "both",
            "cooldown_remaining": 0,
            "last_order_at": 0.0,
            "last_order_price": 0.0,
            "base_available": 0.0,
            "counter_available": 0.0,
        }

    def _log(self, message: str) -> None:
        state = getattr(self, "state", {}) or {}
        log = list(state.get("debug_log") or [])
        log.append(message)
        state["debug_log"] = log[-12:]
        self.state = state
        log_event("trend", message)

    def _base_symbol(self) -> str:
        return (self.context.base_currency or self.context.market_symbol or "XRP").split("/")[0].upper()

    def _market_symbol(self) -> str:
        return self.context.market_symbol or f"{self._base_symbol().lower()}usd"

    def _trade_side(self) -> str:
        side = str(self.config.get("trade_side") or "both").strip().lower()
        return side if side in {"buy", "sell", "both"} else "both"

    def _price(self) -> float:
        payload = self.context.get_price(self._base_symbol())
        return float(payload.get("price") or 0.0)

    def _live_fee_rate(self) -> float:
        try:
            payload = self.context.get_fee_rates(self._market_symbol())
            return float(payload.get("maker") or payload.get("taker") or 0.0)
        except Exception as exc:
            self._log(f"fee lookup failed: {exc}")
            return 0.0

    def _refresh_balance_snapshot(self) -> None:
        try:
            info = self.context.get_account_info()
        except Exception as exc:
            self._log(f"balance refresh failed: {exc}")
            return
        balances = info.get("balances") if isinstance(info, dict) else []
        if not isinstance(balances, list):
            return
        base = self._base_symbol()
        quote = str(self.context.counter_currency or "USD").upper()
        for balance in balances:
            if not isinstance(balance, dict):
                continue
            asset = str(balance.get("asset_code") or "").upper()
            try:
                available = float(balance.get("available") if balance.get("available") is not None else balance.get("total") or 0.0)
            except Exception:
                continue
            if asset == base:
                self.state["base_available"] = available
            if asset == quote:
                self.state["counter_available"] = available

    def _supervision(self) -> dict:
        last_error = str(self.state.get("last_error") or "")
        side = self._trade_side()
        pressure = "balanced" if side in {"buy", "sell"} else "unknown"
        balance_target = self._balance_target()
        base_ratio = self._account_value_ratio(float(self.state.get("last_price") or 0.0))
        quote_ratio = max(0.0, 1.0 - base_ratio)
        entry_offset_pct = float(self.config.get("entry_offset_pct") or 0.003)
        exit_offset_pct = float(self.config.get("exit_offset_pct") or 0.002)
        last_order_at = float(self.state.get("last_order_at") or 0.0)
        now_ts = datetime.now(timezone.utc).timestamp()
        last_order_age_seconds = round(max(now_ts - last_order_at, 0.0), 3) if last_order_at > 0 else None
        if entry_offset_pct <= 0.0015:
            chasing_risk = "elevated"
        elif entry_offset_pct <= 0.0035:
            chasing_risk = "moderate"
        else:
            chasing_risk = "low"
        concerns = []
        if side == "both":
            concerns.append("generic trend instance relies on Hermes for direction")
        if chasing_risk == "elevated":
            concerns.append("entry offset is tight and may chase price")
        return {
            "health": "degraded" if last_error else "healthy",
            "degraded": bool(last_error),
            "inventory_pressure": pressure,
            "capacity_available": side in {"buy", "sell"},
            "trade_side": side,
            "balance_target": round(balance_target, 6),
            "base_ratio": round(base_ratio, 6),
            "quote_ratio": round(quote_ratio, 6),
            "entry_offset_pct": round(entry_offset_pct, 6),
            "exit_offset_pct": round(exit_offset_pct, 6),
            "order_notional_quote": float(self.config.get("order_notional_quote") or 0.0),
            "max_order_notional_quote": float(self.config.get("max_order_notional_quote") or 0.0),
            "last_order_age_seconds": last_order_age_seconds,
            "last_order_price": float(self.state.get("last_order_price") or 0.0),
            "chasing_risk": chasing_risk,
            "concerns": concerns,
            "last_reason": last_error or f"trade_side={side}",
        }

    def apply_policy(self):
        policy = super().apply_policy()
        quote_notional = float(self.config.get("order_notional_quote") or 0.0)
        max_quote_notional = float(self.config.get("max_order_notional_quote") or 0.0)
        self.state["policy_derived"] = {
            "trade_side": self._trade_side(),
            "balance_target": self._balance_target(),
            "entry_offset_pct": float(self.config.get("entry_offset_pct") or 0.003),
            "exit_offset_pct": float(self.config.get("exit_offset_pct") or 0.002),
            "cooldown_ticks": int(self.config.get("cooldown_ticks") or 2),
            "order_notional_quote": quote_notional,
            "max_order_notional_quote": max_quote_notional,
        }
        return policy

    def _balance_target(self) -> float:
        try:
            target = float(self.config.get("balance_target") if self.config.get("balance_target") is not None else 1.0)
        except Exception:
            return 1.0
        return min(max(target, 0.0), 1.0)

    def _account_value_ratio(self, price: float) -> float:
        if price <= 0:
            return 0.5
        base_value = float(self.state.get("base_available") or 0.0) * price
        counter_value = float(self.state.get("counter_available") or 0.0)
        total = base_value + counter_value
        if total <= 0:
            return 0.5
        return base_value / total

    def _balance_target_reached(self, side: str, price: float) -> bool:
        target = self._balance_target()
        if target >= 1.0:
            return False
        base_ratio = self._account_value_ratio(price)
        if side == "buy":
            return base_ratio >= target
        if side == "sell":
            return (1.0 - base_ratio) >= target
        return False

    def _suggest_amount(self, price: float, side: str) -> float:
        min_notional = float(self.context.minimum_order_value or 0.0)
        quote_notional = float(self.config.get("order_notional_quote") or 0.0)
        max_quote_notional = float(self.config.get("max_order_notional_quote") or 0.0)
        if hasattr(self.context, "suggest_order_amount"):
            kwargs = {
                "side": side,
                "price": price,
                "levels": 1,
                "min_notional": min_notional,
                "fee_rate": self._live_fee_rate(),
                "quote_notional": quote_notional,
                "max_notional_per_order": max_quote_notional,
            }
            try:
                return float(self.context.suggest_order_amount(**kwargs) or 0.0)
            except TypeError:
                kwargs.pop("quote_notional", None)
                return float(self.context.suggest_order_amount(**kwargs) or 0.0)
        if quote_notional <= 0:
            return 0.0
        amount = quote_notional / price
        if max_quote_notional > 0:
            amount = min(amount, max_quote_notional / price)
        return max(amount, 0.0)

    def on_tick(self, tick):
        self.state["last_error"] = ""
        self._log(f"tick alive price={self.state.get('last_price') or 0.0}")
        self._refresh_balance_snapshot()
        price = self._price()
        self.state["last_price"] = price

        if int(self.state.get("cooldown_remaining") or 0) > 0:
            self.state["cooldown_remaining"] = int(self.state.get("cooldown_remaining") or 0) - 1
            self.state["last_action"] = "cooldown"
            return {"action": "cooldown", "price": price}

        side = self._trade_side()
        if side not in {"buy", "sell"}:
            self.state["last_action"] = "hold"
            return {"action": "hold", "price": price, "reason": "trade_side must be buy or sell"}
        if self._balance_target_reached(side, price):
            self.state["last_action"] = "target_reached"
            return {"action": "hold", "price": price, "reason": "balance target reached"}

        amount = self._suggest_amount(price, side)
        if amount <= 0:
            self.state["last_action"] = "hold"
            return {"action": "hold", "price": price, "reason": "no usable size"}

        offset = float(self.config.get("entry_offset_pct", 0.003) or 0.0)
        if side == "buy":
            order_price = round(price * (1 + offset), 8)
        else:
            order_price = round(price * (1 - offset), 8)

        try:
            if self.config.get("debug_orders", True):
                self._log(f"{side} trend amount={amount:.6g} price={order_price}")
            result = self.context.place_order(
                side=side,
                order_type="limit",
                amount=amount,
                price=order_price,
                market=self._market_symbol(),
            )
            self.state["cooldown_remaining"] = int(self.config.get("cooldown_ticks", 2) or 2)
            self.state["last_order_at"] = datetime.now(timezone.utc).timestamp()
            self.state["last_order_price"] = order_price
            self.state["last_action"] = f"{side}_trend"
            return {"action": side, "price": order_price, "amount": amount, "result": result}
        except Exception as exc:
            self.state["last_error"] = str(exc)
            self._log(f"trend order failed: {exc}")
            self.state["last_action"] = "error"
            return {"action": "error", "price": price, "error": str(exc)}

    def report(self):
        snapshot = self.context.get_strategy_snapshot() if hasattr(self.context, "get_strategy_snapshot") else {}
        return {
            "identity": snapshot.get("identity", {}),
            "control": snapshot.get("control", {}),
            "fit": dict(getattr(self, "STRATEGY_PROFILE", {}) or {}),
            "position": snapshot.get("position", {}),
            "state": {
                "last_price": self.state.get("last_price", 0.0),
                "last_action": self.state.get("last_action", "idle"),
                "trade_side": self._trade_side(),
                "balance_target": self._balance_target(),
                "order_notional_quote": float(self.config.get("order_notional_quote") or 0.0),
                "max_order_notional_quote": float(self.config.get("max_order_notional_quote") or 0.0),
                "cooldown_remaining": self.state.get("cooldown_remaining", 0),
                "base_available": self.state.get("base_available", 0.0),
                "counter_available": self.state.get("counter_available", 0.0),
            },
            "assessment": {
                "confidence": None,
                "uncertainty": None,
                "reason": "trend capture",
                "warnings": [w for w in (self._supervision().get("concerns") or []) if w],
                "policy": dict(self.config.get("policy") or {}),
            },
            "execution": snapshot.get("execution", {}),
            "supervision": self._supervision(),
        }

    def render(self):
        return {
            "widgets": [
                {"type": "metric", "label": "market", "value": self._market_symbol()},
                {"type": "metric", "label": "price", "value": round(float(self.state.get("last_price") or 0.0), 6)},
                {"type": "metric", "label": "side", "value": self._trade_side()},
                {"type": "metric", "label": "balance target", "value": round(self._balance_target(), 6)},
                {"type": "metric", "label": "quote notional", "value": round(float(self.config.get("order_notional_quote") or 0.0), 6)},
                {"type": "metric", "label": "state", "value": self.state.get("last_action", "idle")},
                {"type": "metric", "label": "cooldown", "value": int(self.state.get("cooldown_remaining") or 0)},
                {"type": "text", "label": "error", "value": self.state.get("last_error", "") or "none"},
                {"type": "log", "label": "debug log", "lines": self.state.get("debug_log") or []},
            ]
        }