auto-trade/lib/autotrade/risk.ts

import type {
  AutotradeCompiledStrategy,
  AutotradeSignalCandidate,
  AutotradeValidationResult,
} from "@/features/autotrade/types/autotrade.types";

interface RiskEnvelopeInput {
  cashBalance: number;
  allocationPercent: number;
  allocationAmount: number;
  dailyLossPercent: number;
  dailyLossAmount: number;
}

interface ValidationCashBalanceInput {
  cashBalance: number;
  orderableCash?: number | null;
}

type ValidationCashBalanceSource = "cash_balance" | "orderable_cash" | "min_of_both" | "none";

export interface ValidationCashBalanceResult {
  cashBalance: number;
  source: ValidationCashBalanceSource;
  originalCashBalance: number;
  originalOrderableCash: number;
}

interface SignalGateInput {
  signal: AutotradeSignalCandidate;
  strategy: AutotradeCompiledStrategy;
  validation: AutotradeValidationResult;
  dailyOrderCount: number;
  lastOrderAtMs?: number;
  nowMs: number;
}

export function clampNumber(value: number, min: number, max: number) {
  if (Number.isNaN(value)) return min;
  return Math.min(max, Math.max(min, value));
}

export function calculateEffectiveAllocationAmount(
  cashBalance: number,
  allocationPercent: number,
  allocationAmount: number,
) {
  const safeCashBalance = Math.floor(Math.max(0, cashBalance));
  const safeAllocationAmount = Math.floor(Math.max(0, allocationAmount));
  const safeAllocationPercent = clampNumber(allocationPercent, 0, 100);

  if (safeCashBalance <= 0 || safeAllocationPercent <= 0) {
    return 0;
  }

  // 설정창 입력(비율/금액)을 동시에 상한으로 사용합니다.
  const allocationByPercent = Math.floor((safeCashBalance * safeAllocationPercent) / 100);
  return Math.min(safeCashBalance, safeAllocationAmount, allocationByPercent);
}

export function resolveValidationCashBalance(
  input: ValidationCashBalanceInput,
): ValidationCashBalanceResult {
  const normalizedCashBalance = Math.floor(Math.max(0, input.cashBalance));
  const normalizedOrderableCash = Math.floor(Math.max(0, input.orderableCash ?? 0));

  if (normalizedCashBalance > 0 && normalizedOrderableCash > 0) {
    return {
      cashBalance: Math.min(normalizedCashBalance, normalizedOrderableCash),
      source: "min_of_both",
      originalCashBalance: normalizedCashBalance,
      originalOrderableCash: normalizedOrderableCash,
    };
  }

  if (normalizedOrderableCash > 0) {
    return {
      cashBalance: normalizedOrderableCash,
      source: "orderable_cash",
      originalCashBalance: normalizedCashBalance,
      originalOrderableCash: normalizedOrderableCash,
    };
  }

  if (normalizedCashBalance > 0) {
    return {
      cashBalance: normalizedCashBalance,
      source: "cash_balance",
      originalCashBalance: normalizedCashBalance,
      originalOrderableCash: normalizedOrderableCash,
    };
  }

  return {
    cashBalance: 0,
    source: "none",
    originalCashBalance: normalizedCashBalance,
    originalOrderableCash: normalizedOrderableCash,
  };
}

export function calculateEffectiveDailyLossLimit(
  effectiveAllocationAmount: number,
  dailyLossPercent: number,
  dailyLossAmount: number,
) {
  const safeDailyLossAmount = Math.floor(Math.max(0, dailyLossAmount));
  if (safeDailyLossAmount <= 0) {
    return 0;
  }

  const safeDailyLossPercent = clampNumber(dailyLossPercent, 0, 100);
  if (safeDailyLossPercent <= 0) {
    return safeDailyLossAmount;
  }

  const limitByPercent = Math.floor(
    (Math.max(0, effectiveAllocationAmount) * safeDailyLossPercent) / 100,
  );
  return Math.min(safeDailyLossAmount, Math.max(0, limitByPercent));
}

export function buildRiskEnvelope(input: RiskEnvelopeInput) {
  const blockedReasons: string[] = [];
  const warnings: string[] = [];

  if (input.allocationAmount <= 0) {
    blockedReasons.push("투자 금액은 0보다 커야 합니다.");
  }

  if (input.allocationPercent <= 0) {
    blockedReasons.push("투자 비율은 0%보다 커야 합니다.");
  }

  if (input.dailyLossAmount <= 0) {
    blockedReasons.push("일일 손실 금액은 0보다 커야 합니다.");
  }

  if (input.cashBalance <= 0) {
    blockedReasons.push("가용 자산이 0원이라 자동매매를 시작할 수 없습니다.");
  }

  const effectiveAllocationAmount = calculateEffectiveAllocationAmount(
    input.cashBalance,
    input.allocationPercent,
    input.allocationAmount,
  );

  const effectiveDailyLossLimit = calculateEffectiveDailyLossLimit(
    effectiveAllocationAmount,
    input.dailyLossPercent,
    input.dailyLossAmount,
  );

  if (effectiveAllocationAmount <= 0) {
    blockedReasons.push("실적용 투자금이 0원으로 계산되었습니다.");
  }

  if (effectiveDailyLossLimit <= 0) {
    blockedReasons.push("실적용 손실 한도가 0원으로 계산되었습니다.");
  }

  if (input.allocationAmount > input.cashBalance) {
    warnings.push("입력한 투자금이 가용자산보다 커서 가용자산 한도로 자동 보정됩니다.");
  }

  if (effectiveDailyLossLimit > effectiveAllocationAmount) {
    warnings.push("손실 금액이 투자금보다 큽니다. 손실 기준을 투자금 이하로 설정하는 것을 권장합니다.");
  }

  if (input.dailyLossPercent <= 0) {
    warnings.push("손실 비율이 0%라 참고 비율 경고를 계산하지 않습니다.");
  }

  const allocationReferenceAmount =
    input.allocationPercent > 0
      ? (Math.max(0, input.cashBalance) * Math.max(0, input.allocationPercent)) / 100
      : 0;
  if (allocationReferenceAmount > 0 && input.allocationAmount > allocationReferenceAmount) {
    warnings.push(
      `입력 투자금이 비율 상한(${input.allocationPercent}%) 기준 ${Math.floor(allocationReferenceAmount).toLocaleString("ko-KR")}원을 초과해 비율 상한으로 적용됩니다.`,
    );
  }

  const dailyLossReferenceAmount =
    input.dailyLossPercent > 0
      ? (Math.max(0, effectiveAllocationAmount) * Math.max(0, input.dailyLossPercent)) / 100
      : 0;
  if (dailyLossReferenceAmount > 0 && input.dailyLossAmount > dailyLossReferenceAmount) {
    warnings.push(
      `입력 손실금이 참고 비율(${input.dailyLossPercent}%) 기준 ${Math.floor(dailyLossReferenceAmount).toLocaleString("ko-KR")}원을 초과합니다.`,
    );
  }

  if (input.allocationPercent > 100) {
    warnings.push("투자 비율이 100%를 초과했습니다. 가용자산 기준으로 자동 보정됩니다.");
  }

  if (input.dailyLossPercent > 20) {
    warnings.push("일일 손실 비율이 높습니다. 기본값 2% 수준을 권장합니다.");
  }

  return {
    isValid: blockedReasons.length === 0,
    blockedReasons,
    warnings,
    cashBalance: Math.max(0, Math.floor(input.cashBalance)),
    effectiveAllocationAmount,
    effectiveDailyLossLimit,
  } satisfies AutotradeValidationResult;
}

export function evaluateSignalBlockers(input: SignalGateInput) {
  const blockers: string[] = [];
  const { signal, strategy, validation, dailyOrderCount, lastOrderAtMs, nowMs } = input;

  if (!validation.isValid) {
    blockers.push("리스크 검증이 통과되지 않았습니다.");
  }

  if (!signal.reason.trim()) {
    blockers.push("AI 신호 근거(reason)가 비어 있습니다.");
  }

  if (signal.confidence < strategy.confidenceThreshold) {
    blockers.push(
      `신뢰도 ${signal.confidence.toFixed(2)}가 임계치 ${strategy.confidenceThreshold.toFixed(2)}보다 낮습니다.`,
    );
  }

  if (signal.riskFlags.some((flag) => flag.toLowerCase().includes("block"))) {
    blockers.push("신호에 차단 플래그가 포함되어 있습니다.");
  }

  if (dailyOrderCount >= strategy.maxDailyOrders) {
    blockers.push("일일 최대 주문 건수를 초과했습니다.");
  }

  if (lastOrderAtMs && nowMs - lastOrderAtMs < strategy.cooldownSec * 1000) {
    blockers.push("종목 쿨다운 시간 안에서는 신규 주문을 차단합니다.");
  }

  return blockers;
}

export function resolveOrderQuantity(params: {
  side: "buy" | "sell";
  price: number;
  requestedQuantity?: number;
  effectiveAllocationAmount: number;
  maxOrderAmountRatio: number;
  unitCost?: number;
}) {
  if (params.side === "sell") {
    const requestedQuantity = Math.max(0, Math.floor(params.requestedQuantity ?? 0));
    // 매도는 예산 제한이 아니라 보유/매도가능 수량 제한을 우선 적용합니다.
    return requestedQuantity > 0 ? requestedQuantity : 1;
  }

  const price = Math.max(0, params.price);
  if (!price) return 0;

  const unitCost = Math.max(price, params.unitCost ?? price);
  const effectiveAllocationAmount = Math.max(0, params.effectiveAllocationAmount);
  const maxOrderAmount =
    effectiveAllocationAmount * clampNumber(params.maxOrderAmountRatio, 0.05, 1);

  const affordableQuantity = Math.floor(maxOrderAmount / unitCost);
  if (affordableQuantity <= 0) {
    // 국내주식은 1주 단위 주문이라, 전체 예산으로 1주를 살 수 있으면
    // 과도하게 낮은 주문 비율 때문에 0주로 막히지 않도록 최소 1주를 허용합니다.
    const fullBudgetQuantity = Math.floor(effectiveAllocationAmount / unitCost);
    if (fullBudgetQuantity <= 0) {
      return 0;
    }

    if (!params.requestedQuantity || params.requestedQuantity <= 0) {
      return 1;
    }

    return Math.min(Math.max(1, params.requestedQuantity), fullBudgetQuantity);
  }

  if (!params.requestedQuantity || params.requestedQuantity <= 0) {
    return Math.max(1, affordableQuantity);
  }

  return Math.max(1, Math.min(params.requestedQuantity, affordableQuantity));
}