package arb

import (
	"github.com/banbox/banbot/btime"
	"github.com/banbox/banbot/config"
	"github.com/banbox/banbot/core"
	"github.com/banbox/banbot/strat"
	"github.com/banbox/banexg/log"
	"github.com/banbox/banexg/utils"
	ta "github.com/banbox/banta"
	"go.uber.org/zap"
	"maps"
	"math"
	"math/rand"
	"path/filepath"
)

func init() {
	strat.AddStratGroup("arb", map[string]strat.FuncMakeStrat{
		"gp": ArbGroupJob,
	})
}

/*
strengths  widRatios
rate: 0  -0.002491 0.859934
rate: 14234  -0.000915 0.946673
rate: 28468  -0.000089 0.997275
rate: 42702  0.000818 1.048731
rate: 56936  0.002571 1.166192
rate: 71170  0.007989 1.619902
*/

func ArbGroupJob(pol *config.RunPolicyConfig) *strat.TradeStrat {
	lenFast := 6
	lenSlow := 20
	lenMid := 96
	lenStd := 96
	bollWid := 0.0043
	lastSplitMS := int64(0)
	tfMSecs := int64(60000)
	dayMS := int64(utils.TFToSecs("1d") * 1000)
	env, _ := ta.NewBarEnv(core.ExgName, core.Market, "", "1m")
	var rate *ta.Series
	groups := make(map[*strat.StratJob]float64)
	hits := make(map[string]float64)
	warmNum := 120
	var widths []float64
	var maxRate float64
	var position float64
	var posTag string
	var rates []*TimeFlt
	dumpDir := filepath.Join(config.GetDataDir(), "dump")
	return &strat.TradeStrat{
		WarmupNum:     warmNum,
		RunTimeFrames: []string{"1m"},
		BatchInOut:    true,
		OnBar: func(s *strat.StratJob) {
		},
		OnBatchJobs: func(jobs []*strat.StratJob) {
			var curMS int64
			newNum := 0
			hitDup := maps.Clone(hits)
			for _, j := range jobs {
				curMS = max(curMS, j.Env.TimeStop)
				if _, ok := hitDup[j.Symbol.Symbol]; ok {
					delete(hitDup, j.Symbol.Symbol)
				} else {
					newNum += 1
				}
			}
			alignDayMS := utils.AlignTfMSecs(curMS, dayMS)
			if alignDayMS > lastSplitMS || newNum > 0 || len(hitDup) > 0 {
				// 每天刷新品种分组
				for j := range groups {
					j.CloseOrders(&strat.ExitReq{Tag: "switch", Log: true})
				}
				offsetMS := alignDayMS - dayMS
				dateStr := btime.ToDateStr(offsetMS, "20060102")
				dumpPath := filepath.Join(dumpDir, dateStr+".html")
				if len(rates) > 1000 {
					log.Info("try dump rates", zap.String("date", dateStr), zap.Int("num", len(rates)))
					err := dumpRateChart(rates, "1m", dumpPath, dateStr)
					if err != nil {
						log.Error("dumpRateChart fail", zap.Error(err))
					}
				}
				rates = nil
				rand.Shuffle(len(jobs), func(i, j int) {
					jobs[i], jobs[j] = jobs[j], jobs[i]
				})
				env.Reset()
				rate = env.NewSeries(nil)
				groups = make(map[*strat.StratJob]float64)
				hits = make(map[string]float64)
				for i, j := range jobs {
					if i%2 == 0 {
						groups[j] = -1
					} else {
						groups[j] = 1
					}
					hits[j.Symbol.Symbol] = j.Env.Close.Get(lenMid)
				}
				env.TimeStop = curMS - int64(lenMid)*tfMSecs
				env.TimeStart = env.TimeStop - tfMSecs
				for i := warmNum; i >= 0; i-- {
					var price1, price2 float64
					var num1, num2 float64
					for j, tag := range groups {
						base := hits[j.Symbol.Symbol]
						ratec := j.Env.Close.Get(i) / base
						if tag < 0 {
							price1 += ratec
							num1 += 1
						} else {
							price2 += ratec
							num2 += 1
						}
					}
					price1 /= num1
					price2 /= num2
					env.TimeStart += tfMSecs
					env.TimeStop += tfMSecs
					rate.Append(price1 / price2)
					_ = ta.EMA(rate, lenFast)
					_ = ta.EMA(rate, lenSlow)
					maMid := ta.EMA(rate, lenMid).Get(0)
					dev := ta.StdDev(rate, lenStd)
					stdDev := ta.SMA(dev, lenStd).Get(0) * 1.7
					bollWidAvg := bollWid*maMid*0.5 + stdDev*0.5
					widths = append(widths, bollWidAvg)
				}
				lastSplitMS = alignDayMS
			}
			var price1, price2 float64
			var num1, num2 float64
			for j, tag := range groups {
				base := hits[j.Symbol.Symbol]
				ratec := j.Env.Close.Get(0) / base
				if tag < 0 {
					price1 += ratec
					num1 += 1
				} else {
					price2 += ratec
					num2 += 1
				}
			}
			price1 /= num1
			price2 /= num2
			curRate := price1 / price2
			env.TimeStart += tfMSecs
			env.TimeStop += tfMSecs
			rate.Append(curRate)
			rates = append(rates, &TimeFlt{
				Stamp: curMS,
				Val:   curRate,
			})
			maFast := ta.EMA(rate, lenFast)
			maSlow := ta.EMA(rate, lenSlow) //66
			maMidS := ta.EMA(rate, lenMid)
			maMid := maMidS.Get(0)
			dev := ta.StdDev(rate, lenStd)
			stdDev := ta.SMA(dev, lenStd).Get(0) * 1.7
			bollWidAvg := bollWid*maMid*0.5 + stdDev*0.5
			widths = append(widths, bollWidAvg)
			zScore := (curRate - maMid) / bollWidAvg
			strength := maMid/maMidS.Get(warmNum) - 1
			widDelta := bollWidAvg - widths[len(widths)-60]
			widRatio := bollWidAvg / widths[len(widths)-warmNum]
			fastXSlow := maFast.Cross(maSlow)
			fastXMid := maFast.Cross(maMidS)

			absStrength := math.Abs(strength)
			mkt := ""
			if absStrength > 0.01 || math.Abs(zScore) > 4 {
				// D: 结构性跳变，暂停交易
				mkt = "D"
			} else if widRatio > 1.5 && widDelta > 0 || bollWidAvg >= 0.008 {
				// C: 高波动突破
				mkt = "C"
			} else if absStrength >= 0.003 || widRatio > 1.3 && widDelta > 0 {
				// B: 趋势市场
				mkt = "B"
			} else if absStrength < 0.002 && widRatio < 1.2 && widDelta <= 0 {
				// A: 低波动区间
				mkt = "A"
			} else {
				//if absStrength >= 0.001 && absStrength < 0.002 && widRatio < 1.3
				// E: 低频弱趋势，中性，混合策略
				mkt = "E"
			}
			dirt := -1.0
			if strength > 0 {
				dirt = 1
			}
			if math.Abs(zScore) > maxRate*dirt {
				maxRate = zScore
			}
			allow1, allow2 := false, false
			if mkt == "A" {
				allow1 = true
			} else if mkt == "B" || mkt == "C" {
				// B明显趋势 或 C波动扩大方向明确
				allow2 = true
			} else if mkt == "E" {
				allow1, allow2 = true, true
			}
			openDirt := 0.0
			openTag := ""
			dateStr := btime.ToDateStr(curMS, core.DefaultDateFmt)
			if allow1 {
				expPft := math.Abs(curRate - maMid)
				if math.Abs(maxRate) >= 1.5 && expPft > 0.002 && float64(fastXSlow)*dirt == -1 {
					openDirt = -dirt
					openTag = "rev"
					log.Info("open rev", zap.String("date", dateStr), zap.Float64("z", zScore),
						zap.Float64("width", bollWidAvg), zap.Float64("widDelta", widDelta))
				}
			}
			if allow2 && float64(fastXMid)*dirt == 1 {
				if absStrength >= 0.003 || widRatio > 1.3 && widDelta > 0 {
					openDirt = dirt
					openTag = "follow"
					log.Info("open trend", zap.String("date", dateStr), zap.Float64("z", zScore),
						zap.Float64("width", bollWidAvg), zap.Float64("widDelta", widDelta),
						zap.Float64("strength", strength), zap.Float64("widRatio", widRatio))
				}
			}
			if position != openDirt && openDirt != 0 {
				if position != 0 {
					log.Info("close pos", zap.String("date", dateStr), zap.String("tag", "reverse"), zap.Float64("dirt", position))
					for j := range groups {
						j.CloseOrders(&strat.ExitReq{Tag: "reverse"})
					}
				}
				for j, tag := range groups {
					j.OpenOrder(&strat.EnterReq{
						Tag:   openTag,
						Short: tag != openDirt,
					})
				}
				log.Info("open pos", zap.String("date", dateStr), zap.String("tag", openTag), zap.Float64("dirt", openDirt))
				position = openDirt
				posTag = openTag
			} else if position != 0 {
				exitTag := ""
				if posTag == "rev" {
					if position*dirt > 0 {
						exitTag = "tpRev"
					} else if math.Abs(zScore) >= 3 {
						exitTag = "slRev"
					}
				} else if posTag == "follow" {
					if position*dirt < 0 && (math.Abs(zScore) > 0.5 || widDelta < 0) {
						exitTag = "slFol"
					} else if position*dirt > 0 && math.Abs(zScore) >= 1 {
						exitTag = "tpFol"
					}
				}
				if exitTag != "" {
					log.Info("close pos", zap.String("date", dateStr), zap.String("tag", exitTag), zap.Float64("dirt", position))
					position = 0
					posTag = ""
					for j := range groups {
						j.CloseOrders(&strat.ExitReq{Tag: exitTag})
					}
				}
			}
		},
	}
}