package llmjob

import (
	"fmt"
	"github.com/banbox/banbot/config"
	"github.com/banbox/banbot/core"
	"github.com/banbox/banbot/strat"
	ta "github.com/banbox/banta"
	"math"
	"sort"
	"sync"
)

/*
需要多品种综合市场信息，品种数不可少于30
此策略有综合市场信息并限制开单数量，回测和实盘开单预期不一致，但开单数量基本符合
openMaxs中的前两个减少会降低收益

待改进：
zone1信号在22年有几次略大回撤
*/

// ZoneTradeState 用于存储每个交易区间的状态信息
type ZoneTradeState struct {
	LastTimes    [3]int64 // 3个买入信号的最后交易时间
	LastSellTime int64    // 最后卖出时间
	atrBase      float64
	score        float64
	upFlag       float64
	volRate      float64
}

func J3782(pol *config.RunPolicyConfig) *strat.TradeStrat {
	// 定义可调超参数
	maPeriod := pol.DefInt("maPeriod", 100, core.PNorm(20, 200))
	baseRetra := pol.Def("baseRetra", 0.08, core.PNorm(0.05, 0.2))
	retraRate := pol.Def("retraRate", 1.8, core.PNorm(1.5, 2.5))
	profitRate := pol.Def("profitRate", 0.03, core.PNorm(0.015, 0.06))
	tradeDelay := pol.Def("tradeDelay", 40, core.PNorm(10, 100))
	slRate := pol.Def("slRate", 63, core.PNorm(5, 35))
	openMaxs := [3]int{2, 8, 13}     // 同一个bar最大同时允许开首单的数量
	holdMaxs := [3]int{25, 35, 50}   // 最大同时持仓数
	buyWeis := [3]float64{1, 1.5, 3} // 不同信号开仓倍率
	maxJobTrades := [3]int{1, 3, 4}  // 单个品种最大开仓数量

	// 计算各回撤比例
	retracement2 := baseRetra
	retracement3 := baseRetra * retraRate
	retracement4 := baseRetra * retraRate * 1.33

	lenAtr := 20
	baseAtrLen := int(math.Round(float64(lenAtr) * 4.3))
	rates := make([]float64, 0, 10)

	allOpens := 0
	openNums := [3]int{0, 0, 0} // 同一个bar开单数量
	holdNums := [3]int{0, 0, 0} // 总计持仓数量
	openUnits := 0.0
	var pairLock sync.Mutex
	addThres, firstRate := 1.0, 1.0
	avgAtrBase := 2.5
	maxAllowUnit := 3.0 // 这里默认为品种数
	rangeVolRate := 1.0 // 全局成交量倍率

	checkMaxPair := func(level int, openNum int) (int, float64) {
		if openNum >= maxJobTrades[level] {
			return -1, 0
		}
		costRate := buyWeis[level]
		pairLock.Lock()
		if openUnits < maxAllowUnit && openNums[level] < openMaxs[level] && holdNums[level] < holdMaxs[level] {
			openNums[level] += 1
			holdNums[level] += 1
			allOpens += 1
			openUnits += costRate
		} else {
			level = -1
		}
		pairLock.Unlock()
		return level, costRate
	}
	return &strat.TradeStrat{
		WarmupNum:     maPeriod,
		BatchInfo:     true,
		BatchInOut:    true,
		RunTimeFrames: []string{"15m"},
		OnStartUp: func(s *strat.StratJob) {
			// 初始化状态信息
			s.More = &ZoneTradeState{
				LastTimes: [3]int64{},
			}
		},
		OnPairInfos: func(s *strat.StratJob) []*strat.PairSub {
			return []*strat.PairSub{
				{"_cur_", "4h", baseAtrLen * 2},
			}
		},
		OnBar: func(s *strat.StratJob) {
			e := s.Env
			state, _ := s.More.(*ZoneTradeState)

			// 计算MA100
			ma100 := ta.SMA(e.Close, maPeriod)
			ma100Val := ma100.Get(0)

			// 计算交易价格水平
			curRate := max(addThres, 1+state.score/10)
			itemRate := max(0.7, min(math.Sqrt(state.atrBase/avgAtrBase), 1.4))
			buyPrice2 := ma100Val * (1 - retracement2*curRate*itemRate*firstRate)
			buyPrice3 := ma100Val * (1 - retracement3*curRate*itemRate)
			buyPrice4 := ma100Val * (1 - retracement4*curRate*itemRate)
			sellPrice := ma100Val * (1 + profitRate)
			gapRange := (buyPrice2 - buyPrice4) / 2

			maVol := ta.EMA(e.Volume, lenAtr)
			volBase := ta.Lowest(ta.Highest(maVol, lenAtr), baseAtrLen).Get(0)
			state.volRate = maVol.Get(0) / volBase

			// 获取当前价格
			lowPrice := e.Low.Get(0)
			highPrice := e.High.Get(0)

			// 检查交易间隔条件
			currentBarTime := e.TimeStop

			lastEnt := max(state.LastTimes[0], state.LastTimes[1], state.LastTimes[2])
			canTrade := e.BarCount(lastEnt) >= 10
			canTrade2 := canTrade && e.BarCount(state.LastTimes[0]) >= tradeDelay
			canTrade3 := canTrade && e.BarCount(state.LastTimes[1]) >= tradeDelay
			canTrade4 := canTrade && e.BarCount(state.LastTimes[2]) >= tradeDelay
			canSell := e.BarCount(state.LastSellTime) >= tradeDelay

			// 获取当前总开仓数量，与原始策略的strategy.opentrades保持一致
			openTrades := len(s.LongOrders) + len(s.ShortOrders)

			buyIdx, costRate := -1, 0.0
			if lowPrice <= buyPrice4 && canTrade4 {
				buyIdx, costRate = checkMaxPair(2, openTrades)
			} else if lowPrice <= buyPrice3 && canTrade3 {
				buyIdx, costRate = checkMaxPair(1, openTrades)
			} else if lowPrice <= buyPrice2 && canTrade2 {
				buyIdx, costRate = checkMaxPair(0, openTrades)
			}
			if buyIdx >= 0 && costRate > 0 {
				callNum := allOpens
				//if buyIdx == 0 {
				//	// 对信号1，累计开单较多时，下移入场价
				//	pairLock.Lock()
				//	callNum = max(callNum, int(math.Round(float64(holdNums[0])*0.5))-3)
				//	pairLock.Unlock()
				//}
				// 同一个bar开单多次，从第三次开始，使用ln(num)下移入场价
				currRate := 1 + max(0, math.Log10(float64(callNum-2)))
				// 用倒抛物线映射成交量倍率，作为入场价距离调整系数
				volRate := 1 + max(0, 0.4-math.Pow(1.4*(rangeVolRate-1.5), 2))
				rangeRate := math.Pow(volRate*currRate, 0.3) - 1
				limitPrice := float64(0)
				if (rangeVolRate > 1.2 || callNum > 2) && rangeRate > 0.01 {
					limitPrice = e.Close.Get(0) - rangeRate*gapRange
				}
				tag := fmt.Sprintf("zone%d", buyIdx+1)
				s.OpenOrder(&strat.EnterReq{
					Tag:      tag,
					CostRate: costRate,
					Limit:    limitPrice,
					Log:      true,
					StopBars: 3,
				})
				state.LastTimes[buyIdx] = currentBarTime
			}

			// 检查卖出条件
			if s.OrderNum > 0 {
				curPrice := e.Close.Get(0)
				slRange := slRate * itemRate * curPrice / 100
				avgPrice := s.PositionAvgPrice(core.OdDirtLong, "")
				if curPrice+slRange <= avgPrice {
					s.CloseOrders(&strat.ExitReq{
						Tag: "StopLoss",
						Log: true,
					})
					state.LastSellTime = currentBarTime
				} else {
					exitPrice := avgPrice*(1+profitRate)*0.4 + sellPrice*0.6
					if openTrades > 0 && highPrice >= exitPrice && canSell {
						s.CloseOrders(&strat.ExitReq{
							Tag: "SellAll",
							Log: true,
						})
						state.LastSellTime = currentBarTime
					}
				}
			}
		},
		OnInfoBar: func(s *strat.StratJob, e *ta.BarEnv, pair, tf string) {
			// 多指标综合计算大周期行情下跌分数
			score := float64(0)
			if ta.RSI(e.Close, 14).Get(0) < 30 {
				score += 1
			}
			roc := ta.ROC(e.Close, 20).Get(0)
			if roc < -20 {
				score += 2
			} else if roc < -10 {
				score += 1
			}
			plusDi, minusDi := ta.PluMinDI(e.High, e.Low, e.Close, 14)
			adx := ta.ADX(e.High, e.Low, e.Close, 14).Get(0)
			if minusDi.Get(0) > plusDi.Get(0) {
				if adx > 40 {
					score += 2
				} else if adx > 25 {
					score += 1
				}
			}
			atr := ta.ATR(e.High, e.Low, e.Close, lenAtr)
			atrBase := ta.Lowest(ta.Highest(atr, lenAtr), baseAtrLen).Get(0)
			rates = append(rates, atrBase/(e.Close.Get(0)*0.01))
			//openRate := 0.006 * closePrice / atrBase
			//if openRate < 1 {
			//	openRate = math.Sqrt(openRate)
			//}
			//openRate = max(0.7, min(1.5, openRate))
			ma7 := ta.SMA(e.Close, 7).Get(0)
			ma20 := ta.SMA(e.Close, 20)
			ma20V := ma20.Get(0)
			ma99 := ta.SMA(e.Close, 99).Get(0)
			if ma99 > ma20V {
				score += 1
			}
			state, _ := s.More.(*ZoneTradeState)
			state.score = score
			state.upFlag = 0
			state.atrBase = atrBase / (e.Close.Get(0) * 0.01)
			if ma20V > ma99 && ma20V > ma20.Get(2) {
				state.upFlag = 1
			} else if ma7 < min(ma20V, ma99) {
				state.upFlag = -1
			}
		},
		OnBatchJobs: func(jobs []*strat.StratJob) {
			pairLock.Lock()
			openUnits = 0
			allOpens = 0
			openNums = [3]int{0, 0, 0}
			holdNums = [3]int{0, 0, 0}
			volRates := make([]float64, 0, len(jobs))
			for _, j := range jobs {
				for _, od := range j.LongOrders {
					if od.EnterTag == "zone1" {
						holdNums[0] += 1
					} else if od.EnterTag == "zone2" {
						holdNums[1] += 1
					} else if od.EnterTag == "zone3" {
						holdNums[2] += 1
					}
				}
				m, _ := j.More.(*ZoneTradeState)
				volRates = append(volRates, m.volRate)
			}
			pairLock.Unlock()
			sort.Float64s(volRates)
			rangeVolRate = max(1, math.Pow(volRates[len(volRates)/2]/2, 0.3))
		},
		OnBatchInfos: func(tf string, jobs map[string]*strat.JobEnv) {
			if len(jobs) < 3 {
				return
			}
			// 多品种综合计算整体市场下行激烈程度
			downNum, downHeavyNum := float64(0), float64(0)
			atrRates := make([]float64, 0, len(jobs))
			for _, j := range jobs {
				state, _ := j.Job.More.(*ZoneTradeState)
				if state.score >= 5 {
					downHeavyNum += 1
				}
				if state.score >= 3 {
					downNum += 1
				}
				atrRates = append(atrRates, state.atrBase)
			}
			jobNum := float64(len(jobs))
			downRate := downNum / jobNum
			downHeavyRate := downHeavyNum / jobNum
			sort.Float64s(atrRates)
			avgAtrBase = atrRates[len(jobs)/2]
			if downHeavyRate >= 0.8 {
				// 极端下跌
				addThres, firstRate = 1.6, 1.2
				maxAllowUnit = jobNum * 0.5
			} else if downRate >= 0.85 && downHeavyRate >= 0.6 {
				// 严重下跌
				addThres, firstRate = 1.45, 1.15
				maxAllowUnit = jobNum * 0.55
			} else if downRate >= 0.7 && downRate <= 0.85 {
				// 市场中度下跌
				addThres, firstRate = 1.3, 1.1
				maxAllowUnit = jobNum * 0.6
			} else if downRate >= 0.5 && downRate <= 0.7 {
				// 轻度下跌
				addThres, firstRate = 1.15, 1.05
				maxAllowUnit = jobNum * 0.7
			} else {
				// 轻度或未下跌
				maxAllowUnit = jobNum
				addThres, firstRate = 1, 1
			}
		},
	}
}