// @ts-nocheck
import fs from 'node:fs'
import readline from 'node:readline'

type Bar = { ts:number; o:number; h:number; l:number; c:number; v?:number }
type Trade = { gross:number; net:number; month:string; year:number; side:'long'|'short'; bar:number; sizingBps:number; softSlBps:number; isStructL2:boolean; isFallback:boolean; isSl:boolean; isHardSl:boolean; hour:number; dow:number; reason?:string; wouldRecover?:boolean; mfeAfterStopBps?:number; barsToRecover?:number }
type WideCfg = { label:string; softMode:'current'|'none'; hardExtraBps:number; riskExtraBps:number; riskScale?:number }

async function loadBars(files:string[]):Promise<Bar[]>{ const seen=new Set<number>(), all:Bar[]=[]; for(const f of files){ if(!fs.existsSync(f))continue; const rl=readline.createInterface({input:fs.createReadStream(f),crlfDelay:Infinity}); for await(const line of rl){ if(!line.trim())continue; const b=JSON.parse(line); if(!seen.has(b.ts)){seen.add(b.ts); all.push(b)} } } all.sort((a,b)=>a.ts-b.ts); return all }
function lbRet(bars:Bar[],i:number,n:number){return i>=n&&bars[i-n].c>0?(bars[i].c-bars[i-n].c)/bars[i-n].c*10000:0}
function closePos(b:Bar){return b.h>b.l?(b.c-b.l)/(b.h-b.l):0.5}
function avgCP(bars:Bar[],i:number,n:number){let s=0; for(let j=Math.max(0,i-n+1);j<=i;j++)s+=closePos(bars[j]); return s/Math.min(n,i+1)}
function rsi(bars:Bar[],i:number,n:number){if(i<n)return 50; let u=0,d=0; for(let j=i-n+1;j<=i;j++){const x=bars[j].c-bars[j-1].c; if(x>0)u+=x; else d-=x} return d===0?100:100-100/(1+u/d)}
function computeScore(bars:Bar[],i:number){const d=new Date(bars[i].ts),h=d.getUTCHours(),m=d.getUTCMinutes(),dow=d.getUTCDay(); let w=0,hW=0,tW=0; const add=(dir:number,wt:number,hold:number)=>{w+=dir*wt; hW+=hold*wt; tW+=wt}; if(dow===4)add(-1,20,240); if(dow===3)add(1,19.05,240); if(dow===0)add(1,15.05,240); if(dow===1)add(1,10.61,240); if(dow===5)add(-1,6,240); if(h===22)add(1,2.86,120); if(h===21)add(1,17.9,120); if(h===20)add(1,9.49,60); if(h===23)add(-1,8.94,30); if(i>=60){const bp=avgCP(bars,i,60); if(bp>0.58)add(1,15.49,240); if(bp<0.42)add(-1,8,240)} if(i>=60&&(h===13||(h===14&&m<=15))&&m<=15){const gap=lbRet(bars,i,60); if(Math.abs(gap)>5)add(gap>0?-1:1,15,120)} if(i>=60){const rv=rsi(bars,i,60); if(rv<30)add(1,4.63,120)} if(i>=1440){const dy=lbRet(bars,i,1440); if(Math.abs(dy)>30)add(dy>0?-1:1,5,240)} return {score:w, hold:tW>0?Math.max(60,Math.min(240,Math.round(hW/tW))):120} }
const SWING_N=5, SWING_LOOKBACK=480
function compositeLiquidityLevel(bars:Bar[],i:number,dir:1|-1,refPrice?:number){const N=i+1,price=refPrice??bars[i].c,candidates:number[]=[]; candidates.push(dir>0?Math.floor(price/1000)*1000:Math.ceil(price/1000)*1000,dir>0?Math.floor(price/500)*500:Math.ceil(price/500)*500,dir>0?Math.floor(price/250)*250:Math.ceil(price/250)*250); let bestSwing:number|null=null,bestDist=Infinity; const scanEnd=N-SWING_N-1, scanStart=Math.max(SWING_N,N-SWING_LOOKBACK-SWING_N); for(let j=scanEnd;j>=scanStart;j--){let ok=true; for(let k=1;k<=SWING_N&&ok;k++){ if(dir>0){ if((bars[j-k]?.l??Infinity)<=bars[j].l)ok=false; if((bars[j+k]?.l??Infinity)<=bars[j].l)ok=false } else { if((bars[j-k]?.h??0)>=bars[j].h)ok=false; if((bars[j+k]?.h??0)>=bars[j].h)ok=false }} if(!ok)continue; const lvl=dir>0?bars[j].l:bars[j].h; if(dir>0?lvl>=price:lvl<=price)continue; const dist=Math.abs(price-lvl); if(dist<bestDist){bestDist=dist; bestSwing=lvl}} if(bestSwing!==null)candidates.push(bestSwing); const d=new Date(bars[N-1].ts); d.setUTCHours(0,0,0,0); const today=d.getTime(); let pdH=0,pdL=Infinity; for(let j=N-1;j>=0;j--){if(bars[j].ts>=today)continue; if(bars[j].ts<today-86400000)break; if(bars[j].h>pdH)pdH=bars[j].h; if(bars[j].l<pdL)pdL=bars[j].l} if(dir>0&&pdL<price&&pdL>0)candidates.push(pdL); if(dir<0&&pdH>price&&pdH>0)candidates.push(pdH); const volMap=new Map<number,number>(); for(let j=N-1;j>=0&&bars[j].ts>=today;j--){const bucket=Math.round(bars[j].c/50)*50; volMap.set(bucket,(volMap.get(bucket)??0)+(bars[j].v??0))} let maxV=0,poc=0; volMap.forEach((v,p)=>{if(v>maxV){maxV=v;poc=p}}); if(poc>0&&(dir>0?poc<price:poc>price))candidates.push(poc); const valid=candidates.filter(l=>dir>0?l<=price:l>=price); if(valid.length===0)return dir>0?Math.floor(price/250)*250:Math.ceil(price/250)*250; return valid.reduce((b,c)=>Math.abs(price-c)<Math.abs(price-b)?c:b)}
function stopLiquidityLevel(bars:Bar[],i:number,dir:1|-1,refPrice:number){const N=i+1,price=refPrice; const c=[dir>0?Math.floor(price/1000)*1000:Math.ceil(price/1000)*1000,dir>0?Math.floor(price/500)*500:Math.ceil(price/500)*500,dir>0?Math.floor(price/250)*250:Math.ceil(price/250)*250]; const d=new Date(bars[N-1].ts); d.setUTCHours(0,0,0,0); const today=d.getTime(); let pdH=0,pdL=Infinity; for(let j=N-1;j>=0;j--){if(bars[j].ts>=today)continue; if(bars[j].ts<today-86400000)break; if(bars[j].h>pdH)pdH=bars[j].h; if(bars[j].l<pdL)pdL=bars[j].l} if(dir>0&&pdL<price&&pdL>0)c.push(pdL); if(dir<0&&pdH>price&&pdH>0)c.push(pdH); const v=c.filter(l=>dir>0?l<=price:l>=price); if(v.length===0)return dir>0?Math.floor(price/250)*250:Math.ceil(price/250)*250; return v.reduce((b,x)=>Math.abs(price-x)<Math.abs(price-b)?x:b)}
function stats(v:number[]){const n=v.length;if(n<3)return{n,mean:0,sd:0,t:0,wr:0};const mean=v.reduce((a,b)=>a+b,0)/n;const sd=Math.sqrt(v.reduce((s,x)=>s+(x-mean)**2,0)/(n-1));return{n,mean,sd,t:sd>0?mean/(sd/Math.sqrt(n)):0,wr:v.filter(x=>x>0).length/n}}
function sig(t:number){const a=Math.abs(t);return a>3.89?'****':a>3.29?'***':a>2.58?'**':a>1.96?'*':''}
function monthly(tr:Trade[],fixed=1500){const m:Record<string,number>={};for(const t of tr)m[t.month]=(m[t.month]??0)+fixed*t.net/10000;return m}
function actualMonthly(tr:Trade[],acct=10000,risk=0.03){const m:Record<string,number>={};for(const t of tr){const notional=acct*risk*(t.riskScale??1)/(t.sizingBps/10000);m[t.month]=(m[t.month]??0)+notional*t.net/10000}return m}
function ir(vals:number[]){if(vals.length<3)return 0;const s=stats(vals);return s.sd>0?s.mean/s.sd:0}
function moIR(tr:Trade[]){return ir(Object.values(monthly(tr)))}
function actualIR(tr:Trade[]){return ir(Object.values(actualMonthly(tr)))}
function maxDD(tr:Trade[],risk=0.03){let eq=500,pk=500,dd=0;for(const t of tr){eq+=eq*risk*(t.riskScale??1)/(t.sizingBps/10000)*t.net/10000;if(eq>pk)pk=eq;dd=Math.max(dd,(pk-eq)/pk)}return dd}
function pairedMaps(a:Record<string,number>,b:Record<string,number>){const months=[...new Set([...Object.keys(a),...Object.keys(b)])].sort();const diffs=months.map(m=>(b[m]??0)-(a[m]??0));const s=stats(diffs);return{n:diffs.length,imp:diffs.filter(x=>x>0).length,mean:s.mean,t:s.t,total:diffs.reduce((x,y)=>x+y,0)}}
function metric(label:string,tr:Trade[]){const s=stats(tr.map(t=>t.net)),mp=Object.values(monthly(tr));const sl=tr.filter(t=>t.isSl),hard=tr.filter(t=>t.isHardSl);return{label,n:s.n,mean:s.mean,t:s.t,wr:s.wr,moIR:moIR(tr),actIR:actualIR(tr),maxDD:maxDD(tr),mp:mp.filter(x=>x>0).length,mt:mp.length,slRate:tr.length?sl.length/tr.length:0,hardRate:sl.length?hard.length/sl.length:0}}
function reasonCounts(tr:Trade[]){const m=new Map<string,number>();for(const t of tr)m.set(t.reason??'',(m.get(t.reason??'')??0)+1);return[...m.entries()].sort((a,b)=>b[1]-a[1]).map(([k,v])=>`${k}:${v}`).join(' ')}
function withFee(tr:Trade[],fee:number){return tr.map(t=>({...t,net:t.gross-fee}))}
function fmt(m:ReturnType<typeof metric>,ref?:Trade[],tr?:Trade[]){let p=''; if(ref&&tr){const pa=pairedMaps(actualMonthly(ref),actualMonthly(tr));p=` actualΔ=$${pa.mean.toFixed(0)}(${pa.imp}/${pa.n},t=${pa.t.toFixed(2)}) total=$${Object.values(actualMonthly(tr)).reduce((a,b)=>a+b,0).toFixed(0)}`} return `${m.label.padEnd(18)} n=${String(m.n).padStart(4)} mean=${m.mean.toFixed(2).padStart(6)} t=${m.t.toFixed(2)}${sig(m.t).padEnd(4)} WR=${(m.wr*100).toFixed(1)}% moIR=${m.moIR.toFixed(2)} actIR=${m.actIR.toFixed(2)} maxDD=${(m.maxDD*100).toFixed(1)}% m+=${m.mp}/${m.mt} SL=${(m.slRate*100).toFixed(1)}% hard=${(m.hardRate*100).toFixed(1)}%${p}`}
function recoveryStats(tr:Trade[]){const stops=tr.filter(t=>t.isSl);const rec=stops.filter(t=>t.wouldRecover);return`stops=${stops.length} recover=${rec.length} (${stops.length?(rec.length/stops.length*100).toFixed(1):'0'}%) avgMFE=${(stats(stops.map(t=>t.mfeAfterStopBps??0)).mean).toFixed(1)} barsToRec=${(stats(rec.map(t=>t.barsToRecover??0)).mean).toFixed(1)}`}

type PartCfg = { label:string; softFrac:number }

function simulatePartial(bars:Bar[], cfg:PartCfg):Trade[]{
  const trades:Trade[]=[], stopCounts=new Map<string,number>()
  let cooldown=0
  const EXT=8,WAIT=30,MIN_H=60,MAX_H=240,CAP=420,CONFIRM=4,SL_CD=30,N=bars.length
  for(let i=20160;i<N-WAIT;i++){
    if(i<cooldown)continue
    const {score,hold}=computeScore(bars,i); if(score===0)continue
    const dir:1|-1=score>0?1:-1, side=dir>0?'long':'short', thresh=dir>0?16:8
    if(Math.abs(score)<thresh)continue
    let confirmed=true; for(let k=1;k<CONFIRM;k++){const sk=computeScore(bars,i-k).score; if(sk*dir<thresh){confirmed=false;break}}
    if(!confirmed)continue
    if(dir*lbRet(bars,i,4320)<-600)continue
    if(dir*lbRet(bars,i,10080)<-700)continue
    if(dir*lbRet(bars,i,20160)<-800)continue
    const day=new Date(bars[i].ts).toISOString().slice(0,10), ck=`${day}_${side}`
    if((stopCounts.get(ck)??0)>=2)continue

    const target=compositeLiquidityLevel(bars,i,dir)
    const distBps=Math.abs(bars[i].c-target)/bars[i].c*10000
    let entryPx=bars[i].c, entryBar=i, filled=distBps<=10
    if(!filled){for(let j=i+1;j<=Math.min(N-1,i+WAIT);j++){const hit=dir>0?bars[j].l<=target:bars[j].h>=target; if(hit){filled=true;entryBar=j;entryPx=target;break}}}
    if(!filled)continue

    const slRef=dir>0?target-0.01:target+0.01
    const slL2=stopLiquidityLevel(bars,i,dir,slRef)
    const slBps=Math.abs(target-slL2)/target*10000
    const isStruct=slBps>=15&&slBps<=200
    const softSlBps=isStruct?slBps:100
    const slPx=isStruct?slL2:(dir>0?target*0.99:target*1.01)
    const l3ref=dir>0?slPx-0.01:slPx+0.01
    const slL3=stopLiquidityLevel(bars,i,dir,l3ref)
    const l3Gap=Math.max(10,Math.min(100,Math.abs(slPx-slL3)/slPx*10000))
    const hardSlBps=isStruct?softSlBps+l3Gap+8:133
    const hardSlPx=isStruct?(dir>0?slPx*(1-l3Gap/10000):slPx*(1+l3Gap/10000)):(dir>0?target*(1-1.25/100):target*(1+1.25/100))
    const sizingBps=isStruct?softSlBps+l3Gap:125

    const hardCap=i+CAP
    let deadline=i+Math.max(MIN_H,Math.min(MAX_H,hold))
    let exitBar=-1, isSl=false, isHardSl=false, reason='time', gross=0
    let partial=false, partialBar=-1
    let remFrac=1
    const f=Math.max(0,Math.min(1,cfg.softFrac))

    for(let j=entryBar+1;j<Math.min(N,hardCap+1);j++){
      const hardTouched=dir>0?bars[j].l<=hardSlPx:bars[j].h>=hardSlPx
      const softClosed=dir>0?bars[j].c<=slPx:bars[j].c>=slPx
      if(hardTouched){
        exitBar=j; isSl=true; isHardSl=true
        reason=partial?'partial_hard_sl':'hard_sl'
        gross=(partial ? f*(-softSlBps) : 0) + remFrac*(-hardSlBps)
        break
      }
      if(!partial && softClosed){
        partial=true; partialBar=j
        if(f>=0.999){ exitBar=j; isSl=true; reason='soft_sl'; gross=-softSlBps; break }
        remFrac=1-f
        // Continue managing the remainder. The partial L2 take-down reduces risk
        // without betting the whole position on a reclaim.
      }
      if(j>=i+MIN_H){const es=computeScore(bars,j); if(es.score*dir>=EXT){const proposed=Math.min(j+Math.max(MIN_H,Math.min(MAX_H,es.hold)),hardCap); if(proposed>deadline)deadline=proposed}}
      if(j>=deadline){exitBar=j; reason=partial?'partial_time':'time'; const final=dir*(bars[j].c-entryPx)/entryPx*10000; gross=(partial?f*(-softSlBps):0)+remFrac*final; break}
    }
    if(exitBar<0){exitBar=Math.min(N-2,hardCap); reason=partial?'partial_cap':'cap'; const final=dir*(bars[exitBar].c-entryPx)/entryPx*10000; gross=(partial?f*(-softSlBps):0)+remFrac*final}

    let mfeAfterStopBps=0,wouldRecover=false,barsToRecover=0
    if(partial||isSl){const end=Math.min(N-1,(partialBar>0?partialBar:exitBar)+240);for(let j=(partialBar>0?partialBar:exitBar)+1;j<=end;j++){const favorable=dir>0?bars[j].h:bars[j].l;const favBps=dir*(favorable-entryPx)/entryPx*10000;if(favBps>mfeAfterStopBps)mfeAfterStopBps=favBps;if(!wouldRecover&&favBps>=0){wouldRecover=true;barsToRecover=j-(partialBar>0?partialBar:exitBar)}}}
    const dt=new Date(bars[i].ts)
    trades.push({gross,net:gross,reason,isSl:isSl||partial,isHardSl,wouldRecover,mfeAfterStopBps,barsToRecover,month:dt.toISOString().slice(0,7),year:dt.getUTCFullYear(),side,bar:i,softSlBps,sizingBps,isStructL2:isStruct,isFallback:!isStruct,hour:dt.getUTCHours(),dow:dt.getUTCDay()})
    if(isSl||partial)stopCounts.set(ck,(stopCounts.get(ck)??0)+1)
    cooldown=exitBar+((isSl||partial)?SL_CD:5)
  }
  return trades
}

;(async()=>{
  console.log('Loading bars...')
  const bars=await loadBars(['data/klines/BTCUSDT-1m-2022-2025.jsonl','data/klines/BTCUSDT-1m-2022-2025b.jsonl','data/klines/BTCUSDT-1m.jsonl'])
  console.log(`${bars.length.toLocaleString()} bars`)
  const cfgs:PartCfg[]=[
    {label:'current/full L2',softFrac:1},
    {label:'partial25',softFrac:0.25},
    {label:'partial33',softFrac:0.33},
    {label:'partial50',softFrac:0.50},
    {label:'partial67',softFrac:0.67},
    {label:'partial75',softFrac:0.75},
  ]
  const sims=cfgs.map(cfg=>({cfg,trades:simulatePartial(bars,cfg)}))
  for(const fee of [0,4]){
    console.log(`\n================ PARTIAL L2 DE-RISK feeRT=${fee} ================`)
    const ref=withFee(sims[0].trades,fee)
    for(const sim of sims){
      const tr=withFee(sim.trades,fee)
      console.log(fmt(metric(sim.cfg.label,tr),sim.cfg.label==='current/full L2'?undefined:ref,sim.cfg.label==='current/full L2'?undefined:tr))
      console.log('  '+reasonCounts(tr)+' | '+recoveryStats(tr))
    }
  }
})().catch(e=>{console.error(e);process.exit(1)})