binance-api/src/core/hedging/UnifiedHedgingExecutor.ts

/**
 * 统一对冲执行器
 * 完全基于 ExchangeAdapter 接口，实现原子配对交易和智能回退逻辑
 */

import { ExchangeAdapter, PlaceOrderReq, Order } from '../../exchanges/ExchangeAdapter'
import { PrecisionValidator } from '../../utils/precision'
import { AdapterErrorHandler } from '../../exchanges/AdapterErrorHandler'
import type { AdapterError } from '../../exchanges/AdapterErrorHandler'
import { HedgeRequest, ExecutionResult } from './types'
import { hedgeCalculator } from './hedgeCalculator'
import { EventEmitter } from 'events'

export interface AdapterPair {
  primary: ExchangeAdapter // 主交易所（执行对冲）
  secondary?: ExchangeAdapter // 备用交易所
  primaryId: string // 主交易所标识
  secondaryId?: string // 备用交易所标识
}

export interface ExecutionConfig {
  maxRetries: number // 最大重试次数
  timeoutMs: number // 执行超时时间
  atomicTimeout: number // 原子操作超时时间
  enableRollback: boolean // 启用回滚机制
  slippageTolerance: number // 滑点容忍度
  positionSizeLimit: number // 单次操作仓位大小限制
}

export interface HedgeExecution {
  id: string
  timestamp: number
  request: HedgeRequest
  primaryOrder?: Order
  secondaryOrder?: Order
  status: 'pending' | 'partial' | 'completed' | 'failed' | 'rolled_back'
  error?: AdapterError
  netExposure: number // 净敞口
  executionLatency: number // 执行延迟(ms)
}

export class UnifiedHedgingExecutor extends EventEmitter {
  private executions = new Map<string, HedgeExecution>()
  private netExposureBySymbol = new Map<string, number>()

  constructor(private config: ExecutionConfig) {
    super()
    this.startNetExposureMonitor()
  }

  /**
   * 执行对冲交易
   */
  async execute(request: HedgeRequest, adapters: AdapterPair): Promise<ExecutionResult> {
    const executionId = this.generateExecutionId()
    const startTime = Date.now()

    const execution: HedgeExecution = {
      id: executionId,
      timestamp: startTime,
      request,
      status: 'pending',
      netExposure: 0,
      executionLatency: 0,
    }

    this.executions.set(executionId, execution)
    this.emit('execution_started', execution)

    try {
      // 1. 计算对冲决策
      const decision = hedgeCalculator.decide(request)
      if (!decision.shouldHedge) {
        execution.status = 'completed'
        execution.executionLatency = Date.now() - startTime
        this.emit('execution_completed', execution)
        return { success: true, executedQuantity: 0, executedPrice: 0 }
      }

      // 2. 验证适配器状态
      await this.validateAdapters(adapters)

      // 3. 准备订单参数
      const orderParams = await this.prepareOrders(request, decision, adapters)

      // 4. 执行原子配对交易
      const result = await this.executeAtomicPair(orderParams, adapters, execution)

      execution.executionLatency = Date.now() - startTime
      this.emit('execution_completed', execution)

      return result
    } catch (error) {
      execution.error =
        error instanceof AdapterError ? error : AdapterErrorHandler.handleError('unified_executor', error, 'execute')
      execution.status = 'failed'
      execution.executionLatency = Date.now() - startTime

      this.emit('execution_failed', execution)

      // 尝试回滚
      if (this.config.enableRollback) {
        await this.attemptRollback(execution, adapters)
      }

      throw execution.error
    } finally {
      // 更新净敞口
      this.updateNetExposure(request.symbol, execution)
    }
  }

  /**
   * 准备订单参数
   */
  private async prepareOrders(request: HedgeRequest, decision: any, adapters: AdapterPair) {
    const side = decision.hedgeQuantity > 0 ? 'BUY' : 'SELL'
    const absQuantity = Math.abs(decision.hedgeQuantity)

    // 获取市场深度用于价格发现
    const primaryDepth = await adapters.primary.depth(request.symbol, 20)
    const bestPrice = side === 'BUY' ? primaryDepth.asks[0]?.price : primaryDepth.bids[0]?.price

    if (!bestPrice) {
      throw new Error(`无法获取 ${request.symbol} 的有效价格`)
    }

    // 精度验证和调整
    const adjustedParams = PrecisionValidator.adjustOrderParams(
      adapters.primaryId,
      request.symbol,
      bestPrice,
      absQuantity,
    )

    if (!adjustedParams.valid) {
      throw new Error(`订单参数校验失败: ${adjustedParams.warnings.join(', ')}`)
    }

    // 检查仓位大小限制
    const orderNotional = Number(adjustedParams.price) * Number(adjustedParams.quantity)
    if (orderNotional > this.config.positionSizeLimit) {
      throw new Error(`订单金额 ${orderNotional} 超过限制 ${this.config.positionSizeLimit}`)
    }

    return {
      symbol: request.symbol,
      side: side as 'BUY' | 'SELL',
      type: decision.method === 'spot' ? ('MARKET' as const) : ('LIMIT' as const),
      quantity: adjustedParams.quantity,
      price: adjustedParams.price,
      clientOrderId: `hedge_${Date.now()}_${Math.random().toString(36).substr(2, 9)}`,
    }
  }

  /**
   * 执行原子配对交易
   */
  private async executeAtomicPair(
    orderParams: PlaceOrderReq,
    adapters: AdapterPair,
    execution: HedgeExecution,
  ): Promise<ExecutionResult> {
    const promises: Promise<Order>[] = []

    // 主交易所下单
    promises.push(adapters.primary.placeOrder(orderParams))

    // 如果有备用交易所，同时下单
    if (adapters.secondary) {
      promises.push(adapters.secondary.placeOrder(orderParams))
    }

    try {
      // 等待所有订单完成或超时
      const orders = await Promise.race([
        Promise.all(promises),
        new Promise<never>((_, reject) =>
          setTimeout(() => reject(new Error('原子操作超时')), this.config.atomicTimeout),
        ),
      ])

      execution.primaryOrder = orders[0]
      if (orders[1]) execution.secondaryOrder = orders[1]

      // 验证执行结果
      const success = orders.every(
        order => order.status === 'NEW' || order.status === 'FILLED' || order.status === 'PARTIALLY_FILLED',
      )

      if (!success) {
        throw new Error('部分订单失败')
      }

      execution.status = 'completed'

      return {
        success: true,
        orderId: execution.primaryOrder.id,
        executedQuantity: Number(execution.primaryOrder.origQty),
        executedPrice: Number(execution.primaryOrder.price || 0),
      }
    } catch (error) {
      // 如果部分订单成功，标记为部分成功并尝试回滚
      execution.status = 'partial'
      throw error
    }
  }

  /**
   * 尝试回滚已执行的订单
   */
  private async attemptRollback(execution: HedgeExecution, adapters: AdapterPair): Promise<void> {
    const rollbackPromises: Promise<void>[] = []

    try {
      if (execution.primaryOrder) {
        rollbackPromises.push(adapters.primary.cancelOrder(execution.request.symbol, execution.primaryOrder.id))
      }

      if (execution.secondaryOrder && adapters.secondary) {
        rollbackPromises.push(adapters.secondary.cancelOrder(execution.request.symbol, execution.secondaryOrder.id))
      }

      await Promise.allSettled(rollbackPromises)
      execution.status = 'rolled_back'

      this.emit('execution_rolled_back', execution)
      console.info(`🔄 对冲执行 ${execution.id} 已回滚`)
    } catch (rollbackError) {
      console.error(`❌ 回滚失败 ${execution.id}:`, rollbackError)
      this.emit('rollback_failed', { execution, error: rollbackError })
    }
  }

  /**
   * 验证适配器状态
   */
  private async validateAdapters(adapters: AdapterPair): Promise<void> {
    const validationPromises = [this.validateAdapter(adapters.primary, adapters.primaryId)]

    if (adapters.secondary) {
      validationPromises.push(this.validateAdapter(adapters.secondary, adapters.secondaryId!))
    }

    await Promise.all(validationPromises)
  }

  /**
   * 验证单个适配器
   */
  private async validateAdapter(adapter: ExchangeAdapter, adapterId: string): Promise<void> {
    try {
      const time = await adapter.time()
      if (!time || Math.abs(Date.now() - time) > 10000) {
        throw new Error(`${adapterId} 时间同步失败`)
      }
    } catch (error) {
      throw new Error(`${adapterId} 适配器验证失败: ${error.message}`)
    }
  }

  /**
   * 更新净敞口
   */
  private updateNetExposure(symbol: string, execution: HedgeExecution): void {
    const current = this.netExposureBySymbol.get(symbol) || 0

    if (execution.status === 'completed' && execution.primaryOrder) {
      const orderQty = Number(execution.primaryOrder.origQty)
      const delta = execution.primaryOrder.side === 'BUY' ? orderQty : -orderQty

      execution.netExposure = delta
      this.netExposureBySymbol.set(symbol, current + delta)

      this.emit('net_exposure_updated', { symbol, previous: current, current: current + delta })
    }
  }

  /**
   * 启动净敞口监控
   */
  private startNetExposureMonitor(): void {
    setInterval(() => {
      for (const [symbol, exposure] of this.netExposureBySymbol.entries()) {
        if (Math.abs(exposure) > 0.01) {
          // 净敞口阈值
          this.emit('net_exposure_warning', { symbol, exposure })
        }
      }
    }, 30000) // 每30秒检查一次
  }

  /**
   * 强制净零操作
   */
  async forceNetZero(symbol: string, adapters: AdapterPair): Promise<void> {
    const netExposure = this.netExposureBySymbol.get(symbol) || 0

    if (Math.abs(netExposure) < 0.001) return // 已经足够接近零

    console.info(`🎯 强制净零操作: ${symbol}, 当前敞口: ${netExposure}`)

    // 创建相反方向的订单来中和敞口
    const side = netExposure > 0 ? 'SELL' : 'BUY'
    const quantity = Math.abs(netExposure)

    const orderParams: PlaceOrderReq = {
      symbol,
      side,
      type: 'MARKET',
      quantity: String(quantity),
      clientOrderId: `zero_${Date.now()}`,
    }

    try {
      await adapters.primary.placeOrder(orderParams)
      this.netExposureBySymbol.set(symbol, 0)
      this.emit('net_zero_completed', { symbol, previousExposure: netExposure })
    } catch (error) {
      this.emit('net_zero_failed', { symbol, exposure: netExposure, error })
      throw error
    }
  }

  /**
   * 获取执行统计
   */
  getExecutionStats(): {
    totalExecutions: number
    successRate: number
    averageLatency: number
    netExposures: Map<string, number>
  } {
    const executions = Array.from(this.executions.values())
    const completed = executions.filter(e => e.status === 'completed')

    return {
      totalExecutions: executions.length,
      successRate: completed.length / executions.length,
      averageLatency: completed.reduce((sum, e) => sum + e.executionLatency, 0) / completed.length,
      netExposures: new Map(this.netExposureBySymbol),
    }
  }

  /**
   * 清理过期执行记录
   */
  cleanup(maxAgeMs = 24 * 60 * 60 * 1000): void {
    const cutoff = Date.now() - maxAgeMs

    for (const [id, execution] of this.executions.entries()) {
      if (execution.timestamp < cutoff) {
        this.executions.delete(id)
      }
    }
  }

  private generateExecutionId(): string {
    return `hedge_${Date.now()}_${Math.random().toString(36).substr(2, 9)}`
  }
}