binance-api/archived/components/basisManager.ts

import { EventEmitter } from 'events'
import { logger } from '../../utils/logger.js'

/**
 * 基差管理器 - 监控和管理现货与期货之间的基差风险
 */
export class BasisManager extends EventEmitter {
  private basisHistory: Map<string, BasisDataPoint[]> = new Map()
  private alertConfig: BasisAlertConfig
  private isMonitoring: boolean = false
  private monitoringInterval?: NodeJS.Timeout

  constructor(alertConfig?: Partial<BasisAlertConfig>) {
    super()
    this.alertConfig = {
      maxBasisDeviation: alertConfig?.maxBasisDeviation || 200, // $200 基差预警阈值
      basisVolatilityThreshold: alertConfig?.basisVolatilityThreshold || 0.05, // 5% 波动阈值
      historyRetentionHours: alertConfig?.historyRetentionHours || 24, // 保留24小时历史
      monitoringIntervalMs: alertConfig?.monitoringIntervalMs || 5000, // 5秒监控间隔
      enabledSymbols: alertConfig?.enabledSymbols || ['BTC-USD', 'ETH-USD'],
    }
  }

  /**
   * 更新基差数据
   */
  updateBasis(symbol: string, spotPrice: number, futuresPrice: number, timestamp?: number): BasisSnapshot {
    const now = timestamp || Date.now()
    const basis = futuresPrice - spotPrice
    const basisPercent = (basis / spotPrice) * 100

    const snapshot: BasisSnapshot = {
      symbol,
      spotPrice,
      futuresPrice,
      basis,
      basisPercent,
      timestamp: now,
    }

    // 更新历史数据
    this.updateBasisHistory(symbol, snapshot)

    // 计算基差统计
    const stats = this.calculateBasisStats(symbol)

    // 检查风险预警
    const riskLevel = this.assessBasisRisk(symbol, snapshot, stats)

    // 发出事件
    this.emit('basisUpdate', { snapshot, stats, riskLevel })

    if (riskLevel !== 'normal') {
      this.emit('basisAlert', {
        symbol,
        riskLevel,
        snapshot,
        stats,
        message: this.generateAlertMessage(symbol, riskLevel, snapshot, stats),
      })

      logger.warn('基差风险预警', {
        symbol,
        basis,
        basisPercent: basisPercent.toFixed(4),
        riskLevel,
        spotPrice,
        futuresPrice,
      })
    }

    return snapshot
  }

  /**
   * 批量更新多个交易对的基差
   */
  updateMultipleBasis(updates: Array<{ symbol: string; spotPrice: number; futuresPrice: number }>): BasisSnapshot[] {
    return updates.map(update => this.updateBasis(update.symbol, update.spotPrice, update.futuresPrice))
  }

  /**
   * 获取基差快照
   */
  getBasisSnapshot(symbol: string): BasisSnapshot | null {
    const history = this.basisHistory.get(symbol)
    if (!history || history.length === 0) return null

    const latest = history[history.length - 1]
    return {
      symbol,
      spotPrice: latest.spotPrice,
      futuresPrice: latest.futuresPrice,
      basis: latest.basis,
      basisPercent: latest.basisPercent,
      timestamp: latest.timestamp,
    }
  }

  /**
   * 获取基差统计信息
   */
  getBasisStats(symbol: string): BasisStats | null {
    return this.calculateBasisStats(symbol)
  }

  /**
   * 评估基差风险等级
   */
  assessBasisRisk(symbol: string, snapshot: BasisSnapshot, stats?: BasisStats): BasisRiskLevel {
    const currentStats = stats || this.calculateBasisStats(symbol)
    if (!currentStats) return 'normal'

    const { basis, basisPercent } = snapshot
    const { mean, standardDeviation, volatility } = currentStats

    // 检查绝对基差是否超过阈值
    if (Math.abs(basis) > this.alertConfig.maxBasisDeviation) {
      return 'high'
    }

    // 检查基差是否偏离历史均值过多（2个标准差）
    const deviationFromMean = Math.abs(basis - mean)
    if (deviationFromMean > 2 * standardDeviation) {
      return 'medium'
    }

    // 检查基差波动率是否过高
    if (volatility > this.alertConfig.basisVolatilityThreshold) {
      return 'medium'
    }

    return 'normal'
  }

  /**
   * 计算基差调整建议
   */
  calculateAdjustmentSuggestion(symbol: string, targetNetExposure: number = 0): BasisAdjustmentSuggestion | null {
    const snapshot = this.getBasisSnapshot(symbol)
    const stats = this.getBasisStats(symbol)

    if (!snapshot || !stats) return null

    // 根据基差趋势和风险等级计算调整建议
    const riskLevel = this.assessBasisRisk(symbol, snapshot, stats)
    const { basis, basisPercent } = snapshot
    const { trend, volatility } = stats

    let suggestion: BasisAdjustmentSuggestion = {
      symbol,
      adjustmentType: 'none',
      suggestedAction: 'hold',
      confidence: 0.5,
      reasoning: '基差风险正常',
      urgency: 'low',
    }

    if (riskLevel === 'high') {
      if (basis > 0 && trend === 'widening') {
        // 正基差扩大，建议减少期货多头或增加现货多头
        suggestion = {
          symbol,
          adjustmentType: 'reduce_futures_long',
          suggestedAction: 'reduce_position',
          confidence: 0.8,
          reasoning: `正基差过大(${basis.toFixed(2)})且趋于扩大，建议减少期货多头敞口`,
          urgency: 'high',
          targetAdjustmentPercent: Math.min(0.3, Math.abs(basisPercent) / 100), // 最多调整30%
        }
      } else if (basis < 0 && trend === 'widening') {
        // 负基差扩大，建议减少期货空头或增加现货空头
        suggestion = {
          symbol,
          adjustmentType: 'reduce_futures_short',
          suggestedAction: 'reduce_position',
          confidence: 0.8,
          reasoning: `负基差过大(${basis.toFixed(2)})且趋于扩大，建议减少期货空头敞口`,
          urgency: 'high',
          targetAdjustmentPercent: Math.min(0.3, Math.abs(basisPercent) / 100),
        }
      }
    } else if (riskLevel === 'medium') {
      suggestion = {
        symbol,
        adjustmentType: 'monitor_closely',
        suggestedAction: 'monitor',
        confidence: 0.6,
        reasoning: `基差风险中等，波动率${(volatility * 100).toFixed(2)}%，建议密切监控`,
        urgency: 'medium',
      }
    }

    return suggestion
  }

  /**
   * 开始监控基差
   */
  startMonitoring(): void {
    if (this.isMonitoring) return

    this.isMonitoring = true

    this.monitoringInterval = setInterval(() => {
      this.performRoutineChecks()
    }, this.alertConfig.monitoringIntervalMs)

    logger.info('基差监控已启动', {
      interval: this.alertConfig.monitoringIntervalMs,
      symbols: this.alertConfig.enabledSymbols,
    })

    this.emit('monitoringStarted')
  }

  /**
   * 停止监控基差
   */
  stopMonitoring(): void {
    if (!this.isMonitoring) return

    this.isMonitoring = false

    if (this.monitoringInterval) {
      clearInterval(this.monitoringInterval)
      this.monitoringInterval = undefined
    }

    logger.info('基差监控已停止')
    this.emit('monitoringStopped')
  }

  /**
   * 执行例行检查
   */
  private performRoutineChecks(): void {
    for (const symbol of this.alertConfig.enabledSymbols) {
      const snapshot = this.getBasisSnapshot(symbol)
      if (!snapshot) continue

      const stats = this.getBasisStats(symbol)
      if (!stats) continue

      const riskLevel = this.assessBasisRisk(symbol, snapshot, stats)

      if (riskLevel !== 'normal') {
        const suggestion = this.calculateAdjustmentSuggestion(symbol)

        this.emit('routineAlert', {
          symbol,
          riskLevel,
          snapshot,
          stats,
          suggestion,
        })
      }
    }

    // 清理过期数据
    this.cleanupOldData()
  }

  /**
   * 更新基差历史数据
   */
  private updateBasisHistory(symbol: string, snapshot: BasisSnapshot): void {
    if (!this.basisHistory.has(symbol)) {
      this.basisHistory.set(symbol, [])
    }

    const history = this.basisHistory.get(symbol)!

    const dataPoint: BasisDataPoint = {
      spotPrice: snapshot.spotPrice,
      futuresPrice: snapshot.futuresPrice,
      basis: snapshot.basis,
      basisPercent: snapshot.basisPercent,
      timestamp: snapshot.timestamp,
    }

    history.push(dataPoint)

    // 限制历史数据长度
    const maxPoints = (this.alertConfig.historyRetentionHours * 3600 * 1000) / this.alertConfig.monitoringIntervalMs
    if (history.length > maxPoints) {
      history.splice(0, history.length - maxPoints)
    }
  }

  /**
   * 计算基差统计信息
   */
  private calculateBasisStats(symbol: string): BasisStats | null {
    const history = this.basisHistory.get(symbol)
    if (!history || history.length < 2) return null

    const basisValues = history.map(h => h.basis)
    const recentValues = history.slice(-10).map(h => h.basis) // 最近10个点

    // 计算均值
    const mean = basisValues.reduce((sum, val) => sum + val, 0) / basisValues.length

    // 计算标准差
    const variance = basisValues.reduce((sum, val) => sum + Math.pow(val - mean, 2), 0) / basisValues.length
    const standardDeviation = Math.sqrt(variance)

    // 计算波动率（基于最近数据）
    let volatility = 0
    if (recentValues.length >= 2) {
      const returns = []
      for (let i = 1; i < recentValues.length; i++) {
        const previousValue = recentValues[i - 1]
        if (previousValue !== 0) {
          returns.push((recentValues[i] - previousValue) / Math.abs(previousValue))
        }
      }

      if (returns.length > 0) {
        const meanReturn = returns.reduce((sum, ret) => sum + ret, 0) / returns.length
        const returnVariance = returns.reduce((sum, ret) => sum + Math.pow(ret - meanReturn, 2), 0) / returns.length
        volatility = Math.sqrt(returnVariance)
      }
    }

    // 判断趋势
    let trend: 'widening' | 'narrowing' | 'stable' = 'stable'
    if (recentValues.length >= 5) {
      const firstHalf = recentValues.slice(0, Math.floor(recentValues.length / 2))
      const secondHalf = recentValues.slice(Math.floor(recentValues.length / 2))

      const firstMean = firstHalf.reduce((sum, val) => sum + Math.abs(val), 0) / firstHalf.length
      const secondMean = secondHalf.reduce((sum, val) => sum + Math.abs(val), 0) / secondHalf.length

      const trendThreshold = standardDeviation * 0.5
      if (secondMean - firstMean > trendThreshold) {
        trend = 'widening'
      } else if (firstMean - secondMean > trendThreshold) {
        trend = 'narrowing'
      }
    }

    return {
      mean,
      standardDeviation,
      volatility,
      min: Math.min(...basisValues),
      max: Math.max(...basisValues),
      trend,
      dataPoints: basisValues.length,
    }
  }

  /**
   * 生成预警消息
   */
  private generateAlertMessage(
    symbol: string,
    riskLevel: BasisRiskLevel,
    snapshot: BasisSnapshot,
    stats: BasisStats,
  ): string {
    const { basis, basisPercent } = snapshot
    const { trend, volatility } = stats

    switch (riskLevel) {
      case 'high':
        return `${symbol} 基差风险高：${basis > 0 ? '正' : '负'}基差 ${Math.abs(basis).toFixed(2)} (${Math.abs(
          basisPercent,
        ).toFixed(2)}%)，趋势${trend === 'widening' ? '扩大' : trend === 'narrowing' ? '收窄' : '稳定'}`

      case 'medium':
        return `${symbol} 基差风险中等：基差 ${basis.toFixed(2)}，波动率 ${(volatility * 100).toFixed(2)}%`

      default:
        return `${symbol} 基差正常`
    }
  }

  /**
   * 清理过期数据
   */
  private cleanupOldData(): void {
    const cutoffTime = Date.now() - this.alertConfig.historyRetentionHours * 3600 * 1000

    for (const [symbol, history] of this.basisHistory) {
      const validData = history.filter(point => point.timestamp > cutoffTime)
      this.basisHistory.set(symbol, validData)
    }
  }

  /**
   * 获取监控状态
   */
  getMonitoringStatus(): BasisMonitoringStatus {
    return {
      isActive: this.isMonitoring,
      monitoredSymbols: this.alertConfig.enabledSymbols,
      alertConfig: this.alertConfig,
      dataPointCounts: new Map(
        Array.from(this.basisHistory.entries()).map(([symbol, history]) => [symbol, history.length]),
      ),
    }
  }
}

// 类型定义
export interface BasisSnapshot {
  symbol: string
  spotPrice: number
  futuresPrice: number
  basis: number // futuresPrice - spotPrice
  basisPercent: number // (basis / spotPrice) * 100
  timestamp: number
}

export interface BasisDataPoint {
  spotPrice: number
  futuresPrice: number
  basis: number
  basisPercent: number
  timestamp: number
}

export interface BasisStats {
  mean: number // 平均基差
  standardDeviation: number // 标准差
  volatility: number // 波动率
  min: number // 最小基差
  max: number // 最大基差
  trend: 'widening' | 'narrowing' | 'stable' // 趋势
  dataPoints: number // 数据点数量
}

export interface BasisAlertConfig {
  maxBasisDeviation: number // 最大基差偏差阈值 (USD)
  basisVolatilityThreshold: number // 基差波动率阈值
  historyRetentionHours: number // 历史数据保留小时数
  monitoringIntervalMs: number // 监控间隔毫秒
  enabledSymbols: string[] // 启用监控的交易对
}

export type BasisRiskLevel = 'normal' | 'medium' | 'high'

export interface BasisAdjustmentSuggestion {
  symbol: string
  adjustmentType: 'none' | 'reduce_futures_long' | 'reduce_futures_short' | 'increase_spot_hedge' | 'monitor_closely'
  suggestedAction: 'hold' | 'reduce_position' | 'increase_hedge' | 'monitor'
  confidence: number // 0-1
  reasoning: string
  urgency: 'low' | 'medium' | 'high'
  targetAdjustmentPercent?: number // 建议调整比例
}

export interface BasisMonitoringStatus {
  isActive: boolean
  monitoredSymbols: string[]
  alertConfig: BasisAlertConfig
  dataPointCounts: Map<string, number>
}

export const basisManager = new BasisManager()