binance-api/archived/components/priceConvergenceManager.ts

import { EventEmitter } from 'events'
import { logger } from '../../utils/logger.js'
import { PacificaProxyClient } from '../../exchanges/pacifica/PacificaProxyClient.js'
import { OrderCreatePayload } from '../../exchanges/pacifica/OrdersAdapter.js'

/**
 * 价格收敛管理器 - 管理两个账户的开仓价格逐步接近，并自动设置止盈止损
 */
export class PriceConvergenceManager extends EventEmitter {
  private accountPairs: Map<string, AccountPair> = new Map()
  private clients: Map<string, PacificaProxyClient> = new Map()
  private config: ConvergenceConfig
  private isActive: boolean = false
  private monitoringInterval?: NodeJS.Timeout

  constructor(config?: Partial<ConvergenceConfig>) {
    super()
    this.config = {
      maxPriceDeviation: config?.maxPriceDeviation || 0.005, // 0.5% 最大价格偏差
      convergenceStepPercent: config?.convergenceStepPercent || 0.001, // 0.1% 收敛步长
      minOrderSize: config?.minOrderSize || 0.001, // 最小订单量
      maxOrderSize: config?.maxOrderSize || 1.0, // 最大订单量
      checkIntervalMs: config?.checkIntervalMs || 3000, // 3秒检查间隔
      takeProfitPercent: config?.takeProfitPercent || 0.02, // 2% 止盈
      stopLossPercent: config?.stopLossPercent || 0.01, // 1% 止损
      maxDailyOrders: config?.maxDailyOrders || 50, // 每日最大订单数
      enableTrailingStop: config?.enableTrailingStop || false, // 启用追踪止损
      trailingStopPercent: config?.trailingStopPercent || 0.005, // 0.5% 追踪止损
    }
  }

  /**
   * 添加账户对
   */
  addAccountPair(pairId: string, account1Config: AccountConfig, account2Config: AccountConfig, symbol: string): void {
    // 创建交易客户端
    const client1 = new PacificaProxyClient({
      account: account1Config.account,
      privateKey: account1Config.privateKey,
      agentWallet: account1Config.agentWallet,
      agentPrivateKey: account1Config.agentPrivateKey,
    })

    const client2 = new PacificaProxyClient({
      account: account2Config.account,
      privateKey: account2Config.privateKey,
      agentWallet: account2Config.agentWallet,
      agentPrivateKey: account2Config.agentPrivateKey,
    })

    this.clients.set(account1Config.account, client1)
    this.clients.set(account2Config.account, client2)

    const accountPair: AccountPair = {
      id: pairId,
      account1: account1Config,
      account2: account2Config,
      symbol,
      account1Position: null,
      account2Position: null,
      targetPriceDeviation: 0,
      currentPriceDeviation: 0,
      lastUpdate: 0,
      dailyOrderCount: 0,
      lastOrderDate: '',
      isConverged: false,
      stopLossOrders: new Map(),
      takeProfitOrders: new Map(),
    }

    this.accountPairs.set(pairId, accountPair)

    logger.info('添加账户对', {
      pairId,
      account1: account1Config.account,
      account2: account2Config.account,
      symbol,
    })
  }

  /**
   * 开始价格收敛监控
   */
  startConvergenceMonitoring(): void {
    if (this.isActive) return

    this.isActive = true

    this.monitoringInterval = setInterval(() => {
      this.performConvergenceCheck()
    }, this.config.checkIntervalMs)

    logger.info('价格收敛监控已启动', {
      interval: this.config.checkIntervalMs,
      pairs: Array.from(this.accountPairs.keys()),
    })

    this.emit('convergenceMonitoringStarted')
  }

  /**
   * 停止价格收敛监控
   */
  stopConvergenceMonitoring(): void {
    if (!this.isActive) return

    this.isActive = false

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

    logger.info('价格收敛监控已停止')
    this.emit('convergenceMonitoringStopped')
  }

  /**
   * 执行收敛检查
   */
  private async performConvergenceCheck(): Promise<void> {
    for (const [pairId, pair] of this.accountPairs) {
      try {
        await this.updatePositions(pair)
        await this.checkAndExecuteConvergence(pair)
      } catch (error: any) {
        logger.error('收敛检查失败', {
          pairId,
          error: error.message,
        })
      }
    }
  }

  /**
   * 更新账户仓位信息
   */
  private async updatePositions(pair: AccountPair): Promise<void> {
    try {
      const client1 = this.clients.get(pair.account1.account)!
      const client2 = this.clients.get(pair.account2.account)!

      const [positions1, positions2] = await Promise.all([client1.getPositions(), client2.getPositions()])

      // 查找目标交易对的仓位
      pair.account1Position = this.findPositionBySymbol(positions1, pair.symbol)
      pair.account2Position = this.findPositionBySymbol(positions2, pair.symbol)

      pair.lastUpdate = Date.now()

      // 计算当前价格偏差
      if (pair.account1Position && pair.account2Position) {
        const price1 = pair.account1Position.averagePrice || pair.account1Position.entryPrice
        const price2 = pair.account2Position.averagePrice || pair.account2Position.entryPrice

        if (price1 && price2) {
          pair.currentPriceDeviation = Math.abs(price1 - price2) / ((price1 + price2) / 2)
          pair.isConverged = pair.currentPriceDeviation <= this.config.maxPriceDeviation
        }
      }

      logger.debug('更新仓位信息', {
        pairId: pair.id,
        account1Position: pair.account1Position ? 'Found' : 'None',
        account2Position: pair.account2Position ? 'Found' : 'None',
        currentDeviation: pair.currentPriceDeviation.toFixed(4),
        isConverged: pair.isConverged,
      })
    } catch (error: any) {
      logger.error('更新仓位信息失败', {
        pairId: pair.id,
        error: error.message,
      })
    }
  }

  /**
   * 检查并执行收敛操作
   */
  private async checkAndExecuteConvergence(pair: AccountPair): Promise<void> {
    // 检查是否需要收敛
    if (pair.isConverged) {
      return // 已收敛，无需操作
    }

    // 检查每日订单限制
    const today = new Date().toDateString()
    if (pair.lastOrderDate !== today) {
      pair.dailyOrderCount = 0
      pair.lastOrderDate = today
    }

    if (pair.dailyOrderCount >= this.config.maxDailyOrders) {
      logger.warn('达到每日订单限制', {
        pairId: pair.id,
        dailyCount: pair.dailyOrderCount,
        maxDaily: this.config.maxDailyOrders,
      })
      return
    }

    // 执行收敛交易
    await this.executeConvergenceTrade(pair)
  }

  /**
   * 执行收敛交易
   */
  private async executeConvergenceTrade(pair: AccountPair): Promise<void> {
    try {
      // 获取当前市场价格
      const marketPrice = await this.getCurrentMarketPrice(pair.symbol)
      if (!marketPrice) {
        logger.warn('无法获取市场价格', { symbol: pair.symbol })
        return
      }

      // 计算收敛交易参数
      const tradeParams = this.calculateConvergenceTradeParams(pair, marketPrice)
      if (!tradeParams) {
        logger.debug('无需收敛交易', { pairId: pair.id })
        return
      }

      // 执行交易
      const results = await this.executeTrades(pair, tradeParams, marketPrice)

      // 设置止盈止损
      if (results.some(r => r.success)) {
        await this.setStopLossAndTakeProfit(pair, marketPrice)
      }

      // 更新统计
      pair.dailyOrderCount += results.filter(r => r.success).length

      logger.info('收敛交易执行完成', {
        pairId: pair.id,
        successful: results.filter(r => r.success).length,
        failed: results.filter(r => !r.success).length,
        marketPrice,
      })

      this.emit('convergenceTradeExecuted', {
        pairId: pair.id,
        results,
        tradeParams,
        marketPrice,
      })
    } catch (error: any) {
      logger.error('收敛交易执行失败', {
        pairId: pair.id,
        error: error.message,
      })
    }
  }

  /**
   * 计算收敛交易参数
   */
  private calculateConvergenceTradeParams(pair: AccountPair, marketPrice: number): ConvergenceTradeParams | null {
    const pos1 = pair.account1Position
    const pos2 = pair.account2Position

    // 如果都没有仓位，创建初始仓位
    if (!pos1 && !pos2) {
      const orderSize = this.config.minOrderSize

      return {
        account1Trade: {
          action: 'open_long',
          size: orderSize,
          expectedPrice: marketPrice * (1 - this.config.convergenceStepPercent),
        },
        account2Trade: {
          action: 'open_short',
          size: orderSize,
          expectedPrice: marketPrice * (1 + this.config.convergenceStepPercent),
        },
        convergenceType: 'initial_hedge',
      }
    }

    // 如果价格偏差过大，执行收敛交易
    if (pair.currentPriceDeviation > this.config.maxPriceDeviation) {
      if (pos1 && pos2) {
        const price1 = pos1.averagePrice || pos1.entryPrice
        const price2 = pos2.averagePrice || pos2.entryPrice

        if (!price1 || !price2) return null

        // 计算收敛方向：价格高的账户减仓，价格低的账户加仓
        const adjustmentSize = Math.min(
          this.config.maxOrderSize,
          Math.max(this.config.minOrderSize, Math.abs(pos1.size - pos2.size) * 0.1),
        )

        if (price1 > price2) {
          return {
            account1Trade: {
              action: pos1.size > 0 ? 'reduce_long' : 'reduce_short',
              size: adjustmentSize,
              expectedPrice: marketPrice,
            },
            account2Trade: {
              action: pos2.size > 0 ? 'increase_long' : 'increase_short',
              size: adjustmentSize,
              expectedPrice: marketPrice,
            },
            convergenceType: 'price_adjustment',
          }
        } else {
          return {
            account1Trade: {
              action: pos1.size > 0 ? 'increase_long' : 'increase_short',
              size: adjustmentSize,
              expectedPrice: marketPrice,
            },
            account2Trade: {
              action: pos2.size > 0 ? 'reduce_long' : 'reduce_short',
              size: adjustmentSize,
              expectedPrice: marketPrice,
            },
            convergenceType: 'price_adjustment',
          }
        }
      }
    }

    return null
  }

  /**
   * 执行交易
   */
  private async executeTrades(
    pair: AccountPair,
    tradeParams: ConvergenceTradeParams,
    marketPrice: number,
  ): Promise<TradeResult[]> {
    const results: TradeResult[] = []

    // 执行账户1的交易
    if (tradeParams.account1Trade) {
      try {
        const result = await this.executeAccountTrade(
          pair.account1,
          tradeParams.account1Trade,
          pair.symbol,
          marketPrice,
        )
        results.push({ account: pair.account1.account, ...result })
      } catch (error: any) {
        results.push({
          account: pair.account1.account,
          success: false,
          error: error.message,
        })
      }
    }

    // 执行账户2的交易
    if (tradeParams.account2Trade) {
      try {
        const result = await this.executeAccountTrade(
          pair.account2,
          tradeParams.account2Trade,
          pair.symbol,
          marketPrice,
        )
        results.push({ account: pair.account2.account, ...result })
      } catch (error: any) {
        results.push({
          account: pair.account2.account,
          success: false,
          error: error.message,
        })
      }
    }

    return results
  }

  /**
   * 执行单个账户的交易
   */
  private async executeAccountTrade(
    account: AccountConfig,
    trade: TradeAction,
    symbol: string,
    marketPrice: number,
  ): Promise<Omit<TradeResult, 'account'>> {
    const client = this.clients.get(account.account)!

    let side: 'bid' | 'ask'
    let reduceOnly = false

    switch (trade.action) {
      case 'open_long':
      case 'increase_long':
        side = 'bid'
        break
      case 'open_short':
      case 'increase_short':
        side = 'ask'
        break
      case 'reduce_long':
        side = 'ask'
        reduceOnly = true
        break
      case 'reduce_short':
        side = 'bid'
        reduceOnly = true
        break
      default:
        throw new Error(`不支持的交易动作: ${trade.action}`)
    }

    const payload: OrderCreatePayload = {
      account: account.account,
      symbol,
      amount: trade.size.toString(),
      side,
      reduceOnly,
      slippagePercent: '0.5',
    }

    logger.info('执行账户交易', {
      account: account.account,
      action: trade.action,
      size: trade.size,
      side,
      reduceOnly,
      expectedPrice: trade.expectedPrice,
      marketPrice,
    })

    const result = await client.createMarketOrder(payload)

    return {
      success: result.success || false,
      orderId: result.orderId || result.order_id,
      executedPrice: marketPrice, // 市价单，使用市场价格
      executedSize: trade.size,
    }
  }

  /**
   * 设置止盈止损
   */
  private async setStopLossAndTakeProfit(pair: AccountPair, marketPrice: number): Promise<void> {
    try {
      // 为每个账户设置止盈止损
      await Promise.all([
        this.setAccountStopOrders(pair.account1, pair.symbol, marketPrice),
        this.setAccountStopOrders(pair.account2, pair.symbol, marketPrice),
      ])

      logger.info('止盈止损设置完成', {
        pairId: pair.id,
        marketPrice,
        takeProfitPercent: this.config.takeProfitPercent,
        stopLossPercent: this.config.stopLossPercent,
      })
    } catch (error: any) {
      logger.error('设置止盈止损失败', {
        pairId: pair.id,
        error: error.message,
      })
    }
  }

  /**
   * 为单个账户设置止盈止损单
   */
  private async setAccountStopOrders(account: AccountConfig, symbol: string, marketPrice: number): Promise<void> {
    const client = this.clients.get(account.account)!

    // 获取当前仓位
    const positions = await client.getPositions()
    const position = this.findPositionBySymbol(positions, symbol)

    if (!position || position.size === 0) return

    const isLong = position.size > 0
    const positionSize = Math.abs(position.size)

    // 计算止盈止损价格
    const takeProfitPrice = isLong
      ? marketPrice * (1 + this.config.takeProfitPercent)
      : marketPrice * (1 - this.config.takeProfitPercent)

    const stopLossPrice = isLong
      ? marketPrice * (1 - this.config.stopLossPercent)
      : marketPrice * (1 + this.config.stopLossPercent)

    // 设置止盈单
    try {
      const takeProfitPayload: OrderCreatePayload = {
        account: account.account,
        symbol,
        amount: positionSize.toString(),
        side: isLong ? 'ask' : 'bid',
        reduceOnly: true,
        orderType: 'limit',
        price: takeProfitPrice.toString(),
        slippagePercent: '0.1',
      }

      const takeProfitResult = await client.createLimitOrder(takeProfitPayload)

      logger.info('止盈单设置成功', {
        account: account.account,
        orderId: takeProfitResult.orderId,
        price: takeProfitPrice,
        size: positionSize,
      })
    } catch (error: any) {
      logger.error('设置止盈单失败', {
        account: account.account,
        error: error.message,
      })
    }

    // 设置止损单
    try {
      const stopLossPayload: OrderCreatePayload = {
        account: account.account,
        symbol,
        amount: positionSize.toString(),
        side: isLong ? 'ask' : 'bid',
        reduceOnly: true,
        orderType: 'stop_market',
        stopPrice: stopLossPrice.toString(),
        slippagePercent: '1.0', // 止损允许更大滑点
      }

      const stopLossResult = await client.createStopOrder(stopLossPayload)

      logger.info('止损单设置成功', {
        account: account.account,
        orderId: stopLossResult.orderId,
        stopPrice: stopLossPrice,
        size: positionSize,
      })
    } catch (error: any) {
      logger.error('设置止损单失败', {
        account: account.account,
        error: error.message,
      })
    }
  }

  /**
   * 获取当前市场价格
   */
  private async getCurrentMarketPrice(symbol: string): Promise<number | null> {
    try {
      // 使用第一个可用的客户端获取价格
      const client = this.clients.values().next().value as PacificaProxyClient
      if (!client) return null

      const ticker = await client.getTicker(symbol)
      return ticker?.price || null
    } catch (error: any) {
      logger.error('获取市场价格失败', {
        symbol,
        error: error.message,
      })
      return null
    }
  }

  /**
   * 根据交易对查找仓位
   */
  private findPositionBySymbol(positions: any[], symbol: string): Position | null {
    const position = positions.find(p => p.symbol === symbol || p.market === symbol)
    if (!position) return null

    return {
      symbol: position.symbol || position.market,
      size: parseFloat(position.size || position.amount || '0'),
      side: position.side || (parseFloat(position.size || position.amount || '0') > 0 ? 'long' : 'short'),
      entryPrice: parseFloat(position.entryPrice || position.avgPrice || '0'),
      averagePrice: parseFloat(position.averagePrice || position.avgPrice || position.entryPrice || '0'),
      markPrice: parseFloat(position.markPrice || position.lastPrice || '0'),
      unrealizedPnl: parseFloat(position.unrealizedPnl || position.pnl || '0'),
    }
  }

  /**
   * 获取账户对状态
   */
  getAccountPairStatus(pairId: string): AccountPairStatus | null {
    const pair = this.accountPairs.get(pairId)
    if (!pair) return null

    return {
      pairId: pair.id,
      symbol: pair.symbol,
      account1: pair.account1.account,
      account2: pair.account2.account,
      currentPriceDeviation: pair.currentPriceDeviation,
      maxAllowedDeviation: this.config.maxPriceDeviation,
      isConverged: pair.isConverged,
      dailyOrderCount: pair.dailyOrderCount,
      lastUpdate: pair.lastUpdate,
      account1Position: pair.account1Position,
      account2Position: pair.account2Position,
    }
  }

  /**
   * 获取所有账户对状态
   */
  getAllAccountPairStatuses(): AccountPairStatus[] {
    return Array.from(this.accountPairs.keys())
      .map(pairId => this.getAccountPairStatus(pairId)!)
      .filter(Boolean)
  }
}

// 类型定义
export interface AccountConfig {
  account: string
  privateKey: string
  agentWallet?: string
  agentPrivateKey?: string
}

export interface AccountPair {
  id: string
  account1: AccountConfig
  account2: AccountConfig
  symbol: string
  account1Position: Position | null
  account2Position: Position | null
  targetPriceDeviation: number
  currentPriceDeviation: number
  lastUpdate: number
  dailyOrderCount: number
  lastOrderDate: string
  isConverged: boolean
  stopLossOrders: Map<string, string> // accountId -> orderId
  takeProfitOrders: Map<string, string> // accountId -> orderId
}

export interface Position {
  symbol: string
  size: number
  side: 'long' | 'short'
  entryPrice: number
  averagePrice: number
  markPrice: number
  unrealizedPnl: number
}

export interface ConvergenceConfig {
  maxPriceDeviation: number // 最大允许价格偏差
  convergenceStepPercent: number // 收敛步长百分比
  minOrderSize: number // 最小订单量
  maxOrderSize: number // 最大订单量
  checkIntervalMs: number // 检查间隔
  takeProfitPercent: number // 止盈百分比
  stopLossPercent: number // 止损百分比
  maxDailyOrders: number // 每日最大订单数
  enableTrailingStop: boolean // 启用追踪止损
  trailingStopPercent: number // 追踪止损百分比
}

export interface TradeAction {
  action: 'open_long' | 'open_short' | 'increase_long' | 'increase_short' | 'reduce_long' | 'reduce_short'
  size: number
  expectedPrice: number
}

export interface ConvergenceTradeParams {
  account1Trade?: TradeAction
  account2Trade?: TradeAction
  convergenceType: 'initial_hedge' | 'price_adjustment' | 'rebalance'
}

export interface TradeResult {
  account: string
  success: boolean
  orderId?: string
  executedPrice?: number
  executedSize?: number
  error?: string
}

export interface AccountPairStatus {
  pairId: string
  symbol: string
  account1: string
  account2: string
  currentPriceDeviation: number
  maxAllowedDeviation: number
  isConverged: boolean
  dailyOrderCount: number
  lastUpdate: number
  account1Position: Position | null
  account2Position: Position | null
}

export const priceConvergenceManager = new PriceConvergenceManager()