binance-api/archived/risk_old/riskAssessor.ts

import { Position } from '../types/core'

export interface RiskSummary {
  leverageRatio: number
  var: number
  maxDrawdown: number
  level: 'LOW' | 'MEDIUM' | 'HIGH' | 'CRITICAL'
  score: number
  recommendations: string[]
}

export class RiskAssessor {
  /**
   * 真实的风险评估逻辑实现
   */
  evaluatePosition(position: Position): RiskSummary {
    const leverageRatio = position.leverage || 1
    const unrealizedPnL = position.unrealizedPnL || 0
    const notional = Math.abs(parseFloat(position.size)) * (position.markPrice || 0)

    // 1. 计算Value at Risk (VaR) - 使用简化的历史模拟法
    const volatility = this.estimateVolatility(position.symbol)
    const confidenceLevel = 0.95 // 95%置信度
    const timeHorizon = 1 // 1天
    const varValue = notional * volatility * Math.sqrt(timeHorizon) * this.getZScore(confidenceLevel)

    // 2. 计算最大回撤
    const entryPrice = parseFloat(position.entryPrice || '0')
    const currentPrice = position.markPrice || 0
    const priceChange = Math.abs(currentPrice - entryPrice) / entryPrice
    const maxDrawdown = notional * priceChange

    // 3. 综合风险评分 (0-100)
    const leverageScore = Math.min(leverageRatio * 10, 50) // 杠杆风险 (最高50分)
    const pnlScore = Math.min(Math.abs(unrealizedPnL) / 1000 * 20, 30) // PnL风险 (最高30分)
    const concentrationScore = Math.min(notional / 10000 * 20, 20) // 集中度风险 (最高20分)

    const totalScore = leverageScore + pnlScore + concentrationScore

    // 4. 确定风险等级
    let level: 'LOW' | 'MEDIUM' | 'HIGH' | 'CRITICAL'
    if (totalScore < 25) level = 'LOW'
    else if (totalScore < 50) level = 'MEDIUM'
    else if (totalScore < 75) level = 'HIGH'
    else level = 'CRITICAL'

    // 5. 生成风险建议
    const recommendations = this.generateRecommendations(
      leverageRatio,
      unrealizedPnL,
      notional,
      level
    )

    return {
      leverageRatio,
      var: varValue,
      maxDrawdown,
      level,
      score: totalScore,
      recommendations,
    }
  }

  /**
   * 估算波动率 (简化实现)
   */
  private estimateVolatility(symbol: string): number {
    // 基于历史数据的简化波动率估算
    const volatilityMap: Record<string, number> = {
      'BTC-USD': 0.04,  // 4%日波动率
      'ETH-USD': 0.05,  // 5%日波动率
      'SOL-USD': 0.08,  // 8%日波动率
    }

    return volatilityMap[symbol] || 0.06 // 默认6%
  }

  /**
   * 获取置信度对应的Z分数
   */
  private getZScore(confidenceLevel: number): number {
    const zScoreMap: Record<number, number> = {
      0.90: 1.28,
      0.95: 1.645,
      0.99: 2.33,
    }

    return zScoreMap[confidenceLevel] || 1.645
  }

  /**
   * 生成风险管理建议
   */
  private generateRecommendations(
    leverage: number,
    pnl: number,
    notional: number,
    level: 'LOW' | 'MEDIUM' | 'HIGH' | 'CRITICAL'
  ): string[] {
    const recommendations: string[] = []

    // 杠杆相关建议
    if (leverage > 10) {
      recommendations.push('建议降低杠杆倍数至5倍以下')
    } else if (leverage > 5) {
      recommendations.push('监控杠杆风险，考虑适当降低')
    }

    // PnL相关建议
    if (pnl < -500) {
      recommendations.push('亏损较大，建议设置止损')
    } else if (pnl > 1000) {
      recommendations.push('盈利较好，建议部分止盈')
    }

    // 仓位规模建议
    if (notional > 50000) {
      recommendations.push('仓位规模较大，注意分散风险')
    }

    // 风险等级相关建议
    switch (level) {
      case 'CRITICAL':
        recommendations.push('风险等级极高，建议立即平仓')
        break
      case 'HIGH':
        recommendations.push('风险等级较高，建议减仓或对冲')
        break
      case 'MEDIUM':
        recommendations.push('风险等级中等，密切监控市场变化')
        break
      case 'LOW':
        recommendations.push('风险等级较低，可维持当前仓位')
        break
    }

    return recommendations
  }
}

export const riskAssessor = new RiskAssessor()