quant-trader-service/src/main/java/com/quantai/trader/risk/TraderRiskGate.java

package com.quantai.trader.risk;

import com.quantai.trader.config.TraderProperties;
import com.quantai.trader.domain.ExecutionDecision;
import com.quantai.trader.domain.ManagementDecision;
import com.quantai.trader.domain.RiskDecision;
import com.quantai.trader.domain.TraderAction;
import com.quantai.trader.domain.TraderDecisionCycle;
import com.quantai.trader.domain.TraderEntryPlan;
import com.quantai.trader.domain.TraderPositionPath;
import com.quantai.trader.domain.TraderRiskDecision;
import com.quantai.trader.enums.TraderErrorCode;
import com.quantai.trader.persistence.TraderRiskDecisionRepository;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import org.springframework.stereotype.Component;

import java.math.BigDecimal;
import java.math.MathContext;
import java.math.RoundingMode;
import java.time.Instant;
import java.util.Map;

@Component
public class TraderRiskGate {

    private static final Logger log = LoggerFactory.getLogger(TraderRiskGate.class);
    private static final MathContext MC = new MathContext(10, RoundingMode.HALF_UP);
    private final TraderProperties properties;
    private final TraderRiskDecisionRepository repository;

    public TraderRiskGate(TraderProperties properties, TraderRiskDecisionRepository repository) {
        this.properties = properties;
        this.repository = repository;
    }

    public RiskDecision evaluate(TraderDecisionCycle cycle, TraderEntryPlan entryPlan, ExecutionDecision execution) {
        RiskDecision result = decide(entryPlan, execution);
        TraderRiskDecision persisted = new TraderRiskDecision(
                cycle.runId(),
                cycle.cycleId(),
                entryPlan.actionId(),
                null,
                entryPlan.entryAction(),
                properties.getRisk().getLeverageScreen(),
                entryPlan.plannedLegRatio(),
                maxLossBps(entryPlan),
                null,
                null,
                null,
                null,
                null,
                result.allowAction(),
                result.blocker(),
                result.details(),
                Instant.now()
        );
        repository.insert(persisted);
        log.info(
                "event=trader.risk.decision runId={} cycleId={} symbol={} playbookId={} playbookVersion={} state={} actionId={} actionType={} allowAction={} blocker={}",
                cycle.runId(),
                cycle.cycleId(),
                cycle.symbol(),
                cycle.playbookId(),
                cycle.playbookVersion(),
                cycle.state(),
                entryPlan.actionId(),
                entryPlan.entryAction(),
                result.allowAction(),
                result.blocker()
        );
        return result;
    }

    public RiskDecision evaluateManagement(
            TraderDecisionCycle cycle,
            TraderAction action,
            TraderPositionPath path,
            ManagementDecision management
    ) {
        if (path == null || path.totalPositionRatio() == null) {
            throw new IllegalArgumentException("management risk evaluation requires an opened position path");
        }
        BigDecimal ratio = path.totalPositionRatio();
        RiskDecision result = new RiskDecision(true, null, BigDecimal.ONE, Map.of(
                "positionId", path.positionId(),
                "managementReason", management.reason(),
                "plannedTotalPositionRatio", ratio
        ));
        TraderRiskDecision persisted = new TraderRiskDecision(
                cycle.runId(),
                cycle.cycleId(),
                action.actionId(),
                null,
                action.actionType(),
                properties.getRisk().getLeverageScreen(),
                ratio,
                BigDecimal.ZERO,
                null,
                null,
                null,
                null,
                null,
                true,
                null,
                result.details(),
                Instant.now()
        );
        repository.insert(persisted);
        log.info(
                "event=trader.risk.decision runId={} cycleId={} symbol={} playbookId={} playbookVersion={} state={} actionId={} actionType={} allowAction={} blocker={}",
                cycle.runId(),
                cycle.cycleId(),
                cycle.symbol(),
                cycle.playbookId(),
                cycle.playbookVersion(),
                cycle.state(),
                action.actionId(),
                action.actionType(),
                true,
                null
        );
        return result;
    }

    private RiskDecision decide(TraderEntryPlan entryPlan, ExecutionDecision execution) {
        if (!entryPlan.completeForEntry()) {
            return block(TraderErrorCode.TRADER_ENTRY_PLAN_INCOMPLETE.name(), Map.of("reason", "entry plan incomplete"));
        }
        if (execution.blocked()) {
            return block(execution.blocker(), Map.of("reason", execution.reason()));
        }
        if (entryPlan.plannedLegRatio().compareTo(BigDecimal.ZERO) <= 0
                || entryPlan.plannedLegRatio().compareTo(properties.getSizing().getMaxSingleLegRatio()) > 0
                || entryPlan.plannedLegRatio().compareTo(properties.getSizing().getMaxTotalPositionRatio()) > 0) {
            return block(TraderErrorCode.TRADER_RISK_BLOCKED.name(), Map.of(
                    "reason", "planned position ratio exceeds P0 risk constraints",
                    "plannedLegRatio", entryPlan.plannedLegRatio()
            ));
        }
        return new RiskDecision(true, null, entryPlan.riskGateScore(), Map.of(
                "plannedLegRatio", entryPlan.plannedLegRatio(),
                "leverageScreen", properties.getRisk().getLeverageScreen(),
                "requireOneXNotNegative", properties.getRisk().isRequireOneXNotNegative()
        ));
    }

    private RiskDecision block(String blocker, Map<String, Object> details) {
        return new RiskDecision(false, blocker, BigDecimal.ZERO, details);
    }

    private BigDecimal maxLossBps(TraderEntryPlan entryPlan) {
        if (entryPlan.entryPrice() == null || entryPlan.stopPrice() == null || entryPlan.entryPrice().compareTo(BigDecimal.ZERO) <= 0) {
            return BigDecimal.ZERO;
        }
        return entryPlan.entryPrice()
                .subtract(entryPlan.stopPrice(), MC)
                .abs()
                .divide(entryPlan.entryPrice(), MC)
                .multiply(BigDecimal.valueOf(10_000), MC)
                .setScale(8, RoundingMode.HALF_UP);
    }
}