quant-trader-service/src/main/java/com/quantai/trader/domain/TraderPmConfig.java

package com.quantai.trader.domain;

import static com.quantai.trader.util.TraderNumbers.*;

import java.math.BigDecimal;

public record TraderPmConfig(
        String pmConfigVersion,
        OpenRuleConfig open,
        AddRuleConfig add,
        ExitRuleConfig exit,
        SizingConfig sizing
) {
    public TraderPmConfig {
        pmConfigVersion = requiredText(pmConfigVersion, "pmConfigVersion");
        open = java.util.Objects.requireNonNull(open, "open config is required");
        add = java.util.Objects.requireNonNull(add, "add config is required");
        exit = java.util.Objects.requireNonNull(exit, "exit config is required");
        sizing = java.util.Objects.requireNonNull(sizing, "sizing config is required");
    }

    public record OpenRuleConfig(
            BigDecimal longOpenProb,
            BigDecimal shortOpenProb,
            BigDecimal minLongEntryProb,
            BigDecimal minShortEntryProb,
            BigDecimal maxMarketRiskProb,
            BigDecimal minExpectedEdgeBps,
            BigDecimal minDirectionMargin,
            BigDecimal minLiquidityCapacityRatio,
            BigDecimal maxOodScore
    ) {
        public OpenRuleConfig {
            longOpenProb = probability(longOpenProb, "open.longOpenProb");
            shortOpenProb = probability(shortOpenProb, "open.shortOpenProb");
            minLongEntryProb = probability(minLongEntryProb, "open.minLongEntryProb");
            minShortEntryProb = probability(minShortEntryProb, "open.minShortEntryProb");
            maxMarketRiskProb = probability(maxMarketRiskProb, "open.maxMarketRiskProb");
            minExpectedEdgeBps = required(minExpectedEdgeBps, "open.minExpectedEdgeBps");
            minDirectionMargin = nonNegative(minDirectionMargin, "open.minDirectionMargin");
            minLiquidityCapacityRatio = nonNegative(minLiquidityCapacityRatio, "open.minLiquidityCapacityRatio");
            maxOodScore = probability(maxOodScore, "open.maxOodScore");
        }
    }

    public record AddRuleConfig(
            BigDecimal minLongProb,
            BigDecimal minShortProb,
            BigDecimal minContinueProb,
            BigDecimal minEntryProb,
            BigDecimal maxExitProb,
            BigDecimal maxMarketRiskProb,
            BigDecimal maxPositionRiskProb,
            BigDecimal minExpectedEdgeBps,
            BigDecimal minContinueVsExitEdgeBps,
            BigDecimal minLiquidityCapacityRatio,
            BigDecimal minPostTradeLiquidationBufferBps,
            int maxAddCount,
            long cooldownMinutes
    ) {
        public AddRuleConfig {
            minLongProb = probability(minLongProb, "add.minLongProb");
            minShortProb = probability(minShortProb, "add.minShortProb");
            minContinueProb = probability(minContinueProb, "add.minContinueProb");
            minEntryProb = probability(minEntryProb, "add.minEntryProb");
            maxExitProb = probability(maxExitProb, "add.maxExitProb");
            maxMarketRiskProb = probability(maxMarketRiskProb, "add.maxMarketRiskProb");
            maxPositionRiskProb = probability(maxPositionRiskProb, "add.maxPositionRiskProb");
            minExpectedEdgeBps = required(minExpectedEdgeBps, "add.minExpectedEdgeBps");
            minContinueVsExitEdgeBps = required(minContinueVsExitEdgeBps, "add.minContinueVsExitEdgeBps");
            minLiquidityCapacityRatio = nonNegative(minLiquidityCapacityRatio, "add.minLiquidityCapacityRatio");
            minPostTradeLiquidationBufferBps = nonNegative(minPostTradeLiquidationBufferBps, "add.minPostTradeLiquidationBufferBps");
            if (maxAddCount < 0 || cooldownMinutes < 0) {
                throw new IllegalArgumentException("add count and cooldown must be >= 0");
            }
        }
    }

    public record ExitRuleConfig(
            BigDecimal closeExitProb,
            BigDecimal closePositionRiskProb,
            BigDecimal closeMarketRiskProb,
            BigDecimal closeContinueMax,
            BigDecimal reduceAdverseMoveProb,
            BigDecimal reduceContinueMin,
            BigDecimal reduceContinueMax,
            BigDecimal minProfitForReduceBps,
            BigDecimal maxPositionPathRiskBps
    ) {
        public ExitRuleConfig {
            closeExitProb = probability(closeExitProb, "exit.closeExitProb");
            closePositionRiskProb = probability(closePositionRiskProb, "exit.closePositionRiskProb");
            closeMarketRiskProb = probability(closeMarketRiskProb, "exit.closeMarketRiskProb");
            closeContinueMax = probability(closeContinueMax, "exit.closeContinueMax");
            reduceAdverseMoveProb = probability(reduceAdverseMoveProb, "exit.reduceAdverseMoveProb");
            reduceContinueMin = probability(reduceContinueMin, "exit.reduceContinueMin");
            reduceContinueMax = probability(reduceContinueMax, "exit.reduceContinueMax");
            minProfitForReduceBps = nonNegative(minProfitForReduceBps, "exit.minProfitForReduceBps");
            maxPositionPathRiskBps = nonNegative(maxPositionPathRiskBps, "exit.maxPositionPathRiskBps");
        }
    }

    public record SizingConfig(
            BigDecimal baseRatio,
            BigDecimal minInitialRatio,
            BigDecimal maxSingleLegRatio,
            BigDecimal minAddRatio,
            BigDecimal maxAddRatio,
            BigDecimal maxTotalPositionRatio,
            BigDecimal minEdgeBps,
            BigDecimal maxLossPerTradeBps,
            BigDecimal maxLiquidityUsageRatio,
            BigDecimal uncertaintyPenaltyMultiplier,
            BigDecimal minPostTradeLiquidationBufferBps
    ) {
        public SizingConfig {
            baseRatio = positive(baseRatio, "sizing.baseRatio");
            minInitialRatio = nonNegative(minInitialRatio, "sizing.minInitialRatio");
            maxSingleLegRatio = positive(maxSingleLegRatio, "sizing.maxSingleLegRatio");
            minAddRatio = nonNegative(minAddRatio, "sizing.minAddRatio");
            maxAddRatio = nonNegative(maxAddRatio, "sizing.maxAddRatio");
            maxTotalPositionRatio = positive(maxTotalPositionRatio, "sizing.maxTotalPositionRatio");
            minEdgeBps = required(minEdgeBps, "sizing.minEdgeBps");
            maxLossPerTradeBps = positive(maxLossPerTradeBps, "sizing.maxLossPerTradeBps");
            maxLiquidityUsageRatio = positive(maxLiquidityUsageRatio, "sizing.maxLiquidityUsageRatio");
            uncertaintyPenaltyMultiplier = nonNegative(uncertaintyPenaltyMultiplier, "sizing.uncertaintyPenaltyMultiplier");
            minPostTradeLiquidationBufferBps = nonNegative(minPostTradeLiquidationBufferBps, "sizing.minPostTradeLiquidationBufferBps");
        }
    }
}