trade-kuns/src/server/engine/portfolio.ts

import type { Pair } from '../types';

export interface ExecConfig {
  feeRate: number;   // 0.001 pro Seite
  slippage: number;  // 0.0005 pro Seite
}

export const DEFAULT_EXEC: ExecConfig = { feeRate: 0.001, slippage: 0.0005 };

export interface Position {
  pair: Pair;
  qty: number;
  entryTs: number;
  entryPrice: number;   // Fill inkl. Slippage
  /** Long: Kosten (qty×fill + Entry-Fee); Short: Netto-Erlös (proceeds − Entry-Fee). */
  entryCost: number;
  initialStop: number;
  stop: number;
  /** Long: höchstes Hoch seit Entry; Short: tiefstes Tief seit Entry. */
  trailExtreme: number;
  riskAmount: number;
  side: 'long' | 'short';
}

export interface ClosedTrade {
  pair: Pair;
  entryTs: number;
  entryPrice: number;
  exitTs: number;
  exitPrice: number;
  qty: number;
  pnl: number;
  r: number;
  exitReason: 'trailing_stop' | 'end_of_data';
  side: 'long' | 'short';
}

export class Portfolio {
  cash: number;
  positions = new Map<Pair, Position>();
  trades: ClosedTrade[] = [];

  constructor(startCapital: number, private exec: ExecConfig) {
    this.cash = startCapital;
  }

  open(pair: Pair, ts: number, signalPrice: number, initialStop: number, qty: number, riskAmount: number, side: 'long' | 'short' = 'long'): void {
    if (this.positions.has(pair)) throw new Error(`open auf bestehende Position: ${pair}`);
    if (side === 'short') {
      const fill = signalPrice * (1 - this.exec.slippage);
      const proceeds = qty * fill;
      const fee = proceeds * this.exec.feeRate;
      this.cash += proceeds - fee;
      this.positions.set(pair, {
        pair, qty, entryTs: ts, entryPrice: fill,
        entryCost: proceeds - fee, // Netto-Erlös des Leerverkaufs
        initialStop, stop: initialStop,
        trailExtreme: signalPrice, // Markt-Preis, nicht Fill
        riskAmount, side,
      });
    } else {
      const fill = signalPrice * (1 + this.exec.slippage);
      const cost = qty * fill;
      const fee = cost * this.exec.feeRate;
      this.cash -= cost + fee;
      this.positions.set(pair, {
        pair, qty, entryTs: ts, entryPrice: fill,
        entryCost: cost + fee, // Kosten des Kaufs
        initialStop, stop: initialStop,
        trailExtreme: signalPrice, // Markt-Preis, nicht Fill: der Chandelier trailt Markt-Hochs, Slippage ist Ausführungsartefakt
        riskAmount, side,
      });
    }
  }

  close(pair: Pair, ts: number, exitPrice: number, exitReason: ClosedTrade['exitReason']): ClosedTrade {
    const pos = this.positions.get(pair);
    if (!pos) throw new Error(`close ohne Position: ${pair}`);
    let pnl: number;
    let fill: number;
    if (pos.side === 'short') {
      // Deckungskauf: schlechterer Fill = höherer Preis
      fill = exitPrice * (1 + this.exec.slippage);
      const cost = pos.qty * fill;
      const fee = cost * this.exec.feeRate;
      this.cash -= cost + fee;
      pnl = pos.entryCost - (cost + fee);
    } else {
      fill = exitPrice * (1 - this.exec.slippage);
      const proceeds = pos.qty * fill;
      const fee = proceeds * this.exec.feeRate;
      this.cash += proceeds - fee;
      pnl = proceeds - fee - pos.entryCost;
    }
    const trade: ClosedTrade = {
      pair, entryTs: pos.entryTs, entryPrice: pos.entryPrice, exitTs: ts,
      exitPrice: fill, qty: pos.qty, pnl, r: pnl / pos.riskAmount, exitReason, side: pos.side,
    };
    this.trades.push(trade);
    this.positions.delete(pair);
    return trade;
  }

  equity(lastClose: Map<Pair, number>): number {
    let eq = this.cash;
    for (const pos of this.positions.values()) {
      const last = lastClose.get(pos.pair) ?? pos.entryPrice;
      if (pos.side === 'short') {
        // Proceeds already in cash; owe qty×last to close
        eq -= pos.qty * last;
      } else {
        eq += pos.qty * last;
      }
    }
    return eq;
  }
}