trade-kuns/src/server/live/process-cycle.ts

import type { Candle, Pair } from '../types';
import { PAIRS } from '../types';
import { aggregate4h, H4 } from '../market/aggregate';
import { computeIndicators, evaluateAt, type StrategyParams } from '../strategy/donchian-trend';
import { updateChandelier } from '../strategy/chandelier';
import { sizePosition, type RiskConfig } from '../engine/sizing';
import { Portfolio, type ClosedTrade, type ExecConfig, type Position } from '../engine/portfolio';

export interface LiveState {
  cash: number;
  positions: Position[];
  cursorTs: number; // ts der letzten verarbeiteten 15m-Candle
}

export interface CycleConfig {
  risk: RiskConfig;
  exec: ExecConfig;
  params: StrategyParams;
  maxPositions: number;
}

export interface Decision {
  pair: Pair;
  barTs: number; // Start der bewerteten 4h-Bar
  signal: 'long' | null;
  blockedBy: string | null;
  close: number;
  atr: number;
  adx: number;
  donchianHigh: number;
  trendEma: number;
}

export interface EquitySnapshot {
  ts: number; // 4h-Bucket
  equity: number;
  cash: number;
}

export interface CycleResult {
  cash: number;
  positions: Position[];
  cursorTs: number;
  closedTrades: ClosedTrade[];
  decisions: Decision[];
  equitySnapshots: EquitySnapshot[];
  equity: number;
}

/**
 * Verarbeitet alle 15m-Candles mit ts > cursor — identische Semantik wie der
 * Backtest-Runner: 4h-Bars eines Pairs werden verarbeitet, sobald dessen erste
 * 15m-Candle eines späteren Buckets eintrifft (Chandelier-Update → Entry-Eval),
 * danach 15m-Stop-Check. Pure Funktion: gleicher Input → gleiches Ergebnis.
 *
 * candles15ByPair muss Warmup-Historie VOR dem Cursor enthalten (≥ trendEmaPeriod
 * 4h-Bars), sonst blockiert insufficient_data.
 */
export function processCycle(
  candles15ByPair: Map<Pair, Candle[]>,
  state: LiveState,
  cfg: CycleConfig,
): CycleResult {
  const portfolio = new Portfolio(state.cash, cfg.exec);
  for (const pos of state.positions) portfolio.positions.set(pos.pair, { ...pos });

  const decisions: Decision[] = [];
  const equitySnapshots: EquitySnapshot[] = [];
  const lastClose = new Map<Pair, number>();
  const cursorBucket = Math.floor(state.cursorTs / H4) * H4;

  const contexts = PAIRS.filter((p) => candles15ByPair.has(p)).map((pair) => {
    const c15 = candles15ByPair.get(pair)!;
    const c4h = aggregate4h(c15);
    // 4h-Bars vor dem Cursor-Bucket gelten als in früheren Zyklen verarbeitet
    let next4h = 0;
    while (next4h < c4h.length && c4h[next4h].ts < cursorBucket) next4h++;
    // lastClose mit der letzten Candle ≤ Cursor seeden (für Equity offener Positionen)
    for (const c of c15) {
      if (c.ts > state.cursorTs) break;
      lastClose.set(pair, c.close);
    }
    return { pair, c4h, ind: computeIndicators(c4h, cfg.params), next4h };
  });
  const byPair = new Map<Pair, (typeof contexts)[number]>(contexts.map((c) => [c.pair, c]));

  const timeline: { ts: number; pair: Pair; candle: Candle }[] = [];
  for (const ctx of contexts) {
    for (const candle of candles15ByPair.get(ctx.pair)!) {
      if (candle.ts > state.cursorTs) timeline.push({ ts: candle.ts, pair: ctx.pair, candle });
    }
  }
  timeline.sort((a, b) => a.ts - b.ts || PAIRS.indexOf(a.pair as (typeof PAIRS)[number]) - PAIRS.indexOf(b.pair as (typeof PAIRS)[number]));

  let cursorTs = state.cursorTs;
  let lastEquityBucket = -1;

  for (const { ts, pair, candle } of timeline) {
    const ctx = byPair.get(pair)!;
    const bucket = Math.floor(ts / H4) * H4;

    // 1) Neu abgeschlossene 4h-Bars dieses Pairs
    while (ctx.next4h < ctx.c4h.length && ctx.c4h[ctx.next4h].ts < bucket) {
      const i = ctx.next4h++;
      const bar = ctx.c4h[i];

      const pos = portfolio.positions.get(pair);
      if (pos) {
        const next = updateChandelier(
          { highestHigh: pos.trailExtreme, stop: pos.stop },
          bar.high,
          ctx.ind.atr[i],
          cfg.params.atrMultiplier,
        );
        pos.trailExtreme = next.highestHigh;
        pos.stop = next.stop;
      }

      const ev = evaluateAt(ctx.c4h, ctx.ind, i, cfg.params, false);
      const signal = ev.signal === 'long' ? 'long' : null;
      let blockedBy: string | null = ev.blockedBy;
      if (portfolio.positions.has(pair)) {
        blockedBy = 'position_open';
      } else if (signal) {
        if (portfolio.positions.size >= cfg.maxPositions) {
          blockedBy = 'max_positions';
        } else {
          const initialStop = ev.close - cfg.params.atrMultiplier * ev.atr;
          const equity = portfolio.equity(lastClose);
          const s = sizePosition(equity, portfolio.cash, ev.close, initialStop, cfg.risk, 'long');
          blockedBy = s.blockedBy;
          if (!s.blockedBy) portfolio.open(pair, bar.ts + H4, ev.close, initialStop, s.qty, s.riskAmount, 'long');
        }
      }
      decisions.push({
        pair, barTs: bar.ts, signal, blockedBy,
        close: ev.close, atr: ev.atr, adx: ev.adx, donchianHigh: ev.donchianHigh, trendEma: ev.trendEma,
      });
    }

    // 2) Stop-Check auf der 15m-Candle (auch auf der Entry-Candle, wie im Runner)
    const pos = portfolio.positions.get(pair);
    if (pos && candle.low <= pos.stop) {
      const exitPrice = candle.open < pos.stop ? candle.open : pos.stop; // Gap → schlechterer Fill
      portfolio.close(pair, ts, exitPrice, 'trailing_stop');
    }

    lastClose.set(pair, candle.close);
    cursorTs = Math.max(cursorTs, ts);

    // 3) Equity-Punkt einmal pro 4h-Bucket
    if (bucket !== lastEquityBucket) {
      lastEquityBucket = bucket;
      equitySnapshots.push({ ts: bucket, equity: portfolio.equity(lastClose), cash: portfolio.cash });
    }
  }

  return {
    cash: portfolio.cash,
    positions: [...portfolio.positions.values()],
    cursorTs,
    closedTrades: portfolio.trades,
    decisions,
    equitySnapshots,
    equity: portfolio.equity(lastClose),
  };
}