# source: https://raw.githubusercontent.com/yydhYYDH/QuantStrategies/7f05ae2160042efdb277a972cd7245ec28c4740d/user_data/strategies/stable/SmallCapStrategy.py
# pragma pylint: disable=missing-docstring, invalid-name
# flake8: noqa
from __future__ import annotations

import logging
from pathlib import Path
import sys
from typing import Dict, Set

import pandas as pd
from freqtrade.strategy import IStrategy

_PROJECT_ROOT = Path(__file__).resolve().parents[2]
if str(_PROJECT_ROOT) not in sys.path:
    sys.path.insert(0, str(_PROJECT_ROOT))

from alpha101.world_quant.Alpha101_code_1 import Alphas
from alpha101.world_quant.fastengine import FastExpressionEngine
from alpha101.data_helper.get_cap import get_pair_market_caps_last_and_update
import numpy as np
logger = logging.getLogger(__name__)
import time


def _setup_strategy_file_logger() -> None:
    log_path = _PROJECT_ROOT / "user_data" / "logs" / "Github_yydhYYDH_QuantStrategies__SmallCapStrategy__20260516_150654.log"
    log_path.parent.mkdir(parents=True, exist_ok=True)

    for handler in logger.handlers:
        if isinstance(handler, logging.FileHandler) and Path(handler.baseFilename) == log_path:
            return

    file_handler = logging.FileHandler(log_path, encoding="utf-8")
    file_handler.setLevel(logging.INFO)
    file_handler.setFormatter(
        logging.Formatter("%(asctime)s - %(name)s - %(levelname)s - %(message)s")
    )
    logger.addHandler(file_handler)
    logger.setLevel(logging.INFO)
    logger.propagate = True

class Github_yydhYYDH_QuantStrategies__SmallCapStrategy__20260516_150654(IStrategy):
    """
    4h single-factor long/short hedging strategy.

    Workflow per 4h session:
    1. Calculate one factor value for each whitelist pair.
    2. Rank cross-section by the factor.
    3. Long top N and short bottom N.
    4. Hold for `hold_bars` bars, then force close.
    """

    INTERFACE_VERSION = 3

    timeframe = "4h"
    process_only_new_candles = True
    can_short = True
    use_exit_signal = True
    startup_candle_count = 200

    leverage_value = 2.0
    minimal_roi = {"0": 0.50}
    stoploss = -0.50
    trailing_stop = False

    top_n_long = 3
    top_n_short = 5
    ranking_retry_wait_secs = 3
    ranking_max_retries = 3
    ranking_missing_retry_threshold = 0.9

    # ------------------------------------------------------------------
    # Single factor expression entry (edit this only)
    # FAST expression examples:
    # "ts_rank(close, 10) - ts_rank(volume, 10)"
    # "rank((close - open) / (open + 1e-12))"
    # ------------------------------------------------------------------
    factor_expression = '''
    fbeta= zscore(ts_sum(max(returns, 0) * min(market_return, 0), 24) / ts_sum(market_return* market_return, 24));
    alpha_cap = zscore(-rank(cap) * rank(sma(volume*close, 20) / cap)  + rank(-cap) * rank(-sma(volume*close, 20) / cap));
    alpha_m2 = -zscore(close / ts_mean(close, 20)* sma(log(log(volume)+1), 20)) ;
    alpha_liquidity = -zscore(ts_sum(volume*vwap,6)/log(cap));
    alpha_adv = zscore(log(ts_mean(close * volume, 6)));
    combined = fbeta+alpha_cap +alpha_m2 + alpha_liquidity + alpha_adv;
    combined
    '''

    unfilledtimeout = {
        "entry": 15,
        "exit": 15,
        "exit_timeout_count": 5,
        # "unit": "seconds"
    }
    http_proxy = None
    https_proxy = None

    def __init__(self, config: dict) -> None:
        super().__init__(config)
        _setup_strategy_file_logger()
        self.session_longs: Dict[pd.Timestamp, Set[str]] = {}
        self.session_shorts: Dict[pd.Timestamp, Set[str]] = {}
        self._last_rank_bar: pd.Timestamp | None = None
        self._last_refresh_attempt_bar: pd.Timestamp | None = None
        self._historical_rankings_until: pd.Timestamp | None = None
        self._last_pair_candle_times: dict[str, pd.Timestamp] = {}

    @staticmethod
    def _pair_key(pair: str) -> str:
        return pair.replace("/", "_").replace(":", "_")

    def leverage(
        self,
        pair,
        current_time,
        current_rate,
        proposed_leverage,
        max_leverage,
        entry_tag,
        side,
        **kwargs,
    ):
        return self.leverage_value

    @staticmethod
    def _pandas_freq(timeframe: str) -> str:
        tf = timeframe.strip().lower()
        if tf.endswith("m"):
            return f"{tf[:-1]}min"
        if tf.endswith("h"):
            return f"{tf[:-1]}h"
        if tf.endswith("d"):
            return f"{tf[:-1]}d"
        return tf

    @staticmethod
    def _bar_time(ts: pd.Timestamp) -> pd.Timestamp:
        return pd.to_datetime(ts, utc=True).floor(Github_yydhYYDH_QuantStrategies__SmallCapStrategy__20260516_150654._pandas_freq(Github_yydhYYDH_QuantStrategies__SmallCapStrategy__20260516_150654.timeframe))

    def _is_backtest_mode(self) -> bool:
        if self.dp is None:
            return False
        return self.dp.runmode.value in {"backtest", "hyperopt", "plot"}

    def _build_engine_wide_data(
        self,
        pairs: list[str],
        end_time: pd.Timestamp,
        *,
        full_history: bool = False,
    ) -> pd.DataFrame:
        logger.info("Building wide data for factor calculation at time %s", end_time)
        required_columns = ["date", "open", "high", "low", "close", "volume"]
        lookback = max(self.startup_candle_count + 20, 250)
        market_caps = get_pair_market_caps_last_and_update(pairs)
        supply_dict = market_caps[["pair", "circulating_supply"]].set_index("pair")[
            "circulating_supply"
        ].to_dict()
        frames = []
        pair_last_dates: list[tuple[str, pd.Timestamp]] = []
        eligible_pairs = [pair for pair in pairs if self._pair_key(pair) in supply_dict]
        skipped_pairs = len(pairs) - len(eligible_pairs)
        if skipped_pairs:
            logger.info("Skipping %d pairs without circulating supply data", skipped_pairs)
        for pair in eligible_pairs:
            df = self.dp.get_pair_dataframe(pair, self.timeframe)
            if df.empty:
                logger.warning("No dataframe cached for pair %s at time %s", pair, end_time)
                continue
            if not all(col in df.columns for col in required_columns):
                logger.warning("Missing base columns in data for pair %s: %s", pair, required_columns)
                continue

            df = df[required_columns].copy()
            df["date"] = pd.to_datetime(df["date"], utc=True)
            df = df[df["date"] <= end_time]
            if not full_history:
                df = df.tail(lookback)
            if df.empty:
                logger.warning("No candles available for pair %s up to %s", pair, end_time)
                continue
            last_candle_time = pd.to_datetime(df["date"].iloc[-1], utc=True)
            pair_last_dates.append((pair, last_candle_time))
            self._last_pair_candle_times[pair] = last_candle_time
            if pd.isna(df["close"].iloc[-1]):
                logger.warning("No close price data for pair %s at time %s", pair, end_time)
                continue

            symbol = self._pair_key(pair)
            supply = supply_dict.get(symbol)
            if pd.isna(supply):
                logger.warning("No circulating supply data for pair %s, skipping", symbol)
                continue

            close_values = df["close"].to_numpy()
            high_values = df["high"].to_numpy()
            low_values = df["low"].to_numpy()
            frame = df.assign(
                symbol=symbol,
                cap=close_values * float(supply),
                vwap=(high_values + low_values + close_values) / 3.0,
            )
            frames.append(frame[["date", "symbol", "open", "high", "low", "close", "volume", "vwap", "cap"]])
        if pair_last_dates:
            latest_pairs = sorted(pair_last_dates, key=lambda item: item[1], reverse=True)[:5]
            earliest_pairs = sorted(pair_last_dates, key=lambda item: item[1])[:5]
            logger.info("Cached pair last candles latest=%s", latest_pairs)
            logger.info("Cached pair last candles earliest=%s", earliest_pairs)
        logger.info(
            "Whitelist pairs=%d eligible_pairs=%d frames_built=%d lookback=%d",
            len(pairs),
            len(eligible_pairs),
            len(frames),
            lookback,
        )
        if not frames:
            return pd.DataFrame()
        panel = pd.concat(frames, ignore_index=True)
        panel = panel.set_index(["date", "symbol"]).sort_index()
        raw_panel_last_ts = pd.to_datetime(panel.index.get_level_values("date"), utc=True).max()
        logger.info("Raw panel latest timestamp=%s", raw_panel_last_ts)
        panel.index = panel.index.set_levels(
            panel.index.levels[1].astype("category"), level=1
        )
        panel = panel.unstack(level='symbol') # 转为宽表
        logger.info("Wide panel latest timestamp=%s", pd.to_datetime(panel.index, utc=True).max())
        logger.info("Wide panel shape=%s", panel.shape)
        return panel

    def _record_session_rankings(self, factor_wide: pd.DataFrame, *, latest_only: bool) -> None:
        factor_wide = factor_wide.sort_index()
        if latest_only:
            snapshots = factor_wide.tail(1)
        else:
            snapshots = factor_wide

        for session_ts, snapshot_row in snapshots.iterrows():
            session = self._bar_time(pd.to_datetime(session_ts, utc=True))
            latest_values = pd.to_numeric(snapshot_row, errors="coerce").dropna()
            if latest_values.empty:
                logger.warning("No valid factor values for session %s", session)
                continue

            long_symbols = set(latest_values.nlargest(self.top_n_long).index.tolist())
            short_symbols = set(latest_values.nsmallest(self.top_n_short).index.tolist())
            # n_pad = 3
            # long_symbols = set(latest_values.nlargest(self.top_n_long+n_pad).nsmallest(self.top_n_long).index.tolist())
            # short_symbols = set(latest_values.nsmallest(self.top_n_short+n_pad).nlargest(self.top_n_short).index.tolist())
            overlap = long_symbols & short_symbols
            self.session_longs[session] = long_symbols - overlap
            self.session_shorts[session] = short_symbols - overlap
            self._last_rank_bar = session

            logger.info(
                "4h rank session=%s long=%s short=%s overlap=%s",
                session,
                ",".join(sorted(self.session_longs[session])),
                ",".join(sorted(self.session_shorts[session])),
                ",".join(sorted(overlap)),
            )

        if not snapshots.empty and not latest_only:
            self._historical_rankings_until = self._bar_time(pd.to_datetime(snapshots.index[-1], utc=True))

    def _refresh_historical_rankings(self, bar_time: pd.Timestamp) -> None:
        session = self._bar_time(bar_time)
        if self._historical_rankings_until is not None and self._historical_rankings_until >= session:
            return

        start_build_data_time = time.perf_counter()
        pairs = self.dp.current_whitelist()
        wide_data = self._build_engine_wide_data(pairs, session, full_history=True)
        if wide_data.empty:
            logger.warning("No valid wide data for historical ranking build at session %s", session)
            return

        try:
            alpha_data = Alphas(wide_data)
            engine = FastExpressionEngine(alpha_data)
            factor_wide = engine.evaluate(self.factor_expression)
        except Exception as exc:
            logger.warning("FastEngine historical factor evaluation failed: %s", exc)
            return

        if not isinstance(factor_wide, pd.DataFrame) or factor_wide.empty:
            logger.warning("Historical factor expression did not return a valid DataFrame at %s", session)
            return

        factor_wide = factor_wide[factor_wide.index <= session]
        if factor_wide.empty:
            logger.warning("No historical factor snapshots available up to %s", session)
            return

        self._record_session_rankings(factor_wide, latest_only=False)
        end_build_data_time = time.perf_counter()
        logger.info(
            "Historical rankings built for %d sessions in %.2f seconds up to %s",
            len(factor_wide),
            end_build_data_time - start_build_data_time,
            session,
        )

    def _refresh_rankings(self, bar_time: pd.Timestamp) -> None:
        start_build_data_time = time.perf_counter()
        session = self._bar_time(bar_time)
        if self._last_rank_bar is not None and self._last_rank_bar >= session:
            return

        pairs = self.dp.current_whitelist()
        factor_wide: pd.DataFrame | None = None
        factor_bar_time: pd.Timestamp | None = None
        lagging_pairs: list[tuple[str, pd.Timestamp]] = []
        latest_pair_count = 0

        for attempt in range(self.ranking_max_retries + 1):
            wide_data = self._build_engine_wide_data(pairs, session)
            if wide_data.empty:
                logger.warning("No valid wide data for session %s", session)
                self._last_rank_bar = None
                return

            try:
                alpha_data = Alphas(wide_data)
                engine = FastExpressionEngine(alpha_data)
                factor_wide = engine.evaluate(self.factor_expression)
            except Exception as exc:
                logger.warning("FastEngine factor evaluation failed: %s", exc)
                self._last_rank_bar = None
                return

            if not isinstance(factor_wide, pd.DataFrame) or factor_wide.empty:
                logger.warning("Factor expression did not return a valid DataFrame at %s", session)
                self._last_rank_bar = None
                return

            factor_wide = factor_wide.sort_index()
            factor_bar_time = pd.to_datetime(factor_wide.index, utc=True).max()
            latest_pair_count = sum(
                1 for candle_time in self._last_pair_candle_times.values() if candle_time == factor_bar_time
            )
            lagging_pairs = sorted(
                [
                    (pair, candle_time)
                    for pair, candle_time in self._last_pair_candle_times.items()
                    if candle_time < factor_bar_time
                ],
                key=lambda item: item[1],
            )
            total_pairs = len(self._last_pair_candle_times)
            missing_ratio = (len(lagging_pairs) / total_pairs) if total_pairs else 0.0
            logger.info("Factor wide latest timestamp=%s", factor_bar_time)
            logger.info(
                "Latest candle coverage target=%s up_to_date=%d lagging=%d total=%d missing_ratio=%.2f attempt=%d/%d",
                factor_bar_time,
                latest_pair_count,
                len(lagging_pairs),
                total_pairs,
                missing_ratio,
                attempt + 1,
                self.ranking_max_retries + 1,
            )
            if lagging_pairs:
                logger.info("Lagging pairs sample=%s", lagging_pairs[:10])

            if missing_ratio <= self.ranking_missing_retry_threshold or attempt == self.ranking_max_retries:
                break

            logger.warning(
                "Lagging pair ratio %.2f exceeds threshold %.2f for session %s. Waiting %ss before retry %d.",
                missing_ratio,
                self.ranking_missing_retry_threshold,
                session,
                self.ranking_retry_wait_secs,
                attempt + 1,
            )
            time.sleep(self.ranking_retry_wait_secs)

        if factor_wide is None or factor_bar_time is None:
            self._last_rank_bar = None
            return

        snapshot = factor_wide[factor_wide.index <= factor_bar_time].tail(1)
        if snapshot.empty:
            logger.warning("No factor snapshot at %s", factor_bar_time)
            self._last_rank_bar = None
            return
        logger.info(
            "Factor snapshot target=%s actual=%s",
            factor_bar_time,
            pd.to_datetime(snapshot.index[-1], utc=True),
        )

        self._record_session_rankings(snapshot, latest_only=True)

        end_build_data_time = time.perf_counter()
        logger.info(f'Factor wide data built in {end_build_data_time - start_build_data_time:.2f} seconds')

    def _ensure_rankings_once_per_bar(self, bar_time: pd.Timestamp) -> None:
        session = self._bar_time(bar_time)
        if self._last_refresh_attempt_bar is not None and self._last_refresh_attempt_bar >= session:
            return
        self._last_refresh_attempt_bar = session
        if self._is_backtest_mode():
            self._refresh_historical_rankings(session)
        else:
            self._refresh_rankings(session)

    def _is_long_signal(self, pair: str, ts: pd.Timestamp) -> bool:
        session = self._bar_time(ts)
        return self._pair_key(pair) in self.session_longs.get(session, set())

    def _is_short_signal(self, pair: str, ts: pd.Timestamp) -> bool:
        session = self._bar_time(ts)
        return self._pair_key(pair) in self.session_shorts.get(session, set())

    def _build_signal_masks(
        self, pair: str, dates: pd.Series
    ) -> tuple[pd.Series, pd.Series, pd.Series]:
        pair_key = self._pair_key(pair)
        sessions = pd.to_datetime(dates, utc=True).dt.floor(self._pandas_freq(self.timeframe))
        long_mask = sessions.map(lambda session: pair_key in self.session_longs.get(session, set()))
        short_mask = sessions.map(lambda session: pair_key in self.session_shorts.get(session, set()))
        should_exit = ~(long_mask | short_mask)
        return long_mask.astype("int8"), short_mask.astype("int8"), should_exit.astype("int8")

    def populate_indicators(self, dataframe: pd.DataFrame, metadata: dict) -> pd.DataFrame:
        logger.debug("Populating indicators for pair %s at time %s", metadata["pair"], dataframe["date"].iloc[-1])
        logger.debug(f"Processing dataframe with {len(dataframe)} rows")
        if dataframe.empty:
            return dataframe
        current_bar = pd.to_datetime(dataframe["date"].iloc[-1], utc=True)
        self._ensure_rankings_once_per_bar(current_bar)

        pair = metadata["pair"]
        signal_long, signal_short, should_exit = self._build_signal_masks(pair, dataframe["date"])
        dataframe["signal_long"] = signal_long
        dataframe["signal_short"] = signal_short
        dataframe["should_exit"] = should_exit
        logger.debug("Current session longs: %s", self.session_longs.get(self._bar_time(current_bar), set()))
        logger.debug("Current session shorts: %s", self.session_shorts.get(self._bar_time(current_bar), set()))

        return dataframe

    def populate_entry_trend(self, dataframe: pd.DataFrame, metadata: dict) -> pd.DataFrame:
        if dataframe.empty:
            return dataframe
        current_bar = pd.to_datetime(dataframe["date"].iloc[-1], utc=True)
        logger.debug("Populating entry trend for pair %s at time %s", metadata["pair"], current_bar)
        logger.debug("Session longs for current bar: %s", self.session_longs.get(self._bar_time(current_bar), set()))
        logger.debug("Session shorts for current bar: %s", self.session_shorts.get(self._bar_time(current_bar), set()))
        dataframe.loc[dataframe["signal_long"] == 1, "enter_long"] = 1
        if self.can_short:
            dataframe.loc[dataframe["signal_short"] == 1, "enter_short"] = 1
        logger.debug(
            "Entry signals populated for pair %s: long=%d, short=%d",
            metadata["pair"],
            int(dataframe["signal_long"].sum()),
            int(dataframe["signal_short"].sum()),
        )
        return dataframe

    def populate_exit_trend(self, dataframe: pd.DataFrame, metadata: dict) -> pd.DataFrame:
        if dataframe.empty:
            return dataframe
        dataframe.loc[dataframe["should_exit"] == 1, "exit_long"] = 1
        dataframe.loc[dataframe["should_exit"] == 1, "exit_short"] = 1
        return dataframe

    def custom_exit(self, pair: str, trade, current_time, current_rate, current_profit, **kwargs):
        # now = pd.to_datetime(current_time, utc=True)
        # self._ensure_rankings_once_per_bar(now)

        # if trade.entry_side == "long" and not self._is_long_signal(pair, now):
        #     return "no_long_signal"
        # if trade.entry_side == "short" and not self._is_short_signal(pair, now):
        #     return "no_short_signal"
        return None