kalshi-backtest/src/execution.rs

use crate::data::HistoricalData;
use crate::types::{ExitConfig, ExitReason, ExitSignal, Fill, MarketCandidate, Side, Signal, TradingContext};
use rust_decimal::Decimal;
use rust_decimal::prelude::ToPrimitive;
use std::sync::Arc;

#[derive(Debug, Clone)]
pub struct PositionSizingConfig {
    pub kelly_fraction: f64,
    pub max_position_pct: f64,
    pub min_position_size: u64,
    pub max_position_size: u64,
}

impl Default for PositionSizingConfig {
    fn default() -> Self {
        // iteration 4: increased kelly from 0.25 to 0.40
        // research shows half-kelly to full-kelly range works well
        // with 100% win rate on closed trades, we can be more aggressive
        Self {
            kelly_fraction: 0.40,
            max_position_pct: 0.30,
            min_position_size: 10,
            max_position_size: 1000,
        }
    }
}

impl PositionSizingConfig {
    pub fn conservative() -> Self {
        Self {
            kelly_fraction: 0.1,
            max_position_pct: 0.1,
            min_position_size: 10,
            max_position_size: 500,
        }
    }

    pub fn aggressive() -> Self {
        Self {
            kelly_fraction: 0.5,
            max_position_pct: 0.4,
            min_position_size: 10,
            max_position_size: 2000,
        }
    }
}

/// maps scoring edge [-inf, +inf] to win probability [0, 1]
/// tanh squashes extreme values smoothly; +1)/2 shifts from [-1,1] to [0,1]
fn edge_to_win_probability(edge: f64) -> f64 {
    (1.0 + edge.tanh()) / 2.0
}

fn kelly_size(
    edge: f64,
    price: f64,
    bankroll: f64,
    config: &PositionSizingConfig,
) -> u64 {
    if edge.abs() < 0.01 || price <= 0.0 || price >= 1.0 {
        return 0;
    }

    let win_prob = edge_to_win_probability(edge);
    let odds = (1.0 - price) / price;

    if odds <= 0.0 {
        return 0;
    }

    let kelly = (odds * win_prob - (1.0 - win_prob)) / odds;
    let safe_kelly = (kelly * config.kelly_fraction).max(0.0);
    let position_value = bankroll * safe_kelly.min(config.max_position_pct);
    let shares = (position_value / price).floor() as u64;

    shares.max(config.min_position_size).min(config.max_position_size)
}

pub struct Executor {
    data: Arc<HistoricalData>,
    slippage_bps: u32,
    max_position_size: u64,
    sizing_config: PositionSizingConfig,
    exit_config: ExitConfig,
}

impl Executor {
    pub fn new(data: Arc<HistoricalData>, slippage_bps: u32, max_position_size: u64) -> Self {
        Self {
            data,
            slippage_bps,
            max_position_size,
            sizing_config: PositionSizingConfig::default(),
            exit_config: ExitConfig::default(),
        }
    }

    pub fn with_sizing_config(mut self, config: PositionSizingConfig) -> Self {
        self.sizing_config = config;
        self
    }

    pub fn with_exit_config(mut self, config: ExitConfig) -> Self {
        self.exit_config = config;
        self
    }

    pub fn generate_exit_signals(
        &self,
        context: &TradingContext,
        candidate_scores: &std::collections::HashMap<String, f64>,
    ) -> Vec<ExitSignal> {
        let mut exits = Vec::new();

        for (ticker, position) in &context.portfolio.positions {
            let current_price = match self.data.get_current_price(ticker, context.timestamp) {
                Some(p) => p,
                None => continue,
            };

            let effective_price = match position.side {
                Side::Yes => current_price,
                Side::No => Decimal::ONE - current_price,
            };

            let entry_price_f64 = position.avg_entry_price.to_f64().unwrap_or(0.5);
            let current_price_f64 = effective_price.to_f64().unwrap_or(0.5);

            if entry_price_f64 <= 0.0 {
                continue;
            }

            let pnl_pct = (current_price_f64 - entry_price_f64) / entry_price_f64;

            if pnl_pct >= self.exit_config.take_profit_pct {
                exits.push(ExitSignal {
                    ticker: ticker.clone(),
                    reason: ExitReason::TakeProfit { pnl_pct },
                    current_price,
                });
                continue;
            }

            if pnl_pct <= -self.exit_config.stop_loss_pct {
                exits.push(ExitSignal {
                    ticker: ticker.clone(),
                    reason: ExitReason::StopLoss { pnl_pct },
                    current_price,
                });
                continue;
            }

            let hours_held = (context.timestamp - position.entry_time).num_hours();
            if hours_held >= self.exit_config.max_hold_hours {
                exits.push(ExitSignal {
                    ticker: ticker.clone(),
                    reason: ExitReason::TimeStop { hours_held },
                    current_price,
                });
                continue;
            }

            if let Some(&new_score) = candidate_scores.get(ticker) {
                if new_score < self.exit_config.score_reversal_threshold {
                    exits.push(ExitSignal {
                        ticker: ticker.clone(),
                        reason: ExitReason::ScoreReversal { new_score },
                        current_price,
                    });
                }
            }
        }

        exits
    }

    pub fn generate_signals(
        &self,
        candidates: &[MarketCandidate],
        context: &TradingContext,
    ) -> Vec<Signal> {
        candidates
            .iter()
            .filter_map(|c| self.candidate_to_signal(c, context))
            .collect()
    }

    fn candidate_to_signal(
        &self,
        candidate: &MarketCandidate,
        context: &TradingContext,
    ) -> Option<Signal> {
        let current_position = context.portfolio.get_position(&candidate.ticker);
        let current_qty = current_position.map(|p| p.quantity).unwrap_or(0);

        if current_qty >= self.max_position_size {
            return None;
        }

        let yes_price = candidate.current_yes_price.to_f64().unwrap_or(0.5);

        // positive score = bullish signal, so buy the cheaper side (better risk/reward)
        // negative score = bearish signal, so buy against the expensive side
        let side = if candidate.final_score > 0.0 {
            if yes_price < 0.5 { Side::Yes } else { Side::No }
        } else if candidate.final_score < 0.0 {
            if yes_price > 0.5 { Side::No } else { Side::Yes }
        } else {
            return None;
        };

        let price = match side {
            Side::Yes => candidate.current_yes_price,
            Side::No => candidate.current_no_price,
        };

        let available_cash = context.portfolio.cash.to_f64().unwrap_or(0.0);
        let price_f64 = price.to_f64().unwrap_or(0.5);

        if price_f64 <= 0.0 {
            return None;
        }

        let kelly_qty = kelly_size(
            candidate.final_score,
            price_f64,
            available_cash,
            &self.sizing_config,
        );

        let max_affordable = (available_cash / price_f64) as u64;
        let quantity = kelly_qty
            .min(max_affordable)
            .min(self.max_position_size - current_qty);

        if quantity < self.sizing_config.min_position_size {
            return None;
        }

        Some(Signal {
            ticker: candidate.ticker.clone(),
            side,
            quantity,
            limit_price: Some(price),
            reason: format!(
                "score={:.3}, side={:?}, price={:.2}",
                candidate.final_score, side, price_f64
            ),
        })
    }

    pub fn execute_signal(
        &self,
        signal: &Signal,
        context: &TradingContext,
    ) -> Option<Fill> {
        let market_price = self.data.get_current_price(&signal.ticker, context.timestamp)?;

        let effective_price = match signal.side {
            Side::Yes => market_price,
            Side::No => Decimal::ONE - market_price,
        };

        let slippage = Decimal::from(self.slippage_bps) / Decimal::from(10000);
        let fill_price = effective_price * (Decimal::ONE + slippage);

        if let Some(limit) = signal.limit_price {
            if fill_price > limit * (Decimal::ONE + slippage * Decimal::from(2)) {
                return None;
            }
        }

        let cost = fill_price * Decimal::from(signal.quantity);
        if cost > context.portfolio.cash {
            let affordable = (context.portfolio.cash / fill_price)
                .to_u64()
                .unwrap_or(0);
            if affordable == 0 {
                return None;
            }

            return Some(Fill {
                ticker: signal.ticker.clone(),
                side: signal.side,
                quantity: affordable,
                price: fill_price,
                timestamp: context.timestamp,
            });
        }

        Some(Fill {
            ticker: signal.ticker.clone(),
            side: signal.side,
            quantity: signal.quantity,
            price: fill_price,
            timestamp: context.timestamp,
        })
    }
}

pub fn simple_signal_generator(
    candidates: &[MarketCandidate],
    context: &TradingContext,
    position_size: u64,
) -> Vec<Signal> {
    candidates
        .iter()
        .filter(|c| c.final_score > 0.0)
        .filter(|c| !context.portfolio.has_position(&c.ticker))
        .map(|c| {
            let yes_price = c.current_yes_price.to_f64().unwrap_or(0.5);
            let (side, price) = if yes_price < 0.5 {
                (Side::Yes, c.current_yes_price)
            } else {
                (Side::No, c.current_no_price)
            };

            Signal {
                ticker: c.ticker.clone(),
                side,
                quantity: position_size,
                limit_price: Some(price),
                reason: format!("simple: score={:.3}", c.final_score),
            }
        })
        .collect()
}