PythagorasGoal/src/live/tsmom_worker.py

"""TsmomWorker (TSM01): consenso TSMOM multi-orizzonte risk-gated, ribilancio giornaliero.
Replica live di tsmom_research.tsmom_sim (horizons 63/126/252, thr 1.0, gross 0.30, SMA100 gate)."""
from __future__ import annotations

import json
from datetime import datetime, timezone
from pathlib import Path

import numpy as np
import pandas as pd

from src.live.rotation_worker import _panel, _warn_panel_short, FEE_RT


class TsmomWorker:
    def __init__(self, universe, horizons=(63, 126, 252), thr=1.0, gross=0.30,
                 regime_n=100, tf="1d", capital=1000.0, fee_rt=FEE_RT,
                 name="TSM01", data_dir=Path("data/portfolio_paper")):
        self.universe = list(universe)
        self.horizons = tuple(horizons)
        self.thr = thr
        self.gross = gross
        self.regime_n = regime_n
        self.tf = tf
        self.initial_capital = capital
        self.capital = capital
        self.fee_rt = fee_rt
        self.worker_id = f"{name}__{tf}"
        self.work_dir = Path(data_dir) / self.worker_id
        self.work_dir.mkdir(parents=True, exist_ok=True)
        self.status_path = self.work_dir / "status.json"
        self.trades_path = self.work_dir / "trades.jsonl"
        self.weights = {a: 0.0 for a in self.universe}
        self.last_bar_ts = 0
        self.in_position = False
        self._panel_warned = False   # dedup WARN panel corto (per episodio, non persistito)
        self._load()

    def _load(self):
        if self.status_path.exists():
            s = json.loads(self.status_path.read_text())
            self.capital = s.get("capital", self.capital)
            self.weights = {**{a: 0.0 for a in self.universe}, **s.get("weights", {})}
            self.last_bar_ts = s.get("last_bar_ts", 0)
        self.in_position = any(v > 0 for v in self.weights.values())

    def _save(self):
        self.status_path.write_text(json.dumps({
            "capital": round(self.capital, 2), "weights": self.weights,
            "in_position": self.in_position,      # per hourly_report (osservabilita')
            "last_bar_ts": self.last_bar_ts,
            "ts": datetime.now(timezone.utc).isoformat()}, indent=2))

    def tick(self, data: dict):
        need = max(max(self.horizons) + 1, self.regime_n + 1)
        panel, cols = _panel(data, self.universe)
        if panel is None or len(panel) < need or "BTC" not in cols:
            self._panel_warned = _warn_panel_short(
                self.worker_id, panel, cols, need, self.last_bar_ts, self._panel_warned)
            return
        self._panel_warned = False
        P = panel[cols].values
        bar_ts = int(panel["timestamp"].iloc[-1])
        if self.last_bar_ts and bar_ts > self.last_bar_ts:
            day_ret = P[-1] / P[-2] - 1.0
            port_r = sum(self.weights.get(cols[k], 0.0) * day_ret[k] for k in range(len(cols)))
            self.capital = max(self.capital * (1.0 + float(port_r)), 10.0)
        btc = P[:, cols.index("BTC")]
        bma = pd.Series(btc).rolling(self.regime_n).mean().values
        risk_on = btc[-1] > bma[-1] if not np.isnan(bma[-1]) else False
        score = np.zeros(len(cols))
        for h in self.horizons:
            score += np.sign(P[-1] / P[-1 - h] - 1.0)
        score /= len(self.horizons)
        chosen = [k for k in range(len(cols)) if score[k] >= self.thr] if risk_on else []
        nw = {a: 0.0 for a in self.universe}
        for k in chosen:
            nw[cols[k]] = self.gross / len(chosen)
        turnover = sum(abs(nw[a] - self.weights.get(a, 0.0)) for a in self.universe)
        self.capital -= self.capital * turnover * (self.fee_rt / 2)
        if turnover > 0:
            self._log(nw, float(self.capital))
        self.weights = nw
        self.last_bar_ts = bar_ts
        self.in_position = any(v > 0 for v in nw.values())
        self._save()

    def _log(self, weights, cap):
        with open(self.trades_path, "a") as f:
            f.write(json.dumps({"ts": datetime.now(timezone.utc).isoformat(),
                                "weights": {a: round(w, 4) for a, w in weights.items() if w > 0},
                                "capital": round(cap, 2)}) + "\n")

    @property
    def status_summary(self):
        held = {a: round(w, 3) for a, w in self.weights.items() if w > 0}
        return f"{self.worker_id}: cap={self.capital:.0f} held={held}"