apple-quant-algorithmic 0.3.0

use std::range::Range;

use apple_quant_core::{log::warn, TimeDeltaExt};

use chrono::Duration;
use smallvec::SmallVec;
use tracing::instrument;

use crate::{
	timestamp::{Timestamp, TradeTimestamped},
	aggregation::TradeTradeTimestamp, aggregation_std::StdTrades,
	binned::FlexBinnedTimePointData, binned_method::BinnedPoint, hot::FixedHotData,
};

use super::InstrumentSpec;

/// Primary hot storage of securities enabled foundational data used for further aggregation and
/// permanent storage.
pub struct InstrumentData<
	'instrument_data: 'aggregated_data,
	'aggregated_data,
	IS: InstrumentSpec,
> {
	latest_trades_count: usize,

	trades: Box<FixedHotData<
		'instrument_data,
		'aggregated_data,
		100,
		IS,
		StdTrades<'instrument_data, IS>,
		TradeTradeTimestamp<IS>,
	>>,

	binned_trades: FlexBinnedTimePointData<
		'instrument_data,
		'aggregated_data,
		IS,
		TradeTradeTimestamp<IS>,
		StdTrades<'instrument_data, IS>,
		const {
			Duration::hours(1)
				.num_nanoseconds()
				.unwrap() as u64
		},
	>,

	walk_previous_end_timestamp: Option<Timestamp>,
}

impl<
	'instrument_data,
	'aggregated_data,
	IS: InstrumentSpec,
> InstrumentData<
	'instrument_data,
	'aggregated_data,
	IS,
> {
	pub fn new_trades_binned(
		&mut self,
		data: impl ExactSizeIterator<Item = TradeTradeTimestamp<IS>>,
	) {
		self.binned_trades.insert(data);
	}

	pub fn walk_new_trades(
		&mut self,
		data: impl ExactSizeIterator<Item = TradeTradeTimestamp<IS>>,
	) {
		self.latest_trades_count = data.len().min(self.trades.capacity());
		self.trades.append_manual(data);
	}

	pub fn initialize_walk(
		&mut self,
		start_timestamp: Timestamp,
	) {
		self.walk_previous_end_timestamp = Some(start_timestamp);
		self.trades.clear();
	}

	#[instrument(skip_all)]
	pub async fn walk<const INTERVAL_NS: u64>(
		&mut self,
		walk_end_timestamp: &Timestamp,
	) -> Option<&Timestamp> {
		let start_timestamp = self.walk_previous_end_timestamp.unwrap();

		if start_timestamp >= *walk_end_timestamp {
			if start_timestamp > *walk_end_timestamp {
				warn!("Walk attempted when already past end timestamp.");
			}

			return None;
		}

		let mut end_timestamp = start_timestamp +
			Duration::nanoseconds_i128(INTERVAL_NS as i128).unwrap();

		end_timestamp = end_timestamp.min(*walk_end_timestamp);
		self.walk_previous_end_timestamp = Some(end_timestamp);

		let Ok(
			binned_trades,
		) = self.binned_trades.iter(Range {
			start: &start_timestamp,
			end: &end_timestamp,
		}) else {
			return self.walk_previous_end_timestamp.as_ref();
		};

		let latest_trades: SmallVec<[TradeTradeTimestamp<IS>; 100]> = binned_trades.cloned().collect();

		self.latest_trades_count = latest_trades.len().min(self.trades.capacity());
		self.trades.append_manual(latest_trades.into_iter());
		self.walk_previous_end_timestamp.as_ref()
	}

	pub fn iter_recent_latest_trades_forward(
		&self,
	) -> impl ExactSizeIterator<Item = &TradeTradeTimestamp<IS>> + Clone {
		let count = self.latest_trades_count.min(self.trades.len());

		debug_assert!(count <= self.trades.as_ref().len());

		let start_idx = self.trades.len() - count;

		self.trades.forward_slice()[start_idx..].into_iter()
	}

	pub fn iter_recent_trades_forward(
		&self,
		count: Option<usize>,
	) -> impl ExactSizeIterator<Item = &TradeTradeTimestamp<IS>> + Clone {
		let count = count
			.unwrap_or(self.trades.len())
			.min(self.trades.len());

		debug_assert!(count <= self.trades.as_ref().len());

		let start_idx = self.trades.len() - count;

		self.trades.forward_slice()[start_idx..].into_iter()
	}

	pub fn iter_reaggregate_trade_forward<T: TradeTimestamped>(
		&self,
		aggregation: &T,
	) -> impl Iterator<Item = &TradeTradeTimestamp<IS>> {
		self.reaggregate_trade_forward_slice(aggregation).iter()
	}

	pub fn reaggregate_trade_forward_slice<T: TradeTimestamped>(
		&self,
		aggregation: &T,
	) -> &[TradeTradeTimestamp<IS>] {
		self.trades.forward_slice_from(|
			trade_trade_timestamp,
		| trade_trade_timestamp.trade_timestamp() < aggregation.trade_timestamp())
	}

	pub fn iter_recent_trades_backward(
		&self,
		count: Option<usize>,
	) -> impl Iterator<Item = &TradeTradeTimestamp<IS>> {
		let count = count
			.unwrap_or(self.trades.len())
			.min(self.trades.len());

		debug_assert!(count <= self.trades.as_ref().len());
		self.trades.as_ref().iter_rev().take(count)
	}

	pub fn trades_forward_slice_from<P: FnMut(&TradeTradeTimestamp<IS>) -> bool>(
		&self,
		exclude: P,
	) -> &[TradeTradeTimestamp<IS>] {
		self.trades.forward_slice_from(exclude)
	}

	pub fn trades_forward_slice(
		&self,
	) -> &[TradeTradeTimestamp<IS>] {
		self.trades.forward_slice()
	}

	pub fn trades_new_recent_forward_slice(
		&self,
	) -> &[TradeTradeTimestamp<IS>] {
		let trade_trade_timestamps = self.trades_forward_slice();

		debug_assert!(self.latest_trades_count <= trade_trade_timestamps.len());

		let first_idx = trade_trade_timestamps.len() - self.latest_trades_count;

		&trade_trade_timestamps[first_idx..]
	}
}

impl<
	'instrument_data: 'aggregated_data,
	'aggregated_data,
	IS: InstrumentSpec,
> Default for InstrumentData<
	'instrument_data,
	'aggregated_data,
	IS,
> {
	fn default() -> Self {
		Self {
			walk_previous_end_timestamp: None,
			trades: Box::new(FixedHotData::default()),
			binned_trades: FlexBinnedTimePointData::default(),
			latest_trades_count: 0,
		}
	}
}