llm-trade-bot/src/llm_trade_bot/risk.py

from __future__ import annotations

from decimal import ROUND_DOWN, Decimal

from llm_trade_bot.models import (
    AccountSnapshot,
    Category,
    InstrumentRules,
    OpenTradeRequest,
    OrderType,
    Side,
    ValidatedOrder,
)


class OrderRejected(ValueError):
    """Raised when an order cannot be represented by the selected exchange."""


class OrderValidator:
    def validate_open(
        self,
        request: OpenTradeRequest,
        account: AccountSnapshot,
        instrument: InstrumentRules,
        quote_notional: Decimal | None = None,
        available_balance_percent: Decimal | None = None,
    ) -> ValidatedOrder:
        if account.equity <= 0:
            raise OrderRejected("Account equity must be positive")
        if request.order_type is OrderType.LIMIT and request.limit_price is None:
            raise OrderRejected("Limit order requires limit_price")

        entry = request.limit_price if request.order_type is OrderType.LIMIT else request.reference_price
        if entry is None or entry <= 0 or request.stop_loss <= 0:
            raise OrderRejected("Entry and stop-loss prices must be positive")
        self._validate_protection(request, entry)

        leverage = Decimal(1) if request.category is Category.SPOT else request.leverage
        if leverage < 1 or leverage > instrument.max_leverage:
            raise OrderRejected(f"Leverage must be between 1 and {instrument.max_leverage}")

        if quote_notional is not None and available_balance_percent is not None:
            raise OrderRejected("Set either quote_notional or available_balance_percent, not both")
        if quote_notional is not None and quote_notional <= 0:
            raise OrderRejected("quote_notional must be positive")
        if available_balance_percent is not None and not 0 < available_balance_percent <= 100:
            raise OrderRejected("available_balance_percent must be in (0, 100]")

        maximum_notional = account.available_balance * leverage
        if quote_notional is not None:
            requested_notional = quote_notional
        elif available_balance_percent is not None:
            requested_notional = maximum_notional * available_balance_percent / Decimal(100)
        else:
            requested_notional = maximum_notional
        if requested_notional > maximum_notional:
            raise OrderRejected(
                f"Requested quote notional {requested_notional} exceeds available buying power "
                f"{maximum_notional} (available_balance={account.available_balance}, leverage={leverage})"
            )

        quantity = requested_notional / entry
        quantity = _round_down(quantity, instrument.qty_step)
        notional = quantity * entry
        if quantity < instrument.min_qty:
            raise OrderRejected(
                f"Calculated quantity {quantity} is below instrument minimum {instrument.min_qty} "
                f"(available_balance={account.available_balance}, leverage={leverage}, entry_price={entry})"
            )
        if notional < instrument.min_notional:
            raise OrderRejected(
                f"Calculated notional {notional} is below instrument minimum {instrument.min_notional} "
                f"(available_balance={account.available_balance}, quantity={quantity}, entry_price={entry})"
            )

        rounded_entry = _round_price(entry, instrument.tick_size)
        stop = _round_price(request.stop_loss, instrument.tick_size)
        take_profit = (
            _round_price(request.take_profit, instrument.tick_size) if request.take_profit is not None else None
        )
        trailing = (
            _round_price(request.trailing_distance, instrument.tick_size)
            if request.trailing_distance is not None
            else None
        )
        rounded_request = OpenTradeRequest(
            request.category,
            request.symbol,
            request.side,
            request.order_type,
            rounded_entry,
            rounded_entry if request.order_type is OrderType.LIMIT else None,
            stop,
            take_profit,
            trailing,
            leverage,
            request.rationale,
        )
        self._validate_protection(rounded_request, rounded_entry)
        return ValidatedOrder(
            rounded_entry,
            quantity,
            quantity * rounded_entry,
            stop,
            take_profit,
            trailing,
            leverage,
        )

    @staticmethod
    def _validate_protection(request: OpenTradeRequest, entry: Decimal) -> None:
        if request.side is Side.BUY:
            if request.stop_loss >= entry:
                raise OrderRejected("Buy stop-loss must be below entry")
            if request.take_profit is not None and request.take_profit <= entry:
                raise OrderRejected("Buy take-profit must be above entry")
        else:
            if request.stop_loss <= entry:
                raise OrderRejected("Sell stop-loss must be above entry")
            if request.take_profit is not None and request.take_profit >= entry:
                raise OrderRejected("Sell take-profit must be below entry")

        if request.category is Category.SPOT:
            if request.take_profit is None:
                raise OrderRejected("Spot entry requires take-profit")
            if request.trailing_distance is not None:
                raise OrderRejected("Trailing stop is not supported for Spot")
        elif request.take_profit is None and request.trailing_distance is None:
            raise OrderRejected("Linear entry requires take-profit or trailing stop")
        if request.trailing_distance is not None and request.trailing_distance <= 0:
            raise OrderRejected("Trailing distance must be positive")


def _round_down(value: Decimal, step: Decimal) -> Decimal:
    if step <= 0:
        raise OrderRejected("Instrument step must be positive")
    return (value / step).to_integral_value(rounding=ROUND_DOWN) * step


def _round_price(value: Decimal, tick: Decimal) -> Decimal:
    return _round_down(value, tick)