src/features/passive_orders.py

"""
阶段1：被动单聚合。

利用上交所 L2 语义——被动方 order_id 才是真实的挂单 ID：
  - active_buy  → ask_order_id（卖方限价单被吃掉）
  - active_sell → bid_order_id（买方限价单被吃掉）

按被动方 order_id 聚合，提取每笔被动挂单的行为指纹特征。
"""

from __future__ import annotations

import numpy as np
import pandas as pd


def compute_vwap(trades: pd.DataFrame) -> float:
    """从 trades 计算当日 VWAP（成交量加权均价）。"""
    valid = trades
    if "is_cancellation" in trades.columns:
        valid = trades[~trades["is_cancellation"]]
    if valid.empty:
        return np.nan
    qty = valid["qty"].astype(float)
    return float((valid["price"] * qty).sum() / qty.sum())


def _compute_amount(trades: pd.DataFrame) -> pd.Series:
    """成交额 = price * qty（yuan）。"""
    return trades["price"].astype(float) * trades["qty"].astype(float)


def extract_passive_orders(
    trades: pd.DataFrame,
    vwap: float | None = None,
) -> pd.DataFrame:
    """
    从单日 trades 提取被动单特征。

    Args:
        trades: 单日逐笔成交 DataFrame。
                必须有列: bs_flag_desc, bid_order_id, ask_order_id,
                          price, amount, time_ms
        vwap: 当日 VWAP。为 None 则自动计算。

    Returns:
        DataFrame，每行一个被动 order_id，含行为指纹特征。
    """
    if vwap is None or np.isnan(vwap):
        vwap = compute_vwap(trades)

    # 过滤撤单 + 空 bs_flag_desc（集合竞价/中性）
    if "is_cancellation" in trades.columns:
        trades = trades[~trades["is_cancellation"]]
    trades = trades[trades["bs_flag_desc"].isin(["active_buy", "active_sell"])].copy()

    # 计算成交额
    trades["_amount"] = _compute_amount(trades)

    rows = []

    # active_buy → ask_order_id 是真正的卖方挂单（被动卖出）
    buy_trades = trades[trades["bs_flag_desc"] == "active_buy"]
    rows.extend(_aggregate_side(buy_trades, "ask_order_id", "ask", vwap))

    # active_sell → bid_order_id 是真正的买方挂单（被动买入=承接）
    sell_trades = trades[trades["bs_flag_desc"] == "active_sell"]
    rows.extend(_aggregate_side(sell_trades, "bid_order_id", "bid", vwap))

    df = pd.DataFrame(rows)
    if df.empty:
        return df

    # 日内时段归一化 [0, 1]：9:30=0, 15:00=1
    df["time_centroid"] = (df["time_centroid_raw"] - 34_200_000) / (
        54_000_000 - 34_200_000
    )
    df["time_centroid"] = df["time_centroid"].clip(0, 1)

    # 价格偏离 (bps)
    if vwap and not np.isnan(vwap):
        df["avg_price_bps"] = ((df["avg_price"] / vwap) - 1) * 10000
    else:
        df["avg_price_bps"] = 0.0

    # 对数额外特征
    df["log_amount"] = np.log1p(df["total_amount"])
    df["log_duration"] = np.log1p(df["duration_sec"])
    df["log_trade_count"] = np.log1p(df["trade_count"])

    # 过滤无意义的单笔单（无节奏信息）
    df["cv_interval"] = df["cv_interval"].fillna(0)

    return df


def _aggregate_side(
    trades: pd.DataFrame,
    passive_col: str,
    side: str,
    vwap: float,
) -> list[dict]:
    """聚合某个方向（bid 或 ask）的被动单。"""
    rows = []
    for oid, grp in trades.groupby(passive_col):
        if oid == 0:
            continue  # 跳过无效 order_id
        grp = grp.sort_values("time_ms")
        times = grp["time_ms"].values.astype(float)
        prices = grp["price"].values.astype(float)
        qtys = grp["qty"].values.astype(float)
        amounts = grp["_amount"].values.astype(float)

        # 成交间隔
        if len(times) > 1:
            intervals = np.diff(times) / 1000.0  # 秒
            cv = float(intervals.std() / intervals.mean()) if intervals.mean() > 0 else 0.0
        else:
            cv = 0.0

        # VWAP for this passive order (weighted by qty)
        total_qty = qtys.sum()
        order_vwap = float(np.average(prices, weights=qtys)) if total_qty > 0 else prices.mean()

        rows.append({
            "order_id": int(oid),
            "side": side,
            "total_amount": float(amounts.sum()),
            "total_qty": float(total_qty),
            "avg_price": order_vwap,
            "trade_count": len(grp),
            "time_centroid_raw": float(np.average(times, weights=amounts)) if amounts.sum() > 0 else float(times.mean()),
            "first_time_ms": int(times.min()),
            "last_time_ms": int(times.max()),
            "duration_sec": float((times.max() - times.min()) / 1000.0),
            "cv_interval": cv,
            "price_min": float(prices.min()),
            "price_max": float(prices.max()),
            "price_range_bps": float((prices.max() - prices.min()) / vwap * 10000) if vwap and vwap > 0 else 0.0,
        })

    return rows


def select_candidates(
    passive_orders: pd.DataFrame,
    top_n: int = 150,
) -> pd.DataFrame:
    """取成交额 top N 的被动单作为主力候选。"""
    if passive_orders.empty:
        return passive_orders
    return passive_orders.nlargest(top_n, "total_amount").copy()


# 聚类 & 匹配用的 7 维特征列
FEATURE_COLS = [
    "log_amount",
    "avg_price_bps",
    "time_centroid",
    "log_duration",
    "cv_interval",
    "side_num",      # 0=bid, 1=ask — clustering 阶段填入
    "price_range_bps",
]


def prepare_features(candidates: pd.DataFrame) -> np.ndarray:
    """将候选 DataFrame 转为 (N, 7) 聚类特征矩阵。"""
    df = candidates.copy()
    df["side_num"] = df["side"].map({"bid": 0, "ask": 1}).fillna(0.5)
    # 日级 min-max 归一化
    feats = df[FEATURE_COLS].values.astype(np.float64)
    # 处理 inf/nan
    feats = np.nan_to_num(feats, nan=0.0, posinf=0.0, neginf=0.0)
    # 每列 min-max
    f_min = feats.min(axis=0, keepdims=True)
    f_max = feats.max(axis=0, keepdims=True)
    denom = f_max - f_min
    denom[denom == 0] = 1.0
    feats = (feats - f_min) / denom
    return feats