src/tracking/entity_tracker.py

"""
阶段4+5：实体追踪 + 仓位方向推断。

跨日追踪行为指纹实体，推断主力仓位变化方向。
"""

from __future__ import annotations

from collections import defaultdict
from typing import Dict, List, Optional, Tuple

import json
import os
import pickle
from typing import Dict, List, Tuple

import numpy as np
import pandas as pd


class EntityTracker:
    """跨日实体追踪器。维护从每日簇到持久实体的映射。

    持久化说明：
      - save_state() 保存完整状态为 pickle（可恢复继续追踪）
      - 数据表通过 get_*() 方法导出为 parquet（浏览/分析用）
    """

    def __init__(self, inactive_threshold: int = 5):
        self.inactive_threshold = inactive_threshold

        # entity_id → EntityInfo
        self.entities: Dict[int, dict] = {}

        # (date, cluster_id) → entity_id
        self.cluster_registry: Dict[Tuple[int, int], int] = {}

        # date → set of entity_ids active that day
        self.daily_active: Dict[int, set] = defaultdict(set)

        # date → list of matches recorded
        self.daily_matches: Dict[int, list] = defaultdict(list)

        self._next_eid = 0

        # accumulated daily signals
        self._processed_dates: List[int] = []

        # metadata
        self.meta: dict = {
            "version": 1,
            "stock": "600809.SH",
            "inactive_threshold": inactive_threshold,
        }

    # ---- public API ----

    def process_day(
        self,
        date: int,
        clusters: Dict[int, dict],
        matches: List[Tuple[int, int, int, float]],
        # matches: [(prev_date, prev_cid, curr_cid, cost), ...]
    ) -> Dict[int, int]:
        """
        处理一个交易日。

        Args:
            date: 当前日期 YYYYMMDD
            clusters: {cid: centroid_info_dict} 当日聚类结果
            matches: 跨日匹配对列表

        Returns:
            {cid: entity_id} 当日簇到实体的映射
        """
        cid_to_entity: Dict[int, int] = {}
        matched_cids: set = set()

        # 1. 处理匹配：延续已有实体
        for prev_date, prev_cid, curr_cid, cost in matches:
            eid = self.cluster_registry.get((prev_date, prev_cid))
            if eid is None:
                # 连不上已有实体，创建新的
                eid = self._create_entity(date, clusters[curr_cid])
            else:
                self._update_entity(eid, date, clusters[curr_cid], cost)
            self.cluster_registry[(date, curr_cid)] = eid
            cid_to_entity[curr_cid] = eid
            matched_cids.add(curr_cid)

        # 2. 未匹配的当日簇 → 新实体
        for cid, info in clusters.items():
            if cid not in matched_cids:
                eid = self._create_entity(date, info)
                self.cluster_registry[(date, cid)] = eid
                cid_to_entity[cid] = eid

        # 3. 记录当日活跃实体
        active = set(cid_to_entity.values())
        self.daily_active[date] = active

        self._processed_dates.append(date)
        return cid_to_entity

    def compute_position_signal(
        self,
        date: int,
        daily_volume: float | None = None,
    ) -> dict:
        """
        计算当日仓位方向推断。

        Returns:
            {"score": float, "bid_entities": int, "ask_entities": int,
             "accumulation_entities": list[int], "distribution_entities": list[int]}
        """
        active = self.daily_active.get(date, set())
        if not active:
            return {"score": 0.0, "bid_entities": 0, "ask_entities": 0,
                    "accumulation_entities": [], "distribution_entities": []}

        bid_score = 0.0
        ask_score = 0.0
        bid_entities = []
        ask_entities = []

        for eid in active:
            e = self.entities[eid]
            # 方向：bid = 承接/吸筹, ask = 出货/派发
            side = self._dominant_side(eid)
            # 金额趋势：最近 vs 最初
            growth = self._amount_growth(eid)
            # 实体金额权重（log 压缩）
            weight = np.log1p(e.get("total_amount_latest", 0))

            if side == "bid":
                bid_score += growth * weight
                if growth > 0:
                    bid_entities.append(eid)
            else:
                ask_score += growth * weight
                if growth > 0:
                    ask_entities.append(eid)

        raw = bid_score - ask_score
        # z-score over recent window
        score = float(raw)

        return {
            "score": score,
            "bid_entities": len([e for e in active if self._dominant_side(e) == "bid"]),
            "ask_entities": len([e for e in active if self._dominant_side(e) == "ask"]),
            "accumulation_entities": bid_entities,
            "distribution_entities": ask_entities,
        }

    def get_active_entities(self, date: int) -> List[int]:
        """获取某日活跃实体 ID 列表。"""
        return sorted(self.daily_active.get(date, set()))

    def get_entity_timeline(self) -> pd.DataFrame:
        """导出实体生命周期表。"""
        rows = []
        for eid, e in self.entities.items():
            rows.append({
                "entity_id": eid,
                "first_seen": e["first_seen"],
                "last_seen": e["last_seen"],
                "active_days": e["active_days"],
                "total_amount_latest": e.get("total_amount_latest", 0),
                "total_amount_first": e.get("total_amount_first", 0),
                "amount_growth": self._amount_growth(eid),
                "dominant_side": self._dominant_side(eid),
                "bid_ratio": e.get("bid_ratio", 0),
                "avg_cost": e.get("avg_match_cost", 0),
                "status": "active" if self._is_active(e["last_seen"]) else "inactive",
            })
        return pd.DataFrame(rows).sort_values("entity_id")

    def get_daily_signals(self) -> pd.DataFrame:
        """导出每日仓位信号表。"""
        rows = []
        for date in sorted(self._processed_dates):
            sig = self.compute_position_signal(date)
            sig["date"] = date
            sig["n_active_entities"] = len(self.daily_active.get(date, set()))
            sig["n_total_entities"] = len(self.entities)
            rows.append(sig)
        df = pd.DataFrame(rows)
        # rolling z-score
        if len(df) > 20:
            df["score_z"] = (
                (df["score"] - df["score"].rolling(20, min_periods=5).mean())
                / df["score"].rolling(20, min_periods=5).std().replace(0, 1)
            )
        else:
            df["score_z"] = 0.0
        return df

    # ---- internal ----

    def _create_entity(self, date: int, cluster_info: dict) -> int:
        eid = self._next_eid
        self._next_eid += 1

        amount = cluster_info.get("total_amount", 0)
        self.entities[eid] = {
            "id": eid,
            "first_seen": date,
            "last_seen": date,
            "active_days": 1,
            "total_amount_latest": amount,
            "total_amount_first": amount,
            "amounts": [(date, amount)],
            "centroids": [(date, cluster_info.get("centroid", np.zeros(7)))],
            "dominant_sides": [cluster_info.get("dominant_side", "unknown")],
            "bid_ratio": cluster_info.get("bid_ratio", 0.5),
            "match_costs": [],
            "cluster_count": 1,
        }
        return eid

    def _update_entity(self, eid: int, date: int, cluster_info: dict, cost: float):
        e = self.entities[eid]
        e["last_seen"] = date
        e["active_days"] += 1
        amount = cluster_info.get("total_amount", 0)
        e["total_amount_latest"] = amount
        e["amounts"].append((date, amount))
        e["centroids"].append((date, cluster_info.get("centroid", np.zeros(7))))
        e["dominant_sides"].append(cluster_info.get("dominant_side", "unknown"))
        e["bid_ratio"] = (
            0.7 * e["bid_ratio"] + 0.3 * cluster_info.get("bid_ratio", 0.5)
        )  # EMA
        e["match_costs"].append(cost)
        e["cluster_count"] += 1
        e["avg_match_cost"] = float(np.mean(e["match_costs"])) if e["match_costs"] else 0.0

    def _dominant_side(self, eid: int) -> str:
        e = self.entities[eid]
        sides = e.get("dominant_sides", [])
        if not sides:
            return "unknown"
        bid_count = sum(1 for s in sides if s == "bid")
        ask_count = sum(1 for s in sides if s == "ask")
        return "bid" if bid_count >= ask_count else "ask"

    def _amount_growth(self, eid: int) -> float:
        """金额增长趋势：最近 vs 最早（log 空间比值）。"""
        e = self.entities[eid]
        first = e.get("total_amount_first", 0)
        latest = e.get("total_amount_latest", 0)
        if first <= 0:
            return 0.0
        return float(np.log1p(latest) - np.log1p(first))

    def _is_active(self, last_seen: int) -> bool:
        """判断实体是否仍活跃（最近 N 天内出现过）。"""
        if not self._processed_dates:
            return True
        latest = max(self._processed_dates)
        try:
            idx = self._processed_dates.index(last_seen)
            return (len(self._processed_dates) - 1 - idx) <= self.inactive_threshold
        except ValueError:
            return False

    # ---- 持久化 ----

    def save_state(self, path: str):
        """保存完整追踪器状态（pickle），可恢复继续追踪。"""
        os.makedirs(os.path.dirname(path) or ".", exist_ok=True)
        state = {
            "entities": self.entities,
            "cluster_registry": dict(self.cluster_registry),
            "daily_active": {int(k): list(v) for k, v in self.daily_active.items()},
            "daily_matches": {int(k): v for k, v in self.daily_matches.items()},
            "_next_eid": self._next_eid,
            "_processed_dates": self._processed_dates,
            "inactive_threshold": self.inactive_threshold,
            "meta": self.meta,
        }
        with open(path, "wb") as f:
            pickle.dump(state, f, protocol=5)
        print(f"Tracker state saved to {path} ({os.path.getsize(path)/1024/1024:.1f} MB)")

    @classmethod
    def load_state(cls, path: str) -> "EntityTracker":
        """加载追踪器状态，恢复继续追踪。"""
        with open(path, "rb") as f:
            state = pickle.load(f)

        tracker = cls(inactive_threshold=state.get("inactive_threshold", 5))
        tracker.entities = state["entities"]
        tracker.cluster_registry = state["cluster_registry"]
        tracker.daily_active = defaultdict(
            set, {int(k): set(v) for k, v in state["daily_active"].items()}
        )
        tracker.daily_matches = defaultdict(
            list, {int(k): v for k, v in state["daily_matches"].items()}
        )
        tracker._next_eid = state["_next_eid"]
        tracker._processed_dates = state["_processed_dates"]
        tracker.meta = state.get("meta", {})
        return tracker

    def get_cluster_registry_table(self) -> pd.DataFrame:
        """导出簇注册表为 DataFrame。"""
        rows = []
        for (date, cid), eid in sorted(self.cluster_registry.items()):
            e = self.entities.get(eid, {})
            rows.append({
                "date": date,
                "cluster_id": cid,
                "entity_id": eid,
                "entity_first_seen": e.get("first_seen"),
                "entity_dominant_side": self._dominant_side(eid) if eid in self.entities else "unknown",
            })
        return pd.DataFrame(rows)