auto-stock/backend/app/api/endpoints/risk_management.py

"""
🔥 리스크 관리 및 성과 평가 API

- MDD (Maximum Drawdown) 추적
- Sharpe Ratio 계산
- 연속 손실 제한
- 일일 손실 한도
- 포지션 사이징 제한
"""

from fastapi import APIRouter, HTTPException, Query, Depends
from sqlalchemy.ext.asyncio import AsyncSession
from sqlalchemy import select, and_, func, desc
from datetime import datetime, timedelta, date
from decimal import Decimal
from typing import List, Optional
import logging
import numpy as np

from app.core.database import get_db
from app.models.models import TradeHistory, TradingSession, Portfolio

router = APIRouter()
logger = logging.getLogger(__name__)

# 🔥 리스크 관리 설정
MAX_POSITION_SIZE_RATIO = 0.20  # 계좌의 20%까지만
MAX_DAILY_LOSS_RATIO = 0.03     # 일일 3% 손실 시 중단
MAX_CONSECUTIVE_LOSSES = 3      # 3연속 손실 시 중단
COMMISSION_RATE = 0.00015       # 수수료 0.015%
TRADE_TAX_RATE = 0.0023         # 거래세 0.23% (매도 시만)
TOTAL_COST_RATE = COMMISSION_RATE * 2 + TRADE_TAX_RATE  # 왕복 약 0.26%


@router.get("/risk-metrics")
async def get_risk_metrics(
    days: int = Query(30, description="분석 기간 (일)"),
    db: AsyncSession = Depends(get_db)
):
    """
    📊 리스크 관리 메트릭 조회
    
    - Maximum Drawdown (MDD): 최대 손실 깊이
    - 누적 손익 곡선
    - 현재 계좌 상태
    """
    try:
        since_date = datetime.utcnow() - timedelta(days=days)
        
        # 매도 완료된 거래만 조회 (실현 손익)
        result = await db.execute(
            select(TradeHistory)
            .where(TradeHistory.created_at >= since_date)
            .where(TradeHistory.order_type == "SELL")
            .where(TradeHistory.status.in_(["EXECUTED", "FILLED"]))
            .order_by(TradeHistory.executed_at)
        )
        trades = result.scalars().all()
        
        if not trades:
            return {
                "max_drawdown": 0,
                "max_drawdown_pct": 0,
                "current_equity": 0,
                "peak_equity": 0,
                "trades_count": 0,
                "message": "거래 내역이 없습니다"
            }
        
        # 누적 손익 계산
        cumulative_pl = 0
        peak = 0
        max_drawdown = 0
        equity_curve = []
        drawdown_curve = []
        
        for trade in trades:
            # 순손익 사용 (없으면 total_amount 사용)
            pl = float(trade.net_profit_loss) if trade.net_profit_loss else 0
            cumulative_pl += pl
            equity_curve.append({
                "date": trade.executed_at.isoformat() if trade.executed_at else trade.created_at.isoformat(),
                "equity": cumulative_pl
            })
            
            # 최고점 갱신
            if cumulative_pl > peak:
                peak = cumulative_pl
            
            # Drawdown 계산
            drawdown = peak - cumulative_pl
            drawdown_pct = (drawdown / peak * 100) if peak > 0 else 0
            drawdown_curve.append({
                "date": trade.executed_at.isoformat() if trade.executed_at else trade.created_at.isoformat(),
                "drawdown": drawdown,
                "drawdown_pct": round(drawdown_pct, 2)
            })
            
            if drawdown > max_drawdown:
                max_drawdown = drawdown
        
        max_drawdown_pct = (max_drawdown / peak * 100) if peak > 0 else 0
        
        # MDD 위험 레벨
        risk_level = "안전"
        if max_drawdown_pct > 30:
            risk_level = "위험 (시스템 중지 권장)"
        elif max_drawdown_pct > 20:
            risk_level = "경고 (포지션 축소 권장)"
        elif max_drawdown_pct > 10:
            risk_level = "주의"
        
        return {
            "max_drawdown": round(float(max_drawdown), 2),
            "max_drawdown_pct": round(max_drawdown_pct, 2),
            "current_equity": round(cumulative_pl, 2),
            "peak_equity": round(peak, 2),
            "trades_count": len(trades),
            "risk_level": risk_level,
            "equity_curve": equity_curve[-50:],  # 최근 50개만
            "drawdown_curve": drawdown_curve[-50:]
        }
        
    except Exception as e:
        logger.error(f"Error calculating risk metrics: {e}", exc_info=True)
        raise HTTPException(status_code=500, detail=str(e))


@router.get("/sharpe-ratio")
async def get_sharpe_ratio(
    days: int = Query(30, description="분석 기간 (일)"),
    db: AsyncSession = Depends(get_db)
):
    """
    📈 Sharpe Ratio 계산
    
    수익률 대비 변동성(리스크)을 측정
    - > 2.0: 매우 우수
    - > 1.0: 우수
    - < 1.0: 개선 필요
    """
    try:
        since_date = datetime.utcnow() - timedelta(days=days)
        
        result = await db.execute(
            select(TradeHistory)
            .where(TradeHistory.created_at >= since_date)
            .where(TradeHistory.order_type == "SELL")
            .where(TradeHistory.status.in_(["EXECUTED", "FILLED"]))
            .where(TradeHistory.profit_loss_rate.isnot(None))
        )
        trades = result.scalars().all()
        
        if len(trades) < 2:
            return {
                "sharpe_ratio": None,
                "avg_return": 0,
                "std_return": 0,
                "trades_count": len(trades),
                "message": "거래가 부족합니다 (최소 2건 필요)"
            }
        
        # 각 거래의 수익률 추출
        returns = [float(trade.profit_loss_rate) / 100 for trade in trades if trade.profit_loss_rate]
        
        if not returns:
            return {
                "sharpe_ratio": None,
                "message": "수익률 데이터가 없습니다"
            }
        
        avg_return = np.mean(returns)
        std_return = np.std(returns)
        
        # Sharpe Ratio 계산 (연간화: 252 거래일 기준)
        # 무위험 수익률은 0으로 가정
        sharpe = (avg_return * np.sqrt(252)) / std_return if std_return > 0 else 0
        
        # 평가
        if sharpe > 2:
            interpretation = "Excellent (매우 우수)"
        elif sharpe > 1:
            interpretation = "Good (우수)"
        elif sharpe > 0:
            interpretation = "Fair (보통)"
        else:
            interpretation = "Poor (개선 필요)"
        
        return {
            "sharpe_ratio": round(sharpe, 3),
            "avg_return": round(avg_return * 100, 2),  # %
            "std_return": round(std_return * 100, 2),  # %
            "annualized_return": round(avg_return * 252 * 100, 2),  # %
            "interpretation": interpretation,
            "trades_count": len(returns)
        }
        
    except Exception as e:
        logger.error(f"Error calculating Sharpe ratio: {e}", exc_info=True)
        raise HTTPException(status_code=500, detail=str(e))


@router.get("/session/today")
async def get_today_session(db: AsyncSession = Depends(get_db)):
    """
    📅 오늘의 트레이딩 세션 조회
    
    - 연속 손실/승리 추적
    - 일일 손익
    - 거래 중지 상태
    """
    try:
        today = date.today()
        
        result = await db.execute(
            select(TradingSession)
            .where(TradingSession.session_date == today)
        )
        session = result.scalar_one_or_none()
        
        if not session:
            # 오늘 세션이 없으면 생성
            session = TradingSession(
                session_date=today,
                consecutive_losses=0,
                consecutive_wins=0,
                daily_profit_loss=0,
                daily_trades_count=0,
                is_paused=False
            )
            db.add(session)
            await db.commit()
            await db.refresh(session)
        
        return {
            "session_date": session.session_date.isoformat(),
            "consecutive_losses": session.consecutive_losses,
            "consecutive_wins": session.consecutive_wins,
            "daily_profit_loss": float(session.daily_profit_loss) if session.daily_profit_loss else 0,
            "daily_trades_count": session.daily_trades_count,
            "is_paused": session.is_paused,
            "pause_reason": session.pause_reason,
            "starting_balance": float(session.starting_balance) if session.starting_balance else None,
            "ending_balance": float(session.ending_balance) if session.ending_balance else None,
            "peak_balance": float(session.peak_balance) if session.peak_balance else None
        }
        
    except Exception as e:
        logger.error(f"Error getting today's session: {e}", exc_info=True)
        raise HTTPException(status_code=500, detail=str(e))


@router.post("/check-risk-limits")
async def check_risk_limits(
    order_value: float = Query(..., description="주문 금액"),
    account_balance: float = Query(..., description="계좌 잔고"),
    db: AsyncSession = Depends(get_db)
):
    """
    ⚠️ 주문 전 리스크 제한 확인
    
    - 포지션 사이즈 제한
    - 일일 손실 한도
    - 연속 손실 제한
    """
    try:
        # 1. 오늘 세션 확인
        today = date.today()
        result = await db.execute(
            select(TradingSession)
            .where(TradingSession.session_date == today)
        )
        session = result.scalar_one_or_none()
        
        if not session:
            session = TradingSession(session_date=today, starting_balance=Decimal(str(account_balance)))
            db.add(session)
            await db.commit()
            await db.refresh(session)
        
        # 2. 거래 중지 상태 확인
        if session.is_paused:
            return {
                "allowed": False,
                "reason": session.pause_reason or "거래가 중지되었습니다",
                "risk_level": "BLOCKED"
            }
        
        # 3. 일일 손실 한도 확인
        daily_loss_ratio = abs(float(session.daily_profit_loss)) / account_balance if account_balance > 0 else 0
        if session.daily_profit_loss < 0 and daily_loss_ratio > MAX_DAILY_LOSS_RATIO:
            # 자동 중지
            session.is_paused = True
            session.pause_reason = f"일일 손실 한도 도달 ({daily_loss_ratio*100:.1f}% > {MAX_DAILY_LOSS_RATIO*100}%)"
            await db.commit()
            
            return {
                "allowed": False,
                "reason": session.pause_reason,
                "risk_level": "CRITICAL",
                "daily_loss": float(session.daily_profit_loss),
                "daily_loss_ratio": round(daily_loss_ratio * 100, 2)
            }
        
        # 4. 연속 손실 제한 확인
        if session.consecutive_losses >= MAX_CONSECUTIVE_LOSSES:
            session.is_paused = True
            session.pause_reason = f"연속 {session.consecutive_losses}회 손실 발생"
            await db.commit()
            
            return {
                "allowed": False,
                "reason": session.pause_reason,
                "risk_level": "CRITICAL",
                "consecutive_losses": session.consecutive_losses
            }
        
        # 5. 포지션 사이즈 제한 확인
        position_ratio = order_value / account_balance if account_balance > 0 else 0
        if position_ratio > MAX_POSITION_SIZE_RATIO:
            return {
                "allowed": False,
                "reason": f"포지션 사이즈 초과 ({position_ratio*100:.1f}% > {MAX_POSITION_SIZE_RATIO*100}%)",
                "risk_level": "HIGH",
                "position_ratio": round(position_ratio * 100, 2),
                "max_allowed": round(MAX_POSITION_SIZE_RATIO * 100, 2)
            }
        
        # 모든 제한 통과
        warnings = []
        if session.consecutive_losses >= 2:
            warnings.append(f"연속 {session.consecutive_losses}회 손실 중 (주의)")
        if daily_loss_ratio > MAX_DAILY_LOSS_RATIO * 0.5:
            warnings.append(f"일일 손실 {daily_loss_ratio*100:.1f}% (주의)")
        
        return {
            "allowed": True,
            "risk_level": "WARNING" if warnings else "OK",
            "warnings": warnings,
            "position_ratio": round(position_ratio * 100, 2),
            "daily_loss_ratio": round(daily_loss_ratio * 100, 2),
            "consecutive_losses": session.consecutive_losses
        }
        
    except Exception as e:
        logger.error(f"Error checking risk limits: {e}", exc_info=True)
        raise HTTPException(status_code=500, detail=str(e))


@router.post("/update-session")
async def update_trading_session(
    trade_result: str = Query(..., description="win 또는 loss"),
    profit_loss: float = Query(..., description="거래 손익"),
    db: AsyncSession = Depends(get_db)
):
    """
    🔄 거래 결과에 따라 세션 업데이트
    
    - 연속 손실/승리 카운터
    - 일일 손익 누적
    """
    try:
        today = date.today()
        result = await db.execute(
            select(TradingSession)
            .where(TradingSession.session_date == today)
        )
        session = result.scalar_one_or_none()
        
        if not session:
            session = TradingSession(session_date=today)
            db.add(session)
        
        # 손익 누적
        current_pl = float(session.daily_profit_loss) if session.daily_profit_loss else 0
        session.daily_profit_loss = Decimal(str(current_pl + profit_loss))
        session.daily_trades_count += 1
        
        # 연속 손실/승리 업데이트
        if trade_result == "loss":
            session.consecutive_losses += 1
            session.consecutive_wins = 0
        elif trade_result == "win":
            session.consecutive_wins += 1
            session.consecutive_losses = 0
        
        await db.commit()
        await db.refresh(session)
        
        return {
            "session_date": session.session_date.isoformat(),
            "consecutive_losses": session.consecutive_losses,
            "consecutive_wins": session.consecutive_wins,
            "daily_profit_loss": float(session.daily_profit_loss),
            "daily_trades_count": session.daily_trades_count,
            "is_paused": session.is_paused
        }
        
    except Exception as e:
        logger.error(f"Error updating session: {e}", exc_info=True)
        raise HTTPException(status_code=500, detail=str(e))


@router.get("/win-rate")
async def get_win_rate(
    days: int = Query(30, description="분석 기간 (일)"),
    db: AsyncSession = Depends(get_db)
):
    """
    📊 승률 및 손익 통계
    """
    try:
        since_date = datetime.utcnow() - timedelta(days=days)
        
        result = await db.execute(
            select(TradeHistory)
            .where(TradeHistory.created_at >= since_date)
            .where(TradeHistory.order_type == "SELL")
            .where(TradeHistory.status.in_(["EXECUTED", "FILLED"]))
        )
        trades = result.scalars().all()
        
        if not trades:
            return {
                "win_rate": 0,
                "total_trades": 0,
                "message": "거래 내역이 없습니다"
            }
        
        wins = 0
        losses = 0
        total_profit = 0
        total_loss = 0
        
        for trade in trades:
            pl = float(trade.net_profit_loss) if trade.net_profit_loss else 0
            if pl > 0:
                wins += 1
                total_profit += pl
            elif pl < 0:
                losses += 1
                total_loss += abs(pl)
        
        total_trades = wins + losses
        win_rate = (wins / total_trades * 100) if total_trades > 0 else 0
        
        # Profit Factor (총 이익 / 총 손실)
        profit_factor = (total_profit / total_loss) if total_loss > 0 else 0
        
        # 평균 승리/손실
        avg_win = total_profit / wins if wins > 0 else 0
        avg_loss = total_loss / losses if losses > 0 else 0
        
        # 손익비
        risk_reward = avg_win / avg_loss if avg_loss > 0 else 0
        
        return {
            "win_rate": round(win_rate, 2),
            "total_trades": total_trades,
            "wins": wins,
            "losses": losses,
            "total_profit": round(total_profit, 2),
            "total_loss": round(total_loss, 2),
            "net_profit": round(total_profit - total_loss, 2),
            "profit_factor": round(profit_factor, 2),
            "avg_win": round(avg_win, 2),
            "avg_loss": round(avg_loss, 2),
            "risk_reward_ratio": round(risk_reward, 2)
        }
        
    except Exception as e:
        logger.error(f"Error calculating win rate: {e}", exc_info=True)
        raise HTTPException(status_code=500, detail=str(e))


@router.post("/mdd/reset")
async def reset_mdd():
    """MDD 상태 수동 초기화 (신규 진입 차단 해제)"""
    from app.services.mdd_manager import mdd_manager
    before = {
        "is_paused": mdd_manager.is_paused,
        "peak_balance": mdd_manager.peak_balance,
        "reduction_applied": mdd_manager.reduction_applied,
    }
    mdd_manager.reset()
    logger.info("✅ MDD 수동 초기화 완료")
    return {
        "message": "MDD 초기화 완료 — 신규 진입 가능",
        "before": before,
        "after": {
            "is_paused": mdd_manager.is_paused,
            "peak_balance": mdd_manager.peak_balance,
            "reduction_applied": mdd_manager.reduction_applied,
        },
    }