nautilus_analysis/

analyzer.rs

// -------------------------------------------------------------------------------------------------
//  Copyright (C) 2015-2024 Nautech Systems Pty Ltd. All rights reserved.
//  https://nautechsystems.io
//
//  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
//  You may not use this file except in compliance with the License.
//  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
//
//  Unless required by applicable law or agreed to in writing, software
//  distributed under the License is distributed on an "AS IS" BASIS,
//  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
//  See the License for the specific language governing permissions and
//  limitations under the License.
// -------------------------------------------------------------------------------------------------

use std::{
    collections::{BTreeMap, HashMap},
    fmt::Debug,
    sync::Arc,
};

use nautilus_core::nanos::UnixNanos;
use nautilus_model::{
    accounts::base::Account,
    identifiers::PositionId,
    position::Position,
    types::{currency::Currency, money::Money},
};
use rust_decimal::Decimal;

use crate::{statistic::PortfolioStatistic, Returns};

pub type Statistic = Arc<dyn PortfolioStatistic<Item = f64> + Send + Sync>;

/// Analyzes portfolio performance and calculates various statistics.
///
/// The `PortfolioAnalyzer` tracks account balances, positions, and realized PnLs
/// to provide comprehensive portfolio analysis including returns, PnL calculations,
/// and customizable statistics.
#[repr(C)]
#[derive(Debug)]
#[cfg_attr(
    feature = "python",
    pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.analysis")
)]
pub struct PortfolioAnalyzer {
    statistics: HashMap<String, Statistic>,
    account_balances_starting: HashMap<Currency, Money>,
    account_balances: HashMap<Currency, Money>,
    positions: Vec<Position>,
    realized_pnls: HashMap<Currency, Vec<(PositionId, f64)>>,
    returns: Returns,
}

impl Default for PortfolioAnalyzer {
    /// Creates a new default [`PortfolioAnalyzer`] instance.
    fn default() -> Self {
        Self::new()
    }
}

impl PortfolioAnalyzer {
    /// Creates a new [`PortfolioAnalyzer`] instance.
    ///
    /// Starts with empty state.
    #[must_use]
    pub fn new() -> Self {
        Self {
            statistics: HashMap::new(),
            account_balances_starting: HashMap::new(),
            account_balances: HashMap::new(),
            positions: Vec::new(),
            realized_pnls: HashMap::new(),
            returns: BTreeMap::new(),
        }
    }

    /// Registers a new portfolio statistic for calculation.
    pub fn register_statistic(&mut self, statistic: Statistic) {
        self.statistics.insert(statistic.name(), statistic);
    }

    /// Removes a specific statistic from calculation.
    pub fn deregister_statistic(&mut self, statistic: Statistic) {
        self.statistics.remove(&statistic.name());
    }

    /// Removes all registered statistics.
    pub fn deregister_statistics(&mut self) {
        self.statistics.clear();
    }

    /// Resets all analysis data to initial state.
    pub fn reset(&mut self) {
        self.account_balances_starting.clear();
        self.account_balances.clear();
        self.realized_pnls.clear();
        self.returns.clear();
    }

    /// Returns all tracked currencies.
    #[must_use]
    pub fn currencies(&self) -> Vec<&Currency> {
        self.account_balances.keys().collect()
    }

    /// Retrieves a specific statistic by name.
    #[must_use]
    pub fn statistic(&self, name: &str) -> Option<&Statistic> {
        self.statistics.get(name)
    }

    /// Returns all calculated returns.
    #[must_use]
    pub const fn returns(&self) -> &Returns {
        &self.returns
    }

    /// Calculates statistics based on account and position data.
    pub fn calculate_statistics(&mut self, account: &dyn Account, positions: &[Position]) {
        self.account_balances_starting = account.starting_balances();
        self.account_balances = account.balances_total();
        self.realized_pnls.clear();
        self.returns.clear();

        self.add_positions(positions);
    }

    /// Adds new positions for analysis.
    pub fn add_positions(&mut self, positions: &[Position]) {
        self.positions.extend_from_slice(positions);
        for position in positions {
            if let Some(ref pnl) = position.realized_pnl {
                self.add_trade(&position.id, pnl);
            }
            self.add_return(
                position.ts_closed.unwrap_or(UnixNanos::default()),
                position.realized_return,
            );
        }
    }

    /// Records a trade's `PnL`.
    pub fn add_trade(&mut self, position_id: &PositionId, pnl: &Money) {
        let currency = pnl.currency;
        let entry = self.realized_pnls.entry(currency).or_default();
        entry.push((*position_id, pnl.as_f64()));
    }

    /// Records a return at a specific timestamp.
    pub fn add_return(&mut self, timestamp: UnixNanos, value: f64) {
        self.returns
            .entry(timestamp)
            .and_modify(|existing_value| *existing_value += value)
            .or_insert(value);
    }

    /// Retrieves realized `PnLs` for a specific currency.
    #[must_use]
    pub fn realized_pnls(&self, currency: Option<&Currency>) -> Option<Vec<(PositionId, f64)>> {
        if self.realized_pnls.is_empty() {
            return None;
        }
        let currency = currency.or_else(|| self.account_balances.keys().next())?;
        self.realized_pnls.get(currency).cloned()
    }

    /// Calculates total `PnL` including unrealized `PnL` if provided.
    pub fn total_pnl(
        &self,
        currency: Option<&Currency>,
        unrealized_pnl: Option<&Money>,
    ) -> Result<f64, &'static str> {
        if self.account_balances.is_empty() {
            return Ok(0.0);
        }

        let currency = currency
            .or_else(|| self.account_balances.keys().next())
            .ok_or("Currency not specified for multi-currency portfolio")?;

        if let Some(unrealized_pnl) = unrealized_pnl {
            if unrealized_pnl.currency != *currency {
                return Err("Unrealized PnL currency does not match specified currency");
            }
        }

        let account_balance = self
            .account_balances
            .get(currency)
            .ok_or("Specified currency not found in account balances")?;

        let default_money = &Money::new(0.0, *currency);
        let account_balance_starting = self
            .account_balances_starting
            .get(currency)
            .unwrap_or(default_money);

        let unrealized_pnl_f64 = unrealized_pnl.map_or(0.0, Money::as_f64);
        Ok((account_balance.as_f64() - account_balance_starting.as_f64()) + unrealized_pnl_f64)
    }

    /// Calculates total `PnL` as a percentage of starting balance.
    pub fn total_pnl_percentage(
        &self,
        currency: Option<&Currency>,
        unrealized_pnl: Option<&Money>,
    ) -> Result<f64, &'static str> {
        if self.account_balances.is_empty() {
            return Ok(0.0);
        }

        let currency = currency
            .or_else(|| self.account_balances.keys().next())
            .ok_or("Currency not specified for multi-currency portfolio")?;

        if let Some(unrealized_pnl) = unrealized_pnl {
            if unrealized_pnl.currency != *currency {
                return Err("Unrealized PnL currency does not match specified currency");
            }
        }

        let account_balance = self
            .account_balances
            .get(currency)
            .ok_or("Specified currency not found in account balances")?;

        let default_money = &Money::new(0.0, *currency);
        let account_balance_starting = self
            .account_balances_starting
            .get(currency)
            .unwrap_or(default_money);

        if account_balance_starting.as_decimal() == Decimal::ZERO {
            return Ok(0.0);
        }

        let unrealized_pnl_f64 = unrealized_pnl.map_or(0.0, Money::as_f64);
        let current = account_balance.as_f64() + unrealized_pnl_f64;
        let starting = account_balance_starting.as_f64();
        let difference = current - starting;

        Ok((difference / starting) * 100.0)
    }

    /// Gets all PnL-related performance statistics.
    pub fn get_performance_stats_pnls(
        &self,
        currency: Option<&Currency>,
        unrealized_pnl: Option<&Money>,
    ) -> Result<HashMap<String, f64>, &'static str> {
        let mut output = HashMap::new();

        output.insert(
            "PnL (total)".to_string(),
            self.total_pnl(currency, unrealized_pnl)?,
        );
        output.insert(
            "PnL% (total)".to_string(),
            self.total_pnl_percentage(currency, unrealized_pnl)?,
        );

        if let Some(realized_pnls) = self.realized_pnls(currency) {
            for (name, stat) in &self.statistics {
                if let Some(value) = stat.calculate_from_realized_pnls(
                    &realized_pnls
                        .iter()
                        .map(|(_, pnl)| *pnl)
                        .collect::<Vec<f64>>(),
                ) {
                    output.insert(name.clone(), value);
                }
            }
        }

        Ok(output)
    }

    /// Gets all return-based performance statistics.
    #[must_use]
    pub fn get_performance_stats_returns(&self) -> HashMap<String, f64> {
        let mut output = HashMap::new();

        for (name, stat) in &self.statistics {
            if let Some(value) = stat.calculate_from_returns(&self.returns) {
                output.insert(name.clone(), value);
            }
        }

        output
    }

    /// Gets general portfolio statistics.
    #[must_use]
    pub fn get_performance_stats_general(&self) -> HashMap<String, f64> {
        let mut output = HashMap::new();

        for (name, stat) in &self.statistics {
            if let Some(value) = stat.calculate_from_positions(&self.positions) {
                output.insert(name.clone(), value);
            }
        }

        output
    }

    /// Calculates the maximum length of statistic names for formatting.
    fn get_max_length_name(&self) -> usize {
        self.statistics.keys().map(String::len).max().unwrap_or(0)
    }

    /// Gets formatted `PnL` statistics as strings.
    pub fn get_stats_pnls_formatted(
        &self,
        currency: Option<&Currency>,
        unrealized_pnl: Option<&Money>,
    ) -> Result<Vec<String>, String> {
        let max_length = self.get_max_length_name();
        let stats = self.get_performance_stats_pnls(currency, unrealized_pnl)?;

        let mut output = Vec::new();
        for (k, v) in stats {
            let padding = if max_length > k.len() {
                max_length - k.len() + 1
            } else {
                1
            };
            output.push(format!("{}: {}{:.2}", k, " ".repeat(padding), v));
        }

        Ok(output)
    }

    /// Gets formatted return statistics as strings.
    #[must_use]
    pub fn get_stats_returns_formatted(&self) -> Vec<String> {
        let max_length = self.get_max_length_name();
        let stats = self.get_performance_stats_returns();

        let mut output = Vec::new();
        for (k, v) in stats {
            let padding = max_length - k.len() + 1;
            output.push(format!("{}: {}{:.2}", k, " ".repeat(padding), v));
        }

        output
    }

    /// Gets formatted general statistics as strings.
    #[must_use]
    pub fn get_stats_general_formatted(&self) -> Vec<String> {
        let max_length = self.get_max_length_name();
        let stats = self.get_performance_stats_general();

        let mut output = Vec::new();
        for (k, v) in stats {
            let padding = max_length - k.len() + 1;
            output.push(format!("{}: {}{}", k, " ".repeat(padding), v));
        }

        output
    }
}

#[cfg(test)]
mod tests {
    use std::sync::Arc;

    use nautilus_model::{
        enums::{AccountType, LiquiditySide, OrderSide},
        events::{account::state::AccountState, order::OrderFilled},
        identifiers::{
            stubs::{instrument_id_aud_usd_sim, strategy_id_ema_cross, trader_id},
            AccountId, ClientOrderId,
        },
        instruments::any::InstrumentAny,
        types::{balance::AccountBalance, money::Money, quantity::Quantity},
    };

    use super::*;

    /// Mock implementation of `PortfolioStatistic` for testing.
    #[derive(Debug)]
    struct MockStatistic {
        name: String,
    }

    impl MockStatistic {
        fn new(name: &str) -> Arc<dyn PortfolioStatistic<Item = f64> + Send + Sync> {
            Arc::new(Self {
                name: name.to_string(),
            })
        }
    }

    impl PortfolioStatistic for MockStatistic {
        type Item = f64;

        fn name(&self) -> String {
            self.name.clone()
        }

        fn calculate_from_realized_pnls(&self, pnls: &[f64]) -> Option<f64> {
            Some(pnls.iter().sum())
        }

        fn calculate_from_returns(&self, returns: &Returns) -> Option<f64> {
            Some(returns.values().sum())
        }

        fn calculate_from_positions(&self, positions: &[Position]) -> Option<f64> {
            Some(positions.len() as f64)
        }
    }

    fn create_mock_position(
        id: String,
        realized_pnl: f64,
        realized_return: f64,
        currency: Currency,
    ) -> Position {
        Position {
            events: Vec::new(),
            trader_id: trader_id(),
            strategy_id: strategy_id_ema_cross(),
            instrument_id: instrument_id_aud_usd_sim(),
            id: PositionId::new(&id),
            account_id: AccountId::new("test-account"),
            opening_order_id: ClientOrderId::default(),
            closing_order_id: None,
            entry: OrderSide::NoOrderSide,
            side: nautilus_model::enums::PositionSide::NoPositionSide,
            signed_qty: 0.0,
            quantity: Quantity::default(),
            peak_qty: Quantity::default(),
            price_precision: 2,
            size_precision: 2,
            multiplier: Quantity::default(),
            is_inverse: false,
            base_currency: None,
            quote_currency: Currency::USD(),
            settlement_currency: Currency::USD(),
            ts_init: UnixNanos::default(),
            ts_opened: UnixNanos::default(),
            ts_last: UnixNanos::default(),
            ts_closed: None,
            duration_ns: 2,
            avg_px_open: 0.0,
            avg_px_close: None,
            realized_return,
            realized_pnl: Some(Money::new(realized_pnl, currency)),
            trade_ids: Vec::new(),
            buy_qty: Quantity::default(),
            sell_qty: Quantity::default(),
            commissions: HashMap::new(),
        }
    }

    struct MockAccount {
        starting_balances: HashMap<Currency, Money>,
        current_balances: HashMap<Currency, Money>,
    }

    impl Account for MockAccount {
        fn starting_balances(&self) -> HashMap<Currency, Money> {
            self.starting_balances.clone()
        }
        fn balances_total(&self) -> HashMap<Currency, Money> {
            self.current_balances.clone()
        }
        fn id(&self) -> AccountId {
            todo!()
        }
        fn account_type(&self) -> AccountType {
            todo!()
        }
        fn base_currency(&self) -> std::option::Option<nautilus_model::types::currency::Currency> {
            todo!()
        }
        fn is_cash_account(&self) -> bool {
            todo!()
        }
        fn is_margin_account(&self) -> bool {
            todo!()
        }
        fn calculated_account_state(&self) -> bool {
            todo!()
        }
        fn balance_total(
            &self,
            _: std::option::Option<nautilus_model::types::currency::Currency>,
        ) -> std::option::Option<Money> {
            todo!()
        }
        fn balance_free(
            &self,
            _: std::option::Option<nautilus_model::types::currency::Currency>,
        ) -> std::option::Option<Money> {
            todo!()
        }
        fn balances_free(
            &self,
        ) -> std::collections::HashMap<nautilus_model::types::currency::Currency, Money> {
            todo!()
        }
        fn balance_locked(
            &self,
            _: std::option::Option<nautilus_model::types::currency::Currency>,
        ) -> std::option::Option<Money> {
            todo!()
        }
        fn balances_locked(
            &self,
        ) -> std::collections::HashMap<nautilus_model::types::currency::Currency, Money> {
            todo!()
        }
        fn last_event(&self) -> std::option::Option<AccountState> {
            todo!()
        }
        fn events(&self) -> Vec<AccountState> {
            todo!()
        }
        fn event_count(&self) -> usize {
            todo!()
        }
        fn currencies(&self) -> Vec<nautilus_model::types::currency::Currency> {
            todo!()
        }
        fn balances(
            &self,
        ) -> std::collections::HashMap<nautilus_model::types::currency::Currency, AccountBalance>
        {
            todo!()
        }
        fn apply(&mut self, _: AccountState) {
            todo!()
        }
        fn calculate_balance_locked(
            &mut self,
            _: InstrumentAny,
            _: OrderSide,
            _: Quantity,
            _: nautilus_model::types::price::Price,
            _: std::option::Option<bool>,
        ) -> Result<Money, anyhow::Error> {
            todo!()
        }
        fn calculate_pnls(
            &self,
            _: InstrumentAny,
            _: OrderFilled,
            _: std::option::Option<nautilus_model::position::Position>,
        ) -> Result<Vec<Money>, anyhow::Error> {
            todo!()
        }
        fn calculate_commission(
            &self,
            _: InstrumentAny,
            _: Quantity,
            _: nautilus_model::types::price::Price,
            _: LiquiditySide,
            _: std::option::Option<bool>,
        ) -> Result<Money, anyhow::Error> {
            todo!()
        }
    }

    #[test]
    fn test_register_and_deregister_statistics() {
        let mut analyzer = PortfolioAnalyzer::new();
        let stat = Arc::new(MockStatistic::new("test_stat"));

        // Test registration
        analyzer.register_statistic(Arc::clone(&stat));
        assert!(analyzer.statistic("test_stat").is_some());

        // Test deregistration
        analyzer.deregister_statistic(Arc::clone(&stat));
        assert!(analyzer.statistic("test_stat").is_none());

        // Test deregister all
        let stat1 = Arc::new(MockStatistic::new("stat1"));
        let stat2 = Arc::new(MockStatistic::new("stat2"));
        analyzer.register_statistic(Arc::clone(&stat1));
        analyzer.register_statistic(Arc::clone(&stat2));
        analyzer.deregister_statistics();
        assert!(analyzer.statistics.is_empty());
    }

    #[test]
    fn test_calculate_total_pnl() {
        let mut analyzer = PortfolioAnalyzer::new();
        let currency = Currency::USD();

        // Set up mock account data
        let mut starting_balances = HashMap::new();
        starting_balances.insert(currency, Money::new(1000.0, currency));

        let mut current_balances = HashMap::new();
        current_balances.insert(currency, Money::new(1500.0, currency));

        let account = MockAccount {
            starting_balances,
            current_balances,
        };

        analyzer.calculate_statistics(&account, &[]);

        // Test total PnL calculation
        let result = analyzer.total_pnl(Some(&currency), None).unwrap();
        assert_eq!(result, 500.0);

        // Test with unrealized PnL
        let unrealized_pnl = Money::new(100.0, currency);
        let result = analyzer
            .total_pnl(Some(&currency), Some(&unrealized_pnl))
            .unwrap();
        assert_eq!(result, 600.0);
    }

    #[test]
    fn test_calculate_total_pnl_percentage() {
        let mut analyzer = PortfolioAnalyzer::new();
        let currency = Currency::USD();

        // Set up mock account data
        let mut starting_balances = HashMap::new();
        starting_balances.insert(currency, Money::new(1000.0, currency));

        let mut current_balances = HashMap::new();
        current_balances.insert(currency, Money::new(1500.0, currency));

        let account = MockAccount {
            starting_balances,
            current_balances,
        };

        analyzer.calculate_statistics(&account, &[]);

        // Test percentage calculation
        let result = analyzer
            .total_pnl_percentage(Some(&currency), None)
            .unwrap();
        assert_eq!(result, 50.0); // (1500 - 1000) / 1000 * 100

        // Test with unrealized PnL
        let unrealized_pnl = Money::new(500.0, currency);
        let result = analyzer
            .total_pnl_percentage(Some(&currency), Some(&unrealized_pnl))
            .unwrap();
        assert_eq!(result, 100.0); // (2000 - 1000) / 1000 * 100
    }

    #[test]
    fn test_add_positions_and_returns() {
        let mut analyzer = PortfolioAnalyzer::new();
        let currency = Currency::USD();

        let positions = vec![
            create_mock_position("AUD/USD".to_owned(), 100.0, 0.1, currency),
            create_mock_position("AUD/USD".to_owned(), 200.0, 0.2, currency),
        ];

        analyzer.add_positions(&positions);

        // Verify realized PnLs were recorded
        let pnls = analyzer.realized_pnls(Some(&currency)).unwrap();
        assert_eq!(pnls.len(), 2);
        assert_eq!(pnls[0].1, 100.0);
        assert_eq!(pnls[1].1, 200.0);

        // Verify returns were recorded
        let returns = analyzer.returns();
        assert_eq!(returns.len(), 1);
        assert_eq!(*returns.values().next().unwrap(), 0.30000000000000004);
    }

    #[test]
    fn test_performance_stats_calculation() {
        let mut analyzer = PortfolioAnalyzer::new();
        let currency = Currency::USD();
        let stat = Arc::new(MockStatistic::new("test_stat"));
        analyzer.register_statistic(Arc::clone(&stat));

        // Add some positions
        let positions = vec![
            create_mock_position("AUD/USD".to_owned(), 100.0, 0.1, currency),
            create_mock_position("AUD/USD".to_owned(), 200.0, 0.2, currency),
        ];

        let mut starting_balances = HashMap::new();
        starting_balances.insert(currency, Money::new(1000.0, currency));

        let mut current_balances = HashMap::new();
        current_balances.insert(currency, Money::new(1500.0, currency));

        let account = MockAccount {
            starting_balances,
            current_balances,
        };

        analyzer.calculate_statistics(&account, &positions);

        // Test PnL stats
        let pnl_stats = analyzer
            .get_performance_stats_pnls(Some(&currency), None)
            .unwrap();
        assert!(pnl_stats.contains_key("PnL (total)"));
        assert!(pnl_stats.contains_key("PnL% (total)"));
        assert!(pnl_stats.contains_key("test_stat"));

        // Test returns stats
        let return_stats = analyzer.get_performance_stats_returns();
        assert!(return_stats.contains_key("test_stat"));

        // Test general stats
        let general_stats = analyzer.get_performance_stats_general();
        assert!(general_stats.contains_key("test_stat"));
    }

    #[test]
    fn test_formatted_output() {
        let mut analyzer = PortfolioAnalyzer::new();
        let currency = Currency::USD();
        let stat = Arc::new(MockStatistic::new("test_stat"));
        analyzer.register_statistic(Arc::clone(&stat));

        let positions = vec![
            create_mock_position("AUD/USD".to_owned(), 100.0, 0.1, currency),
            create_mock_position("AUD/USD".to_owned(), 200.0, 0.2, currency),
        ];

        let mut starting_balances = HashMap::new();
        starting_balances.insert(currency, Money::new(1000.0, currency));

        let mut current_balances = HashMap::new();
        current_balances.insert(currency, Money::new(1500.0, currency));

        let account = MockAccount {
            starting_balances,
            current_balances,
        };

        analyzer.calculate_statistics(&account, &positions);

        // Test formatted outputs
        let pnl_formatted = analyzer
            .get_stats_pnls_formatted(Some(&currency), None)
            .unwrap();
        assert!(!pnl_formatted.is_empty());
        assert!(pnl_formatted.iter().all(|s| s.contains(':')));

        let returns_formatted = analyzer.get_stats_returns_formatted();
        assert!(!returns_formatted.is_empty());
        assert!(returns_formatted.iter().all(|s| s.contains(':')));

        let general_formatted = analyzer.get_stats_general_formatted();
        assert!(!general_formatted.is_empty());
        assert!(general_formatted.iter().all(|s| s.contains(':')));
    }

    #[test]
    fn test_reset() {
        let mut analyzer = PortfolioAnalyzer::new();
        let currency = Currency::USD();

        let positions = vec![create_mock_position(
            "AUD/USD".to_owned(),
            100.0,
            0.1,
            currency,
        )];
        let mut starting_balances = HashMap::new();
        starting_balances.insert(currency, Money::new(1000.0, currency));
        let mut current_balances = HashMap::new();
        current_balances.insert(currency, Money::new(1500.0, currency));

        let account = MockAccount {
            starting_balances,
            current_balances,
        };

        analyzer.calculate_statistics(&account, &positions);

        analyzer.reset();

        assert!(analyzer.account_balances_starting.is_empty());
        assert!(analyzer.account_balances.is_empty());
        assert!(analyzer.realized_pnls.is_empty());
        assert!(analyzer.returns.is_empty());
    }
}