fidc-backtest-engine/crates/fidc-core/src/stock_pool_frozen.rs

//! Dated non-tradability and valuation are separate from execution quotations.
use super::*;

pub(super) fn validate(
    signal_date: NaiveDate,
    constraints: &StockPoolDecisionConstraints,
    current: &BTreeMap<String, (Decimal, Decimal, Decimal)>,
) -> Result<(), String> {
    for (symbol, fact) in &constraints.frozen_positions {
        if constraints.execution_date != Some(fact.trade_date)
            || fact.trade_date < signal_date
            || fact.reason != "paused"
            || fact.valuation_price <= Decimal::ZERO
            || current.get(symbol).is_none_or(|row| row.0 <= Decimal::ZERO)
        {
            return Err(format!("stock_pool_frozen_position_invalid:{symbol}"));
        }
    }
    if constraints
        .prior_target_weights
        .iter()
        .any(|(symbol, weight)| {
            normalize_stock_symbol(symbol).as_ref() != Some(symbol)
                || !(0..=10_000).contains(weight)
        })
    {
        return Err("stock_pool_prior_target_weights_invalid".into());
    }
    Ok(())
}

pub(super) fn valuation(
    symbol: &str,
    quotes: &HashMap<String, &MarketSnapshot>,
    frozen: &BTreeMap<String, FrozenStockPoolPosition>,
) -> Result<Decimal, String> {
    frozen
        .get(symbol)
        .map(|fact| fact.valuation_price)
        .or_else(|| quotes.get(symbol).map(|quote| quote.last_price))
        .filter(|price| *price > Decimal::ZERO)
        .ok_or_else(|| format!("{symbol} confirmed holding valuation missing"))
}

pub(super) fn weights(
    original: &[String],
    active: &[String],
    members: &[StockPoolMemberSpec],
    explicit: &BTreeMap<String, i32>,
    constraints: &StockPoolDecisionConstraints,
    reserved_slots: usize,
    target_count: usize,
) -> Result<BTreeMap<String, i32>, String> {
    let count = original.len() + reserved_slots;
    let order = members
        .iter()
        .map(|member| (&member.symbol, member.requested_order))
        .collect::<BTreeMap<_, _>>();
    let mut original_budget_symbols = original.to_vec();
    for symbol in constraints.frozen_positions.keys() {
        if order.contains_key(symbol) && !original_budget_symbols.contains(symbol) {
            original_budget_symbols.push(symbol.clone());
        }
    }
    if original_budget_symbols.len() != original.len() {
        original_budget_symbols
            .sort_by_key(|symbol| order.get(symbol).copied().unwrap_or(i32::MAX));
    }
    let initial = original_budget_symbols
        .iter()
        .enumerate()
        .map(|(index, symbol)| {
            let weight = if explicit.is_empty() {
                if count == 0 {
                    0
                } else {
                    10_000 / count as i32 + i32::from(index < 10_000 % count)
                }
            } else {
                *explicit.get(symbol).unwrap_or(&0)
            };
            (symbol.clone(), weight)
        })
        .collect::<Vec<_>>();
    let mut frozen = BTreeMap::new();
    for symbol in constraints.frozen_positions.keys() {
        let weight = explicit
            .get(symbol)
            .copied()
            .or_else(|| constraints.prior_target_weights.get(symbol).copied())
            .or_else(|| {
                initial
                    .iter()
                    .find(|(key, _)| key == symbol)
                    .map(|(_, weight)| *weight)
            })
            .ok_or_else(|| format!("stock_pool_frozen_position_target_weight_missing:{symbol}"))?;
        frozen.insert(symbol.clone(), weight);
    }
    let frozen_total = frozen.values().copied().sum::<i32>();
    if frozen_total > 10_000 {
        return Err("stock_pool_frozen_position_weights_exceed_budget".into());
    }
    let mut free = initial
        .into_iter()
        .filter(|(symbol, _)| !frozen.contains_key(symbol))
        .map(|(symbol, weight)| (symbol, weight as u32))
        .collect::<Vec<_>>();
    let total = free.iter().map(|(_, weight)| *weight).sum::<u32>();
    let available = (10_000 - frozen_total) as u32;
    // A paused holding removed from today's candidates still owns its prior
    // budget. Scale only the new tradable allocation, never the frozen leg.
    if total > available {
        let mut remainder = available;
        for (_, weight) in &mut free {
            *weight = (u64::from(*weight) * u64::from(available) / u64::from(total)) as u32;
            remainder -= *weight;
        }
        for (_, weight) in free.iter_mut().take(remainder as usize) {
            *weight += 1;
        }
    }
    let excluded = free
        .iter()
        .filter(|(symbol, _)| !active.contains(symbol))
        .map(|(symbol, _)| symbol.clone())
        .collect();
    let candidates = active
        .iter()
        .filter(|symbol| !frozen.contains_key(*symbol))
        .cloned()
        .collect::<Vec<_>>();
    let allocated = crate::platform_expr_strategy::replenish_target_weight_bps(
        &free,
        &candidates,
        &excluded,
        target_count.saturating_sub(
            frozen
                .keys()
                .filter(|symbol| original.contains(symbol))
                .count(),
        ),
    );
    frozen.extend(
        allocated
            .into_iter()
            .map(|(symbol, weight)| (symbol, weight as i32)),
    );
    Ok(frozen)
}