Cancel-on-Disconnect

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/* Deterministic reference algorithms for D12-F03 Order Controls. */

type Inputs = Record<string, any>;

function integer(name: string, value: unknown, positive = false, nonnegative = false): number {
  if (typeof value !== "number" || !Number.isInteger(value)) throw new Error(`${name} must be an integer`);
  if (positive && value <= 0) throw new Error(`${name} must be positive`);
  if (nonnegative && value < 0) throw new Error(`${name} must be nonnegative`);
  return value;
}

function text(name: string, value: unknown): string {
  if (typeof value !== "string" || !value.trim()) throw new Error(`${name} must be a nonempty string`);
  return value.trim();
}

function booleanValue(name: string, value: unknown): boolean {
  if (typeof value !== "boolean") throw new Error(`${name} must be boolean`);
  return value;
}

export function tickSizeValidation(
  price_atoms: unknown,
  tick_size_atoms: unknown,
  price_scale: unknown,
  effective_policy_id: unknown,
): Record<string, unknown> {
  const price = integer("price_atoms", price_atoms, true);
  const tick = integer("tick_size_atoms", tick_size_atoms, true);
  const scale = integer("price_scale", price_scale, true);
  const policyId = text("effective_policy_id", effective_policy_id);
  if (tick > price) throw new Error("tick_size_atoms cannot exceed price_atoms");
  const quotient = Math.floor(price / tick);
  const remainder = price % tick;
  const lower = quotient * tick;
  const upper = remainder === 0 ? lower : lower + tick;
  const valid = remainder === 0;
  return {
    effective_policy_id: policyId,
    price_atoms: price,
    tick_size_atoms: tick,
    price_scale: scale,
    valid,
    remainder_atoms: remainder,
    lower_valid_price_atoms: lower,
    upper_valid_price_atoms: upper,
    distance_to_lower_atoms: price - lower,
    distance_to_upper_atoms: upper - price,
    reason: valid ? "on-grid" : "off-grid",
    state: valid ? "accepted" : "rejected",
  };
}

export function priceBandValidation(
  side: unknown,
  limit_price_atoms: unknown,
  lower_band_atoms: unknown,
  upper_band_atoms: unknown,
  band_as_of_ns: unknown,
  inclusive: unknown = true,
): Record<string, unknown> {
  const orderSide = text("side", side).toLowerCase();
  if (!["buy", "sell"].includes(orderSide)) throw new Error("side must be buy or sell");
  const price = integer("limit_price_atoms", limit_price_atoms, true);
  const lower = integer("lower_band_atoms", lower_band_atoms, true);
  const upper = integer("upper_band_atoms", upper_band_atoms, true);
  const asOf = integer("band_as_of_ns", band_as_of_ns, false, true);
  const includeEdges = booleanValue("inclusive", inclusive);
  if (lower >= upper) throw new Error("lower_band_atoms must be less than upper_band_atoms");
  const valid = includeEdges ? lower <= price && price <= upper : lower < price && price < upper;
  let reason = "inside-band";
  let violation = 0;
  if (price < lower || (price === lower && !includeEdges)) {
    reason = "below-lower-band"; violation = lower - price;
  } else if (price > upper || (price === upper && !includeEdges)) {
    reason = "above-upper-band"; violation = price - upper;
  }
  return {
    side: orderSide, limit_price_atoms: price, lower_band_atoms: lower, upper_band_atoms: upper,
    band_as_of_ns: asOf, inclusive: includeEdges, valid,
    distance_from_lower_atoms: price - lower, distance_to_upper_atoms: upper - price,
    violation_atoms: violation, reason, state: valid ? "accepted" : "rejected",
  };
}

export function selfTradePrevention(incoming_order: unknown, resting_orders: unknown, mode: unknown): Record<string, unknown> {
  if (!incoming_order || typeof incoming_order !== "object" || Array.isArray(incoming_order)) throw new Error("incoming_order must be an object");
  if (!Array.isArray(resting_orders)) throw new Error("resting_orders must be an array");
  const incoming = incoming_order as Inputs;
  const selectedMode = text("mode", mode).toLowerCase();
  if (!["cancel_newest", "cancel_oldest", "decrement_both"].includes(selectedMode)) throw new Error("unsupported self-trade-prevention mode");
  const incomingId = text("incoming_order.order_id", incoming.order_id);
  const side = text("incoming_order.side", incoming.side).toLowerCase();
  if (!["buy", "sell"].includes(side)) throw new Error("incoming_order.side must be buy or sell");
  const price = integer("incoming_order.price_atoms", incoming.price_atoms, true);
  const quantity = integer("incoming_order.quantity", incoming.quantity, true);
  const participant = text("incoming_order.participant_id", incoming.participant_id);
  const group = text("incoming_order.stp_group", incoming.stp_group);
  const seen = new Set<string>([incomingId]);
  const parsed = resting_orders.map((raw: any, index: number) => {
    if (!raw || typeof raw !== "object" || Array.isArray(raw)) throw new Error(`resting_orders[${index}] must be an object`);
    const orderId = text(`resting_orders[${index}].order_id`, raw.order_id);
    if (seen.has(orderId)) throw new Error("order identifiers must be unique");
    seen.add(orderId);
    const restingSide = text(`resting_orders[${index}].side`, raw.side).toLowerCase();
    if (!["buy", "sell"].includes(restingSide) || restingSide === side) throw new Error("resting orders must be on the contra side");
    return {
      order_id: orderId, side: restingSide,
      price_atoms: integer(`resting_orders[${index}].price_atoms`, raw.price_atoms, true),
      quantity: integer(`resting_orders[${index}].quantity`, raw.quantity, true),
      participant_id: text(`resting_orders[${index}].participant_id`, raw.participant_id),
      stp_group: text(`resting_orders[${index}].stp_group`, raw.stp_group),
      sequence: integer(`resting_orders[${index}].sequence`, raw.sequence, false, true),
    };
  });
  parsed.sort((a, b) => side === "buy" ? a.price_atoms - b.price_atoms || a.sequence - b.sequence : b.price_atoms - a.price_atoms || a.sequence - b.sequence);
  let remaining = quantity;
  let externalExecuted = 0, prevented = 0, canceledIncoming = 0, canceledResting = 0;
  let stopped = false;
  const events: any[] = [], finalBook: any[] = [];
  for (const original of parsed) {
    const resting = { ...original };
    const marketable = side === "buy" ? resting.price_atoms <= price : resting.price_atoms >= price;
    if (stopped || remaining === 0 || !marketable) { finalBook.push(resting); continue; }
    const sameGroup = resting.participant_id === participant && resting.stp_group === group;
    const matchQty = Math.min(remaining, resting.quantity);
    if (sameGroup) {
      if (selectedMode === "cancel_newest") {
        canceledIncoming = remaining; prevented += matchQty;
        events.push({ action: "cancel-incoming", incoming_order_id: incomingId, resting_order_id: resting.order_id, prevented_quantity: matchQty });
        remaining = 0; stopped = true; finalBook.push(resting);
      } else if (selectedMode === "cancel_oldest") {
        canceledResting += resting.quantity; prevented += matchQty;
        events.push({ action: "cancel-resting", incoming_order_id: incomingId, resting_order_id: resting.order_id, prevented_quantity: matchQty });
      } else {
        resting.quantity -= matchQty; remaining -= matchQty; prevented += matchQty;
        events.push({ action: "decrement-both", incoming_order_id: incomingId, resting_order_id: resting.order_id, prevented_quantity: matchQty });
        if (resting.quantity > 0) finalBook.push(resting);
      }
    } else {
      resting.quantity -= matchQty; remaining -= matchQty; externalExecuted += matchQty;
      events.push({ action: "execute-external", incoming_order_id: incomingId, resting_order_id: resting.order_id, quantity: matchQty, price_atoms: resting.price_atoms });
      if (resting.quantity > 0) finalBook.push(resting);
    }
  }
  const state = prevented ? "self-trade-prevented" : remaining === 0 ? "externally-filled" : "resting-or-residual";
  return {
    mode: selectedMode, incoming_order_id: incomingId, original_incoming_quantity: quantity,
    external_executed_quantity: externalExecuted, prevented_self_quantity: prevented,
    canceled_incoming_quantity: canceledIncoming, canceled_resting_quantity: canceledResting,
    remaining_incoming_quantity: remaining, events, resting_orders: finalBook, state,
  };
}

export function cancelOnDisconnect(
  disconnected_session_id: unknown,
  disconnect_type: unknown,
  trigger_disconnect_types: unknown,
  policy: unknown,
  orders: unknown,
): Record<string, unknown> {
  const session = text("disconnected_session_id", disconnected_session_id);
  const eventType = text("disconnect_type", disconnect_type).toLowerCase();
  if (!Array.isArray(trigger_disconnect_types) || !trigger_disconnect_types.length) throw new Error("trigger_disconnect_types must be a nonempty array");
  const triggers = trigger_disconnect_types.map((item) => text("trigger_disconnect_type", item).toLowerCase());
  const selectedPolicy = text("policy", policy).toLowerCase();
  if (!["cancel_all", "cancel_continuous", "keep_gtc"].includes(selectedPolicy)) throw new Error("unsupported cancel-on-disconnect policy");
  if (!Array.isArray(orders)) throw new Error("orders must be an array");
  const seen = new Set<string>();
  const parsed = orders.map((raw: any, index: number) => {
    if (!raw || typeof raw !== "object" || Array.isArray(raw)) throw new Error(`orders[${index}] must be an object`);
    const orderId = text(`orders[${index}].order_id`, raw.order_id);
    if (seen.has(orderId)) throw new Error("order identifiers must be unique");
    seen.add(orderId);
    const book = text(`orders[${index}].book`, raw.book).toLowerCase();
    if (!["continuous", "auction"].includes(book)) throw new Error("book must be continuous or auction");
    return {
      order_id: orderId, session_id: text(`orders[${index}].session_id`, raw.session_id), book,
      time_in_force: text(`orders[${index}].time_in_force`, raw.time_in_force).toUpperCase(),
      quantity: integer(`orders[${index}].quantity`, raw.quantity, true),
    };
  });
  const triggered = triggers.includes(eventType);
  const canceled: string[] = [], retained: Array<{ order_id: string; reason: string }> = [];
  for (const order of parsed) {
    if (order.session_id !== session) { retained.push({ order_id: order.order_id, reason: "different-session" }); continue; }
    if (!triggered) { retained.push({ order_id: order.order_id, reason: "disconnect-type-not-configured" }); continue; }
    const shouldCancel = selectedPolicy === "cancel_all"
      || (selectedPolicy === "cancel_continuous" && order.book === "continuous")
      || (selectedPolicy === "keep_gtc" && order.time_in_force !== "GTC");
    if (shouldCancel) canceled.push(order.order_id);
    else retained.push({ order_id: order.order_id, reason: order.book === "auction" ? "auction-order-retained" : "gtc-retained" });
  }
  return {
    disconnected_session_id: session, disconnect_type: eventType, triggered, policy: selectedPolicy,
    canceled_order_ids: canceled, retained_orders: retained, canceled_count: canceled.length,
    retained_count: retained.length, state: triggered ? "purge-applied" : "no-purge",
  };
}

export function fatFingerLimit(
  side: unknown,
  limit_price_atoms: unknown,
  reference_price_atoms: unknown,
  quantity: unknown,
  max_quantity: unknown,
  max_notional_atoms: unknown,
  max_aggressive_deviation_bps: unknown,
): Record<string, unknown> {
  const orderSide = text("side", side).toLowerCase();
  if (!["buy", "sell"].includes(orderSide)) throw new Error("side must be buy or sell");
  const price = integer("limit_price_atoms", limit_price_atoms, true);
  const reference = integer("reference_price_atoms", reference_price_atoms, true);
  const qty = integer("quantity", quantity, true);
  const maxQty = integer("max_quantity", max_quantity, true);
  const maxNotional = integer("max_notional_atoms", max_notional_atoms, true);
  const maxDeviation = integer("max_aggressive_deviation_bps", max_aggressive_deviation_bps, false, true);
  const notional = price * qty;
  const signed = orderSide === "buy" ? price - reference : reference - price;
  const aggressiveDeviationBps = Math.max(0, Math.round((signed * 10000 / reference) * 1e6) / 1e6);
  const checks = {
    quantity: { value: qty, limit: maxQty, passed: qty <= maxQty },
    notional: { value: notional, limit: maxNotional, passed: notional <= maxNotional },
    aggressive_deviation_bps: { value: aggressiveDeviationBps, limit: maxDeviation, passed: aggressiveDeviationBps <= maxDeviation },
  };
  const violations = Object.entries(checks).filter(([, check]) => !check.passed).map(([name]) => name);
  return {
    side: orderSide, limit_price_atoms: price, reference_price_atoms: reference, quantity: qty,
    order_notional_atoms: notional, aggressive_deviation_bps: aggressiveDeviationBps,
    checks, violations, valid: violations.length === 0,
    reason: violations.length ? `limit-breached:${violations.join(",")}` : "within-configured-limits",
    state: violations.length ? "rejected" : "accepted",
  };
}

export function circuitBreakerTrigger(
  reference_close_atoms: unknown,
  current_index_atoms: unknown,
  level_thresholds_bps: unknown,
  previously_triggered_level: unknown = 0,
): Record<string, unknown> {
  const reference = integer("reference_close_atoms", reference_close_atoms, true);
  const current = integer("current_index_atoms", current_index_atoms, true);
  const previous = integer("previously_triggered_level", previously_triggered_level, false, true);
  if (previous > 3) throw new Error("previously_triggered_level cannot exceed 3");
  if (!Array.isArray(level_thresholds_bps) || level_thresholds_bps.length !== 3) throw new Error("level_thresholds_bps must contain exactly three thresholds");
  const thresholds = level_thresholds_bps.map((value) => integer("threshold_bps", value, true));
  if (new Set(thresholds).size !== 3 || thresholds.some((value, index) => index > 0 && value <= thresholds[index - 1])) throw new Error("thresholds must be strictly increasing");
  const declineBps = Math.max(0, Math.round(((reference - current) * 10000 / reference) * 1e6) / 1e6);
  let reached = 0;
  thresholds.forEach((threshold, index) => { if (declineBps >= threshold) reached = index + 1; });
  const newlyTriggered = reached > previous;
  const triggerLevel = newlyTriggered ? reached : 0;
  const actions = ["continue", "level-1-halt", "level-2-halt", "level-3-close"];
  const nextThreshold = reached < thresholds.length ? thresholds[reached] : null;
  const distance = nextThreshold === null ? null : Math.max(0, Math.round((nextThreshold - declineBps) * 1e6) / 1e6);
  return {
    reference_close_atoms: reference, current_index_atoms: current, decline_bps: declineBps,
    level_thresholds_bps: thresholds, previously_triggered_level: previous,
    reached_level: reached, newly_triggered_level: triggerLevel, newly_triggered: newlyTriggered,
    action: actions[triggerLevel], next_threshold_bps: nextThreshold,
    distance_to_next_threshold_bps: distance,
    state: newlyTriggered ? "triggered" : reached ? "already-triggered" : "normal",
  };
}

export function calculate(topicId: string, inputs: Inputs): Record<string, unknown> {
  if (!inputs || typeof inputs !== "object" || Array.isArray(inputs)) throw new Error("inputs must be an object");
  if (topicId === "D12-F03-A01") return tickSizeValidation(inputs.price_atoms, inputs.tick_size_atoms, inputs.price_scale, inputs.effective_policy_id);
  if (topicId === "D12-F03-A02") return priceBandValidation(inputs.side, inputs.limit_price_atoms, inputs.lower_band_atoms, inputs.upper_band_atoms, inputs.band_as_of_ns, inputs.inclusive);
  if (topicId === "D12-F03-A03") return selfTradePrevention(inputs.incoming_order, inputs.resting_orders, inputs.mode);
  if (topicId === "D12-F03-A04") return cancelOnDisconnect(inputs.disconnected_session_id, inputs.disconnect_type, inputs.trigger_disconnect_types, inputs.policy, inputs.orders);
  if (topicId === "D12-F03-A05") return fatFingerLimit(inputs.side, inputs.limit_price_atoms, inputs.reference_price_atoms, inputs.quantity, inputs.max_quantity, inputs.max_notional_atoms, inputs.max_aggressive_deviation_bps);
  if (topicId === "D12-F03-A06") return circuitBreakerTrigger(inputs.reference_close_atoms, inputs.current_index_atoms, inputs.level_thresholds_bps, inputs.previously_triggered_level);
  throw new Error(`unsupported topic_id: ${topicId}`);
}