mev-beta/orig/pkg/arbitrum/mev_strategies.go

package arbitrum

import (
	"context"
	"fmt"
	"math/big"
	"sort"
	"time"

	"github.com/ethereum/go-ethereum/common"

	"github.com/fraktal/mev-beta/internal/logger"
	"github.com/fraktal/mev-beta/pkg/types"
)

// MEVStrategyEngine implements profitable MEV strategies
type MEVStrategyEngine struct {
	logger           *logger.Logger
	protocolRegistry *ArbitrumProtocolRegistry
	profitCalculator *RealTimeProfitCalculator
	riskManager      *RiskManager

	// Strategy configuration
	minProfitUSD float64  // Minimum profit in USD
	maxGasPrice  *big.Int // Maximum gas price willing to pay
	maxSlippage  float64  // Maximum slippage tolerance

	// Performance tracking
	successfulTrades uint64
	totalProfit      *big.Int
	totalGasCost     *big.Int
}

// RealTimeProfitCalculator provides real-time profit calculations
type RealTimeProfitCalculator struct {
	// Token prices (token address -> price in USD)
	tokenPrices map[common.Address]*TokenPrice

	// Gas pricing
	currentGasPrice *big.Int

	// Exchange rates and fees
	exchangeFees map[string]float64 // protocol -> fee percentage

	// Liquidity data
	poolLiquidity map[common.Address]*PoolLiquidity
}

// RiskManager manages risk parameters for MEV strategies
type RiskManager struct {
	maxPositionSize  *big.Int // Maximum position size in wei
	maxDailyLoss     *big.Int // Maximum daily loss
	maxConcurrentTxs int      // Maximum concurrent transactions

	// Current risk metrics
	dailyLoss     *big.Int
	activeTxs     int
	lastResetTime time.Time
}

// TokenPrice represents real-time token pricing data
type TokenPrice struct {
	Address     common.Address
	PriceUSD    float64
	LastUpdated time.Time
	Confidence  float64 // Price confidence 0-1
	Volume24h   float64
	Volatility  float64
}

// PoolLiquidity represents pool liquidity information
type PoolLiquidity struct {
	Pool           common.Address
	Token0         common.Address
	Token1         common.Address
	Reserve0       *big.Int
	Reserve1       *big.Int
	TotalLiquidity *big.Int
	Fee            float64
	LastUpdated    time.Time
}

// ProfitableStrategy represents a profitable MEV strategy
type ProfitableStrategy struct {
	Type            string                 // "arbitrage", "sandwich", "liquidation"
	Priority        int                    // Higher = more urgent
	ExpectedProfit  *big.Int               // Expected profit in wei
	GasCost         *big.Int               // Estimated gas cost
	NetProfit       *big.Int               // Net profit after gas
	ProfitMarginPct float64                // Profit margin percentage
	RiskScore       float64                // Risk score 0-1 (higher = riskier)
	Confidence      float64                // Confidence in profit estimate 0-1
	ExecutionTime   time.Duration          // Estimated execution time
	Parameters      map[string]interface{} // Strategy-specific parameters
}

// ArbitrageParams holds arbitrage-specific parameters
type ArbitrageParams struct {
	TokenIn   common.Address   `json:"token_in"`
	TokenOut  common.Address   `json:"token_out"`
	AmountIn  *big.Int         `json:"amount_in"`
	Path      []common.Address `json:"path"`
	Exchanges []string         `json:"exchanges"`
	PriceDiff float64          `json:"price_diff"`
	Slippage  float64          `json:"slippage"`
}

// SandwichParams holds sandwich attack parameters
type SandwichParams struct {
	TargetTx       string         `json:"target_tx"`
	TokenIn        common.Address `json:"token_in"`
	TokenOut       common.Address `json:"token_out"`
	FrontrunAmount *big.Int       `json:"frontrun_amount"`
	BackrunAmount  *big.Int       `json:"backrun_amount"`
	Pool           common.Address `json:"pool"`
	MaxSlippage    float64        `json:"max_slippage"`
}

// LiquidationParams holds liquidation-specific parameters
type LiquidationParams struct {
	Protocol         string         `json:"protocol"`
	Borrower         common.Address `json:"borrower"`
	CollateralToken  common.Address `json:"collateral_token"`
	DebtToken        common.Address `json:"debt_token"`
	MaxLiquidation   *big.Int       `json:"max_liquidation"`
	HealthFactor     float64        `json:"health_factor"`
	LiquidationBonus float64        `json:"liquidation_bonus"`
}

// NewMEVStrategyEngine creates a new MEV strategy engine
func NewMEVStrategyEngine(logger *logger.Logger, protocolRegistry *ArbitrumProtocolRegistry) *MEVStrategyEngine {
	return &MEVStrategyEngine{
		logger:           logger,
		protocolRegistry: protocolRegistry,
		minProfitUSD:     50.0,                    // $50 minimum profit
		maxGasPrice:      big.NewInt(20000000000), // 20 gwei max
		maxSlippage:      0.005,                   // 0.5% max slippage
		totalProfit:      big.NewInt(0),
		totalGasCost:     big.NewInt(0),
		profitCalculator: NewRealTimeProfitCalculator(),
		riskManager:      NewRiskManager(),
	}
}

// NewRealTimeProfitCalculator creates a new profit calculator
func NewRealTimeProfitCalculator() *RealTimeProfitCalculator {
	return &RealTimeProfitCalculator{
		tokenPrices:     make(map[common.Address]*TokenPrice),
		exchangeFees:    make(map[string]float64),
		poolLiquidity:   make(map[common.Address]*PoolLiquidity),
		currentGasPrice: big.NewInt(5000000000), // 5 gwei default
	}
}

// NewRiskManager creates a new risk manager
func NewRiskManager() *RiskManager {
	return &RiskManager{
		maxPositionSize:  big.NewInt(1000000000000000000), // 1 ETH max position
		maxDailyLoss:     big.NewInt(100000000000000000),  // 0.1 ETH max daily loss
		maxConcurrentTxs: 5,
		dailyLoss:        big.NewInt(0),
		activeTxs:        0,
		lastResetTime:    time.Now(),
	}
}

// AnalyzeArbitrageOpportunity analyzes potential arbitrage opportunities
func (engine *MEVStrategyEngine) AnalyzeArbitrageOpportunity(ctx context.Context, swapEvent interface{}) (interface{}, error) {
	// Type assert the swapEvent to *SwapEvent
	swap, ok := swapEvent.(*SwapEvent)
	if !ok {
		return nil, fmt.Errorf("invalid swap event type")
	}

	// Parse token addresses
	tokenIn := common.HexToAddress(swap.TokenIn)
	tokenOut := common.HexToAddress(swap.TokenOut)

	// Get current prices across exchanges
	prices, err := engine.profitCalculator.GetCrossExchangePrices(ctx, tokenIn, tokenOut)
	if err != nil {
		return nil, fmt.Errorf("failed to get cross-exchange prices: %w", err)
	}

	// Find best arbitrage path
	bestArb := engine.findBestArbitragePath(prices, tokenIn, tokenOut)
	if bestArb == nil {
		return nil, nil // No profitable arbitrage
	}

	// Calculate gas costs
	gasCost := engine.calculateArbitrageGasCost(bestArb)

	// Calculate net profit
	netProfit := new(big.Int).Sub(bestArb.Profit, gasCost)

	// Convert to USD for minimum profit check
	profitUSD := engine.profitCalculator.WeiToUSD(netProfit, common.HexToAddress("0x82af49447d8a07e3bd95bd0d56f35241523fbab1")) // WETH

	if profitUSD < engine.minProfitUSD {
		return nil, nil // Below minimum profit threshold
	}

	// Check risk parameters
	riskScore := engine.riskManager.CalculateRiskScore(bestArb)
	if riskScore > 0.7 { // Risk too high
		return nil, nil
	}

	return &ProfitableStrategy{
		Type:            "arbitrage",
		Priority:        engine.calculatePriority(profitUSD, riskScore),
		ExpectedProfit:  bestArb.Profit,
		GasCost:         gasCost,
		NetProfit:       netProfit,
		ProfitMarginPct: (float64(netProfit.Uint64()) / float64(bestArb.AmountIn.Uint64())) * 100,
		RiskScore:       riskScore,
		Confidence:      bestArb.Confidence,
		ExecutionTime:   time.Duration(15) * time.Second, // Estimated execution time
		Parameters: map[string]interface{}{
			"arbitrage": &ArbitrageParams{
				TokenIn:   tokenIn,
				TokenOut:  tokenOut,
				AmountIn:  bestArb.AmountIn,
				Path:      []common.Address{bestArb.TokenIn, bestArb.TokenOut},
				Exchanges: bestArb.Pools, // Use pools as exchanges
				PriceDiff: engine.calculatePriceDifference(prices),
				Slippage:  engine.maxSlippage,
			},
		},
	}, nil
}

// AnalyzeSandwichOpportunity analyzes potential sandwich attack opportunities
func (engine *MEVStrategyEngine) AnalyzeSandwichOpportunity(ctx context.Context, targetTx *SwapEvent) (*ProfitableStrategy, error) {
	// Only analyze large transactions that can be sandwiched profitably
	amountIn, ok := new(big.Int).SetString(targetTx.AmountIn, 10)
	if !ok || amountIn.Cmp(big.NewInt(100000000000000000)) < 0 { // < 0.1 ETH
		return nil, nil
	}

	// Check if transaction has sufficient slippage tolerance
	if targetTx.PriceImpact < 0.01 { // < 1% price impact
		return nil, nil
	}

	tokenIn := common.HexToAddress(targetTx.TokenIn)
	tokenOut := common.HexToAddress(targetTx.TokenOut)

	// Calculate optimal sandwich amounts
	frontrunAmount, backrunAmount := engine.calculateOptimalSandwichAmounts(amountIn, targetTx.PriceImpact)

	// Estimate profit from price manipulation
	expectedProfit := engine.calculateSandwichProfit(frontrunAmount, backrunAmount, targetTx.PriceImpact)

	// Calculate gas costs (frontrun + backrun + priority fees)
	gasCost := engine.calculateSandwichGasCost()

	// Calculate net profit
	netProfit := new(big.Int).Sub(expectedProfit, gasCost)

	// Convert to USD
	profitUSD := engine.profitCalculator.WeiToUSD(netProfit, tokenOut)

	if profitUSD < engine.minProfitUSD {
		return nil, nil
	}

	// Calculate risk (sandwich attacks are inherently risky)
	riskScore := 0.6 + (targetTx.PriceImpact * 0.3) // Base risk + impact risk

	return &ProfitableStrategy{
		Type:            "sandwich",
		Priority:        engine.calculatePriority(profitUSD, riskScore),
		ExpectedProfit:  expectedProfit,
		GasCost:         gasCost,
		NetProfit:       netProfit,
		ProfitMarginPct: (float64(netProfit.Uint64()) / float64(amountIn.Uint64())) * 100,
		RiskScore:       riskScore,
		Confidence:      0.7,                            // Moderate confidence due to MEV competition
		ExecutionTime:   time.Duration(3) * time.Second, // Fast execution required
		Parameters: map[string]interface{}{
			"sandwich": &SandwichParams{
				TargetTx:       targetTx.TxHash,
				TokenIn:        tokenIn,
				TokenOut:       tokenOut,
				FrontrunAmount: frontrunAmount,
				BackrunAmount:  backrunAmount,
				Pool:           common.HexToAddress(targetTx.Pool),
				MaxSlippage:    engine.maxSlippage,
			},
		},
	}, nil
}

// AnalyzeLiquidationOpportunity analyzes potential liquidation opportunities
func (engine *MEVStrategyEngine) AnalyzeLiquidationOpportunity(ctx context.Context, liquidationEvent *LiquidationEvent) (*ProfitableStrategy, error) {
	// Only analyze under-collateralized positions
	if liquidationEvent.HealthFactor >= 1.0 {
		return nil, nil
	}

	// Calculate liquidation profitability
	collateralAmount, ok := new(big.Int).SetString(liquidationEvent.CollateralAmount, 10)
	if !ok {
		return nil, fmt.Errorf("invalid collateral amount")
	}

	debtAmount, ok := new(big.Int).SetString(liquidationEvent.DebtAmount, 10)
	if !ok {
		return nil, fmt.Errorf("invalid debt amount")
	}

	// Calculate liquidation bonus (usually 5-15%)
	bonusAmount, ok := new(big.Int).SetString(liquidationEvent.Bonus, 10)
	if !ok {
		bonusAmount = new(big.Int).Div(collateralAmount, big.NewInt(20)) // 5% default
	}

	// Estimate gas costs for liquidation
	gasCost := engine.calculateLiquidationGasCost(liquidationEvent.Protocol)

	// Calculate net profit (bonus - gas costs)
	netProfit := new(big.Int).Sub(bonusAmount, gasCost)

	// Convert to USD
	collateralToken := common.HexToAddress(liquidationEvent.CollateralToken)
	profitUSD := engine.profitCalculator.WeiToUSD(netProfit, collateralToken)

	if profitUSD < engine.minProfitUSD {
		return nil, nil
	}

	// Calculate risk score (liquidations are generally lower risk)
	riskScore := 0.3 + (1.0-liquidationEvent.HealthFactor)*0.2

	return &ProfitableStrategy{
		Type:            "liquidation",
		Priority:        engine.calculatePriority(profitUSD, riskScore),
		ExpectedProfit:  bonusAmount,
		GasCost:         gasCost,
		NetProfit:       netProfit,
		ProfitMarginPct: (float64(netProfit.Uint64()) / float64(debtAmount.Uint64())) * 100,
		RiskScore:       riskScore,
		Confidence:      0.9, // High confidence for liquidations
		ExecutionTime:   time.Duration(10) * time.Second,
		Parameters: map[string]interface{}{
			"liquidation": &LiquidationParams{
				Protocol:         liquidationEvent.Protocol,
				Borrower:         common.HexToAddress(liquidationEvent.Borrower),
				CollateralToken:  collateralToken,
				DebtToken:        common.HexToAddress(liquidationEvent.DebtToken),
				MaxLiquidation:   collateralAmount,
				HealthFactor:     liquidationEvent.HealthFactor,
				LiquidationBonus: float64(bonusAmount.Uint64()) / float64(collateralAmount.Uint64()),
			},
		},
	}, nil
}

// GetCrossExchangePrices gets prices across different exchanges
func (calc *RealTimeProfitCalculator) GetCrossExchangePrices(ctx context.Context, tokenIn, tokenOut common.Address) (map[string]float64, error) {
	prices := make(map[string]float64)

	// Get prices from major exchanges
	exchanges := []string{"uniswap_v3", "uniswap_v2", "sushiswap", "camelot_v3", "balancer_v2"}

	for _, exchange := range exchanges {
		price, err := calc.getTokenPairPrice(ctx, exchange, tokenIn, tokenOut)
		if err != nil {
			continue // Skip if price unavailable
		}
		prices[exchange] = price
	}

	return prices, nil
}

// Helper methods for calculations
func (engine *MEVStrategyEngine) findBestArbitragePath(prices map[string]float64, tokenIn, tokenOut common.Address) *types.ArbitrageOpportunity {
	if len(prices) < 2 {
		return nil
	}

	// Find highest and lowest prices
	var minPrice, maxPrice float64
	var minExchange, maxExchange string
	first := true

	for exchange, price := range prices {
		if first {
			minPrice = price
			maxPrice = price
			minExchange = exchange
			maxExchange = exchange
			first = false
			continue
		}

		if price < minPrice {
			minPrice = price
			minExchange = exchange
		}
		if price > maxPrice {
			maxPrice = price
			maxExchange = exchange
		}
	}

	// Calculate potential profit
	priceDiff := (maxPrice - minPrice) / minPrice
	if priceDiff < 0.005 { // Minimum 0.5% price difference
		return nil
	}

	// Estimate amounts and profit
	amountIn := big.NewInt(100000000000000000) // 0.1 ETH test amount
	expectedProfit := new(big.Int).Mul(amountIn, big.NewInt(int64(priceDiff*1000)))
	expectedProfit = new(big.Int).Div(expectedProfit, big.NewInt(1000))

	return &types.ArbitrageOpportunity{
		Path:          []string{tokenIn.Hex(), tokenOut.Hex()},
		Pools:         []string{minExchange + "-pool", maxExchange + "-pool"},
		AmountIn:      amountIn,
		Profit:        expectedProfit,
		NetProfit:     expectedProfit,     // Simplified - gas will be calculated later
		GasEstimate:   big.NewInt(200000), // Estimate
		ROI:           0.0,                // Will be calculated when gas is known
		Protocol:      "multi-exchange",
		ExecutionTime: 4000, // 4 seconds
		Confidence:    0.8,
		PriceImpact:   0.005, // 0.5% estimated
		MaxSlippage:   0.02,  // 2% max slippage
		TokenIn:       tokenIn,
		TokenOut:      tokenOut,
		Timestamp:     time.Now().Unix(),
		Risk:          0.3, // Medium risk for cross-exchange arbitrage
	}
}

func (engine *MEVStrategyEngine) calculateOptimalSandwichAmounts(targetAmount *big.Int, priceImpact float64) (*big.Int, *big.Int) {
	// Optimal frontrun is typically 10-30% of target transaction
	frontrunPct := 0.15 + (priceImpact * 0.15) // Scale with price impact
	frontrunAmount := new(big.Int).Mul(targetAmount, big.NewInt(int64(frontrunPct*100)))
	frontrunAmount = new(big.Int).Div(frontrunAmount, big.NewInt(100))

	// Backrun amount should be similar to frontrun
	backrunAmount := new(big.Int).Set(frontrunAmount)

	return frontrunAmount, backrunAmount
}

func (engine *MEVStrategyEngine) calculateSandwichProfit(frontrunAmount, backrunAmount *big.Int, priceImpact float64) *big.Int {
	// Simplified calculation: profit = frontrun_amount * (price_impact - fees)
	profitPct := priceImpact - 0.006 // Subtract 0.6% for fees and slippage
	if profitPct <= 0 {
		return big.NewInt(0)
	}

	profit := new(big.Int).Mul(frontrunAmount, big.NewInt(int64(profitPct*1000)))
	profit = new(big.Int).Div(profit, big.NewInt(1000))

	return profit
}

// Gas cost calculation methods
func (engine *MEVStrategyEngine) calculateArbitrageGasCost(arb *types.ArbitrageOpportunity) *big.Int {
	// Estimate gas usage: swap + transfer operations
	gasUsage := big.NewInt(300000) // ~300k gas for complex arbitrage
	return new(big.Int).Mul(gasUsage, engine.maxGasPrice)
}

func (engine *MEVStrategyEngine) calculateSandwichGasCost() *big.Int {
	// Frontrun + backrun + priority fees
	gasUsage := big.NewInt(400000)         // ~400k gas total
	priorityFee := big.NewInt(10000000000) // 10 gwei priority
	totalGasPrice := new(big.Int).Add(engine.maxGasPrice, priorityFee)
	return new(big.Int).Mul(gasUsage, totalGasPrice)
}

func (engine *MEVStrategyEngine) calculateLiquidationGasCost(protocol string) *big.Int {
	// Different protocols have different gas costs
	gasUsage := big.NewInt(200000) // ~200k gas for liquidation
	if protocol == "gmx" {
		gasUsage = big.NewInt(350000) // GMX is more expensive
	}
	return new(big.Int).Mul(gasUsage, engine.maxGasPrice)
}

// Utility methods
func (engine *MEVStrategyEngine) calculatePriority(profitUSD, riskScore float64) int {
	// Higher profit and lower risk = higher priority
	priority := int((profitUSD / 10.0) * (1.0 - riskScore) * 100)
	if priority > 1000 {
		priority = 1000 // Cap at 1000
	}
	return priority
}

func (engine *MEVStrategyEngine) calculatePriceDifference(prices map[string]float64) float64 {
	if len(prices) < 2 {
		return 0
	}

	var min, max float64
	first := true
	for _, price := range prices {
		if first {
			min = price
			max = price
			first = false
			continue
		}
		if price < min {
			min = price
		}
		if price > max {
			max = price
		}
	}

	return (max - min) / min
}

// WeiToUSD converts wei amount to USD using token price
func (calc *RealTimeProfitCalculator) WeiToUSD(amount *big.Int, token common.Address) float64 {
	price, exists := calc.tokenPrices[token]
	if !exists {
		return 0
	}

	// Convert wei to token units (assume 18 decimals)
	tokenAmount := new(big.Float).SetInt(amount)
	tokenAmount.Quo(tokenAmount, big.NewFloat(1e18))

	tokenAmountFloat, _ := tokenAmount.Float64()
	return tokenAmountFloat * price.PriceUSD
}

func (calc *RealTimeProfitCalculator) getTokenPairPrice(ctx context.Context, exchange string, tokenIn, tokenOut common.Address) (float64, error) {
	// This would connect to actual DEX contracts or price oracles
	// For now, we'll return an error to indicate this needs implementation
	return 0, fmt.Errorf("getTokenPairPrice not implemented - needs connection to actual DEX contracts or price oracles")
}

// CalculateRiskScore calculates risk score for a strategy
func (rm *RiskManager) CalculateRiskScore(arb *types.ArbitrageOpportunity) float64 {
	// Base risk factors
	baseRisk := 0.1

	// Size risk - larger positions are riskier
	sizeRisk := float64(arb.AmountIn.Uint64()) / 1e18 * 0.1 // 0.1 per ETH

	// Confidence risk
	confidenceRisk := (1.0 - arb.Confidence) * 0.3

	// Path complexity risk
	pathRisk := float64(len(arb.Path)-2) * 0.05 // Additional risk for each hop

	totalRisk := baseRisk + sizeRisk + confidenceRisk + pathRisk

	// Cap at 1.0
	if totalRisk > 1.0 {
		totalRisk = 1.0
	}

	return totalRisk
}

// GetTopStrategies returns the most profitable strategies sorted by priority
func (engine *MEVStrategyEngine) GetTopStrategies(strategies []*ProfitableStrategy, limit int) []*ProfitableStrategy {
	// Sort by priority (highest first)
	sort.Slice(strategies, func(i, j int) bool {
		return strategies[i].Priority > strategies[j].Priority
	})

	// Apply limit
	if len(strategies) > limit {
		strategies = strategies[:limit]
	}

	return strategies
}

// UpdatePerformanceMetrics updates strategy performance tracking
func (engine *MEVStrategyEngine) UpdatePerformanceMetrics(strategy *ProfitableStrategy, actualProfit *big.Int, gasCost *big.Int) {
	if actualProfit.Sign() > 0 {
		engine.successfulTrades++
		engine.totalProfit.Add(engine.totalProfit, actualProfit)
	}
	engine.totalGasCost.Add(engine.totalGasCost, gasCost)
}

// GetPerformanceStats returns performance statistics
func (engine *MEVStrategyEngine) GetPerformanceStats() map[string]interface{} {
	netProfit := new(big.Int).Sub(engine.totalProfit, engine.totalGasCost)

	return map[string]interface{}{
		"successful_trades": engine.successfulTrades,
		"total_profit_wei":  engine.totalProfit.String(),
		"total_gas_cost":    engine.totalGasCost.String(),
		"net_profit_wei":    netProfit.String(),
		"profit_ratio":      float64(engine.totalProfit.Uint64()) / float64(engine.totalGasCost.Uint64()),
	}
}