mev-beta/pkg/validation/price_impact_validator.go

package validation

import (
	"fmt"
	"math/big"
)

// PriceImpactThresholds defines the acceptable price impact levels
type PriceImpactThresholds struct {
	// Low risk: < 0.5% price impact
	LowThreshold float64
	// Medium risk: 0.5% - 2% price impact
	MediumThreshold float64
	// High risk: 2% - 5% price impact
	HighThreshold float64
	// Extreme risk: > 5% price impact (typically unprofitable due to slippage)
	ExtremeThreshold float64
	// Maximum acceptable: Reject anything above this (e.g., 10%)
	MaxAcceptable float64
}

// DefaultPriceImpactThresholds returns conservative production-ready thresholds
func DefaultPriceImpactThresholds() *PriceImpactThresholds {
	return &PriceImpactThresholds{
		LowThreshold:     0.5,  // 0.5%
		MediumThreshold:  2.0,  // 2%
		HighThreshold:    5.0,  // 5%
		ExtremeThreshold: 10.0, // 10%
		MaxAcceptable:    15.0, // 15% - reject anything higher
	}
}

// AggressivePriceImpactThresholds returns more aggressive thresholds for higher volumes
func AggressivePriceImpactThresholds() *PriceImpactThresholds {
	return &PriceImpactThresholds{
		LowThreshold:     1.0,  // 1%
		MediumThreshold:  3.0,  // 3%
		HighThreshold:    7.0,  // 7%
		ExtremeThreshold: 15.0, // 15%
		MaxAcceptable:    25.0, // 25%
	}
}

// ConservativePriceImpactThresholds returns very conservative thresholds for safety
func ConservativePriceImpactThresholds() *PriceImpactThresholds {
	return &PriceImpactThresholds{
		LowThreshold:     0.1, // 0.1%
		MediumThreshold:  0.5, // 0.5%
		HighThreshold:    1.0, // 1%
		ExtremeThreshold: 2.0, // 2%
		MaxAcceptable:    5.0, // 5%
	}
}

// PriceImpactRiskLevel represents the risk level of a price impact
type PriceImpactRiskLevel string

const (
	RiskLevelNegligible   PriceImpactRiskLevel = "Negligible"   // < 0.1%
	RiskLevelLow          PriceImpactRiskLevel = "Low"          // 0.1-0.5%
	RiskLevelMedium       PriceImpactRiskLevel = "Medium"       // 0.5-2%
	RiskLevelHigh         PriceImpactRiskLevel = "High"         // 2-5%
	RiskLevelExtreme      PriceImpactRiskLevel = "Extreme"      // 5-10%
	RiskLevelUnacceptable PriceImpactRiskLevel = "Unacceptable" // > 10%
)

// PriceImpactValidationResult contains the result of price impact validation
type PriceImpactValidationResult struct {
	PriceImpact    float64                // The calculated price impact percentage
	RiskLevel      PriceImpactRiskLevel   // The risk categorization
	IsAcceptable   bool                   // Whether this price impact is acceptable
	Recommendation string                 // Human-readable recommendation
	Details        map[string]interface{} // Additional details
}

// PriceImpactValidator validates price impacts against configured thresholds
type PriceImpactValidator struct {
	thresholds *PriceImpactThresholds
}

// NewPriceImpactValidator creates a new price impact validator
func NewPriceImpactValidator(thresholds *PriceImpactThresholds) *PriceImpactValidator {
	if thresholds == nil {
		thresholds = DefaultPriceImpactThresholds()
	}
	return &PriceImpactValidator{
		thresholds: thresholds,
	}
}

// ValidatePriceImpact validates a price impact percentage
func (piv *PriceImpactValidator) ValidatePriceImpact(priceImpact float64) *PriceImpactValidationResult {
	result := &PriceImpactValidationResult{
		PriceImpact: priceImpact,
		Details:     make(map[string]interface{}),
	}

	// Determine risk level
	result.RiskLevel = piv.categorizePriceImpact(priceImpact)

	// Determine if acceptable
	result.IsAcceptable = priceImpact <= piv.thresholds.MaxAcceptable

	// Generate recommendation
	result.Recommendation = piv.generateRecommendation(priceImpact, result.RiskLevel)

	// Add threshold details
	result.Details["thresholds"] = map[string]float64{
		"low":     piv.thresholds.LowThreshold,
		"medium":  piv.thresholds.MediumThreshold,
		"high":    piv.thresholds.HighThreshold,
		"extreme": piv.thresholds.ExtremeThreshold,
		"max":     piv.thresholds.MaxAcceptable,
	}

	// Add risk-specific details
	result.Details["risk_level"] = string(result.RiskLevel)
	result.Details["acceptable"] = result.IsAcceptable
	result.Details["price_impact_percent"] = priceImpact

	return result
}

// categorizePriceImpact categorizes the price impact into risk levels
func (piv *PriceImpactValidator) categorizePriceImpact(priceImpact float64) PriceImpactRiskLevel {
	switch {
	case priceImpact < 0.1:
		return RiskLevelNegligible
	case priceImpact < piv.thresholds.LowThreshold:
		return RiskLevelLow
	case priceImpact < piv.thresholds.MediumThreshold:
		return RiskLevelMedium
	case priceImpact < piv.thresholds.HighThreshold:
		return RiskLevelHigh
	case priceImpact < piv.thresholds.ExtremeThreshold:
		return RiskLevelExtreme
	default:
		return RiskLevelUnacceptable
	}
}

// generateRecommendation generates a recommendation based on price impact
func (piv *PriceImpactValidator) generateRecommendation(priceImpact float64, riskLevel PriceImpactRiskLevel) string {
	switch riskLevel {
	case RiskLevelNegligible:
		return fmt.Sprintf("Excellent: Price impact of %.4f%% is negligible. Safe to execute.", priceImpact)
	case RiskLevelLow:
		return fmt.Sprintf("Good: Price impact of %.4f%% is low. Execute with standard slippage protection.", priceImpact)
	case RiskLevelMedium:
		return fmt.Sprintf("Moderate: Price impact of %.4f%% is medium. Use enhanced slippage protection and consider splitting the trade.", priceImpact)
	case RiskLevelHigh:
		return fmt.Sprintf("Caution: Price impact of %.4f%% is high. Strongly recommend splitting into smaller trades or waiting for better liquidity.", priceImpact)
	case RiskLevelExtreme:
		return fmt.Sprintf("Warning: Price impact of %.4f%% is extreme. Trade size is too large for current liquidity. Split trade or skip.", priceImpact)
	case RiskLevelUnacceptable:
		return fmt.Sprintf("Reject: Price impact of %.4f%% exceeds maximum acceptable threshold (%.2f%%). Do not execute.", priceImpact, piv.thresholds.MaxAcceptable)
	default:
		return "Unknown risk level"
	}
}

// ValidatePriceImpactWithLiquidity validates price impact considering trade size and liquidity
func (piv *PriceImpactValidator) ValidatePriceImpactWithLiquidity(tradeSize, liquidity *big.Int) *PriceImpactValidationResult {
	if tradeSize == nil || liquidity == nil || liquidity.Sign() == 0 {
		return &PriceImpactValidationResult{
			PriceImpact:    0,
			RiskLevel:      RiskLevelUnacceptable,
			IsAcceptable:   false,
			Recommendation: "Invalid input: trade size or liquidity is nil/zero",
			Details:        make(map[string]interface{}),
		}
	}

	// Calculate price impact: tradeSize / (liquidity + tradeSize) * 100
	tradeSizeFloat := new(big.Float).SetInt(tradeSize)
	liquidityFloat := new(big.Float).SetInt(liquidity)

	// Price impact = tradeSize / (liquidity + tradeSize)
	denominator := new(big.Float).Add(liquidityFloat, tradeSizeFloat)
	priceImpactRatio := new(big.Float).Quo(tradeSizeFloat, denominator)
	priceImpactPercent, _ := priceImpactRatio.Float64()
	priceImpactPercent *= 100.0

	result := piv.ValidatePriceImpact(priceImpactPercent)

	// Add liquidity-specific details
	result.Details["trade_size"] = tradeSize.String()
	result.Details["liquidity"] = liquidity.String()
	result.Details["trade_to_liquidity_ratio"] = new(big.Float).Quo(tradeSizeFloat, liquidityFloat).Text('f', 6)

	return result
}

// ShouldRejectTrade determines if a trade should be rejected based on price impact
func (piv *PriceImpactValidator) ShouldRejectTrade(priceImpact float64) bool {
	return priceImpact > piv.thresholds.MaxAcceptable
}

// ShouldSplitTrade determines if a trade should be split based on price impact
func (piv *PriceImpactValidator) ShouldSplitTrade(priceImpact float64) bool {
	return priceImpact >= piv.thresholds.MediumThreshold
}

// GetRecommendedSplitCount recommends how many parts to split a trade into
func (piv *PriceImpactValidator) GetRecommendedSplitCount(priceImpact float64) int {
	switch {
	case priceImpact < piv.thresholds.MediumThreshold:
		return 1 // No split needed
	case priceImpact < piv.thresholds.HighThreshold:
		return 2 // Split into 2
	case priceImpact < piv.thresholds.ExtremeThreshold:
		return 4 // Split into 4
	case priceImpact < piv.thresholds.MaxAcceptable:
		return 8 // Split into 8
	default:
		return 0 // Reject trade
	}
}

// CalculateMaxTradeSize calculates the maximum trade size for a given price impact target
func (piv *PriceImpactValidator) CalculateMaxTradeSize(liquidity *big.Int, targetPriceImpact float64) *big.Int {
	if liquidity == nil || liquidity.Sign() == 0 {
		return big.NewInt(0)
	}

	// From: priceImpact = tradeSize / (liquidity + tradeSize)
	// Solve for tradeSize: tradeSize = (priceImpact * liquidity) / (1 - priceImpact)

	priceImpactDecimal := targetPriceImpact / 100.0
	if priceImpactDecimal >= 1.0 {
		return big.NewInt(0) // Invalid: 100% price impact or more
	}

	liquidityFloat := new(big.Float).SetInt(liquidity)
	priceImpactFloat := big.NewFloat(priceImpactDecimal)

	// numerator = priceImpact * liquidity
	numerator := new(big.Float).Mul(priceImpactFloat, liquidityFloat)

	// denominator = 1 - priceImpact
	denominator := new(big.Float).Sub(big.NewFloat(1.0), priceImpactFloat)

	// maxTradeSize = numerator / denominator
	maxTradeSize := new(big.Float).Quo(numerator, denominator)

	result, _ := maxTradeSize.Int(nil)
	return result
}

// GetThresholds returns the current threshold configuration
func (piv *PriceImpactValidator) GetThresholds() *PriceImpactThresholds {
	return piv.thresholds
}

// SetThresholds updates the threshold configuration
func (piv *PriceImpactValidator) SetThresholds(thresholds *PriceImpactThresholds) {
	if thresholds != nil {
		piv.thresholds = thresholds
	}
}

// FormatPriceImpact formats a price impact value for display
func FormatPriceImpact(priceImpact float64) string {
	return fmt.Sprintf("%.4f%%", priceImpact)
}