mev-beta/pkg/risk/profit_tiers.go

package risk

import (
	"fmt"
	"math/big"

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

// ProfitTier represents a profit threshold tier with specific requirements
type ProfitTier struct {
	Name                 string
	MinProfitMarginBps   int64   // Minimum profit margin in basis points
	MaxProfitMarginBps   int64   // Maximum profit margin in basis points (exclusive)
	MinExecutionSizeETH  float64 // Minimum execution size in ETH
	MaxGasCostRatio      float64 // Maximum gas cost as ratio of profit
	MaxSlippageBps       int64   // Maximum slippage in basis points
	RequireHighLiquidity bool    // Require high liquidity pools
	Description          string
}

// ProfitTierSystem manages profit validation across different tiers
type ProfitTierSystem struct {
	logger *logger.Logger
	tiers  []ProfitTier
}

// NewProfitTierSystem creates a new profit tier system
func NewProfitTierSystem(logger *logger.Logger) *ProfitTierSystem {
	return &ProfitTierSystem{
		logger: logger,
		tiers: []ProfitTier{
			{
				Name:                 "Ultra High Margin",
				MinProfitMarginBps:   1000, // 10%+
				MaxProfitMarginBps:   100000,
				MinExecutionSizeETH:  0.05,
				MaxGasCostRatio:      0.3,
				MaxSlippageBps:       200, // 2%
				RequireHighLiquidity: false,
				Description:          "Rare high-margin opportunities (10%+) - Minimum 0.05 ETH execution",
			},
			{
				Name:                 "High Margin",
				MinProfitMarginBps:   500, // 5-10%
				MaxProfitMarginBps:   1000,
				MinExecutionSizeETH:  0.1,
				MaxGasCostRatio:      0.4,
				MaxSlippageBps:       150, // 1.5%
				RequireHighLiquidity: false,
				Description:          "High-margin opportunities (5-10%) - Minimum 0.1 ETH execution",
			},
			{
				Name:                 "Medium Margin",
				MinProfitMarginBps:   200, // 2-5%
				MaxProfitMarginBps:   500,
				MinExecutionSizeETH:  0.5,
				MaxGasCostRatio:      0.35,
				MaxSlippageBps:       100, // 1%
				RequireHighLiquidity: true,
				Description:          "Medium-margin opportunities (2-5%) - Minimum 0.5 ETH execution, high liquidity required",
			},
			{
				Name:                 "Standard Margin",
				MinProfitMarginBps:   100, // 1-2%
				MaxProfitMarginBps:   200,
				MinExecutionSizeETH:  1.0,
				MaxGasCostRatio:      0.25,
				MaxSlippageBps:       75, // 0.75%
				RequireHighLiquidity: true,
				Description:          "Standard-margin opportunities (1-2%) - Minimum 1 ETH execution, high liquidity required",
			},
			{
				Name:                 "Low Margin",
				MinProfitMarginBps:   50, // 0.5-1%
				MaxProfitMarginBps:   100,
				MinExecutionSizeETH:  2.0,
				MaxGasCostRatio:      0.15,
				MaxSlippageBps:       50, // 0.5%
				RequireHighLiquidity: true,
				Description:          "Low-margin opportunities (0.5-1%) - Minimum 2 ETH execution, high liquidity required, strict gas limits",
			},
		},
	}
}

// ValidateOpportunity validates an arbitrage opportunity against tier requirements
func (pts *ProfitTierSystem) ValidateOpportunity(
	profitMarginBps int64,
	executionSizeETH float64,
	gasCostRatio float64,
	slippageBps int64,
	hasHighLiquidity bool,
) (*ValidationResult, error) {

	// Find applicable tier
	tier := pts.findTier(profitMarginBps)
	if tier == nil {
		return &ValidationResult{
			IsValid:      false,
			Tier:         nil,
			FailureReason: fmt.Sprintf("Profit margin %d bps is below minimum threshold (50 bps / 0.5%%)", profitMarginBps),
		}, nil
	}

	// Validate execution size
	if executionSizeETH < tier.MinExecutionSizeETH {
		return &ValidationResult{
			IsValid:       false,
			Tier:          tier,
			FailureReason: fmt.Sprintf("Execution size %.4f ETH is below tier minimum %.2f ETH for %s tier", executionSizeETH, tier.MinExecutionSizeETH, tier.Name),
		}, nil
	}

	// Validate gas cost ratio
	if gasCostRatio > tier.MaxGasCostRatio {
		return &ValidationResult{
			IsValid:       false,
			Tier:          tier,
			FailureReason: fmt.Sprintf("Gas cost ratio %.2f%% exceeds tier maximum %.2f%% for %s tier", gasCostRatio*100, tier.MaxGasCostRatio*100, tier.Name),
		}, nil
	}

	// Validate slippage
	if slippageBps > tier.MaxSlippageBps {
		return &ValidationResult{
			IsValid:       false,
			Tier:          tier,
			FailureReason: fmt.Sprintf("Slippage %d bps exceeds tier maximum %d bps for %s tier", slippageBps, tier.MaxSlippageBps, tier.Name),
		}, nil
	}

	// Validate liquidity requirement
	if tier.RequireHighLiquidity && !hasHighLiquidity {
		return &ValidationResult{
			IsValid:       false,
			Tier:          tier,
			FailureReason: fmt.Sprintf("High liquidity required for %s tier but not available", tier.Name),
		}, nil
	}

	// All checks passed
	return &ValidationResult{
		IsValid:       true,
		Tier:          tier,
		FailureReason: "",
	}, nil
}

// findTier finds the appropriate tier for a given profit margin
func (pts *ProfitTierSystem) findTier(profitMarginBps int64) *ProfitTier {
	for i := range pts.tiers {
		tier := &pts.tiers[i]
		if profitMarginBps >= tier.MinProfitMarginBps && profitMarginBps < tier.MaxProfitMarginBps {
			return tier
		}
	}
	return nil
}

// GetTierForMargin returns the tier for a specific profit margin
func (pts *ProfitTierSystem) GetTierForMargin(profitMarginBps int64) *ProfitTier {
	return pts.findTier(profitMarginBps)
}

// GetAllTiers returns all defined tiers
func (pts *ProfitTierSystem) GetAllTiers() []ProfitTier {
	return pts.tiers
}

// CalculateProfitMarginBps calculates profit margin in basis points
func CalculateProfitMarginBps(profit, revenue *big.Float) int64 {
	if revenue.Cmp(big.NewFloat(0)) == 0 {
		return 0
	}

	// margin = (profit / revenue) * 10000
	margin := new(big.Float).Quo(profit, revenue)
	margin.Mul(margin, big.NewFloat(10000))

	marginInt, _ := margin.Int64()
	return marginInt
}

// CalculateGasCostRatio calculates gas cost as a ratio of profit
func CalculateGasCostRatio(gasCost, profit *big.Float) float64 {
	if profit.Cmp(big.NewFloat(0)) == 0 {
		return 1.0 // 100% if no profit
	}

	ratio := new(big.Float).Quo(gasCost, profit)
	ratioFloat, _ := ratio.Float64()

	return ratioFloat
}

// ValidationResult contains the result of tier validation
type ValidationResult struct {
	IsValid       bool
	Tier          *ProfitTier
	FailureReason string
}

// EstimateMinExecutionSize estimates minimum execution size for a profit margin
func (pts *ProfitTierSystem) EstimateMinExecutionSize(profitMarginBps int64) float64 {
	tier := pts.findTier(profitMarginBps)
	if tier == nil {
		// Default to highest requirement if below minimum
		return 2.0
	}
	return tier.MinExecutionSizeETH
}

// GetTierSummary returns a summary of all tiers for logging
func (pts *ProfitTierSystem) GetTierSummary() string {
	summary := "Profit Tier System Configuration:\n"
	for i, tier := range pts.tiers {
		summary += fmt.Sprintf("  Tier %d: %s\n", i+1, tier.Name)
		summary += fmt.Sprintf("    Margin: %.2f%% - %.2f%%\n", float64(tier.MinProfitMarginBps)/100, float64(tier.MaxProfitMarginBps)/100)
		summary += fmt.Sprintf("    Min Size: %.2f ETH\n", tier.MinExecutionSizeETH)
		summary += fmt.Sprintf("    Max Gas Ratio: %.1f%%\n", tier.MaxGasCostRatio*100)
		summary += fmt.Sprintf("    Max Slippage: %.2f%%\n", float64(tier.MaxSlippageBps)/100)
		summary += fmt.Sprintf("    High Liquidity Required: %v\n", tier.RequireHighLiquidity)
	}
	return summary
}

// IsHighLiquidity determines if a pool has high liquidity
func IsHighLiquidity(liquidityETH float64) bool {
	// Threshold: 50 ETH+ liquidity is considered high
	return liquidityETH >= 50.0
}