Earnings Quality Factor

namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;
using System.Globalization;
using System.IO;
using System.Linq;

using Ecng.Common;

using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

/// <summary>Earnings Quality Factor with point-in-time inputs and execution-based portfolio accounting.</summary>
public class EarningsQualityFactorStrategy : Strategy
{
	private readonly StrategyParam<IEnumerable<Security>> _universe;
	private readonly StrategyParam<decimal> _capital;
	private readonly StrategyParam<decimal> _leverage;
	private readonly StrategyParam<decimal> _minTradeUsd;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _deciles;
	private readonly StrategyParam<int> _rebalanceMonth;
	private readonly StrategyParam<int> _maxReportAgeDays;
	private readonly StrategyParam<string> _fundamentalsFile;
	private Security[] _securities = [];
	private readonly Dictionary<Security, (DateTime time, decimal price, DateTime closed)> _latest = [];
	private readonly Dictionary<Security, decimal> _targets = [];
	private readonly List<Order> _pending = [];
	private int _lastRebalance;
	private DateTime? _lastBar;

	private sealed record Report(string Id, DateTime Period, DateTime Published, decimal Assets, decimal Income, decimal CashFlow);
	private readonly List<Report> _reports = [];

	/// <summary>Explicit execution securities with valid native volume metadata.</summary>
	public IEnumerable<Security> Universe { get => _universe.Value; set => _universe.Value = value; }

	/// <summary>Fixed capital budget in USD.</summary>
	public decimal Capital { get => _capital.Value; set => _capital.Value = value; }

	/// <summary>Gross target exposure divided by the capital budget.</summary>
	public decimal Leverage { get => _leverage.Value; set => _leverage.Value = value; }

	/// <summary>Minimum USD adjustment; complete liquidation bypasses this filter.</summary>
	public decimal MinTradeUsd { get => _minTradeUsd.Value; set => _minTradeUsd.Value = value; }

	/// <summary>Finished execution candle type.</summary>
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	/// <summary>Number of quality buckets.</summary>
	public int Deciles { get => _deciles.Value; set => _deciles.Value = value; }

	/// <summary>Annual review month in UTC.</summary>
	public int RebalanceMonth { get => _rebalanceMonth.Value; set => _rebalanceMonth.Value = value; }

	/// <summary>Maximum age of the latest fiscal year end in calendar days.</summary>
	public int MaxReportAgeDays { get => _maxReportAgeDays.Value; set => _maxReportAgeDays.Value = value; }

	/// <summary>Required point-in-time annual financial reports.</summary>
	public string FundamentalsFile { get => _fundamentalsFile.Value; set => _fundamentalsFile.Value = value; }

	/// <summary>Initialize the strategy parameters.</summary>
	public EarningsQualityFactorStrategy()
	{
		_universe = Param<IEnumerable<Security>>(nameof(Universe)).SetRequired()
			.SetDisplay("Universe", "Explicit execution securities with valid native volume metadata", "Parameters");
		_capital = Param(nameof(Capital), 100000m).SetGreaterThanZero()
			.SetDisplay("Capital", "Fixed capital budget in USD", "Parameters");
		_leverage = Param(nameof(Leverage), 1m).SetGreaterThanZero()
			.SetDisplay("Leverage", "Gross target exposure divided by the capital budget", "Parameters");
		_minTradeUsd = Param(nameof(MinTradeUsd), 100m).SetRange(0m, decimal.MaxValue)
			.SetDisplay("MinTradeUsd", "Minimum USD adjustment; complete liquidation bypasses this filter", "Parameters");
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("CandleType", "Finished execution candle type", "Parameters");
		_deciles = Param(nameof(Deciles), 10).SetRange(2, int.MaxValue)
			.SetDisplay("Deciles", "Number of quality buckets", "Parameters");
		_rebalanceMonth = Param(nameof(RebalanceMonth), 7).SetRange(1, 12)
			.SetDisplay("RebalanceMonth", "Annual review month in UTC", "Parameters");
		_maxReportAgeDays = Param(nameof(MaxReportAgeDays), 550).SetRange(1, int.MaxValue)
			.SetDisplay("MaxReportAgeDays", "Maximum age of the latest fiscal year end in calendar days", "Parameters");
		_fundamentalsFile = Param<string>(nameof(FundamentalsFile)).SetRequired()
			.SetDisplay("FundamentalsFile", "Required point-in-time annual financial reports", "Parameters");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
		=> (Universe ?? []).Where(s => s is not null).DistinctBy(s => s.Id, StringComparer.OrdinalIgnoreCase).Select(s => (s, CandleType));

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_securities = [];
		_latest.Clear();
		_targets.Clear();
		_pending.Clear();
		_lastRebalance = 0;
		_lastBar = null;
		_reports.Clear();
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		_securities = (Universe ?? []).ToArray();
		if (_securities.Length == 0 || _securities.Any(s => s is null || string.IsNullOrWhiteSpace(s.Id))
			|| _securities.Select(s => s.Id).Distinct(StringComparer.OrdinalIgnoreCase).Count() != _securities.Length)
			throw new InvalidOperationException("Universe must contain distinct execution securities.");
		foreach (var security in _securities)
		{
			if (security.VolumeStep is not > 0m || security.MinVolume is not > 0m || security.MaxVolume is not > 0m)
				throw new InvalidOperationException("Every security needs positive VolumeStep, MinVolume and MaxVolume.");
		}
		LoadReports();

		base.OnStarted2(time);
		foreach (var security in _securities)
			SubscribeCandles(CandleType, security: security).Bind(candle => ProcessCandle(security, candle)).Start();
	}

	private void ProcessCandle(Security security, ICandleMessage candle)
	{
		if (candle.State != CandleStates.Finished || candle.ClosePrice <= 0m) return;
		_latest[security] = (candle.OpenTime, candle.ClosePrice, candle.CloseTime);
		if (_latest.Count != _securities.Length || _latest.Values.Any(v => v.time != candle.OpenTime)
			|| _lastBar == candle.OpenTime || !IsFormedAndOnlineAndAllowTrading()) return;
		_lastBar = candle.OpenTime;
		var month = candle.OpenTime.Year * 100 + candle.OpenTime.Month;
		if (_lastRebalance / 100 != candle.OpenTime.Year && SelectTargets(candle.OpenTime, _latest.Values.Max(v => v.closed)))
			_lastRebalance = month;
		ReconcileTargets();
	}

	private decimal Budget => Capital * Leverage;

	private decimal UnitPrice(Security security) => _latest[security].price;

	private decimal Units(Security security, decimal notional)
		=> Math.Floor(notional / UnitPrice(security) / security.VolumeStep.Value) * security.VolumeStep.Value;

	private void ReconcileTargets()
	{
		if (_pending.Any(o => o.State is not (OrderStates.Done or OrderStates.Failed))) return;
		_pending.Clear();
		foreach (var security in _securities)
		{
			if (!_targets.TryGetValue(security, out var target)) continue;
			var delta = target - GetPositionValue(security, Portfolio).GetValueOrDefault();
			if (delta == 0m || (target != 0m && Math.Abs(delta) * UnitPrice(security) < MinTradeUsd)) continue;
			var step = security.VolumeStep.Value;
			var quantity = Math.Floor(Math.Min(Math.Abs(delta), security.MaxVolume.Value) / step) * step;
			if (quantity < security.MinVolume.Value) continue;
			var order = new Order
			{
				Security = security, Portfolio = Portfolio, Type = OrderTypes.Market,
				Side = delta > 0m ? Sides.Buy : Sides.Sell, Volume = quantity, Comment = "0370Rebalance",
			};
			_pending.Add(order);
			RegisterOrder(order);
		}
	}

	private static DateTime ParseUtc(string value)
		=> DateTime.ParseExact(value.Trim(), "yyyy-MM-dd'T'HH:mm:ss'Z'", CultureInfo.InvariantCulture, DateTimeStyles.AssumeUniversal | DateTimeStyles.AdjustToUniversal);

	private static IEnumerable<string[]> ReadRows(string path, string header, int fields)
	{
		using var lines = File.ReadLines(path).GetEnumerator();
		if (!lines.MoveNext() || lines.Current.Trim() != header)
			throw new InvalidOperationException("Invalid CSV header: expected " + header + ".");
		while (lines.MoveNext())
		{
			if (string.IsNullOrWhiteSpace(lines.Current)) continue;
			var row = lines.Current.Split(',');
			if (row.Length != fields) throw new InvalidOperationException("Invalid CSV field count.");
			yield return row;
		}
	}

	private void LoadReports()
	{
		var keys = new HashSet<(string, DateTime, DateTime)>();
		foreach (var row in ReadRows(FundamentalsFile, "SecurityId,PeriodEnd,PublishedAt,TotalAssets,NetIncome,OperatingCashFlow,BookEquity,SharesOutstanding", 8))
		{
			var id = row[0].Trim();
			if (!_securities.Any(s => string.Equals(s.Id, id, StringComparison.OrdinalIgnoreCase))) continue;
			var period = DateTime.ParseExact(row[1].Trim(), "yyyy-MM-dd", CultureInfo.InvariantCulture);
			var published = ParseUtc(row[2]);
			var values = row.Skip(3).Select(x => decimal.Parse(x, CultureInfo.InvariantCulture)).ToArray();
			if (values[0] <= 0m || values[4] <= 0m || published.Date < period || !keys.Add((id.ToUpperInvariant(), period, published)))
				throw new InvalidOperationException("Reports need positive assets/shares, causal publication dates and unique revisions.");
			_reports.Add(new(id, period, published, values[0], values[1], values[2]));
		}
	}

	private Report FindReport(Security security, DateTime asOf, DateTime? period = null)
		=> _reports.Where(r => string.Equals(r.Id, security.Id, StringComparison.OrdinalIgnoreCase)
			&& r.Published <= asOf && r.Period <= asOf.Date && (period is null || r.Period == period))
			.OrderByDescending(r => r.Period).ThenByDescending(r => r.Published).FirstOrDefault();

	private bool SelectTargets(DateTime time, DateTime asOf)
	{
		if (time.Month != RebalanceMonth) return false;
		var scores = new List<(Security security, decimal score)>();
		foreach (var security in _securities)
		{
			var report = FindReport(security, asOf);
			if (report is null || (time.Date - report.Period).TotalDays > MaxReportAgeDays) continue;
			scores.Add((security, (report.CashFlow - report.Income) / report.Assets));
		}
		if (scores.Count < Deciles) return false;
		var ranked = scores.OrderByDescending(x => x.score).ThenBy(x => x.security.Id, StringComparer.Ordinal).Select(x => x.security).ToArray();
		var count = ranked.Length / Deciles;
		SetBasketTargets(ranked.Take(count), ranked.TakeLast(count), Budget);
		return true;
	}

	private void SetBasketTargets(IEnumerable<Security> longBasket, IEnumerable<Security> shortBasket, decimal grossCapital)
	{
		var longs = longBasket.ToArray();
		var shorts = shortBasket.ToArray();
		foreach (var security in _securities) _targets[security] = 0m;
		foreach (var security in longs) _targets[security] = Units(security, grossCapital / (2m * longs.Length));
		foreach (var security in shorts) _targets[security] = -Units(security, grossCapital / (2m * shorts.Length));
	}
}

import clr

clr.AddReference("StockSharp.Messages")
clr.AddReference("StockSharp.Algo")
clr.AddReference("StockSharp.BusinessEntities")
clr.AddReference("StockSharp.Algo.Strategies")

from System import Boolean, DateTime, Decimal, Int32, Math, TimeSpan, InvalidOperationException
from System.Collections.Generic import IEnumerable
from System.Globalization import CultureInfo, DateTimeStyles
from System.IO import File, Path
from StockSharp.Algo.Strategies import Strategy
from StockSharp.BusinessEntities import Order, Security
from StockSharp.Messages import CandleStates, DataType, OrderStates, OrderTypes, Sides


class earnings_quality_factor_strategy(Strategy):
    """Earnings Quality Factor with point-in-time inputs and execution-based portfolio accounting."""

    def __init__(self):
        super(earnings_quality_factor_strategy, self).__init__()
        self._universe = self.Param[IEnumerable[Security]]("Universe", None).SetRequired() \
            .SetDisplay("Universe", "Explicit execution securities with valid native volume metadata", "Parameters")
        self._capital = self.Param("Capital", Decimal(100000)).SetGreaterThanZero() \
            .SetDisplay("Capital", "Fixed capital budget in USD", "Parameters")
        self._leverage = self.Param("Leverage", Decimal(1)).SetGreaterThanZero() \
            .SetDisplay("Leverage", "Gross target exposure divided by the capital budget", "Parameters")
        self._min_trade_usd = self.Param("MinTradeUsd", Decimal(100)).SetRange(Decimal(0), Decimal.MaxValue) \
            .SetDisplay("MinTradeUsd", "Minimum USD adjustment; complete liquidation bypasses this filter", "Parameters")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(5))) \
            .SetDisplay("CandleType", "Finished execution candle type", "Parameters")
        self._deciles = self.Param("Deciles", 10).SetRange(2, 2147483647) \
            .SetDisplay("Deciles", "Number of quality buckets", "Parameters")
        self._rebalance_month = self.Param("RebalanceMonth", 7).SetRange(1, 12) \
            .SetDisplay("RebalanceMonth", "Annual review month in UTC", "Parameters")
        self._max_report_age_days = self.Param("MaxReportAgeDays", 550).SetRange(1, 2147483647) \
            .SetDisplay("MaxReportAgeDays", "Maximum age of the latest fiscal year end in calendar days", "Parameters")
        self._fundamentals_file = self.Param[str]("FundamentalsFile", None).SetRequired() \
            .SetDisplay("FundamentalsFile", "Required point-in-time annual financial reports", "Parameters")
        self._clear_state()

    def _clear_state(self):
        self._securities = []
        self._latest = {}
        self._targets = {}
        self._pending = []
        self._last_rebalance = 0
        self._last_bar = None
        self._reports = []


    @property
    def Universe(self):
        return self._universe.Value

    @Universe.setter
    def Universe(self, value):
        self._universe.Value = value

    @property
    def Capital(self):
        return self._capital.Value

    @Capital.setter
    def Capital(self, value):
        self._capital.Value = value

    @property
    def Leverage(self):
        return self._leverage.Value

    @Leverage.setter
    def Leverage(self, value):
        self._leverage.Value = value

    @property
    def MinTradeUsd(self):
        return self._min_trade_usd.Value

    @MinTradeUsd.setter
    def MinTradeUsd(self, value):
        self._min_trade_usd.Value = value

    @property
    def CandleType(self):
        return self._candle_type.Value

    @CandleType.setter
    def CandleType(self, value):
        self._candle_type.Value = value

    @property
    def Deciles(self):
        return self._deciles.Value

    @Deciles.setter
    def Deciles(self, value):
        self._deciles.Value = value

    @property
    def RebalanceMonth(self):
        return self._rebalance_month.Value

    @RebalanceMonth.setter
    def RebalanceMonth(self, value):
        self._rebalance_month.Value = value

    @property
    def MaxReportAgeDays(self):
        return self._max_report_age_days.Value

    @MaxReportAgeDays.setter
    def MaxReportAgeDays(self, value):
        self._max_report_age_days.Value = value

    @property
    def FundamentalsFile(self):
        return self._fundamentals_file.Value

    @FundamentalsFile.setter
    def FundamentalsFile(self, value):
        self._fundamentals_file.Value = value

    def GetWorkingSecurities(self):
        return [(s, self.CandleType) for s in self.Universe] if self.Universe is not None else []

    def OnReseted(self):
        super(earnings_quality_factor_strategy, self).OnReseted()
        self._clear_state()

    def OnStarted2(self, time):
        self._securities = list(self.Universe) if self.Universe is not None else []
        if not self._securities or any(s is None or not s.Id for s in self._securities) or len(set(s.Id.upper() for s in self._securities)) != len(self._securities):
            raise InvalidOperationException("Universe must contain distinct execution securities.")
        for security in self._securities:
            if security.VolumeStep is None or security.MinVolume is None or security.MaxVolume is None or security.VolumeStep <= 0 or security.MinVolume <= 0 or security.MaxVolume <= 0:
                raise InvalidOperationException("Every security needs positive VolumeStep, MinVolume and MaxVolume.")
        self._load_reports()

        super(earnings_quality_factor_strategy, self).OnStarted2(time)
        for security in self._securities:
            self.SubscribeCandles(self.CandleType, True, security).Bind(lambda candle, s=security: self._process_candle(s, candle)).Start()

    def _process_candle(self, security, candle):
        if candle.State != CandleStates.Finished or candle.ClosePrice <= 0:
            return
        self._latest[security] = (candle.OpenTime, candle.ClosePrice, candle.CloseTime)
        if len(self._latest) != len(self._securities) or any(value[0] != candle.OpenTime for value in self._latest.values()) or self._last_bar == candle.OpenTime or not self.IsFormedAndOnlineAndAllowTrading():
            return
        self._last_bar = candle.OpenTime
        month = candle.OpenTime.Year * 100 + candle.OpenTime.Month
        if self._last_rebalance // 100 != candle.OpenTime.Year and self._select_targets(candle.OpenTime, max(value[2] for value in self._latest.values())):
            self._last_rebalance = month
        self._reconcile_targets()

    def _budget(self):
        return self.Capital * self.Leverage

    def _unit_price(self, security):
        return self._latest[security][1]

    def _units(self, security, notional):
        return Math.Floor(notional / self._unit_price(security) / security.VolumeStep) * security.VolumeStep

    def _reconcile_targets(self):
        if any(o.State != OrderStates.Done and o.State != OrderStates.Failed for o in self._pending):
            return
        self._pending = []
        for security in self._securities:
            if security not in self._targets:
                continue
            target = self._targets[security]
            position = self.GetPositionValue(security, self.Portfolio)
            delta = target - (position if position is not None else Decimal(0))
            if delta == 0 or (target != 0 and abs(delta) * self._unit_price(security) < self.MinTradeUsd):
                continue
            quantity = Math.Floor(min(abs(delta), security.MaxVolume) / security.VolumeStep) * security.VolumeStep
            if quantity < security.MinVolume:
                continue
            order = Order()
            order.Security = security
            order.Portfolio = self.Portfolio
            order.Type = OrderTypes.Market
            order.Side = Sides.Buy if delta > 0 else Sides.Sell
            order.Volume = quantity
            order.Comment = "0370Rebalance"
            self._pending.append(order)
            self.RegisterOrder(order)

    @staticmethod
    def _parse_utc(value):
        return DateTime.ParseExact(value.strip(), "yyyy-MM-dd'T'HH:mm:ss'Z'", CultureInfo.InvariantCulture, DateTimeStyles.AssumeUniversal | DateTimeStyles.AdjustToUniversal)

    @staticmethod
    def _read_rows(path, header, fields):
        lines = list(File.ReadLines(path))
        if not lines or lines[0].strip() != header:
            raise InvalidOperationException("Invalid CSV header: expected " + header + ".")
        for line in lines[1:]:
            if not line.strip():
                continue
            row = line.split(",")
            if len(row) != fields:
                raise InvalidOperationException("Invalid CSV field count.")
            yield row

    def _load_reports(self):
        keys = set()
        for row in self._read_rows(self.FundamentalsFile, "SecurityId,PeriodEnd,PublishedAt,TotalAssets,NetIncome,OperatingCashFlow,BookEquity,SharesOutstanding", 8):
            identifier = row[0].strip().upper()
            if not any(s.Id.upper() == identifier for s in self._securities):
                continue
            period = DateTime.ParseExact(row[1].strip(), "yyyy-MM-dd", CultureInfo.InvariantCulture)
            published = self._parse_utc(row[2])
            values = [Decimal.Parse(x, CultureInfo.InvariantCulture) for x in row[3:]]
            key = (identifier, period, published)
            if values[0] <= 0 or values[4] <= 0 or published.Date < period or key in keys:
                raise InvalidOperationException("Reports need positive assets/shares, causal publication dates and unique revisions.")
            keys.add(key)
            self._reports.append((identifier, period, published, values[0], values[1], values[2]))

    def _find_report(self, security, as_of, period=None):
        eligible = [r for r in self._reports if r[0] == security.Id.upper() and r[2] <= as_of and r[1] <= as_of.Date and (period is None or r[1] == period)]
        return max(eligible, key=lambda r: (r[1], r[2])) if eligible else None

    def _select_targets(self, time, as_of):
        if time.Month != self.RebalanceMonth:
            return False
        scores = []
        for security in self._securities:
            report = self._find_report(security, as_of)
            if report is None or (time.Date - report[1]).TotalDays > self.MaxReportAgeDays:
                continue
            scores.append((security, (report[5] - report[4]) / report[3]))
        if len(scores) < self.Deciles:
            return False
        ranked = [s for s, score in sorted(scores, key=lambda x: (-x[1], x[0].Id))]
        count = len(ranked) // self.Deciles
        self._set_basket_targets(ranked[:count], ranked[-count:], self._budget())
        return True

    def _set_basket_targets(self, longs, shorts, gross):
        self._targets = {s: Decimal(0) for s in self._securities}
        for security in longs:
            self._targets[security] = self._units(security, gross / Decimal(2 * len(longs)))
        for security in shorts:
            self._targets[security] = -self._units(security, gross / Decimal(2 * len(shorts)))

    def CreateClone(self):
        return earnings_quality_factor_strategy()