triangular_arbitrage/fees.py

"""
Fee calculation module for triangular arbitrage.
Handles trading fees (maker/taker) and slippage for different exchanges.
"""

from typing import Optional, Dict
from dataclasses import dataclass
import ccxt.async_support as ccxt


@dataclass
class ExchangeFees:
    """Fee structure for an exchange."""
    maker_fee: float  # Maker fee as decimal (e.g., 0.001 for 0.1%)
    taker_fee: float  # Taker fee as decimal (e.g., 0.001 for 0.1%)
    name: str


# Standard fee structures for exchanges
EXCHANGE_FEES: Dict[str, ExchangeFees] = {
    "binance": ExchangeFees(
        maker_fee=0.001,  # 0.1%
        taker_fee=0.001,  # 0.1%
        name="Binance"
    ),
    "binanceus": ExchangeFees(
        maker_fee=0.001,  # 0.1%
        taker_fee=0.001,  # 0.1%
        name="Binance US"
    ),
    "huobi": ExchangeFees(
        maker_fee=0.002,  # 0.2%
        taker_fee=0.002,  # 0.2%
        name="Huobi"
    ),
    "htx": ExchangeFees(  # Huobi rebranded as HTX
        maker_fee=0.002,  # 0.2%
        taker_fee=0.002,  # 0.2%
        name="HTX"
    ),
}


def get_exchange_fees(exchange_name: str) -> ExchangeFees:
    """
    Get fee structure for an exchange.
    
    Args:
        exchange_name: Name of the exchange (e.g., 'binance', 'huobi')
    
    Returns:
        ExchangeFees object with maker and taker fees
    """
    # Normalize exchange name
    exchange_name_lower = exchange_name.lower()
    
    # Check direct match
    if exchange_name_lower in EXCHANGE_FEES:
        return EXCHANGE_FEES[exchange_name_lower]
    
    # Check partial matches
    for key, fees in EXCHANGE_FEES.items():
        if key in exchange_name_lower or exchange_name_lower in key:
            return fees
    
    # Default fees (conservative estimate)
    return ExchangeFees(
        maker_fee=0.002,  # 0.2% default
        taker_fee=0.002,  # 0.2% default
        name=exchange_name
    )


async def fetch_user_fee_tier(
    exchange_name: str,
    api_key: Optional[str] = None,
    api_secret: Optional[str] = None
) -> Optional[ExchangeFees]:
    """
    Fetch actual fee tier from exchange API if API keys are provided.
    This allows for VIP tier discounts and BNB/HT holdings discounts.
    
    Args:
        exchange_name: Name of the exchange
        api_key: API key for authenticated requests
        api_secret: API secret for authenticated requests
    
    Returns:
        ExchangeFees with actual user fees, or None if not available
    """
    if not api_key or not api_secret:
        return None
    
    try:
        exchange_class = getattr(ccxt, exchange_name)
        exchange = exchange_class({
            'apiKey': api_key,
            'secret': api_secret,
            'enableRateLimit': True,
            'options': {
                'defaultType': 'spot',  # Ensure we're using spot trading
            }
        })
        
        # Try to fetch fee information
        exchange_name_lower = exchange_name.lower()
        
        if exchange_name_lower in ['binance', 'binanceus']:
            try:
                # Binance: fetch trading fees
                if hasattr(exchange, 'fetch_trading_fees'):
                    fees = await exchange.fetch_trading_fees()
                    if fees and 'trading' in fees:
                        trading_fees = fees['trading']
                        # Get fees for a common trading pair (e.g., BTC/USDT)
                        if 'BTC/USDT' in trading_fees:
                            btc_fees = trading_fees['BTC/USDT']
                            maker_fee = btc_fees.get('maker', 0.001)
                            taker_fee = btc_fees.get('taker', 0.001)
                            await exchange.close()
                            return ExchangeFees(
                                maker_fee=maker_fee,
                                taker_fee=taker_fee,
                                name=f"{exchange_name} (User Tier)"
                            )
                
                # Alternative: try fetchBalance which sometimes includes fee info
                balance = await exchange.fetch_balance()
                if 'info' in balance:
                    info = balance['info']
                    # Binance account info might contain fee tier
                    # This varies by exchange API version
                    pass
                    
            except Exception as e:
                # If specific method fails, try general approach
                pass
        
        elif exchange_name_lower in ['huobi', 'htx']:
            try:
                # Huobi: fetch trading fees
                if hasattr(exchange, 'fetch_trading_fees'):
                    fees = await exchange.fetch_trading_fees()
                    if fees and 'trading' in fees:
                        trading_fees = fees['trading']
                        if 'BTC/USDT' in trading_fees:
                            btc_fees = trading_fees['BTC/USDT']
                            maker_fee = btc_fees.get('maker', 0.002)
                            taker_fee = btc_fees.get('taker', 0.002)
                            await exchange.close()
                            return ExchangeFees(
                                maker_fee=maker_fee,
                                taker_fee=taker_fee,
                                name=f"{exchange_name} (User Tier)"
                            )
            except Exception:
                pass
        
        # Try generic fetchTradingFees if available
        try:
            if hasattr(exchange, 'fetch_trading_fees'):
                fees = await exchange.fetch_trading_fees()
                if fees:
                    # Extract maker/taker from first available trading pair
                    if isinstance(fees, dict) and 'trading' in fees:
                        trading_fees = fees['trading']
                        for pair, pair_fees in trading_fees.items():
                            if isinstance(pair_fees, dict):
                                maker_fee = pair_fees.get('maker')
                                taker_fee = pair_fees.get('taker')
                                if maker_fee is not None and taker_fee is not None:
                                    await exchange.close()
                                    return ExchangeFees(
                                        maker_fee=maker_fee,
                                        taker_fee=taker_fee,
                                        name=f"{exchange_name} (User Tier)"
                                    )
        except Exception:
            pass
        
        await exchange.close()
        
    except Exception:
        # If fetching fails, return None to use default fees
        pass
    
    return None


def calculate_trading_fees(
    amount: float,
    fee_rate: float,
    num_trades: int = 3
) -> float:
    """
    Calculate total trading fees for a triangular arbitrage cycle.
    
    Args:
        amount: Starting amount (e.g., 1.0 for calculating profit ratio)
        fee_rate: Fee rate per trade (as decimal, e.g., 0.001 for 0.1%)
        num_trades: Number of trades in the cycle (default 3 for triangular)
    
    Returns:
        Total fees as a multiplier (e.g., 0.003 for 0.3% total fees)
    """
    # For triangular arbitrage, we pay fees on each of the 3 trades
    # Fee is deducted from the amount received, so we multiply by (1 - fee_rate) for each trade
    return (1 - fee_rate) ** num_trades


def calculate_slippage(
    trade_size_usd: float = 1000.0,
    liquidity_factor: float = 0.0005  # 0.05% slippage per $1000 traded
) -> float:
    """
    Calculate slippage as a percentage based on trade size and liquidity.
    
    Args:
        trade_size_usd: Estimated trade size in USD (default 1000)
        liquidity_factor: Slippage factor per $1000 (default 0.0005 = 0.05%)
                         Higher liquidity = lower slippage
    
    Returns:
        Slippage multiplier (e.g., 0.9995 for 0.05% slippage)
    """
    # Slippage increases with trade size
    # Formula: slippage = 1 - (trade_size / 1000) * liquidity_factor
    slippage_percentage = min((trade_size_usd / 1000.0) * liquidity_factor, 0.01)  # Cap at 1%
    return 1 - slippage_percentage


def calculate_net_profit(
    gross_profit: float,
    exchange_fees: ExchangeFees,
    num_trades: int = 3,
    use_taker: bool = True,
    trade_size_usd: float = 1000.0,
    slippage_factor: float = 0.0005
) -> float:
    """
    Calculate net profit after fees and slippage.
    
    Args:
        gross_profit: Gross profit multiplier (e.g., 1.002 for 0.2% profit)
        exchange_fees: ExchangeFees object with maker/taker rates
        num_trades: Number of trades in the cycle (default 3)
        use_taker: Whether to use taker fees (True) or maker fees (False)
        trade_size_usd: Estimated trade size for slippage calculation
        slippage_factor: Slippage factor per $1000 traded
    
    Returns:
        Net profit multiplier after fees and slippage
    """
    # Select appropriate fee rate
    fee_rate = exchange_fees.taker_fee if use_taker else exchange_fees.maker_fee
    
    # Calculate fee impact
    fee_multiplier = calculate_trading_fees(1.0, fee_rate, num_trades)
    
    # Calculate slippage impact (applied to each trade)
    slippage_per_trade = calculate_slippage(trade_size_usd, slippage_factor)
    slippage_multiplier = slippage_per_trade ** num_trades
    
    # Net profit = gross profit * fee multiplier * slippage multiplier
    net_profit = gross_profit * fee_multiplier * slippage_multiplier
    
    return net_profit


def get_fee_breakdown(
    gross_profit: float,
    exchange_fees: ExchangeFees,
    num_trades: int = 3,
    use_taker: bool = True,
    trade_size_usd: float = 1000.0,
    slippage_factor: float = 0.0005
) -> Dict[str, float]:
    """
    Get detailed breakdown of fees and slippage.
    
    Returns:
        Dictionary with gross_profit, total_fees, total_slippage, net_profit
    """
    fee_rate = exchange_fees.taker_fee if use_taker else exchange_fees.maker_fee
    fee_multiplier = calculate_trading_fees(1.0, fee_rate, num_trades)
    slippage_per_trade = calculate_slippage(trade_size_usd, slippage_factor)
    slippage_multiplier = slippage_per_trade ** num_trades
    
    total_fees = 1 - fee_multiplier
    total_slippage = 1 - slippage_multiplier
    net_profit = gross_profit * fee_multiplier * slippage_multiplier
    
    return {
        "gross_profit": gross_profit - 1,
        "total_fees": total_fees,
        "total_slippage": total_slippage,
        "net_profit": net_profit - 1,
        "fee_rate_per_trade": fee_rate,
        "slippage_per_trade": 1 - slippage_per_trade,
    }