/home/jgrusewski/Work/foxhunt/config/src/structures.rs

Source
//! Configuration structures

use rust_decimal::Decimal;
use serde::{Deserialize, Serialize};
use std::collections::HashMap;

#[derive(Debug, Clone, Serialize, Deserialize)]
pub struct RiskConfig {
    /// Maximum single position size in base currency
    pub max_position_size: Decimal,
    /// Maximum total portfolio exposure in base currency
    pub max_portfolio_exposure: Decimal,
    /// Maximum concentration percentage for a single position (0.0-1.0)
    pub max_concentration_pct: Decimal,
    /// Maximum daily loss threshold in base currency
    pub max_daily_loss: Decimal,
    /// Maximum drawdown percentage allowed (0.0-1.0)
    pub max_drawdown_pct: Decimal,
    /// Stop loss threshold in base currency
    pub stop_loss_threshold: Decimal,
    /// VaR confidence level (e.g., 0.95 for 95%)
    pub var_confidence_level: f64,
    /// VaR time horizon in days
    pub var_time_horizon: u32,
    /// 1-day VaR limit in base currency
    pub var_limit_1d: Decimal,
    /// 10-day VaR limit in base currency
    pub var_limit_10d: Decimal,
    /// Maximum single order size in base currency
    pub max_order_size: Decimal,
    /// Maximum orders per second (rate limiting)
    pub max_orders_per_second: u64,
    /// Maximum notional value per hour in base currency
    pub max_notional_per_hour: Decimal,
    /// Kelly criterion fraction limit (0.0-1.0)
    pub kelly_fraction_limit: f64,
    /// Maximum Kelly criterion position size (0.0-1.0)
    pub max_kelly_position_size: f64,
    /// Emergency stop threshold as fraction of capital (0.0-1.0)
    pub emergency_stop_threshold: f64,
    /// VaR configuration
    pub var_config: VarConfig,
    /// Circuit breaker configuration
    pub circuit_breaker: CircuitBreakerConfig,
    /// Position limits configuration
    pub position_limits: PositionLimitsConfig,
    /// Asset classification configuration
    pub asset_classification: AssetClassificationConfig,
}

impl Default for RiskConfig {
    fn default() -> Self {
        Self {
            // Position and exposure limits
            max_position_size: Decimal::new(1_000_000, 0), // $1M max single position
            max_portfolio_exposure: Decimal::new(10_000_000, 0), // $10M total portfolio exposure
            max_concentration_pct: Decimal::new(25, 2), // 25% max concentration
            
            // Loss and drawdown limits
            max_daily_loss: Decimal::new(100_000, 0), // $100K max daily loss
            max_drawdown_pct: Decimal::new(15, 2), // 15% max drawdown
            stop_loss_threshold: Decimal::new(50_000, 0), // $50K stop loss threshold
            
            // VaR configuration
            var_confidence_level: 0.95, // 95% confidence
            var_time_horizon: 1, // 1-day horizon
            var_limit_1d: Decimal::new(50_000, 0), // $50K 1-day VaR limit
            var_limit_10d: Decimal::new(150_000, 0), // $150K 10-day VaR limit
            
            // Order limits and rate limiting
            max_order_size: Decimal::new(100_000, 0), // $100K max order size
            max_orders_per_second: 100, // 100 orders/sec
            max_notional_per_hour: Decimal::new(10_000_000, 0), // $10M hourly notional
            
            // Kelly criterion parameters
            kelly_fraction_limit: 0.25, // 25% Kelly fraction limit
            max_kelly_position_size: 0.20, // 20% max Kelly position
            
            // Emergency stop
            emergency_stop_threshold: 0.10, // 10% loss triggers emergency stop
            
            // Nested configurations
            var_config: VarConfig::default(),
            circuit_breaker: CircuitBreakerConfig::default(),
            position_limits: PositionLimitsConfig::default(),
            asset_classification: AssetClassificationConfig::default(),
        }
    }
}

#[derive(Debug, Clone, Serialize, Deserialize)]
pub struct VarConfig {
    /// VaR confidence level (0.0-1.0)
    pub confidence_level: f64,
    /// Time horizon in days
    pub time_horizon_days: u32,
    /// Historical lookback period in days
    pub lookback_period_days: u32,
    /// Calculation method (e.g., "historical", "monte_carlo")
    pub calculation_method: String,
    /// Maximum VaR limit
    pub max_var_limit: f64,
}

impl Default for VarConfig {
    fn default() -> Self {
        Self {
            confidence_level: 0.95,
            time_horizon_days: 1,
            lookback_period_days: 252,
            calculation_method: "historical".to_string(),
            max_var_limit: 100_000.0,
        }
    }
}

#[derive(Debug, Clone, Serialize, Deserialize)]
pub struct KellyConfig {
    pub kelly_fraction: f64,
    pub max_kelly_leverage: f64,
    pub min_kelly_leverage: f64,
    pub confidence_threshold: f64,
    pub lookback_periods: usize,
    pub default_position_fraction: f64,
    pub enabled: bool,
    pub fractional_kelly: f64,
    pub min_kelly_fraction: f64,
    pub max_kelly_fraction: f64,
}

impl Default for KellyConfig {
    fn default() -> Self {
        Self {
            kelly_fraction: 0.25,
            max_kelly_leverage: 2.0,
            min_kelly_leverage: 0.1,
            confidence_threshold: 0.95,
            lookback_periods: 252,
            default_position_fraction: 0.02,
            enabled: true,
            fractional_kelly: 0.5,
            min_kelly_fraction: 0.01,
            max_kelly_fraction: 0.5,
        }
    }
}

#[derive(Debug, Clone, Serialize, Deserialize)]
pub struct CircuitBreakerConfig {
    /// Enable circuit breaker
    pub enabled: bool,
    /// Price movement threshold to trigger halt (0.0-1.0)
    pub price_move_threshold: f64,
    /// Duration to halt trading in seconds
    pub halt_duration_seconds: u64,
}

impl Default for CircuitBreakerConfig {
    fn default() -> Self {
        Self {
            enabled: true,
            price_move_threshold: 0.05, // 5% price move
            halt_duration_seconds: 300, // 5 minutes
        }
    }
}

#[derive(Debug, Clone, Serialize, Deserialize)]
pub struct PositionLimitsConfig {
    /// Global position limit
    pub global_limit: f64,
    /// Maximum leverage allowed
    pub max_leverage: f64,
    /// Maximum VaR limit
    pub max_var_limit: f64,
}

impl Default for PositionLimitsConfig {
    fn default() -> Self {
        Self {
            global_limit: 10_000_000.0,
            max_leverage: 3.0,
            max_var_limit: 100_000.0,
        }
    }
}

/// Broker configuration for order routing and execution
#[derive(Debug, Clone, Serialize, Deserialize)]
pub struct BrokerConfig {
    /// Broker routing rules based on symbol patterns and sizes
    pub routing_rules: Vec<BrokerRoutingRule>,
    /// Default broker when no rules match
    pub default_broker: String,
    /// Commission rates by broker
    pub commission_rates: HashMap<String, CommissionConfig>,
}

/// Rule for routing orders to specific brokers
#[derive(Debug, Clone, Serialize, Deserialize)]
pub struct BrokerRoutingRule {
    /// Priority (higher numbers take precedence)
    pub priority: u32,
    /// Symbol pattern (regex)
    pub symbol_pattern: String,
    /// Minimum quantity for this rule
    pub min_quantity: Option<f64>,
    /// Maximum quantity for this rule
    pub max_quantity: Option<f64>,
    /// Target broker ID
    pub broker_id: String,
    /// Rule description for debugging
    pub description: String,
}

/// Commission configuration per broker
#[derive(Debug, Clone, Serialize, Deserialize)]
pub struct CommissionConfig {
    /// Commission rate (basis points, e.g., 0.00007 = 0.7 bps)
    pub rate_bps: f64,
    /// Minimum commission per trade
    pub min_commission: f64,
}

impl Default for BrokerConfig {
    fn default() -> Self {
        let mut commission_rates = HashMap::new();

        commission_rates.insert(
            "ICMARKETS".to_string(),
            CommissionConfig {
                rate_bps: 0.00007, // 0.7 bps
                min_commission: 0.0,
            },
        );

        commission_rates.insert(
            "IBKR".to_string(),
            CommissionConfig {
                rate_bps: 0.00005, // 0.5 bps
                min_commission: 1.0,
            },
        );

        let routing_rules = vec![
            BrokerRoutingRule {
                priority: 100,
                symbol_pattern: r"^(BTC|ETH).*".to_string(),
                min_quantity: None,
                max_quantity: None,
                broker_id: "ICMARKETS".to_string(),
                description: "Route all crypto symbols to ICMarkets".to_string(),
            },
            BrokerRoutingRule {
                priority: 90,
                symbol_pattern: r".*USD$".to_string(),
                min_quantity: None,
                max_quantity: Some(1_000_000.0),
                broker_id: "ICMARKETS".to_string(),
                description: "Route smaller USD pairs to ICMarkets".to_string(),
            },
            BrokerRoutingRule {
                priority: 50,
                symbol_pattern: r".*".to_string(), // Catch-all
                min_quantity: None,
                max_quantity: None,
                broker_id: "IBKR".to_string(),
                description: "Default routing to IBKR".to_string(),
            },
        ];

        Self {
            routing_rules,
            default_broker: "IBKR".to_string(),
            commission_rates,
        }
    }
}

impl BrokerConfig {
    /// Select optimal broker based on symbol and quantity using routing rules
    pub fn select_broker(&self, symbol: &str, quantity: f64) -> String {
        let symbol_upper = symbol.to_uppercase();

        // Sort rules by priority (highest first)
        let mut applicable_rules: Vec<_> = self
            .routing_rules
            .iter()
            .filter(|rule| {
                // Check symbol pattern
                let symbol_matches = if let Ok(regex) = regex::Regex::new(&rule.symbol_pattern) {
                    regex.is_match(&symbol_upper)
                } else {
                    false
                };

                // Check quantity bounds
                let quantity_matches = {
                    let min_ok = rule.min_quantity.map_or(true, |min| quantity >= min);
                    let max_ok = rule.max_quantity.map_or(true, |max| quantity <= max);
                    min_ok && max_ok
                };

                symbol_matches && quantity_matches
            })
            .collect();

        applicable_rules.sort_by(|a, b| b.priority.cmp(&a.priority));

        if let Some(rule) = applicable_rules.first() {
            rule.broker_id.clone()
        } else {
            self.default_broker.clone()
        }
    }

    /// Calculate commission for a given broker and notional value
    pub fn calculate_commission(&self, broker_id: &str, notional: f64) -> f64 {
        if let Some(config) = self.commission_rates.get(broker_id) {
            (notional * config.rate_bps).max(config.min_commission)
        } else {
            // Default commission if broker not found
            notional * 0.0001 // 1 bps
        }
    }
}

/// Asset classification for risk management and volatility profiling
#[derive(Debug, Clone, Serialize, Deserialize, PartialEq, Eq, Hash)]
pub enum AssetClass {
    /// Equity securities and stocks
    Equities,
    /// Bonds and fixed income securities
    FixedIncome,
    /// Physical and financial commodities
    Commodities,
    /// Foreign exchange and currencies
    Currencies,
    /// Alternative investments
    Alternatives,
    /// Derivative instruments
    Derivatives,
    /// Cash and cash equivalents
    Cash,
}

/// Volatility and risk profile for an asset class
#[derive(Debug, Clone, Serialize, Deserialize)]
pub struct VolatilityProfile {
    /// Annual volatility (0.0 to 1.0, e.g., 0.25 = 25%)
    pub annual_volatility: f64,
    /// Maximum position size as fraction of portfolio (0.0 to 1.0)
    pub max_position_fraction: f64,
    /// Volatility threshold for risk alerts (0.0 to 1.0)
    pub volatility_threshold: f64,
    /// Maximum daily loss threshold (0.0 to 1.0)
    pub daily_loss_threshold: f64,
}

/// Asset classification configuration with symbol mappings and volatility profiles
#[derive(Debug, Clone, Serialize, Deserialize)]
pub struct AssetClassificationConfig {
    /// Explicit symbol to asset class mappings
    pub symbol_mappings: HashMap<String, AssetClass>,
    /// Volatility profiles for each asset class
    pub volatility_profiles: HashMap<AssetClass, VolatilityProfile>,
    /// Pattern-based classification rules (regex patterns)
    pub pattern_rules: Vec<PatternRule>,
}

/// Pattern-based rule for asset classification
#[derive(Debug, Clone, Serialize, Deserialize)]
pub struct PatternRule {
    /// Regex pattern to match against symbol
    pub pattern: String,
    /// Asset class to assign if pattern matches
    pub asset_class: AssetClass,
    /// Priority (higher numbers take precedence)
    pub priority: u32,
}

/// Encryption configuration for secure model storage
#[derive(Debug, Clone, Serialize, Deserialize)]
pub struct EncryptionConfig {
    /// Enable/disable encryption for model storage
    pub enable_encryption: bool,
    /// Encryption algorithm (e.g., "AES-256-GCM")
    pub algorithm: String,
    /// Key rotation period in days
    pub key_rotation_days: u64,
    /// Vault path for encryption keys (optional, can use local keys)
    pub encryption_keys_vault_path: Option<String>,
    /// Local key file path for development/testing
    pub local_key_file: Option<String>,
}

impl Default for EncryptionConfig {
    fn default() -> Self {
        Self {
            enable_encryption: false,
            algorithm: "AES-256-GCM".to_string(),
            key_rotation_days: 90,
            encryption_keys_vault_path: None,
            local_key_file: None,
        }
    }
}

impl Default for AssetClassificationConfig {
    fn default() -> Self {
        let mut symbol_mappings = HashMap::new();

        // Equity stocks
        for symbol in [
            "AAPL", "MSFT", "GOOGL", "AMZN", "META", "TSLA", "NVDA", "JPM", "JNJ", "V",
        ] {
            symbol_mappings.insert(symbol.to_string(), AssetClass::Equities);
        }

        // Major cryptocurrencies
        for symbol in ["BTC", "ETH", "BTCUSD", "ETHUSD", "BTCUSDT", "ETHUSDT"] {
            symbol_mappings.insert(symbol.to_string(), AssetClass::Alternatives);
        }

        let mut volatility_profiles = HashMap::new();

        volatility_profiles.insert(
            AssetClass::Equities,
            VolatilityProfile {
                annual_volatility: 0.25,
                max_position_fraction: 0.20,
                volatility_threshold: 0.025,
                daily_loss_threshold: 0.03,
            },
        );

        volatility_profiles.insert(
            AssetClass::Alternatives,
            VolatilityProfile {
                annual_volatility: 0.80,
                max_position_fraction: 0.08,
                volatility_threshold: 0.15,
                daily_loss_threshold: 0.05,
            },
        );

        volatility_profiles.insert(
            AssetClass::Currencies,
            VolatilityProfile {
                annual_volatility: 0.15,
                max_position_fraction: 0.30,
                volatility_threshold: 0.02,
                daily_loss_threshold: 0.02,
            },
        );

        volatility_profiles.insert(
            AssetClass::Cash,
            VolatilityProfile {
                annual_volatility: 0.01,
                max_position_fraction: 1.00,
                volatility_threshold: 0.001,
                daily_loss_threshold: 0.001,
            },
        );

        volatility_profiles.insert(
            AssetClass::FixedIncome,
            VolatilityProfile {
                annual_volatility: 0.25,
                max_position_fraction: 0.15,
                volatility_threshold: 0.03,
                daily_loss_threshold: 0.025,
            },
        );

        volatility_profiles.insert(
            AssetClass::Derivatives,
            VolatilityProfile {
                annual_volatility: 0.40,
                max_position_fraction: 0.10,
                volatility_threshold: 0.05,
                daily_loss_threshold: 0.04,
            },
        );

        volatility_profiles.insert(
            AssetClass::Commodities,
            VolatilityProfile {
                annual_volatility: 0.30,
                max_position_fraction: 0.15,
                volatility_threshold: 0.04,
                daily_loss_threshold: 0.03,
            },
        );

        let pattern_rules = vec![
            PatternRule {
                pattern: r"^(BTC|ETH).*".to_string(),
                asset_class: AssetClass::Alternatives,
                priority: 100,
            },
            PatternRule {
                pattern: r".*USD$".to_string(),
                asset_class: AssetClass::Currencies,
                priority: 80,
            },
            PatternRule {
                pattern: r".*JPY$".to_string(),
                asset_class: AssetClass::Currencies,
                priority: 90,
            },
            PatternRule {
                pattern: r"^[A-Z]{3,6}$".to_string(), // 3-6 letter symbols (likely equities)
                asset_class: AssetClass::Equities,
                priority: 50,
            },
        ];

        Self {
            symbol_mappings,
            volatility_profiles,
            pattern_rules,
        }
    }
}

impl AssetClassificationConfig {
    /// Classify a symbol based on explicit mappings and pattern rules
    pub fn classify_symbol(&self, symbol: &str) -> AssetClass {
        let symbol_upper = symbol.to_uppercase();

        // First check explicit mappings
        if let Some(asset_class) = self.symbol_mappings.get(&symbol_upper) {
            return asset_class.clone();
        }

        // Then check pattern rules (sorted by priority, highest first)
        let mut applicable_rules: Vec<_> = self
            .pattern_rules
            .iter()
            .filter(|rule| {
                if let Ok(regex) = regex::Regex::new(&rule.pattern) {
                    regex.is_match(&symbol_upper)
                } else {
                    false
                }
            })
            .collect();

        applicable_rules.sort_by(|a, b| b.priority.cmp(&a.priority));

        if let Some(rule) = applicable_rules.first() {
            rule.asset_class.clone()
        } else {
            AssetClass::Cash // Default fallback for unknown symbols
        }
    }

    /// Get volatility profile for a symbol
    pub fn get_volatility_profile(&self, symbol: &str) -> VolatilityProfile {
        let asset_class = self.classify_symbol(symbol);
        self.volatility_profiles
            .get(&asset_class)
            .cloned()
            .unwrap_or(VolatilityProfile {
                annual_volatility: 0.20,
                max_position_fraction: 0.05,
                volatility_threshold: 0.02,
                daily_loss_threshold: 0.01,
            })
    }

    /// Get daily volatility for a symbol
    pub fn get_daily_volatility(&self, symbol: &str) -> f64 {
        let profile = self.get_volatility_profile(symbol);
        profile.annual_volatility / 252.0_f64.sqrt()
    }

    /// Get risk configuration tuple (position_fraction, volatility_threshold, daily_loss_threshold)
    pub fn get_risk_config(&self, symbol: &str) -> (f64, f64, f64) {
        let profile = self.get_volatility_profile(symbol);
        (
            profile.max_position_fraction,
            profile.volatility_threshold,
            profile.daily_loss_threshold,
        )
    }
}

/// Configuration for backtesting database connections
#[derive(Debug, Clone, Serialize, Deserialize)]
pub struct BacktestingDatabaseConfig {
    /// Database connection URL
    pub database_url: String,
    /// Maximum number of database connections in the pool
    pub max_connections: Option<u32>,
    /// Minimum number of database connections in the pool
    pub min_connections: Option<u32>,
    /// Timeout in milliseconds for acquiring a connection
    pub acquire_timeout_ms: Option<u64>,
    /// Statement cache capacity
    pub statement_cache_capacity: Option<usize>,
    /// Enable SQL query logging
    pub enable_logging: Option<bool>,
}

/// Configuration for backtesting strategy execution
#[derive(Debug, Clone, Serialize, Deserialize)]
pub struct BacktestingStrategyConfig {
    /// Commission rate for trades (e.g., 0.001 = 0.1%)
    pub commission_rate: f64,
    /// Slippage rate for trades (e.g., 0.0005 = 0.05%)
    pub slippage_rate: f64,
    /// Maximum position size as fraction of portfolio
    pub max_position_size: Option<f64>,
    /// Enable short selling
    pub allow_short_selling: Option<bool>,
}

impl Default for BacktestingStrategyConfig {
    fn default() -> Self {
        Self {
            commission_rate: 0.0007,      // 0.07% = 7 bps
            slippage_rate: 0.0002,        // 0.02% = 2 bps
            max_position_size: Some(0.2), // 20% max position
            allow_short_selling: Some(false),
        }
    }
}

/// Configuration for backtesting performance analysis
#[derive(Debug, Clone, Serialize, Deserialize)]
pub struct BacktestingPerformanceConfig {
    /// Risk-free rate for Sharpe ratio calculations (annual rate)
    pub risk_free_rate: f64,
    /// Resolution for equity curve (number of points)
    pub equity_curve_resolution: usize,
    /// Enable advanced performance metrics
    pub enable_advanced_metrics: Option<bool>,
}

impl Default for BacktestingPerformanceConfig {
    fn default() -> Self {
        Self {
            risk_free_rate: 0.04, // 4% annual risk-free rate
            equity_curve_resolution: 1000,
            enable_advanced_metrics: Some(true),
        }
    }
}

/// TLS/SSL configuration for secure gRPC connections
#[derive(Debug, Clone, Serialize, Deserialize)]
pub struct TlsConfig {
    /// Enable/disable TLS for gRPC connections
    pub enabled: bool,
    /// Path to server certificate file
    pub cert_path: String,
    /// Path to server private key file
    pub key_path: String,
    /// Path to CA certificate for client verification (optional)
    pub ca_cert_path: Option<String>,
    /// Require client certificate verification
    pub require_client_cert: bool,
    /// TLS protocol versions to support (e.g., ["TLSv1.2", "TLSv1.3"])
    pub protocol_versions: Vec<String>,
    /// Cipher suites to use (empty means default)
    pub cipher_suites: Vec<String>,
}

impl Default for TlsConfig {
    fn default() -> Self {
        // Wave 75 Fix: Use environment variables with fallback to /tmp instead of /etc
        let cert_path = std::env::var("TLS_CERT_PATH")
            .unwrap_or_else(|_| "/tmp/foxhunt/certs/server.crt".to_string());
        let key_path = std::env::var("TLS_KEY_PATH")
            .unwrap_or_else(|_| "/tmp/foxhunt/certs/server.key".to_string());
        let ca_cert_path = std::env::var("TLS_CA_PATH").ok();

        Self {
            enabled: false,
            cert_path,
            key_path,
            ca_cert_path,
            require_client_cert: false,
            protocol_versions: vec!["TLSv1.3".to_string()],
            cipher_suites: Vec::new(),
        }
    }
}

/// Trading system configuration
#[derive(Debug, Clone, Serialize, Deserialize)]
pub struct TradingConfig {
    /// Maximum order size (in base units)
    pub max_order_size: f64,
    /// Minimum order size (in base units)
    pub min_order_size: f64,
    /// Maximum price deviation from market (as fraction, e.g., 0.05 = 5%)
    pub max_price_deviation: f64,
    /// Enable symbol validation
    pub enable_symbol_validation: bool,
    /// Maximum batch notional value (total value of orders in a batch)
    pub max_batch_notional: f64,
    /// Maximum position VaR (Value at Risk) limit
    pub max_position_var: f64,
}

impl Default for TradingConfig {
    fn default() -> Self {
        Self {
            max_order_size: 1_000_000.0,
            min_order_size: 0.001,
            max_price_deviation: 0.05,
            enable_symbol_validation: false,
            max_batch_notional: 10_000_000.0, // $10M batch limit
            max_position_var: 50_000.0,        // $50K VaR limit
        }
    }
}

/// Market data ingestion configuration
#[derive(Debug, Clone, Serialize, Deserialize)]
pub struct MarketDataConfig {
    /// Market data server host
    pub host: String,
    /// WebSocket port for streaming data
    pub websocket_port: u16,
    /// API key for authentication
    pub api_key: String,
    /// Use SSL/TLS for connections
    pub use_ssl: bool,
    /// Connection timeout in seconds
    pub timeout_seconds: u64,
}

impl Default for MarketDataConfig {
    fn default() -> Self {
        Self {
            host: "localhost".to_string(),
            websocket_port: 8080,
            api_key: String::new(),
            use_ssl: false,
            timeout_seconds: 30,
        }
    }
}

Coverage Report

Created: 2025-10-06 12:43