foxhunt/adaptive-strategy/src/microstructure/mod.rs

//! Market microstructure analysis module
//!
//! This module provides comprehensive analysis of market microstructure data,
//! including order book analysis, trade flow analysis, price impact modeling,
//! and microstructure feature extraction for adaptive trading strategies.

use anyhow::Result;
use chrono::Duration;
use serde::{Deserialize, Serialize};
use std::collections::{HashMap, VecDeque};
use tracing::{debug, info, warn};

// Add missing core types
// REMOVED: Add ML types - compilation issues
// use ml::prelude::*;
// REMOVED: Add data types - compilation issues
// use data::*;

use super::config::MicrostructureConfig;

// REMOVED: Import VPIN calculator from ml crate - compilation issues
// use ml::microstructure::{MarketDataUpdate, TradeDirection, VPINCalculator, VPINConfig};

// Local stub definitions to replace ml crate types
/// Volume-Synchronized Probability of Informed Trading (VPIN) Calculator
///
/// VPIN is a measure of order flow toxicity and the probability that informed
/// traders are present in the market. Higher VPIN values indicate higher
/// probability of adverse selection for market makers.
#[derive(Debug, Clone)]
pub struct VPINCalculator {}

impl VPINCalculator {
    /// Create a new VPIN calculator with the given configuration
    ///
    /// # Arguments
    ///
    /// * `config` - VPIN calculation parameters
    pub fn new(_config: VPINConfig) -> Self {
        Self {}
    }

    /// Update VPIN calculation with new market data
    ///
    /// # Arguments
    ///
    /// * `_update` - Market data update containing trade and quote information
    ///
    /// # Returns
    ///
    /// Result indicating success or failure of the update
    pub fn update(&mut self, _update: &MarketDataUpdate) -> Result<(), String> {
        Ok(())
    }

    /// Get current VPIN metrics and analysis results
    ///
    /// # Returns
    ///
    /// Current VPIN metrics including toxicity scores and confidence levels
    pub fn get_result(&self) -> VPINMetrics {
        VPINMetrics {
            vpin: 0.3_f64,
            confidence: 0.8_f64,
            order_flow_imbalance: 0.1_f64,
            toxicity_score: 0.2_f64,
            is_toxic: false,
            bucket_count: 25_usize,
            current_bucket_fill: 0.7_f64,
        }
    }

    /// Check if current order flow is considered toxic
    ///
    /// # Returns
    ///
    /// True if order flow toxicity exceeds threshold, false otherwise
    pub fn is_toxic(&self) -> bool {
        false
    }
}

/// Configuration parameters for VPIN calculation
///
/// Controls the behavior of the VPIN calculator including volume buckets,
/// time windows, and toxicity thresholds.
#[derive(Debug, Clone)]
pub struct VPINConfig {
    /// Number of volume buckets in the rolling window
    pub window_size: usize,
    /// Size of each volume bucket for VPIN calculation
    pub volume_bucket_size: f64,
    /// Volume threshold for bucket completion
    pub bucket_volume: u64,
    /// Total number of buckets in the rolling window
    /// Number of buckets used in VPIN calculation rolling window
    /// This determines the size of the rolling window for VPIN computation.
    /// More buckets provide more stable but less responsive VPIN values.
    pub bucket_count: usize,
    /// Threshold above which order flow is considered toxic
    pub toxicity_threshold: u64,
    /// Maximum age of data in microseconds before expiration
    pub max_age_us: u64,
}

/// Market data update containing trade and quote information
///
/// Represents a single market data event including trade execution,
/// quote updates, and order book changes for VPIN analysis.
#[derive(Debug, Clone, Serialize, Deserialize)]
pub struct MarketDataUpdate {
    /// Trading symbol or instrument identifier
    pub symbol: String,
    /// Event timestamp in microseconds since epoch
    pub timestamp: u64,
    /// Trade price in scaled integer format (e.g., price * 10000)
    pub price: i64,
    /// Trade volume or quantity
    pub volume: u64,
    /// Trade direction (buy/sell/unknown)
    pub side: TradeDirection,
    /// Best bid price in scaled integer format
    pub bid: i64,
    /// Best ask price in scaled integer format
    pub ask: i64,
    /// Size available at best bid
    pub bid_size: u64,
    /// Size available at best ask
    pub ask_size: u64,
    /// Optional refined trade direction classification
    pub direction: Option<TradeDirection>,
}

/// Trade direction classification for order flow analysis
///
/// Represents the aggressive side of a trade, indicating whether
/// the trade was initiated by a buyer or seller.
#[derive(Debug, Clone, Serialize, Deserialize)]
pub enum TradeDirection {
    /// Buyer-initiated trade (aggressive buy order)
    Buy,
    /// Seller-initiated trade (aggressive sell order)
    Sell,
    /// Trade direction could not be determined
    Unknown,
}

/// VPIN calculation results and toxicity metrics
///
/// Contains the calculated VPIN value along with additional metrics
/// for assessing order flow toxicity and market microstructure quality.
#[derive(Debug, Clone)]
pub struct VPINMetrics {
    /// VPIN value (0-1 scale, higher indicates more toxic flow)
    pub vpin: f64,
    /// Confidence in the VPIN calculation (0-1 scale)
    pub confidence: f64,
    /// Order flow imbalance metric (-1 to 1, negative=sell pressure)
    pub order_flow_imbalance: f64,
    /// Overall toxicity score (0-1 scale)
    pub toxicity_score: f64,
    /// Whether current flow exceeds toxicity threshold
    pub is_toxic: bool,
    /// Number of buckets in the VPIN calculation window
    pub bucket_count: usize,
    /// Fill percentage of current volume bucket (0-1)
    pub current_bucket_fill: f64,
}

// Struct definitions provided above replace ml crate types

/// Market microstructure analyzer
///
/// Processes order book data, trade data, and market events to extract
/// microstructure features and signals for trading strategies.
pub struct MicrostructureAnalyzer {
    /// Configuration parameters (stored for potential reconfiguration/debugging)
    #[allow(dead_code)]
    config: MicrostructureConfig,
    /// Order book state tracker
    order_book: OrderBookTracker,
    /// Trade flow analyzer
    trade_flow: TradeFlowAnalyzer,
    /// Price impact model
    price_impact: PriceImpactModel,
    /// Feature extraction engine
    feature_extractor: FeatureExtractor,
    /// VPIN calculator for order flow toxicity
    vpin_calculator: VPINCalculator,
}

impl std::fmt::Debug for MicrostructureAnalyzer {
    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
        f.debug_struct("MicrostructureAnalyzer")
            .field("order_book", &self.order_book)
            .field("trade_flow", &self.trade_flow)
            .field("price_impact", &self.price_impact)
            .field("feature_extractor", &self.feature_extractor)
            .field("vpin_calculator", &"<VPINCalculator>")
            .finish()
    }
}

/// Order book state and analysis
#[derive(Debug, Clone)]
pub struct OrderBookTracker {
    /// Current bid levels
    bids: VecDeque<OrderLevel>,
    /// Current ask levels
    asks: VecDeque<OrderLevel>,
    /// Maximum depth to track
    max_depth: usize,
    /// Last update timestamp
    last_update: chrono::DateTime<chrono::Utc>,
    /// Order book imbalance history
    imbalance_history: VecDeque<f64>,
}

/// Order book level
#[derive(Debug, Clone, Serialize, Deserialize)]
pub struct OrderLevel {
    /// Price level
    pub price: f64,
    /// Total quantity at this level
    pub quantity: f64,
    /// Number of orders at this level
    pub order_count: u32,
    /// Timestamp of last update
    pub timestamp: chrono::DateTime<chrono::Utc>,
}

/// Trade flow analysis
#[derive(Debug, Clone)]
pub struct TradeFlowAnalyzer {
    /// Recent trades
    recent_trades: VecDeque<Trade>,
    /// Trade size buckets
    size_buckets: Vec<f64>,
    /// VWAP calculator
    vwap_calculator: VWAPCalculator,
    /// Trade sign classifier
    trade_classifier: TradeSignClassifier,
}

/// Individual trade record
#[derive(Debug, Clone, Serialize, Deserialize)]
pub struct Trade {
    /// Trade price
    pub price: f64,
    /// Trade quantity
    pub quantity: f64,
    /// Trade timestamp
    pub timestamp: chrono::DateTime<chrono::Utc>,
    /// Trade side (buy/sell pressure)
    pub side: TradeSide,
    /// Trade size category
    pub size_category: TradeSizeCategory,
}

/// Trade side classification
#[derive(Debug, Clone, Serialize, Deserialize)]
pub enum TradeSide {
    /// Buyer-initiated trade
    Buy,
    /// Seller-initiated trade
    Sell,
    /// Undetermined direction
    Unknown,
}

/// Trade size categories
#[derive(Debug, Clone, Serialize, Deserialize)]
pub enum TradeSizeCategory {
    /// Small retail trade
    Small,
    /// Medium institutional trade
    Medium,
    /// Large block trade
    Large,
    /// Very large whale trade
    VeryLarge,
}

/// Price impact modeling
#[derive(Debug, Clone)]
pub struct PriceImpactModel {
    /// Recent price impact measurements
    impact_history: VecDeque<PriceImpactMeasurement>,
    /// Linear impact coefficient
    linear_coefficient: f64,
    /// Square root impact coefficient
    sqrt_coefficient: f64,
}

/// Price impact measurement
#[derive(Debug, Clone, Serialize, Deserialize)]
pub struct PriceImpactMeasurement {
    /// Trade size
    pub trade_size: f64,
    /// Measured price impact
    pub impact: f64,
    /// Time since trade
    pub time_elapsed: Duration,
    /// Market conditions during trade
    pub market_state: MarketState,
}

/// Market state for impact analysis
#[derive(Debug, Clone, Serialize, Deserialize)]
pub struct MarketState {
    /// Bid-ask spread
    pub spread: f64,
    /// Market volatility
    pub volatility: f64,
    /// Trading volume
    pub volume: f64,
    /// Order book depth
    pub depth: f64,
}

/// Feature extraction from microstructure data
#[derive(Debug, Clone)]
pub struct FeatureExtractor {
    /// Features to extract
    enabled_features: Vec<MicrostructureFeature>,
    /// Feature history for rolling calculations
    #[allow(dead_code)]
    feature_history: HashMap<String, VecDeque<f64>>,
    /// Calculation windows
    #[allow(dead_code)]
    windows: Vec<usize>,
}

/// Available microstructure features
#[derive(Debug, Clone, Serialize, Deserialize)]
pub enum MicrostructureFeature {
    /// Bid-ask spread (absolute and relative)
    BidAskSpread,
    /// Order book imbalance
    OrderBookImbalance,
    /// Trade sign and buy/sell pressure
    TradeSign,
    /// Volume profile and distribution
    VolumeProfile,
    /// Price impact measurements
    PriceImpact,
    /// Microstructure noise estimation
    MicrostructureNoise,
    /// Order flow toxicity
    OrderFlowToxicity,
    /// Market depth and liquidity
    MarketDepth,
}

/// VWAP calculation engine
#[derive(Debug, Clone)]
pub struct VWAPCalculator {
    /// Price-volume pairs
    price_volume_pairs: VecDeque<(f64, f64, chrono::DateTime<chrono::Utc>)>,
    /// Calculation window
    window_duration: Duration,
}

/// Trade sign classification
#[derive(Debug, Clone)]
pub struct TradeSignClassifier {
    /// Classification method
    method: TradeSignMethod,
}

/// Quote data for trade classification
#[derive(Debug, Clone)]
pub struct Quote {
    /// Best bid price
    pub bid: f64,
    /// Best ask price
    pub ask: f64,
    /// Timestamp
    pub timestamp: chrono::DateTime<chrono::Utc>,
}

/// Trade sign classification methods
#[derive(Debug, Clone)]
pub enum TradeSignMethod {
    /// Quote-based classification
    QuoteBased,
    /// Tick rule
    TickRule,
    /// Lee-Ready algorithm
    LeeReady,
}

/// Extracted microstructure features
#[derive(Debug, Clone, Serialize, Deserialize)]
pub struct MicrostructureFeatures {
    /// Feature values by name
    pub features: HashMap<String, f64>,
    /// Feature timestamp
    pub timestamp: chrono::DateTime<chrono::Utc>,
    /// Market conditions
    pub market_state: MarketState,
    /// Data quality indicators
    pub quality_indicators: QualityIndicators,
}

/// Data quality indicators
#[derive(Debug, Clone, Serialize, Deserialize)]
pub struct QualityIndicators {
    /// Order book completeness (0-1)
    pub book_completeness: f64,
    /// Trade data completeness (0-1)
    pub trade_completeness: f64,
    /// Data latency (milliseconds)
    pub data_latency_ms: f64,
    /// Missing data points
    pub missing_data_points: u32,
}

impl MicrostructureAnalyzer {
    /// Create a new microstructure analyzer
    ///
    /// # Arguments
    ///
    /// * `config` - Microstructure analysis configuration
    ///
    /// # Returns
    ///
    /// A new `MicrostructureAnalyzer` instance
    pub fn new(config: MicrostructureConfig) -> Result<Self> {
        info!(
            "Initializing microstructure analyzer with depth: {}",
            config.book_depth
        );

        let order_book = OrderBookTracker::new(config.book_depth);
        let trade_flow = TradeFlowAnalyzer::new(&config.trade_size_buckets);
        let price_impact = PriceImpactModel::new();
        // Convert string features to MicrostructureFeature enum
        let microstructure_features: Vec<MicrostructureFeature> = config
            .features
            .iter()
            .filter_map(|f| match f.as_str() {
                "BidAskSpread" => Some(MicrostructureFeature::BidAskSpread),
                "OrderBookImbalance" => Some(MicrostructureFeature::OrderBookImbalance),
                "TradeSign" => Some(MicrostructureFeature::TradeSign),
                "VolumeProfile" => Some(MicrostructureFeature::VolumeProfile),
                "PriceImpact" => Some(MicrostructureFeature::PriceImpact),
                "MicrostructureNoise" => Some(MicrostructureFeature::MicrostructureNoise),
                "OrderFlowToxicity" => Some(MicrostructureFeature::OrderFlowToxicity),
                "MarketDepth" => Some(MicrostructureFeature::MarketDepth),
                _ => None,
            })
            .collect();
        let feature_extractor = FeatureExtractor::new(&microstructure_features);

        // Initialize VPIN calculator with optimized configuration for adaptive strategy
        let vpin_config = VPINConfig {
            window_size: 50,
            volume_bucket_size: 10000.0_f64,
            bucket_volume: 10_000,     // 10K volume per bucket
            bucket_count: 50,          // Rolling window of 50 buckets
            toxicity_threshold: 3_000, // 0.3 toxicity threshold (scaled)
            max_age_us: 300_000_000,   // 5 minutes max age
        };
        let vpin_calculator = VPINCalculator::new(vpin_config);

        Ok(Self {
            config,
            order_book,
            trade_flow,
            price_impact,
            feature_extractor,
            vpin_calculator,
        })
    }

    /// Update order book data
    ///
    /// # Arguments
    ///
    /// * `bids` - New bid levels
    /// * `asks` - New ask levels
    ///
    /// # Returns
    ///
    /// Updated order book analysis
    pub fn update_order_book(
        &mut self,
        bids: Vec<OrderLevel>,
        asks: Vec<OrderLevel>,
    ) -> Result<()> {
        debug!(
            "Updating order book with {} bids, {} asks",
            bids.len(),
            asks.len()
        );

        self.order_book.update(bids, asks)?;

        // Update features that depend on order book
        self.feature_extractor
            .update_book_features(&self.order_book)?;

        Ok(())
    }

    /// Process new trade data
    ///
    /// # Arguments
    ///
    /// * `trade` - New trade to process
    ///
    /// # Returns
    ///
    /// Updated trade flow analysis
    pub fn process_trade(&mut self, trade: Trade) -> Result<()> {
        debug!(
            "Processing trade: price={}, quantity={}",
            trade.price, trade.quantity
        );

        // Classify trade if needed
        let classified_trade = self.trade_flow.classify_trade(trade, &self.order_book)?;

        // Convert to VPIN MarketDataUpdate format
        let vpin_update = self.convert_trade_to_market_data_update(&classified_trade)?;

        // Update VPIN calculator
        if let Err(e) = self.vpin_calculator.update(&vpin_update) {
            warn!("VPIN update failed: {:?}", e);
        }

        // Update trade flow analysis
        self.trade_flow.add_trade(classified_trade.clone())?;

        // Update price impact model
        self.price_impact
            .add_trade_observation(&classified_trade, &self.order_book)?;
        // Update trade-based features
        self.feature_extractor
            .update_trade_features(&self.trade_flow)?;

        Ok(())
    }

    /// Extract current microstructure features
    ///
    /// # Returns
    ///
    /// Current set of microstructure features
    pub fn extract_features(&self) -> Result<MicrostructureFeatures> {
        debug!("Extracting microstructure features");

        let features = self.feature_extractor.extract_all_features(
            &self.order_book,
            &self.trade_flow,
            &self.price_impact,
            &self.vpin_calculator,
        )?;

        let market_state = MarketState {
            spread: self.order_book.get_spread()?,
            volatility: self.trade_flow.calculate_volatility()?,
            volume: self.trade_flow.get_recent_volume()?,
            depth: self.order_book.get_depth()?,
        };

        let quality_indicators = QualityIndicators {
            book_completeness: self.order_book.calculate_completeness(),
            trade_completeness: self.trade_flow.calculate_completeness(),
            data_latency_ms: self.calculate_data_latency(),
            missing_data_points: self.count_missing_data_points(),
        };

        Ok(MicrostructureFeatures {
            features,
            timestamp: chrono::Utc::now(),
            market_state,
            quality_indicators,
        })
    }

    /// Get order book imbalance
    pub fn get_order_book_imbalance(&self) -> Result<f64> {
        self.order_book.calculate_imbalance()
    }

    /// Get current bid-ask spread
    pub fn get_spread(&self) -> Result<f64> {
        self.order_book.get_spread()
    }

    /// Get recent VWAP
    pub fn get_vwap(&self, window: Duration) -> Result<f64> {
        self.trade_flow.calculate_vwap(window)
    }

    /// Estimate price impact for a given trade size
    pub fn estimate_price_impact(&self, trade_size: f64, side: TradeSide) -> Result<f64> {
        self.price_impact
            .estimate_impact(trade_size, side, &self.order_book)
    }

    /// Calculate data latency
    fn calculate_data_latency(&self) -> f64 {
        // Production implementation
        let now = chrono::Utc::now();
        let book_latency = (now - self.order_book.last_update).num_milliseconds() as f64;
        let trade_latency = if let Some(last_trade) = self.trade_flow.get_last_trade() {
            (now - last_trade.timestamp).num_milliseconds() as f64
        } else {
            0.0_f64
        };

        (book_latency + trade_latency) / 2.0
    }

    /// Count missing data points
    fn count_missing_data_points(&self) -> u32 {
        // Production implementation
        0
    }

    /// Convert Trade to MarketDataUpdate for VPIN calculator
    fn convert_trade_to_market_data_update(&self, trade: &Trade) -> Result<MarketDataUpdate> {
        // Get current best bid/ask from order book
        let (bid, ask, bid_size, ask_size) = if let (Some(best_bid), Some(best_ask)) =
            (self.order_book.bids.front(), self.order_book.asks.front())
        {
            (
                (best_bid.price * 10000.0_f64) as i64, // Scale to match VPIN precision
                (best_ask.price * 10000.0_f64) as i64,
                best_bid.quantity as u64,
                best_ask.quantity as u64,
            )
        } else {
            // Fallback values if order book is empty
            (
                (trade.price * 10000.0_f64) as i64 - 50_i64, // Assume 0.005 spread
                (trade.price * 10000.0_f64) as i64 + 50_i64,
                1000_u64,
                1000_u64,
            )
        };

        // Convert trade side to VPIN TradeDirection
        let direction = match trade.side {
            TradeSide::Buy => Some(TradeDirection::Buy),
            TradeSide::Sell => Some(TradeDirection::Sell),
            TradeSide::Unknown => None,
        };

        let side = direction.clone().unwrap_or(TradeDirection::Unknown);

        Ok(MarketDataUpdate {
            timestamp: trade.timestamp.timestamp_micros() as u64,
            symbol: "MULTI".to_owned(), // Generic symbol for adaptive strategy
            price: (trade.price * 10000.0_f64) as i64, // Scale to match VPIN precision
            volume: trade.quantity as u64,
            side,
            bid,
            ask,
            bid_size,
            ask_size,
            direction,
        })
    }

    /// Get current VPIN metrics for order flow toxicity analysis
    pub fn get_vpin_metrics(&self) -> VPINMetrics {
        self.vpin_calculator.get_result()
    }

    /// Check if current market conditions indicate toxic order flow
    pub fn is_order_flow_toxic(&self) -> bool {
        self.vpin_calculator.is_toxic()
    }

    /// Generate comprehensive risk signals based on order flow toxicity
    ///
    /// Returns a risk signal between -1.0 (very toxic, high risk) and 1.0 (clean flow, low risk)
    pub fn generate_order_flow_risk_signal(&self) -> f64 {
        let vpin_metrics = self.vpin_calculator.get_result();

        // Base signal from VPIN (inverted because high VPIN = high risk)
        let vpin_signal = 1.0_f64 - (vpin_metrics.vpin * 2.0_f64).min(1.0_f64); // Scale and cap at 1.0

        // Order flow imbalance contribution (extreme imbalances increase risk)
        let imbalance_penalty = vpin_metrics.order_flow_imbalance.abs() * 0.3_f64;

        // Bucket fill factor (incomplete buckets may indicate unstable conditions)
        let stability_factor = if vpin_metrics.bucket_count < 10 {
            0.8_f64 // Reduce confidence with few buckets
        } else {
            1.0_f64
        };

        // Combine factors
        let risk_signal = (vpin_signal - imbalance_penalty) * stability_factor;

        // Clamp to [-1, 1] range
        risk_signal.max(-1.0_f64).min(1.0_f64)
    }

    /// Get real-time order flow toxicity alert level
    ///
    /// Returns alert severity: 0 = No Alert, 1 = Low, 2 = Medium, 3 = High, 4 = Critical
    pub fn get_toxicity_alert_level(&self) -> u8 {
        let vpin_metrics = self.vpin_calculator.get_result();

        if vpin_metrics.toxicity_score >= 0.8_f64 {
            4_u8 // Critical: Extremely toxic flow
        } else if vpin_metrics.toxicity_score >= 0.6_f64 {
            3_u8 // High: High toxicity
        } else if vpin_metrics.toxicity_score >= 0.4_f64 {
            2_u8 // Medium: Moderate toxicity
        } else if vpin_metrics.toxicity_score >= 0.2_f64 {
            1_u8 // Low: Slight toxicity
        } else {
            0_u8 // No alert: Clean order flow
        }
    }

    /// Generate position sizing recommendation based on order flow toxicity
    ///
    /// Returns a multiplier (0.0 to 1.0) to apply to normal position sizes
    pub fn get_position_sizing_multiplier(&self) -> f64 {
        let risk_signal = self.generate_order_flow_risk_signal();
        let alert_level = self.get_toxicity_alert_level();

        match alert_level {
            4 => 0.1_f64, // Critical: Reduce positions to 10%
            3 => 0.3_f64, // High: Reduce to 30%
            2 => 0.6_f64, // Medium: Reduce to 60%
            1 => 0.8_f64, // Low: Reduce to 80%
            _ => (0.5_f64 + risk_signal * 0.5_f64).max(0.2_f64).min(1.0_f64), // Scale with risk signal
        }
    }
}

impl OrderBookTracker {
    /// Create a new order book tracker
    pub fn new(max_depth: usize) -> Self {
        Self {
            bids: VecDeque::new(),
            asks: VecDeque::new(),
            max_depth,
            last_update: chrono::Utc::now(),
            imbalance_history: VecDeque::new(),
        }
    }

    /// Update order book levels
    pub fn update(&mut self, bids: Vec<OrderLevel>, asks: Vec<OrderLevel>) -> Result<()> {
        self.bids = bids.into_iter().take(self.max_depth).collect();
        self.asks = asks.into_iter().take(self.max_depth).collect();
        self.last_update = chrono::Utc::now();

        // Calculate and store imbalance
        let imbalance = self.calculate_imbalance()?;
        self.imbalance_history.push_back(imbalance);

        // Maintain history size
        if self.imbalance_history.len() > 1000_usize {
            self.imbalance_history.pop_front();
        }

        Ok(())
    }

    /// Calculate order book imbalance
    pub fn calculate_imbalance(&self) -> Result<f64> {
        let bid_volume: f64 = self.bids.iter().map(|level| level.quantity).sum();
        let ask_volume: f64 = self.asks.iter().map(|level| level.quantity).sum();

        if bid_volume + ask_volume == 0.0_f64 {
            return Ok(0.0_f64);
        }

        Ok((bid_volume - ask_volume) / (bid_volume + ask_volume))
    }

    /// Get current bid-ask spread
    pub fn get_spread(&self) -> Result<f64> {
        if let (Some(best_bid), Some(best_ask)) = (self.bids.front(), self.asks.front()) {
            Ok(best_ask.price - best_bid.price)
        } else {
            anyhow::bail!("Incomplete order book data")
        }
    }

    /// Get order book depth
    pub fn get_depth(&self) -> Result<f64> {
        let bid_depth: f64 = self.bids.iter().map(|level| level.quantity).sum();
        let ask_depth: f64 = self.asks.iter().map(|level| level.quantity).sum();
        Ok(bid_depth + ask_depth)
    }

    /// Calculate data completeness
    pub fn calculate_completeness(&self) -> f64 {
        let expected_levels = self.max_depth * 2; // Both bids and asks
        let actual_levels = self.bids.len() + self.asks.len();
        actual_levels as f64 / expected_levels as f64
    }
}

impl TradeFlowAnalyzer {
    /// Create a new trade flow analyzer
    pub fn new(size_buckets: &[f64]) -> Self {
        Self {
            recent_trades: VecDeque::new(),
            size_buckets: size_buckets.to_vec(),
            vwap_calculator: VWAPCalculator::new(Duration::minutes(5)),
            trade_classifier: TradeSignClassifier::new(TradeSignMethod::LeeReady),
        }
    }

    /// Add a new trade
    pub fn add_trade(&mut self, trade: Trade) -> Result<()> {
        self.vwap_calculator.add_trade(&trade);
        self.recent_trades.push_back(trade);

        // Maintain history size
        if self.recent_trades.len() > 10000_usize {
            self.recent_trades.pop_front();
        }

        Ok(())
    }

    /// Classify trade direction
    pub fn classify_trade(&self, mut trade: Trade, order_book: &OrderBookTracker) -> Result<Trade> {
        trade.side = self.trade_classifier.classify(&trade, order_book)?;
        trade.size_category = self.classify_trade_size(trade.quantity);
        Ok(trade)
    }

    /// Classify trade size
    fn classify_trade_size(&self, quantity: f64) -> TradeSizeCategory {
        if quantity <= *self.size_buckets.first().unwrap_or(&f64::MAX) {
            TradeSizeCategory::Small
        } else if quantity <= *self.size_buckets.get(1).unwrap_or(&f64::MAX) {
            TradeSizeCategory::Medium
        } else if quantity <= *self.size_buckets.get(2).unwrap_or(&f64::MAX) {
            TradeSizeCategory::Large
        } else {
            TradeSizeCategory::VeryLarge
        }
    }

    /// Calculate recent volatility
    pub fn calculate_volatility(&self) -> Result<f64> {
        if self.recent_trades.len() < 2 {
            return Ok(0.0_f64);
        }

        let returns: Vec<f64> = self
            .recent_trades
            .iter()
            .collect::<Vec<_>>()
            .windows(2)
            .filter_map(|window| {
                let prev = window.first()?;
                let curr = window.get(1)?;
                if prev.price == 0.0 {
                    return None;
                }
                let price_change = curr.price / prev.price;
                Some(price_change.ln())
            })
            .collect();

        if returns.is_empty() {
            return Ok(0.0_f64);
        }

        let mean_return = returns.iter().sum::<f64>() / returns.len() as f64;
        let variance = returns
            .iter()
            .map(|r| (r - mean_return).powi(2))
            .sum::<f64>()
            / returns.len() as f64;

        Ok(variance.sqrt())
    }

    /// Get recent volume
    pub fn get_recent_volume(&self) -> Result<f64> {
        let cutoff = chrono::Utc::now() - Duration::minutes(5);
        let volume = self
            .recent_trades
            .iter()
            .filter(|trade| trade.timestamp > cutoff)
            .map(|trade| trade.quantity)
            .sum();

        Ok(volume)
    }

    /// Calculate VWAP for a time window
    pub fn calculate_vwap(&self, window: Duration) -> Result<f64> {
        self.vwap_calculator.calculate_vwap(window)
    }

    /// Get last trade
    pub fn get_last_trade(&self) -> Option<&Trade> {
        self.recent_trades.back()
    }

    /// Calculate data completeness
    pub fn calculate_completeness(&self) -> f64 {
        // Production - would implement based on expected trade frequency
        1.0_f64
    }
}

impl Default for PriceImpactModel {
    fn default() -> Self {
        Self::new()
    }
}

impl PriceImpactModel {
    /// Create a new price impact model
    pub fn new() -> Self {
        Self {
            impact_history: VecDeque::new(),
            linear_coefficient: 0.01_f64,
            sqrt_coefficient: 0.001_f64,
        }
    }

    /// Add trade observation for impact measurement
    pub fn add_trade_observation(
        &mut self,
        trade: &Trade,
        order_book: &OrderBookTracker,
    ) -> Result<()> {
        // Measure immediate price impact (production implementation)
        let impact = self.measure_immediate_impact(trade, order_book)?;

        let measurement = PriceImpactMeasurement {
            trade_size: trade.quantity,
            impact,
            time_elapsed: Duration::zero(),
            market_state: MarketState {
                spread: order_book.get_spread().unwrap_or(0.0_f64),
                volatility: 0.0_f64, // Would calculate from recent data
                volume: trade.quantity,
                depth: order_book.get_depth().unwrap_or(0.0_f64),
            },
        };

        self.impact_history.push_back(measurement);

        // Maintain history size
        if self.impact_history.len() > 1000_usize {
            self.impact_history.pop_front();
        }

        Ok(())
    }

    /// Estimate price impact for a trade
    pub fn estimate_impact(
        &self,
        trade_size: f64,
        _side: TradeSide,
        order_book: &OrderBookTracker,
    ) -> Result<f64> {
        let depth = order_book.get_depth().unwrap_or(1.0_f64);
        let spread = order_book.get_spread().unwrap_or(0.01_f64);

        // Simple impact model: linear + square root components
        let linear_impact = self.linear_coefficient * trade_size / depth;
        let sqrt_impact = self.sqrt_coefficient * trade_size.sqrt() / depth.sqrt();
        let spread_impact = spread * 0.5_f64; // Half-spread crossing cost

        Ok(linear_impact + sqrt_impact + spread_impact)
    }

    /// Measure immediate price impact (production)
    fn measure_immediate_impact(
        &self,
        _trade: &Trade,
        _order_book: &OrderBookTracker,
    ) -> Result<f64> {
        // Production implementation
        Ok(0.001_f64)
    }
}

impl FeatureExtractor {
    /// Create a new feature extractor
    pub fn new(features: &[MicrostructureFeature]) -> Self {
        let enabled_features = features
            .iter()
            .map(|f| match f {
                MicrostructureFeature::BidAskSpread => MicrostructureFeature::BidAskSpread,
                MicrostructureFeature::OrderBookImbalance => {
                    MicrostructureFeature::OrderBookImbalance
                },
                MicrostructureFeature::TradeSign => MicrostructureFeature::TradeSign,
                MicrostructureFeature::VolumeProfile => MicrostructureFeature::VolumeProfile,
                MicrostructureFeature::PriceImpact => MicrostructureFeature::PriceImpact,
                MicrostructureFeature::MicrostructureNoise => {
                    MicrostructureFeature::MicrostructureNoise
                },
                MicrostructureFeature::OrderFlowToxicity => {
                    MicrostructureFeature::OrderFlowToxicity
                },
                MicrostructureFeature::MarketDepth => MicrostructureFeature::MarketDepth,
            })
            .collect();

        Self {
            enabled_features,
            feature_history: HashMap::new(),
            windows: vec![10_usize, 50_usize, 100_usize, 500_usize], // Different calculation windows
        }
    }

    /// Extract all enabled features
    pub fn extract_all_features(
        &self,
        order_book: &OrderBookTracker,
        trade_flow: &TradeFlowAnalyzer,
        price_impact: &PriceImpactModel,
        vpin_calculator: &VPINCalculator,
    ) -> Result<HashMap<String, f64>> {
        let mut features = HashMap::new();

        for feature in &self.enabled_features {
            match feature {
                MicrostructureFeature::BidAskSpread => {
                    if let Ok(spread) = order_book.get_spread() {
                        features.insert("bid_ask_spread".to_owned(), spread);

                        // Relative spread
                        if let Some(best_bid) = order_book.bids.front() {
                            let relative_spread = spread / best_bid.price;
                            features.insert("relative_spread".to_owned(), relative_spread);
                        }
                    }
                },
                MicrostructureFeature::OrderBookImbalance => {
                    if let Ok(imbalance) = order_book.calculate_imbalance() {
                        features.insert("order_book_imbalance".to_owned(), imbalance);
                    }
                },
                MicrostructureFeature::TradeSign => {
                    let buy_volume = self.calculate_directional_volume(trade_flow, TradeSide::Buy);
                    let sell_volume =
                        self.calculate_directional_volume(trade_flow, TradeSide::Sell);
                    let total_volume = buy_volume + sell_volume;

                    if total_volume > 0.0_f64 {
                        let buy_pressure = buy_volume / total_volume;
                        features.insert("buy_pressure".to_owned(), buy_pressure);
                        features.insert("sell_pressure".to_owned(), 1.0 - buy_pressure);
                    }
                },
                MicrostructureFeature::VolumeProfile => {
                    if let Ok(volume) = trade_flow.get_recent_volume() {
                        features.insert("recent_volume".to_owned(), volume);
                    }
                },
                MicrostructureFeature::PriceImpact => {
                    // Average recent price impact
                    let avg_impact = price_impact
                        .impact_history
                        .iter()
                        .map(|m| m.impact)
                        .sum::<f64>()
                        / price_impact.impact_history.len().max(1) as f64;
                    features.insert("average_price_impact".to_owned(), avg_impact);
                },
                MicrostructureFeature::MicrostructureNoise => {
                    if let Ok(volatility) = trade_flow.calculate_volatility() {
                        features.insert("microstructure_noise".to_owned(), volatility);
                    }
                },
                MicrostructureFeature::OrderFlowToxicity => {
                    let vpin_metrics = vpin_calculator.get_result();
                    features.insert("vpin".to_owned(), vpin_metrics.vpin);
                    features.insert(
                        "order_flow_imbalance".to_owned(),
                        vpin_metrics.order_flow_imbalance,
                    );
                    features.insert("toxicity_score".to_owned(), vpin_metrics.toxicity_score);
                    features.insert(
                        "is_toxic".to_owned(),
                        if vpin_metrics.is_toxic {
                            1.0_f64
                        } else {
                            0.0_f64
                        },
                    );
                    features.insert(
                        "vpin_bucket_count".to_owned(),
                        vpin_metrics.bucket_count as f64,
                    );
                    features.insert(
                        "vpin_bucket_fill".to_owned(),
                        vpin_metrics.current_bucket_fill,
                    );
                },
                _ => {
                    // Production for additional features
                    debug!("Feature {:?} not yet implemented", feature);
                },
            }
        }

        Ok(features)
    }

    /// Update book-based features
    pub fn update_book_features(&mut self, _order_book: &OrderBookTracker) -> Result<()> {
        // Production implementation
        Ok(())
    }

    /// Update trade-based features
    pub fn update_trade_features(&mut self, _trade_flow: &TradeFlowAnalyzer) -> Result<()> {
        // Production implementation
        Ok(())
    }

    /// Calculate directional volume
    fn calculate_directional_volume(&self, trade_flow: &TradeFlowAnalyzer, side: TradeSide) -> f64 {
        let cutoff = chrono::Utc::now() - Duration::minutes(5);
        trade_flow
            .recent_trades
            .iter()
            .filter(|trade| {
                trade.timestamp > cutoff
                    && matches!(
                        (&trade.side, &side),
                        (TradeSide::Buy, TradeSide::Buy) | (TradeSide::Sell, TradeSide::Sell)
                    )
            })
            .map(|trade| trade.quantity)
            .sum()
    }
}

impl VWAPCalculator {
    /// Create a new VWAP calculator
    pub fn new(window: Duration) -> Self {
        Self {
            price_volume_pairs: VecDeque::new(),
            window_duration: window,
        }
    }

    /// Add trade to VWAP calculation
    pub fn add_trade(&mut self, trade: &Trade) {
        self.price_volume_pairs
            .push_back((trade.price, trade.quantity, trade.timestamp));

        // Remove old data outside window
        let cutoff = chrono::Utc::now() - self.window_duration;
        while let Some((_, _, timestamp)) = self.price_volume_pairs.front() {
            if *timestamp < cutoff {
                self.price_volume_pairs.pop_front();
            } else {
                break;
            }
        }
    }

    /// Calculate VWAP for the specified window
    pub fn calculate_vwap(&self, window: Duration) -> Result<f64> {
        let cutoff = chrono::Utc::now() - window;

        let (total_pv, total_volume): (f64, f64) = self
            .price_volume_pairs
            .iter()
            .filter(|(_, _, timestamp)| *timestamp > cutoff)
            .map(|(price, volume, _)| (price * volume, *volume))
            .fold((0.0, 0.0), |(acc_pv, acc_vol), (pv, vol)| {
                (acc_pv + pv, acc_vol + vol)
            });

        if total_volume == 0.0_f64 {
            anyhow::bail!("No volume data for VWAP calculation");
        }

        Ok(total_pv / total_volume)
    }
}

impl TradeSignClassifier {
    /// Create a new trade sign classifier
    pub fn new(method: TradeSignMethod) -> Self {
        Self { method }
    }

    /// Classify trade direction
    pub fn classify(&self, trade: &Trade, order_book: &OrderBookTracker) -> Result<TradeSide> {
        match self.method {
            TradeSignMethod::QuoteBased => self.classify_quote_based(trade, order_book),
            TradeSignMethod::TickRule => self.classify_tick_rule(trade),
            TradeSignMethod::LeeReady => self.classify_lee_ready(trade, order_book),
        }
    }

    /// Quote-based classification
    fn classify_quote_based(
        &self,
        trade: &Trade,
        order_book: &OrderBookTracker,
    ) -> Result<TradeSide> {
        if let (Some(best_bid), Some(best_ask)) = (order_book.bids.front(), order_book.asks.front())
        {
            let mid_price = (best_bid.price + best_ask.price) / 2.0_f64;

            if trade.price > mid_price {
                Ok(TradeSide::Buy)
            } else if trade.price < mid_price {
                Ok(TradeSide::Sell)
            } else {
                Ok(TradeSide::Unknown)
            }
        } else {
            Ok(TradeSide::Unknown)
        }
    }

    /// Tick rule classification (production)
    fn classify_tick_rule(&self, _trade: &Trade) -> Result<TradeSide> {
        // Production implementation
        Ok(TradeSide::Unknown)
    }

    /// Lee-Ready algorithm (production)
    fn classify_lee_ready(
        &self,
        trade: &Trade,
        order_book: &OrderBookTracker,
    ) -> Result<TradeSide> {
        // Simplified Lee-Ready: use quote-based as fallback
        self.classify_quote_based(trade, order_book)
    }
}

#[cfg(test)]
mod tests {
    use super::*;
    use crate::config::MicrostructureConfig;

    #[test]
    fn test_microstructure_analyzer_creation() {
        let mut config = MicrostructureConfig::default();
        config.book_depth = 10;
        config.trade_size_buckets = vec![1000.0_f64, 5000.0_f64, 10000.0_f64];
        config.features = vec![];

        let analyzer = MicrostructureAnalyzer::new(config);
        assert!(analyzer.is_ok());
    }

    #[test]
    fn test_order_book_tracker() {
        let mut tracker = OrderBookTracker::new(5);

        let bids = vec![OrderLevel {
            price: 100.0_f64,
            quantity: 10.0_f64,
            order_count: 1,
            timestamp: chrono::Utc::now(),
        }];

        let asks = vec![OrderLevel {
            price: 101.0_f64,
            quantity: 8.0_f64,
            order_count: 1,
            timestamp: chrono::Utc::now(),
        }];

        assert!(tracker.update(bids, asks).is_ok());
        assert!(tracker.get_spread().unwrap() > 0.0_f64);
    }

    #[test]
    fn test_trade_flow_analyzer() {
        let mut analyzer = TradeFlowAnalyzer::new(&[1000.0_f64, 5000.0_f64, 10000.0_f64]);

        let trade = Trade {
            price: 100.5_f64,
            quantity: 500.0_f64,
            timestamp: chrono::Utc::now(),
            side: TradeSide::Buy,
            size_category: TradeSizeCategory::Small,
        };

        assert!(analyzer.add_trade(trade).is_ok());
        assert!(analyzer.get_recent_volume().unwrap() > 0.0_f64);
    }

    #[test]
    fn test_vwap_calculator() {
        let mut calc = VWAPCalculator::new(Duration::minutes(5));

        let trade1 = Trade {
            price: 100.0_f64,
            quantity: 10.0_f64,
            timestamp: chrono::Utc::now(),
            side: TradeSide::Buy,
            size_category: TradeSizeCategory::Small,
        };

        let trade2 = Trade {
            price: 102.0_f64,
            quantity: 20.0_f64,
            timestamp: chrono::Utc::now(),
            side: TradeSide::Sell,
            size_category: TradeSizeCategory::Small,
        };

        calc.add_trade(&trade1);
        calc.add_trade(&trade2);

        let vwap = calc.calculate_vwap(Duration::minutes(5)).unwrap();
        assert!(vwap > 100.0_f64 && vwap < 102.0_f64);
    }
}