foxhunt/crates/common/src/thresholds.rs

//! Centralized threshold constants for the Foxhunt HFT system
//!
//! This module consolidates all hardcoded threshold values that were
//! previously scattered throughout the codebase. Constants here are
//! compile-time values for performance-critical operations.
//!
//! For runtime-configurable values, see the `config` crate's runtime module.

use std::time::Duration;

/// Risk management thresholds
pub mod risk {

    /// Breach severity warning threshold (percentage of limit)
    ///
    /// Used when position is at 80-90% of limit
    pub const BREACH_WARNING_PCT: u8 = 80;

    /// Breach severity soft threshold (percentage of limit)
    ///
    /// Used when position is at 90-100% of limit
    pub const BREACH_SOFT_PCT: u8 = 90;

    /// Breach severity hard threshold (percentage of limit)
    ///
    /// Used when position is at 100-120% of limit
    pub const BREACH_HARD_PCT: u8 = 100;

    /// Breach severity critical threshold (percentage of limit)
    ///
    /// Used when position exceeds 120% of limit
    pub const BREACH_CRITICAL_PCT: u8 = 120;

    /// Minimum capital adequacy ratio (Basel III standard)
    pub const MIN_CAPITAL_ADEQUACY_RATIO: f64 = 0.08;

    /// Minimum leverage ratio (Basel III standard)
    pub const MIN_LEVERAGE_RATIO: f64 = 0.03;

    /// Default `VaR` confidence level (95%)
    pub const DEFAULT_VAR_CONFIDENCE: f64 = 0.95;

    /// High `VaR` confidence level (99%)
    pub const HIGH_VAR_CONFIDENCE: f64 = 0.99;

    /// Maximum drawdown warning threshold (percentage)
    pub const MAX_DRAWDOWN_WARNING_PCT: u8 = 15;

    /// Maximum drawdown critical threshold (percentage)
    pub const MAX_DRAWDOWN_CRITICAL_PCT: u8 = 25;
}

/// `VaR` calculation constants
pub mod var {
    /// Z-score for 90% confidence level
    pub const Z_SCORE_P90: f64 = 1.282;

    /// Z-score for 95% confidence level
    pub const Z_SCORE_P95: f64 = 1.645;

    /// Z-score for 97.5% confidence level
    pub const Z_SCORE_P97_5: f64 = 1.96;

    /// Z-score for 99% confidence level
    pub const Z_SCORE_P99: f64 = 2.326;

    /// Z-score for 99.9% confidence level
    pub const Z_SCORE_P99_9: f64 = 3.09;

    /// Default lookback period for historical `VaR` (trading days)
    pub const DEFAULT_LOOKBACK_DAYS: usize = 252;

    /// Minimum data quality score for `VaR` calculation
    pub const MIN_DATA_QUALITY_SCORE: f64 = 0.6;
}

/// Performance and timing constants
pub mod performance {

    /// Maximum latency for HFT critical path operations (nanoseconds)
    pub const MAX_CRITICAL_PATH_LATENCY_NS: u64 = 14;

    /// Maximum acceptable latency for risk checks (microseconds)
    pub const MAX_RISK_CHECK_LATENCY_US: u64 = 50;

    /// Maximum latency for ML inference (microseconds)
    pub const MAX_ML_INFERENCE_LATENCY_US: u64 = 100;

    /// Default batch processing size
    pub const DEFAULT_BATCH_SIZE: usize = 100;

    /// Ring buffer size for lock-free operations
    pub const RING_BUFFER_SIZE: usize = 4096;

    /// Small batch size for SIMD operations
    pub const SIMD_BATCH_SIZE: usize = 8;

    /// Maximum small batch size
    pub const MAX_SMALL_BATCH_SIZE: usize = 10;

    /// Default worker thread count (adjusted based on CPU cores at runtime)
    pub const DEFAULT_WORKER_THREADS: usize = 4;

    /// Default queue capacity for async operations
    pub const DEFAULT_QUEUE_CAPACITY: usize = 10000;
}

/// Cache TTL defaults (can be overridden by runtime config)
pub mod cache {
    use super::Duration;

    /// Default TTL for position cache entries (1 minute)
    pub const POSITION_CACHE_TTL: Duration = Duration::from_secs(60);

    /// Default TTL for `VaR` calculation cache (1 hour)
    pub const VAR_CACHE_TTL: Duration = Duration::from_secs(3600);

    /// Default TTL for compliance check cache (24 hours)
    pub const COMPLIANCE_CACHE_TTL: Duration = Duration::from_secs(86400);

    /// Default TTL for market data cache (5 minutes)
    pub const MARKET_DATA_CACHE_TTL: Duration = Duration::from_secs(300);

    /// Default TTL for model predictions cache (1 minute)
    pub const MODEL_PREDICTION_CACHE_TTL: Duration = Duration::from_secs(60);

    /// Redis key TTL for position limits (5 minutes)
    pub const REDIS_POSITION_LIMIT_TTL_SECS: i32 = 300;

    /// Redis key TTL for compliance checks (24 hours)
    pub const REDIS_COMPLIANCE_TTL_SECS: i32 = 86400;

    /// Redis key TTL for `VaR` calculations (1 hour)
    pub const REDIS_VAR_TTL_SECS: i32 = 3600;
}

/// Database operation defaults
pub mod database {
    use super::Duration;

    /// Default query timeout for standard operations
    pub const QUERY_TIMEOUT: Duration = Duration::from_millis(1000);

    /// Default connection timeout
    pub const CONNECTION_TIMEOUT: Duration = Duration::from_millis(100);

    /// Default pool acquire timeout
    pub const ACQUIRE_TIMEOUT: Duration = Duration::from_millis(50);

    /// Default connection lifetime (1 hour)
    pub const CONNECTION_LIFETIME: Duration = Duration::from_secs(3600);

    /// Default idle timeout (5 minutes)
    pub const IDLE_TIMEOUT: Duration = Duration::from_secs(300);

    /// Default pool size
    pub const DEFAULT_POOL_SIZE: u32 = 20;

    /// Maximum pool size
    pub const MAX_POOL_SIZE: u32 = 100;

    /// Maximum query result limit
    pub const MAX_QUERY_LIMIT: i64 = 1000;
}

/// Network and gRPC defaults
pub mod network {
    use super::Duration;

    /// Default connect timeout for gRPC clients
    pub const GRPC_CONNECT_TIMEOUT: Duration = Duration::from_secs(5);

    /// Default request timeout for gRPC
    pub const GRPC_REQUEST_TIMEOUT: Duration = Duration::from_secs(10);

    /// Default keep-alive interval
    pub const KEEP_ALIVE_INTERVAL: Duration = Duration::from_secs(30);

    /// Keep-alive timeout
    pub const KEEP_ALIVE_TIMEOUT: Duration = Duration::from_secs(5);

    /// Maximum concurrent connections
    pub const MAX_CONCURRENT_CONNECTIONS: u32 = 100;

    /// HTTP/2 initial stream window size
    pub const INITIAL_STREAM_WINDOW_SIZE: u32 = 65535;

    /// HTTP/2 initial connection window size
    pub const INITIAL_CONNECTION_WINDOW_SIZE: u32 = 1048576;
}

/// Retry and recovery defaults
pub mod retry {
    use super::Duration;

    /// Initial delay for exponential backoff
    pub const INITIAL_RETRY_DELAY: Duration = Duration::from_millis(100);

    /// Maximum delay for exponential backoff
    pub const MAX_RETRY_DELAY: Duration = Duration::from_secs(30);

    /// Maximum retry attempts for critical operations
    pub const MAX_RETRY_ATTEMPTS: u32 = 3;

    /// Backoff multiplier for exponential backoff
    pub const BACKOFF_MULTIPLIER: f32 = 1.5;

    /// Maximum total duration for retry attempts
    pub const MAX_TOTAL_RETRY_DURATION: Duration = Duration::from_secs(60);
}

/// Health check and monitoring intervals
pub mod monitoring {
    use super::Duration;

    /// Default health check interval
    pub const HEALTH_CHECK_INTERVAL: Duration = Duration::from_secs(30);

    /// Default metrics collection interval
    pub const METRICS_COLLECTION_INTERVAL: Duration = Duration::from_secs(10);

    /// Default log flush interval
    pub const LOG_FLUSH_INTERVAL: Duration = Duration::from_secs(5);

    /// Circuit breaker check interval
    pub const CIRCUIT_BREAKER_CHECK_INTERVAL: Duration = Duration::from_millis(100);

    /// Kill switch session timeout (5 minutes)
    pub const KILL_SWITCH_SESSION_TIMEOUT: Duration = Duration::from_secs(300);
}

/// Event processing defaults
pub mod events {
    use super::Duration;

    /// Event batch timeout
    pub const BATCH_TIMEOUT: Duration = Duration::from_millis(100);

    /// Event batch size
    pub const BATCH_SIZE: usize = 100;

    /// Event retry delay
    pub const RETRY_DELAY: Duration = Duration::from_millis(50);

    /// Maximum event backlog before applying backpressure
    pub const MAX_EVENT_BACKLOG: usize = 10000;

    /// Maximum span buffer size for tracing
    pub const MAX_SPAN_BUFFER_SIZE: usize = 100_000;

    /// Span export batch size
    pub const SPAN_EXPORT_BATCH_SIZE: usize = 1000;
}

/// ML model constants
pub mod ml {
    use super::Duration;

    /// Maximum GPU batch size
    pub const MAX_GPU_BATCH_SIZE: usize = 8192;

    /// Maximum CPU batch size
    pub const MAX_CPU_BATCH_SIZE: usize = 1024;

    /// Default model cache cleanup interval (1 hour)
    pub const MODEL_CACHE_CLEANUP_INTERVAL: Duration = Duration::from_secs(3600);

    /// Default model health check interval (30 seconds)
    pub const MODEL_HEALTH_CHECK_INTERVAL: Duration = Duration::from_secs(30);

    /// Model deployment stage timeout (5 minutes)
    pub const DEPLOYMENT_STAGE_TIMEOUT: Duration = Duration::from_secs(300);

    /// Model deployment total timeout (30 minutes)
    pub const DEPLOYMENT_TOTAL_TIMEOUT: Duration = Duration::from_secs(1800);

    /// Model validation scan timeout (10 minutes)
    pub const VALIDATION_SCAN_TIMEOUT: Duration = Duration::from_secs(600);

    /// Canary deployment duration (5 minutes)
    pub const CANARY_DURATION: Duration = Duration::from_secs(300);

    /// Model rollback timeout (1 minute)
    pub const ROLLBACK_TIMEOUT: Duration = Duration::from_secs(60);

    /// Drift detection check interval (5 minutes)
    pub const DRIFT_CHECK_INTERVAL: Duration = Duration::from_secs(300);

    /// Drift detection warning threshold
    pub const DRIFT_WARNING_THRESHOLD: f64 = 0.05;

    /// Maximum recommendation age for Kelly sizing (1 minute)
    pub const MAX_KELLY_RECOMMENDATION_AGE: Duration = Duration::from_secs(60);

    /// Kelly sizing cache TTL (5 minutes)
    pub const KELLY_CACHE_TTL: Duration = Duration::from_secs(300);
}

/// Safety system defaults
pub mod safety {
    use super::Duration;

    /// Safety check timeout for production (5ms)
    pub const PRODUCTION_SAFETY_CHECK_TIMEOUT: Duration = Duration::from_millis(5);

    /// Safety check timeout for development (50ms)
    pub const DEVELOPMENT_SAFETY_CHECK_TIMEOUT: Duration = Duration::from_millis(50);

    /// Auto-recovery delay for production (30 minutes)
    pub const PRODUCTION_AUTO_RECOVERY_DELAY: Duration = Duration::from_secs(1800);

    /// Auto-recovery delay for development (1 minute)
    pub const DEVELOPMENT_AUTO_RECOVERY_DELAY: Duration = Duration::from_secs(60);

    /// Loss check interval for production (5 seconds)
    pub const PRODUCTION_LOSS_CHECK_INTERVAL: Duration = Duration::from_secs(5);

    /// Loss check interval for development (30 seconds)
    pub const DEVELOPMENT_LOSS_CHECK_INTERVAL: Duration = Duration::from_secs(30);

    /// Position check interval for production (2 seconds)
    pub const PRODUCTION_POSITION_CHECK_INTERVAL: Duration = Duration::from_secs(2);

    /// Position check interval for development (15 seconds)
    pub const DEVELOPMENT_POSITION_CHECK_INTERVAL: Duration = Duration::from_secs(15);

    /// Memory check interval
    pub const MEMORY_CHECK_INTERVAL: Duration = Duration::from_secs(1);

    /// Circuit breaker trip cooldown (30 seconds)
    pub const CIRCUIT_BREAKER_COOLDOWN: Duration = Duration::from_secs(30);
}

/// Time conversion constants
pub mod time {
    /// Nanoseconds per microsecond
    pub const NANOS_PER_MICRO: u64 = 1_000;

    /// Nanoseconds per millisecond
    pub const NANOS_PER_MILLI: u64 = 1_000_000;

    /// Nanoseconds per second
    pub const NANOS_PER_SECOND: u64 = 1_000_000_000;

    /// Microseconds per second
    pub const MICROS_PER_SECOND: u64 = 1_000_000;

    /// Milliseconds per second
    pub const MILLIS_PER_SECOND: u64 = 1_000;

    /// Seconds per minute
    pub const SECONDS_PER_MINUTE: u64 = 60;

    /// Seconds per hour
    pub const SECONDS_PER_HOUR: u64 = 3600;

    /// Seconds per day
    pub const SECONDS_PER_DAY: u64 = 86400;

    /// Trading days per year
    pub const TRADING_DAYS_PER_YEAR: usize = 252;

    /// Bars per trading day at current resolution.
    /// 1-minute bars: 6.5h × 60min = 390. Change this when switching to tick data.
    pub const BARS_PER_DAY: f64 = 390.0;

    /// Bars per year at current resolution (bars_per_day × trading_days_per_year).
    pub const BARS_PER_YEAR: f64 = 390.0 * 252.0; // 98_280.0

    /// Annualization factor: sqrt(bars_per_year). Used for Sharpe/Sortino scaling.
    pub const ANNUALIZATION_FACTOR: f64 = 313.497; // sqrt(98280) precomputed for perf
}

/// Financial constants
pub mod financial {
    /// Basis points per unit
    pub const BASIS_POINTS_PER_UNIT: u32 = 10_000;

    /// Cents per dollar
    pub const CENTS_PER_DOLLAR: u32 = 100;

    /// Default profit target in basis points (1%)
    pub const DEFAULT_PROFIT_TARGET_BPS: u32 = 100;

    /// Default stop loss in basis points (0.5%)
    pub const DEFAULT_STOP_LOSS_BPS: u32 = 50;

    /// Minimum return threshold in basis points
    pub const MIN_RETURN_THRESHOLD_BPS: i32 = 5;

    /// Price scaling factor (6 decimal places)
    pub const PRICE_SCALE: i64 = 1_000_000;

    /// Quantity scaling factor (6 decimal places)
    pub const QUANTITY_SCALE: i64 = 1_000_000;

    /// Money scaling factor (6 decimal places)
    pub const MONEY_SCALE: i64 = 1_000_000;

    /// Unified scaling factor for all financial operations
    pub const UNIFIED_SCALE_FACTOR: i64 = 1_000_000;

    /// ML precision factor (8 decimal places)
    pub const PRECISION_FACTOR: i64 = 100_000_000;

    /// VPIN precision factor (4 decimal places)
    pub const VPIN_PRECISION_FACTOR: i64 = 10_000;
}

/// Validation limits
pub mod limits {
    /// Maximum symbol length
    pub const MAX_SYMBOL_LENGTH: usize = 12;

    /// Maximum account ID length
    pub const MAX_ACCOUNT_ID_LENGTH: usize = 32;

    /// Maximum description length
    pub const MAX_DESCRIPTION_LENGTH: usize = 256;

    /// Maximum metadata key length
    pub const MAX_METADATA_KEY_LENGTH: usize = 64;

    /// Maximum metadata value length
    pub const MAX_METADATA_VALUE_LENGTH: usize = 512;

    /// Maximum metadata entries
    pub const MAX_METADATA_ENTRIES: usize = 100;

    /// Maximum price value
    pub const MAX_PRICE: f64 = 1_000_000.0;

    /// Minimum price value
    pub const MIN_PRICE: f64 = 0.000_001;

    /// Maximum quantity value
    pub const MAX_QUANTITY: f64 = 1_000_000_000.0;

    /// Minimum quantity value
    pub const MIN_QUANTITY: f64 = 0.000_001;

    /// Maximum leverage
    pub const MAX_LEVERAGE: f64 = 1000.0;

    /// Minimum leverage
    pub const MIN_LEVERAGE: f64 = 0.1;

    /// Maximum allocation size (1GB)
    pub const MAX_ALLOCATION_SIZE: usize = 1024 * 1024 * 1024;

    /// Maximum duration in milliseconds (24 hours)
    pub const MAX_DURATION_MILLIS: u64 = 24 * 60 * 60 * 1000;
}

/// Hardware alignment constants
pub mod hardware {
    /// CPU cache line size
    pub const CACHE_LINE_SIZE: usize = 64;

    /// SIMD alignment for AVX2
    pub const SIMD_ALIGNMENT: usize = 32;

    /// Page size (4KB)
    pub const PAGE_SIZE: usize = 4096;
}

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

    #[test]
    #[allow(clippy::assertions_on_constants)]
    fn test_breach_thresholds_ordered() {
        assert!(risk::BREACH_WARNING_PCT < risk::BREACH_SOFT_PCT);
        assert!(risk::BREACH_SOFT_PCT < risk::BREACH_HARD_PCT);
        assert!(risk::BREACH_HARD_PCT < risk::BREACH_CRITICAL_PCT);
    }

    #[test]
    #[allow(clippy::assertions_on_constants)]
    fn test_var_z_scores_ordered() {
        assert!(var::Z_SCORE_P90 < var::Z_SCORE_P95);
        assert!(var::Z_SCORE_P95 < var::Z_SCORE_P97_5);
        assert!(var::Z_SCORE_P97_5 < var::Z_SCORE_P99);
        assert!(var::Z_SCORE_P99 < var::Z_SCORE_P99_9);
    }

    #[test]
    fn test_time_conversions() {
        assert_eq!(time::NANOS_PER_MICRO * 1000, time::NANOS_PER_MILLI);
        assert_eq!(time::NANOS_PER_MILLI * 1000, time::NANOS_PER_SECOND);
        assert_eq!(time::MICROS_PER_SECOND * 1000, time::NANOS_PER_SECOND);
    }

    #[test]
    fn test_financial_scales_consistent() {
        assert_eq!(financial::PRICE_SCALE, financial::UNIFIED_SCALE_FACTOR);
        assert_eq!(financial::QUANTITY_SCALE, financial::UNIFIED_SCALE_FACTOR);
        assert_eq!(financial::MONEY_SCALE, financial::UNIFIED_SCALE_FACTOR);
    }
}