galaxis-po/backend/app/services/drawdown.py

"""
Drawdown calculation service using PortfolioSnapshot.total_value time series.
"""
import logging
from datetime import date
from decimal import Decimal
from typing import Optional

from sqlalchemy.orm import Session

from app.models.portfolio import Portfolio, PortfolioSnapshot

logger = logging.getLogger(__name__)

# In-memory per-portfolio settings (no separate table needed)
_drawdown_settings: dict[int, Decimal] = {}

DEFAULT_ALERT_THRESHOLD = Decimal("20")


def get_alert_threshold(portfolio_id: int) -> Decimal:
    return _drawdown_settings.get(portfolio_id, DEFAULT_ALERT_THRESHOLD)


def set_alert_threshold(portfolio_id: int, threshold_pct: Decimal) -> None:
    _drawdown_settings[portfolio_id] = threshold_pct


def calculate_drawdown(
    db: Session,
    portfolio_id: int,
) -> dict:
    """Calculate current and max drawdown from snapshot time series.

    Returns dict with:
      current_drawdown_pct, max_drawdown_pct,
      peak_value, peak_date, trough_value, trough_date,
      max_drawdown_date, alert_threshold_pct
    """
    snapshots = (
        db.query(PortfolioSnapshot)
        .filter(PortfolioSnapshot.portfolio_id == portfolio_id)
        .order_by(PortfolioSnapshot.snapshot_date)
        .all()
    )

    if not snapshots:
        return {
            "current_drawdown_pct": Decimal("0"),
            "max_drawdown_pct": Decimal("0"),
            "peak_value": None,
            "peak_date": None,
            "trough_value": None,
            "trough_date": None,
            "max_drawdown_date": None,
            "alert_threshold_pct": get_alert_threshold(portfolio_id),
        }

    peak = Decimal(str(snapshots[0].total_value))
    peak_date = snapshots[0].snapshot_date
    max_dd = Decimal("0")
    max_dd_date: Optional[date] = None
    trough_value = peak
    trough_date = peak_date

    for snap in snapshots:
        value = Decimal(str(snap.total_value))
        if value > peak:
            peak = value
            peak_date = snap.snapshot_date

        if peak > 0:
            dd = ((peak - value) / peak * 100).quantize(Decimal("0.01"))
        else:
            dd = Decimal("0")

        if dd > max_dd:
            max_dd = dd
            max_dd_date = snap.snapshot_date
            trough_value = value
            trough_date = snap.snapshot_date

    # Current drawdown = drawdown of last snapshot from running peak
    last_value = Decimal(str(snapshots[-1].total_value))
    if peak > 0:
        current_dd = ((peak - last_value) / peak * 100).quantize(Decimal("0.01"))
    else:
        current_dd = Decimal("0")

    return {
        "current_drawdown_pct": current_dd,
        "max_drawdown_pct": max_dd,
        "peak_value": peak,
        "peak_date": peak_date,
        "trough_value": trough_value,
        "trough_date": trough_date,
        "max_drawdown_date": max_dd_date,
        "alert_threshold_pct": get_alert_threshold(portfolio_id),
    }


def calculate_rolling_drawdown(
    db: Session,
    portfolio_id: int,
) -> list[dict]:
    """Calculate rolling drawdown time series.

    Returns list of {date, total_value, peak, drawdown_pct}.
    """
    snapshots = (
        db.query(PortfolioSnapshot)
        .filter(PortfolioSnapshot.portfolio_id == portfolio_id)
        .order_by(PortfolioSnapshot.snapshot_date)
        .all()
    )

    if not snapshots:
        return []

    result = []
    peak = Decimal("0")

    for snap in snapshots:
        value = Decimal(str(snap.total_value))
        if value > peak:
            peak = value

        if peak > 0:
            dd = ((peak - value) / peak * 100).quantize(Decimal("0.01"))
        else:
            dd = Decimal("0")

        result.append({
            "date": snap.snapshot_date,
            "total_value": value,
            "peak": peak,
            "drawdown_pct": dd,
        })

    return result


def check_drawdown_alert(
    db: Session,
    portfolio_id: int,
) -> Optional[str]:
    """Check if current drawdown exceeds alert threshold.

    Returns alert message string if threshold exceeded, None otherwise.
    """
    data = calculate_drawdown(db, portfolio_id)
    threshold = data["alert_threshold_pct"]
    current_dd = data["current_drawdown_pct"]

    if current_dd >= threshold:
        portfolio = db.query(Portfolio).filter(Portfolio.id == portfolio_id).first()
        name = portfolio.name if portfolio else f"Portfolio #{portfolio_id}"
        return (
            f"[Drawdown 경고] {name}: "
            f"현재 낙폭 {current_dd}%가 한도 {threshold}%를 초과했습니다. "
            f"(고점: {data['peak_value']:,.0f}원, 현재: {data['trough_value']:,.0f}원)"
        )

    return None