veto.py

"""
veto.py — Hard filters. Any single veto cancels the setup entirely.

Key fixes vs prior version:
- Absorption is now a hard veto (was missing)
- Climax volume is a hard veto (was only a score penalty)
- Failed breakout in last N bars = hard veto
- Price too extended from mean = hard veto (separate per direction)
- Vol ratio threshold lowered to 2.2 (fires more reliably)
- No volatility compression = veto (require setups to emerge from bases)
- Regime confidence below minimum = veto (new structural gate)
"""

from typing import Dict, Any, Tuple

from config import (
    VETO_VOLUME_MIN,
    VETO_VOL_RATIO_MAX,
    VETO_STRUCTURE_MIN,
    VETO_CLIMAX,
    VETO_ABSORPTION,
    VETO_EXTENDED_PRICE,
    VETO_NO_COMPRESSION,
    REGIME_CONFIDENCE_MIN,
    VOL_COMPRESSION_LOOKBACK,
)

_FAILED_BREAKOUT_LOOKBACK = 5   # bars to look back for recent fake signals
_CONSEC_FAILED_MAX = 2          # veto if N or more recent fakes


def apply_veto(
    regime_data: Dict[str, Any],
    volume_data: Dict[str, Any],
    structure_score: float,
    direction: int = 1,          # +1 = evaluating long, -1 = evaluating short
) -> Tuple[bool, str]:
    """
    Returns (vetoed: bool, reason: str).
    direction controls which extension check applies.
    """
    reasons = []

    volume_score = volume_data.get("volume_score", 0.0)
    vol_ratio = regime_data.get("vol_ratio", 1.0)
    trend = regime_data.get("trend", "ranging")
    vol_compressed = regime_data.get("vol_compressed", False)
    vol_expanding = regime_data.get("vol_expanding", False)
    regime_confidence = regime_data.get("regime_confidence", 0.0)
    price_extended_long = regime_data.get("price_extended_long", False)
    price_extended_short = regime_data.get("price_extended_short", False)
    adx = regime_data.get("adx", 0.0)

    spike = volume_data.get("spike", False)
    climax = volume_data.get("climax", False)
    absorption = volume_data.get("absorption", False)
    failed_breakout = volume_data.get("failed_breakout", False)
    recent_failed = volume_data.get("recent_failed_count", 0)
    weak = volume_data.get("weak", False)

    # ── VOLUME GATES ─────────────────────────────────────────────────────────
    if volume_score < VETO_VOLUME_MIN:
        reasons.append(f"WEAK_VOLUME_SCORE ({volume_score:.2f} < {VETO_VOLUME_MIN})")

    if weak:
        reasons.append(f"VOLUME_BELOW_MA (ratio={volume_data.get('vol_ratio', 0):.2f})")

    if VETO_CLIMAX and climax:
        reasons.append("CLIMAX_VOLUME — potential exhaustion, not entry")

    if VETO_ABSORPTION and absorption:
        reasons.append("ABSORPTION_DETECTED — institutional supply at resistance")

    # ── BREAKOUT INTEGRITY ────────────────────────────────────────────────────
    if failed_breakout:
        reasons.append("FAILED_BREAKOUT — most recent breakout reversed")

    if recent_failed >= _CONSEC_FAILED_MAX:
        reasons.append(f"REPEATED_FAKE_BREAKOUTS ({recent_failed} in last 10 bars)")

    # ── VOLATILITY GATES ──────────────────────────────────────────────────────
    if vol_ratio > VETO_VOL_RATIO_MAX:
        reasons.append(f"EXTREME_VOLATILITY (ratio={vol_ratio:.2f} > {VETO_VOL_RATIO_MAX})")

    if VETO_NO_COMPRESSION and not vol_compressed and not vol_expanding:
        # Allow through if currently expanding — expansion from base is fine
        # Only veto if vol is neither compressed nor just broke out
        if vol_ratio < 0.9 or vol_ratio > 1.6:
            reasons.append(
                f"NO_VOLATILITY_BASE (ratio={vol_ratio:.2f}, compressed={vol_compressed})"
            )

    # ── STRUCTURE GATE ────────────────────────────────────────────────────────
    if structure_score < VETO_STRUCTURE_MIN:
        reasons.append(f"WEAK_STRUCTURE ({structure_score:.2f} < {VETO_STRUCTURE_MIN})")

    if trend == "bearish" and direction == 1:
        reasons.append("BEARISH_TREND — long entry contra-trend")

    if trend == "bullish" and direction == -1:
        reasons.append("BULLISH_TREND — short entry contra-trend")

    # ── REGIME CONFIDENCE GATE ────────────────────────────────────────────────
    if regime_confidence < REGIME_CONFIDENCE_MIN:
        reasons.append(
            f"LOW_REGIME_CONFIDENCE ({regime_confidence:.2f} < {REGIME_CONFIDENCE_MIN})"
        )

    # ── PRICE EXTENSION GATE ─────────────────────────────────────────────────
    if VETO_EXTENDED_PRICE:
        if direction == 1 and price_extended_long:
            dist = regime_data.get("dist_atr", 0.0)
            reasons.append(f"PRICE_EXTENDED_LONG ({dist:.2f} ATR above mean)")
        if direction == -1 and price_extended_short:
            dist = regime_data.get("dist_atr", 0.0)
            reasons.append(f"PRICE_EXTENDED_SHORT ({dist:.2f} ATR below mean)")

    if reasons:
        return True, " | ".join(reasons)
    return False, ""


def veto_summary(vetoed: bool, reason: str) -> str:
    return f"VETOED — {reason}" if vetoed else "APPROVED"