liquidation_system.py

#!/usr/bin/env python3
"""
AirMicroDrip Perpetual Futures Liquidation System
Monitors positions and executes liquidations when needed
No mocks - real position monitoring and liquidation execution
"""

import json
import sqlite3
import asyncio
from typing import Dict, List, Optional
from datetime import datetime, timedelta
from perp_trading_engine import PerpTradingEngine, Position, Side

# Configuration
LIQUIDATION_CONFIG = {
    "maintenance_margin_rate": 0.05,  # 5% maintenance margin
    "liquidation_threshold": 0.01,  # 1% liquidation threshold
    "liquidation_bonus": 0.05,  # 5% bonus for liquidators
    "insurance_fund_rate": 0.02,  # 2% to insurance fund
    "check_interval_seconds": 10,  # Check every 10 seconds
    "max_liquidation_per_check": 5,  # Max 5 liquidations per check
}


class LiquidationSystem:
    """Manages position liquidations"""
    
    def __init__(
        self,
        trading_engine: PerpTradingEngine,
        db_path: str = "perp_trading.db",
    ):
        self.trading_engine = trading_engine
        self.db_path = db_path
        self.liquidation_log = []
        self.insurance_fund = 0.0
    
    async def start_monitoring(self):
        """Start liquidation monitoring loop"""
        print("Starting liquidation monitoring...")
        
        while True:
            await self._check_liquidations()
            await asyncio.sleep(LIQUIDATION_CONFIG["check_interval_seconds"])
    
    async def _check_liquidations(self):
        """Check for liquidatable positions"""
        # Get all positions
        positions = self._get_all_positions()
        
        liquidatable = []
        
        for position in positions:
            # Update unrealized PnL
            self.trading_engine.update_unrealized_pnl()
            
            # Refresh position data
            updated_position = self.trading_engine.get_position(
                position["trader"],
                position["market"]
            )
            
            if not updated_position:
                continue
            
            # Check if liquidatable
            if self._is_liquidatable(updated_position):
                liquidatable.append(updated_position)
        
        # Execute liquidations (limit per check)
        for position in liquidatable[:LIQUIDATION_CONFIG["max_liquidation_per_check"]]:
            await self._execute_liquidation(position)
    
    def _get_all_positions(self) -> List[Dict]:
        """Get all positions from database"""
        conn = sqlite3.connect(self.db_path)
        cursor = conn.cursor()
        
        cursor.execute("""
            SELECT position_id, trader, market, side, size, entry_price, leverage, margin,
                   unrealized_pnl, realized_pnl, liquidation_price, opened_at, updated_at
            FROM positions
        """)
        
        results = cursor.fetchall()
        conn.close()
        
        return [
            {
                "position_id": r[0],
                "trader": r[1],
                "market": r[2],
                "side": r[3],
                "size": r[4],
                "entry_price": r[5],
                "leverage": r[6],
                "margin": r[7],
                "unrealized_pnl": r[8],
                "realized_pnl": r[9],
                "liquidation_price": r[10],
                "opened_at": r[11],
                "updated_at": r[12],
            }
            for r in results
        ]
    
    def _is_liquidatable(self, position: Position) -> bool:
        """Check if position is liquidatable"""
        market_state = self.trading_engine.market_states[position.market]
        current_price = market_state.mark_price
        
        # Calculate margin ratio
        position_value = position.size * current_price
        if position_value == 0:
            return False
        margin_ratio = position.margin / position_value
        
        # Check if below maintenance margin
        if margin_ratio < LIQUIDATION_CONFIG["maintenance_margin_rate"]:
            return True
        
        # Check if price hit liquidation price
        if position.side == Side.LONG:
            if current_price <= position.liquidation_price:
                return True
        else:
            if current_price >= position.liquidation_price:
                return True
        
        return False
    
    async def _execute_liquidation(self, position: Position):
        """Execute position liquidation"""
        print(f"Liquidating position {position.position_id}...")
        
        market_state = self.trading_engine.market_states[position.market]
        current_price = market_state.mark_price
        
        # Calculate liquidation value
        liquidation_value = position.size * current_price
        
        # Calculate liquidation bonus
        bonus = liquidation_value * LIQUIDATION_CONFIG["liquidation_bonus"]
        
        # Calculate insurance fund contribution
        insurance_contribution = liquidation_value * LIQUIDATION_CONFIG["insurance_fund_rate"]
        
        # Close position
        self._close_position(position, current_price)
        
        # Update insurance fund
        self.insurance_fund += insurance_contribution
        
        # Log liquidation
        liquidation_record = {
            "timestamp": datetime.utcnow().isoformat(),
            "position_id": position.position_id,
            "trader": position.trader,
            "market": position.market,
            "side": position.side.value,
            "size": position.size,
            "liquidation_price": current_price,
            "liquidation_value": liquidation_value,
            "liquidation_bonus": bonus,
            "insurance_contribution": insurance_contribution,
            "remaining_margin": max(0, position.margin - liquidation_value),
        }
        
        self.liquidation_log.append(liquidation_record)
        
        print(f"Liquidation executed: {liquidation_record}")
    
    def _close_position(self, position: Position, close_price: float):
        """Close position in database"""
        conn = sqlite3.connect(self.db_path)
        cursor = conn.cursor()
        
        # Calculate realized PnL
        if position.side == Side.LONG:
            realized_pnl = position.size * (close_price - position.entry_price)
        else:
            realized_pnl = position.size * (position.entry_price - close_price)
        
        # Update position
        cursor.execute("""
            UPDATE positions
            SET size = 0, unrealized_pnl = 0, realized_pnl = realized_pnl, updated_at = ?
            WHERE position_id = ?
        """, (datetime.utcnow().isoformat(), position.position_id))
        
        conn.commit()
        conn.close()
    
    def get_liquidation_stats(self) -> Dict:
        """Get liquidation statistics"""
        if not self.liquidation_log:
            return {
                "total_liquidations": 0,
                "total_value": 0.0,
                "insurance_fund": self.insurance_fund,
            }
        
        total_liquidations = len(self.liquidation_log)
        total_value = sum(l["liquidation_value"] for l in self.liquidation_log)
        total_bonuses = sum(l["liquidation_bonus"] for l in self.liquidation_log)
        
        return {
            "total_liquidations": total_liquidations,
            "total_value": total_value,
            "total_bonuses": total_bonuses,
            "insurance_fund": self.insurance_fund,
            "recent_liquidations": self.liquidation_log[-10:],
        }
    
    def get_at_risk_positions(self) -> List[Dict]:
        """Get positions at risk of liquidation"""
        positions = self._get_all_positions()
        at_risk = []
        
        for pos_data in positions:
            position = Position(
                position_id=pos_data["position_id"],
                trader=pos_data["trader"],
                market=pos_data["market"],
                side=Side(pos_data["side"]),
                size=pos_data["size"],
                entry_price=pos_data["entry_price"],
                leverage=pos_data["leverage"],
                margin=pos_data["margin"],
                liquidation_price=pos_data["liquidation_price"],
                opened_at=datetime.fromisoformat(pos_data["opened_at"]),
                updated_at=datetime.fromisoformat(pos_data["updated_at"]),
            )
            
            # Calculate margin ratio
            market_state = self.trading_engine.market_states[position.market]
            current_price = market_state.mark_price
            position_value = position.size * current_price
            if position_value == 0 or current_price == 0:
                continue
            margin_ratio = position.margin / position_value
            
            # Check if at risk (within 20% of liquidation)
            if margin_ratio < LIQUIDATION_CONFIG["maintenance_margin_rate"] * 1.2:
                at_risk.append({
                    "position_id": position.position_id,
                    "trader": position.trader,
                    "market": position.market,
                    "margin_ratio": margin_ratio,
                    "liquidation_price": position.liquidation_price,
                    "current_price": current_price,
                    "distance_to_liquidation": abs(current_price - position.liquidation_price) / current_price,
                })
        
        return sorted(at_risk, key=lambda x: x["margin_ratio"])
    
    def manual_liquidation(self, position_id: str, liquidator: str) -> Dict:
        """Manually trigger liquidation (for liquidators)"""
        # Get position
        conn = sqlite3.connect(self.db_path)
        cursor = conn.cursor()
        
        cursor.execute("""
            SELECT position_id, trader, market, side, size, entry_price, leverage, margin, liquidation_price
            FROM positions
            WHERE position_id = ?
        """, (position_id,))
        
        result = cursor.fetchone()
        conn.close()
        
        if not result:
            return {"status": "error", "message": "Position not found"}
        
        position = Position(
            position_id=result[0],
            trader=result[1],
            market=result[2],
            side=Side(result[3]),
            size=result[4],
            entry_price=result[5],
            leverage=result[6],
            margin=result[7],
            liquidation_price=result[8],
        )
        
        # Execute liquidation
        asyncio.run(self._execute_liquidation(position))
        
        return {
            "status": "success",
            "position_id": position_id,
            "liquidator": liquidator,
        }


if __name__ == "__main__":
    # Initialize components
    trading_engine = PerpTradingEngine()
    liquidation_system = LiquidationSystem(trading_engine)
    
    # Get at-risk positions
    at_risk = liquidation_system.get_at_risk_positions()
    
    print("\n" + "="*50)
    print("At-Risk Positions")
    print("="*50)
    for pos in at_risk:
        print(f"Position: {pos['position_id']}")
        print(f"Trader: {pos['trader']}")
        print(f"Market: {pos['market']}")
        print(f"Margin Ratio: {pos['margin_ratio']:.2%}")
        print(f"Distance to Liquidation: {pos['distance_to_liquidation']:.2%}")
        print()
    
    # Get liquidation stats
    stats = liquidation_system.get_liquidation_stats()
    print("="*50)
    print("Liquidation Statistics")
    print("="*50)
    print(json.dumps(stats, indent=2))