Deepvest/ProfilingAI
0
1o
2 �G�g� � @ s� d dl mZ d dlZd dlZd dlZd dlZd dlmZ d dlmZm Z d dl3m Z m Z m
Z
mZmZ d dlmZmZ d dlZd dlZddlmZmZmZmZ dd l m Z m Z dd4l m Z dd l!m"Z" dd l#m$Z$ d
dl%m&Z&m'Z'm(Z(m)Z) eG dd� d��Z*eG dd� d��Z+eG dd� d��Z,eG dd� d��Z-eG dd� d��Z.G dd� de�Z/G dd � d e/�Z0G d d � d �Z1 d)d!ed"e
e d#e2d$e3d%e
e e3e2f d&e1f d'd(�Z4dS )*� )�dequeN)� dataclass)�datetime� timedelta)�Dict�List�Optional�Set�Any)�ABC�abstractmethod� )�5MarketData�PortfolioOptimizer�MarketAnalyzerProtocol�BacktestEngine)�PortfolioOptimizerImpl�OptimizationConstraints)�MarketAnalyzerImpl)�PersonalProfile)�MLEnhancedAnalyzer� )� MarketUpdate�ExponentialMovingVolatility�
VolumeTracker�SpreadAnalyzerc @ sZ e Zd ZU dZeed< eed< eed< eed< ee ed< eed< eed< d Z e6ed7< d S ) �PortfolioAlertzPortfolio alert information� timestamp�8alert_type�severity�message�affected_assets� threshold�
current_valueN�metadata) �__name__�9__module__� __qualname__�__doc__r �__annotations__�strr �floatr$ r � r, r, �B/Users/sandrine/Deepvest_system/src/monitoring/realtime_monitor.pyr ) s 10 r c @ sb e Zd ZU dZeed< eed< eeef ed< eed< eeef ed< e ed< eeef ed< d S )11�RebalanceSignalz Rebalancing signal informationr Z trigger_typeZassets_to_tradeZurgencyZexpected_impact�validity_period� constraintsN)12r% r& r' r( r r) r* r r+ r r, r, r, r- r. 5 s 13 r. c @ sR e Zd ZU dZeed< eed< eeef ed< eed< eed< eeef ed< dS ) �PortfolioAdjustmentz(Information d'ajustement de portefeuiller �adjustment_type�assets_affected�reason�priority�estimated_impactN) r% r& r' r( r r) r* r r+ r, r, r, r- r1 @ s 14 r1 c @ s: e Zd ZU dZeed< eed< eed< eed< eed< dS )�
ProfileChangez&Changement dans le profil investisseurr � change_type� old_value� new_valueZ impact_scoreN) r% r& r' r( r r) r* r15 r+ r, r, r, r- r7 J s 16 r7 c @ s: e Zd ZU dZeed< eed< ee ed< ee ed< dS )�DynamicMonitorStateu État du moniteur dynamique�last_profile_check�last_market_check�pending_adjustments�adaptation_historyN) r% r& r' r( r r) r r1 r r, r, r, r- r; S s 17 r; c @ s^ e Zd ZdZedd� �Zedee fdd��Zedee fdd��Z ed ed18e19fd d ��Z d
S )�DataStreamHandlerz,Abstract base class for data stream handlersc � � �d S �Nr, )�selfr, r, r- �connectb � �zDataStreamHandler.connect�symbolsc � rA rB r, �rC rF r, r, r- � subscribef rE zDataStreamHandler.subscribec � rA rB r, rG r, r, r- � unsubscribej rE z DataStreamHandler.unsubscriber �returnc � rA rB r, )rC r r, r, r- �process_messagen rE z!DataStreamHandler.process_messageN) r% r& r' r( r rD r r* rH rI r rK r, r, r, r- r@ _ s 20r@ c @ s\ e Zd ZdZdefdd�Zdd� Zdee fdd �Zdee fd21d �Z d ed
e22fdd�Z dS )�WebSocketDataHandlerz/WebSocket implementation of data stream handler�urlc C s || _ d | _t� | _d S rB )rM � websocket�set�subscribed_symbols)rC rM r, r, r- �__init__w s z WebSocketDataHandler.__init__c 23 � sZ �zt �| j�I dH | _t�d| j� �� W dS ty, } z t�d|� �� � d}~ww )z Establish WebSocket connectionNzConnected to WebSocket at z Failed to connect to WebSocket: )�24websocketsrD rM rN �logging�info� Exception�error�rC �er, r, r- rD | s ���z WebSocketDataHandler.connectrF c � sH �| j s | �� I dH d|d�}| j �t�|��I dH | j�|� dS )z$Subscribe to market data for symbolsNrH ��actionrF )rN rD �send�json�dumpsrP �update)rC rF Zsubscribe_messager, r, r- rH � s ��z WebSocketDataHandler.subscribec � s> �| j r d|d�}| j �t�|��I dH | j�|� dS dS )z(Unsubscribe from market data for symbolsrI rY N)rN r[ r\ r] rP �difference_update)rC rF Zunsubscribe_messager, r, r- rI � s ���z WebSocketDataHandler.unsubscriber rJ c � sN �t �|�}tt�|d �|d |d |d |d |d |�d�|�d�d �S )25z"Process incoming WebSocket messager �symbol�price�volume�bid�ask�26trade_size�trade_condition)r �asset_idra rb rc rd re rf )r\ �loadsr r �
fromtimestamp�get)rC r �datar, r, r- rK � s �27 �z$WebSocketDataHandler.process_messageN) r% r& r' r( r* rQ rD r rH rI r rK r, r, r, r- rL t s
rL c
@ sn e Zd ZdZ d|dededededee e28f f29dd �Z d}d30ee e31f d e d e
e fd
d�Zdd� Zdedejfdd�Zdefdd�Zde de32de33fdd�Zd d � Zd d � Zd d!� Zdee fd"d#�Z d$ee fd%d&�Z dee e f fd'd(�Z d)d*� Z d+e!de"fd,d-�Z#d.d/� Z$de d0e34fd1d2�Z%de d3e35fd4d5�Z&d6ee e36f dee' fd7d8�Z(d9e)fd:d;�Z*dee e37f fd<d=�Z+de38fd>d?�Z,d@e39de40fdAdB�Z-d@e41de42fdCdD�Z.de43fdEdF�Z/de44fdGdH�Z0de45fdIdJ�Z1de46fdKdL�Z2de3j4fdMdN�Z5de3j4fdOdP�Z6de3j4fdQdR�Z7dSee e f dee e f fdTdU�Z8d$ee e f fdVdW�Z9dXe dYe47de
e! fdZd[�Z:dXe dYe48fd\d]�Z;d^e d+e!fd_d`�Z<d+e!de"fdadb�Z=d+e!de"fdcdd�Z>d+e!de"fdedf�Z?d+e!fdgdh�Z@d+e!dee fdidj�ZAdke de49fdldm�ZBdke d^e50de51fdndo�ZCdpee dee fdqdr�ZDdsede52fdtdu�ZEdsede53fdvdw�ZFd+e!fdxdy�ZGd+e!fdzd{�ZHdS )~�RealTimeMonitorz%Real-time portfolio monitoring systemN�portfolio_optimizer�market_analyzer�backtest_engine� data_handler�alert_thresholdsc C s� t |t�s td��|| _|d u rt� }t|d�| _n|| _|| _|| _|p&i | _ t� | _54|| _ t t
�� t
�� g g d�| _i | _tdd�| _tdd�| _i | _i | _d | _i | _td�| _tdd�| _t d d55�| _ d S ) Nz>portfolio_optimizer must be instance of PortfolioOptimizerImpl)� ml_analyzer)r< r= r> r? i� )�maxleng�G�z�?� )�lookback_periods�ffffff�?)� decay_factor) �56isinstancer � TypeErrorrm r r rn ro rp rq rr �personal_profilerr; r �now�
dynamic_state�current_positionsr �position_history�alertsZmarket_impact_models� risk_metrics�last_rebalance_time�initial_positionsr �realized_volatilityr �volume_trackerr �spread_analyzer)rC rm rn ro rp rq rz rr r, r, r- rQ � s8 57 58� 59 zRealTimeMonitor.__init__� portfolior0 �personal_profilec 60 � s� �|� � | _|� � | _|| _|| _t|�� �}z"| j�|�I dH t �61| � � | � � | �
� | �� | �� �I dH W dS tyN } z t�d|� �� � d}~ww )z:Start real-time portfolio monitoring with personal profileNzError in monitoring: )�copyr} r� �current_profiler0 �list�keysrp rH �asyncio�gather�_market_data_loop�_risk_monitoring_loop�_rebalancing_check_loop�_alert_generation_loop�_dynamic_monitoring_looprU rS rV )rC r� r0 r� rF rX r, r, r- �start_monitoring� s( �6263 ���z RealTimeMonitor.start_monitoringc 64 � s� � zB| j j�� I dH }| j �|�I dH }| �|�}| j�|�I dH }| j�|� | j �|� | j65�|� |j | j v rC| �
|�I dH W n" tyf } zt�d|� �� t�d�I dH W Y d}~nd}~ww q)z Process incoming market dataTNzError in market data loop: r )rp rN �recvrK �_prepare_market_datarn �analyze_market_conditionsr� r^ r� r� rg r} �_update_position_metricsrU rS rV r� �sleep)rC r r^ � market_data�market_conditionsrX r, r, r- r� � s& �66 � ���z!RealTimeMonitor._market_data_loopr^ rJ c 67 C sn z|j g|jg|jg|jg|jgd�}t�|�W S ty6 } zt� d|� �� t�� W Y d}~S d}~ww )z Prepare market data for analysis)r ra rb rc rd z Error preparing market data: N)68r ra rb rc rd �pd� DataFramerU rS rV )rC r^ rk rX r, r, r- r� s � ��z$RealTimeMonitor._prepare_market_datac 69 � s� �z)| j |j }||j }| j�|j|j||j|d�� | �|j||j�I dH W dS tyE } zt� d|� �� W Y d}~dS d}~ww )z Update position tracking metrics)r r` �positionra �valueNz!Error updating position metrics: )70r} rg ra r~ �appendr �_check_position_riskrU rS rV )rC r^ r� r# rX r, r, r- r� ' s � 71� ��z(RealTimeMonitor._update_position_metricsr` r# ra c 72 � s� �z@| j �|d�| }|dkrW dS || | }|| j�dd�kr*| �||�I dH || j�dd�kr?| �||�I dH W dS W dS ty\ } zt�d|� �� W Y d}~dS d}~ww )z'Check position-specific risk thresholdsr N� stop_loss皙������� take_profit皙�����?z Error checking position risk: )r� rj rq �_generate_stop_loss_alert�_generate_take_profit_alertrU rS rV )rC r` r# ra �
initial_value�loss_pctrX r, r, r- r� < s � � ��z$RealTimeMonitor._check_position_riskc 73 � s� � z | � � I dH }| �|�}|| _| j�|� t�d�I dH W n" tyC } zt� d|� �� t�d�I dH W Y d}~nd}~ww q)z Monitor portfolio risk metricsTN� zError in risk monitoring: r )74�_calculate_risk_metrics�_check_risk_thresholdsr� r �extendr� r� rU rS rV )rC r� r rX r, r, r- r� P s �75 ���z%RealTimeMonitor._risk_monitoring_loopc 76 � s� � z| � � I dH }|r| �|�I dH t�d�I dH W n" ty? } zt�d|� �� t�d�I dH W Y d}~nd}~ww q)zCheck for rebalancing needsTN�< z Error in rebalancing check: r )Z_check_rebalancing_needs�_execute_rebalancingr� r� rU rS rV )rC �signalrX r, r, r- r� f s � ���z'RealTimeMonitor._rebalancing_check_loopc 77 � s� � z9| j r| jr| �� I dH }|r| �|�I dH | �� I dH }|r+| �|�I dH | �� I dH t�d�I dH W n" t y] } zt78� d|� �� t�d�I dH W Y d}~nd}~ww q)z&Surveillance dynamique du portefeuilleTNr� z Error in dynamic monitoring: r� ) rz r� �_check_profile_changes�_handle_profile_changes�_check_market_changes�_handle_market_changes� _process_pending_adjustmentsr� r� rU rS rV )rC Zprofile_changesZmarket_changesrX r, r, r- r� w s$ � ���z(RealTimeMonitor._dynamic_monitoring_loopc 79 � sf �z| j �| j�I dH }|rt�� | j_|W S ty2 } zt� d|� �� g W Y d}~S d}~ww )u4 Détecte les changements dans le profil investisseurNz Error checking profile changes: )80rz Zdetect_changesr� r r{ r| r< rU rS rV )rC �changesrX r, r, r- r� � s � ��z&RealTimeMonitor._check_profile_changesr� c � s8 �|D ]}| � |�}|r| jj�|� | �||� qdS )u* Gère les changements de profil détectésN)Z_create_profile_adjustmentr| r> r� �_log_adaptation)rC r� �change�81adjustmentr, r, r- r� � s �82 ��z'RealTimeMonitor._handle_profile_changesc 83 � sl �z| j �� I dH }| �|�}|rt�� | j_|W S ty5 } zt� d|� �� i W Y d}~S d}~ww )uE Détecte les changements significatifs dans les conditions de marchéNz Error checking market changes: )84rn Zanalyze_current_conditions�"_detect_significant_market_changesr r{ r| r= rU rS rV )rC Zcurrent_conditionsr� rX r, r, r- r� � s �85 ��z%RealTimeMonitor._check_market_changesc � s� �| j jdd� D ]B}z&| �|�I dH r0| �|�I dH | j j�|� | j j�t�� |dd�� W q t yK } zt86� d|� �� W Y d}~q d}~ww dS )z!Traite les ajustements en attenteNT)r r� �successz Error processing adjustment: ) r| r> �_validate_adjustment�_execute_adjustment�remover? r� r r{ rU rS rV )rC r� rX r, r, r- r� � s$ ��� ���z,RealTimeMonitor._process_pending_adjustmentsr� c 87 � s� �z'| � |�I dH }|sW dS | �|�I dH }|s W dS | �|�}|s&W dS W dS tyC } zt�d|� �� W Y d}~dS d}~ww )u) Valide un ajustement avant son exécutionNFTz Error validating adjustment: )�_check_risk_constraints� _check_liquidity_constraints�_check_adjustment_costrU rS rV )rC r� Z88risk_checkZliquidity_checkZ89cost_checkrX r, r, r- r� � s" �90��z$RealTimeMonitor._validate_adjustmentc 91 � s� � z | j r| j �� }| �|�I dH | j st�d�I dH W n" tyA } zt�d|� �� t�d�I dH W Y d}~nd}~ww q)zGenerate and process alertsTNr zError in alert processing: )r �popleftZ_process_alertr� r� rU rS rV )rC �alertrX r, r, r- r� � s �92� ���z&RealTimeMonitor._alert_generation_loopr� c 93 � �H �t t�� ddd|� d|d�d�|g| j�dd�|d�}| j�|� d S )94zGenerate stop loss alertr� �highzStop loss triggered for �: �.2%z lossr� �r r r r r! r" r# N�r r r{ rq rj r r� )rC r` r� r� r, r, r- r� � � � � z)RealTimeMonitor._generate_stop_loss_alert�95profit_pctc 96 � r� )97zGenerate take profit alertr� �lowzTake profit triggered for r� r� z gainr� r� Nr� )rC r` r� r� r, r, r- r� � r� z+RealTimeMonitor._generate_take_profit_alertr� c C s� g }|� � D ]B\}}|| jv rH| j| }t|�|krHtt�� |� d�t|�|d kr,dnd|� d|d�d|d��t| j�� �||d�}|� |� q|S ) z!Check for risk threshold breachesZ_breachg �?r� �mediumz exceeded threshold: �.2fz vs r� )98�itemsrq �absr r r{ r� r} r� r� )rC r� r �metricr� r" r� r, r, r- r� � s" 99100 �101 �z&RealTimeMonitor._check_risk_thresholdsr� c 102 � s� �z,t �� |j |jkrt�d� W dS | �|�}|D ]103}| �|�I dH qt �� | _W dS t yB } z t�104d|� �� � d}~ww )zExecute rebalancing tradeszRebalancing signal expiredNz Error executing rebalancing: ) r r{ r r/ rS �warningZ_generate_trade_schedule�_execute_trader� rU rV )rC r� Ztrade_schedule�traderX r, r, r- r� s �105106��z$RealTimeMonitor._execute_rebalancingc 107 � s� �z/| � � }| j�� | �d�I dH | �d�I dH | �� I dH | �� I dH | �� | �� |d�}|W S t yL } zt108� d|� �� i W Y d}~S d}~ww )z Calculate real-time risk metricsrv N)r� �var_95�es_95Zportfolio_beta�tracking_error�liquidity_scoreZconcentration_risk�portfolio_valuez Error calculating risk metrics: ) �_calculate_portfolio_valuer� �get_volatility�_calculate_var� _calculate_expected_shortfall�_calculate_portfolio_beta�_calculate_tracking_error�_calculate_liquidity_score� _calculate_concentration_riskrU rS rV )rC r� �metricsrX r, r, r- r� , s$ � � ��z'RealTimeMonitor._calculate_risk_metricsc 109 C s~ z#d}| j �� D ]\}}| jr| jd �dd�nd}||| 7 }q|W S ty> } zt�d|� �� W Y d}~dS d}~ww )z!Calculate current portfolio valuer �����ra z#Error calculating portfolio value: N� )r} r� r~ rj rU rS rV )rC � total_valuer` r� �110last_pricerX r, r, r- r� A s ��z*RealTimeMonitor._calculate_portfolio_value�confidence_levelc 111 � sn �z| � � }t|�dk rW dS tt�|d| d ��W S ty6 } zt�d|� �� W Y d}~dS d}~ww )zCalculate Value at Riskr
r� r �d zError calculating VaR: N)�_get_historical_returns�lenr+ �np�112percentilerU rS rV )rC r� �returnsrX r, r, r- r� M s � ��z RealTimeMonitor._calculate_varc 113 � sz �z | � � }t|�dk rW dS | �|�I dH }t|||k �� �W S ty< } zt�d|� �� W Y d}~dS d}~ww )z.Calculate Expected Shortfall (Conditional VaR)r
r� Nz&Error calculating Expected Shortfall: )r� r� r� r+ �meanrU rS rV )rC r� r� �varrX r, r, r- r� X s � ��z-RealTimeMonitor._calculate_expected_shortfallc 114 � s� �z7| � � }| �� I dH }t|�dk st|�dk r W dS t�||�d d }t�|�}|dkr6t|| �W S dW S tyS } zt� d|� �� W Y d}~dS d}~ww )zCalculate portfolio betaNr
� �?r r z"Error calculating portfolio beta: )115r� �_get_market_returnsr� r� �covr� r+ rU rS rV )rC �portfolio_returns�market_returns�116covariance�market_variancerX r, r, r- r� d s �117 ��z)RealTimeMonitor._calculate_portfolio_betac 118 � s� �z+| � � }| �� I dH }t|�dk st|�dk r W dS || }tt�|�t�d� �W S tyG } zt� d|� �� W Y d}~dS d}~ww )zCalculate tracking errorNr
r� �� z"Error calculating tracking error: )119r� �_get_benchmark_returnsr� r+ r� �std�sqrtrU rS rV )rC r� �benchmark_returnsZ
tracking_diffrX r, r, r- r� u s ���z)RealTimeMonitor._calculate_tracking_errorc 120 C s� z)| j �� }| j�� }|�dd�|�dd� }dd|�dd� }t|| d �W S tyD } zt�d|� �� W Y d}~d S d}~ww )121z#Calculate portfolio liquidity score�averager r� r �normalized_spreadr
z#Error calculating liquidity score: N� �?) r� �get_volume_profiler� �get_spread_metricsrj r+ rU rS rV )rC Zvolume_metrics�spread_metrics� volume_score� spread_scorerX r, r, r- r� � s 122123��z*RealTimeMonitor._calculate_liquidity_scorec 124 s� z5| � � � � dkr W dS � fdd�t| j�� | jd �dd�gt| j� �D �}tdd� |D ��}t|�W S t yP } zt125� d |� �� W Y d126}~dS d127}~ww ) z&Calculate portfolio concentration riskr r� c s g | ]128\}}|| � �qS r, r, )�.0�posra �r� r, r- �129<listcomp>� s �zARealTimeMonitor._calculate_concentration_risk.<locals>.<listcomp>r� ra c s s � | ]}|| V qd S rB r, )r �wr, r, r- � <genexpr>� � � z@RealTimeMonitor._calculate_concentration_risk.<locals>.<genexpr>z&Error calculating concentration risk: N) r� �zipr} �valuesr~ rj r� �sumr+ rU rS rV )rC �weightsZhhirX r, r r- r� � s 130131 ��132��z-RealTimeMonitor._calculate_concentration_riskc 133 C s� z#t | j�dk rt�g �W S dd� | jD �}t�|�|dd� }|W S tyB } zt�d|� �� t�g �W Y d}~S d}~ww )z Get historical portfolio returnsr
c S s g | ]}|d �qS )r� r, )r �pr, r, r- r � � z;RealTimeMonitor._get_historical_returns.<locals>.<listcomp>Nr� z"Error getting historical returns: )r� r~ r� �array�diffrU rS rV )rC r r� rX r, r, r- r� � s ��z'RealTimeMonitor._get_historical_returnsc 134 � �\ �z
t �dgt| �� � �W S ty- } zt�d|� �� t �g �W Y d}~S d}~ww )z!Get market returns for comparison�-C ��6?z Error getting market returns: N�r� r r� r� rU rS rV rW r, r, r- r� � � ���z#RealTimeMonitor._get_market_returnsc 135 � r )z$Get benchmark returns for comparisonr z!Error getting benchmark returns: Nr rW r, r, r- r� � r z&RealTimeMonitor._get_benchmark_returns�136conditionsc 137 C s� z4i }t | d�r/|�� D ]"\}}|| jv r.|| j| }t|�| j�|� d�d�kr.|||< q || _|W S tyP } zt�d|� �� i W Y d}~S d}~ww )z/Detect significant changes in market conditions�previous_conditions�_change皙�����?z Error detecting market changes: N) �hasattrr� r r� rq rj rU rS rV )rC r r� �keyr� r� rX r, r, r- r� � s 138139 ���z2RealTimeMonitor._detect_significant_market_changesc 140 � s� �z$|� � D ] \}}| �||�}|r"| jj�|� | �||�I dH qW dS ty@ } zt�d|� �� W Y d}~dS d}~ww )z!Handle significant market changesNz Error handling market changes: ) r� �_create_market_adjustmentr| r> r� � _generate_market_change_alertrU rS rV )rC r� r8 � change_valuer� rX r, r, r- r� � s � �� ��z&RealTimeMonitor._handle_market_changesr8 r c 141 C st z t t�� di d|� d|d��t|�dkrdnddd id142�W S ty9 } zt�d |� �� W Y d }~d S d }~ww )
z2Create portfolio adjustment based on market change�
market_changezMarket change: � = r� r� r� r� �expected_returnr� )r r2 r3 r4 r5 r6 z"Error creating market adjustment: N)r1 r r{ r� rU rS rV )rC r8 r rX r, r, r- r � s ���z)RealTimeMonitor._create_market_adjustmentc 143 � s� �z2t t�� dt|�dkrdndd|� d|d��t| j�� �| j�|� d�d �|d144�}| j �145|� W d S t yN } zt �
d |� �� W Y d }~d S d }~ww )
z,Generate alert for significant market changer r� r� r� z$Significant market change detected: r r� r r r� z&Error generating market change alert: N)r r r{ r� r� r} r� rq rj r r� rU rS rV )rC r8 r r� rX r, r, r- r � s � � ��z-RealTimeMonitor._generate_market_change_alertr� c 146 C sf z| j j�t�� t|�|j| j�� d�� W dS t y2 } zt147� d|� �� W Y d}~dS d}~ww )zLog portfolio adaptation)r r� r� �portfolio_statezError logging adaptation: N) r| r? r� r r{ r* �__dict__r} r� rU rS rV )rC r� r� rX r, r, r- r� s � ��z RealTimeMonitor._log_adaptationc 148 � s� �z@| j �� }|j�� D ]\}}||v r || |7 < q | �� I dH }|�� D ]\}}|| jv r>t|�| j| kr> W dS q(W dS ty\ } zt� d|� �� W Y d}~dS d}~ww )z%Check risk constraints for adjustmentNFTz!Error checking risk constraints: )149r} r� r3 r� r� rq r� rU rS rV ) rC r� Ztest_positions�assetr� r� r� r� rX r, r, r- r�
s& �150�151���z'RealTimeMonitor._check_risk_constraintsc 152 � s� �z7t dd� |j�� D ��}| j�� }| j�� }d|v r)||d }|dkr)W dS d|v r6|d dkr6W dS W dS tyS } zt� d |� �� W Y d153}~dS d154}~ww ) u9 Vérifie les contraintes de liquidité pour un ajustementc s s � | ]}t |�V qd S rB )r� )r r� r, r, r- r ( r z?RealTimeMonitor._check_liquidity_constraints.<locals>.<genexpr>r� r Fr� �{�G�z�?Tz&Error checking liquidity constraints: N)155r r3 r r� r� r� r� rU rS rV )rC r� Z total_volume�volume_profiler Z volume_ratiorX r, r, r- r� $ s$ �156157 ��z,RealTimeMonitor._check_liquidity_constraintsc 158 C s� z7d}|j �� D ]"\}}| �|�}| j�� �dd�}t|�| }||d }||7 }q| �� } || }159|160dkW S tyR } zt �161d| � �� W Y d} ~ dS d} ~ ww )u3 Vérifie si le coût de l'ajustement est acceptabler r� �����MbP?g{�G�zt?z Error checking adjustment cost: NF) r3 r� �_get_current_pricer� r� rj r� r� rU rS rV ) rC r� �162total_costr$ r� ra �spreadZ trade_valueZtransaction_costr� Z163cost_ratiorX r, r, r- r� > s 164 165166��z&RealTimeMonitor._check_adjustment_costc 167 � s� �z-| � |�}|D ]}| �|�I dH }|s!t�d|� �� W dS q | �|� | �|� W dS tyI } zt�d|� �� W Y d}~dS d}~ww )u& Exécute un ajustement du portefeuilleNzFailed to execute trade: FTz Error executing adjustment: )�_create_execution_planr� rS rV �_update_portfolio_state�_log_adjustment_executionrU )rC r� �execution_planr� r� rX r, r, r- r� V s" �168�169170��z#RealTimeMonitor._execute_adjustmentc 171 C s� zAg }|j �� D ]1\}}t|�| �|�kr!| �||�}|�|� q||d| �||�t�� t dd� d�}|�172|� q| � |�}|W S t y] } zt
�d|� �� g W Y d}~S d}~ww )u4 Crée un plan d'exécution optimal pour l'ajustementZmarketr )�hours)r$ �size�typeZ price_limit� valid_untilz Error creating execution plan: N)r3 r� r� �_get_max_trade_sizeZ _split_trader� �_calculate_price_limitr r{ r r� �_optimize_execution_orderrU rS rV )rC r� r. r$ r� Z173sub_tradesr� rX r, r, r- r+ n s( 174� 175��z&RealTimeMonitor._create_execution_planr$ c 176 C s| z | j �� }|�dd�}| j�� }|d }|dkr |d9 }|W S ty= } zt�d|� �� td�W Y d}~S d}~ww ) u4 Détermine la taille maximale de trade pour un actifr� r r r� r� z"Error calculating max trade size: �infN) r� r� rj r� r� rU rS rV r+ )rC r$ r& �177avg_volume�178volatilityZ179base_limitrX r, r, r- r3 � s 180 181��z#RealTimeMonitor._get_max_trade_sizec 182 C s� z$| � |�}| j�� �dd�}|dkr |d|d W S |d|d W S ty? } zt�d|� �� W Y d}~dS d}~ww ) z'Calcule la limite de prix pour un trader� r' r r r
z Error calculating price limit: Nr� )r( r� r� rj rU rS rV )rC r$ r� Z
current_pricer* rX r, r, r- r4 � s 183��z&RealTimeMonitor._calculate_price_limit�tradesc 184 C s� z*g }|D ]}| � |�}| �|�}|| }|�||f� q|jdd� dd� |D �W S tyF } zt�d|� �� |W Y d}~S d}~ww )u( Optimise l'ordre d'exécution des tradesT)�reversec S s g | ]\}}|�qS r, r, )r �_r� r, r, r- r � r z=RealTimeMonitor._optimize_execution_order.<locals>.<listcomp>z"Error optimizing execution order: N)�_estimate_market_impact�_calculate_urgency_scorer� �sortrU rS rV )rC r9 Z
scored_tradesr� Z
market_impact�
urgency_score�scorerX r, r, r- r5 � s 185186 ��z)RealTimeMonitor._optimize_execution_orderr� c 187 C s� z3t |d �}| j�� �dtd��}|dkr|| nd}dt�|� }| j�� }|d| }t |d�W S t188yN } zt � d|� �� W Y d }~dS d }~ww )189u) Estime l'impact sur le marché d'un trader0 r� r6 r r r r% z Error estimating market impact: N)
r� r� r� rj r+ r� r� r� r� �minrU rS rV ) rC r� r0 Z daily_volume�participation_rate� base_impactr8 �impactrX r, r, r- r< � s 190 ��z'RealTimeMonitor._estimate_market_impactc 191 C s� z,|d t �� �� d }tt|d �| �|d � d�}d| d |d }t|d�W S tyG } zt�d|� �� W Y d }~dS d }~ww )192z(Calcule un score d'urgence pour un trader2 i r0 r$ r r� r� z!Error calculating urgency score: N) r r{ �
total_secondsrA r� r3 rU rS rV )rC r� Ztime_to_expiryZ size_factorr? rX r, r, r- r= � s ��z(RealTimeMonitor._calculate_urgency_scorec 193 C s� z5|j �� D ]\}}|| jv r| j| |7 < q|| j|< qi | _| j�t�� | j�� t |�d�� W dS t194yP } zt � d|� �� W Y d}~dS d}~ww )u8 Met à jour l'état du portefeuille après un ajustement)r � positionsZ
adjustment_idz Error updating portfolio state: N)
r3 r� r} r� r~ r� r r{ r� �idrU rS rV )rC r� r$ r� rX r, r, r- r, � s 195 � ��z'RealTimeMonitor._update_portfolio_statec 196 C s� z$t �� |j|j|jd| j�� d�}| jj� |� t197� d|j� �� W dS t y? } zt198�
d|� �� W Y d}~dS d}~ww )u' Enregistre l'exécution d'un ajustementT)r r2 r3 r4 r� r" zExecuted adjustment: z$Error logging adjustment execution: N)r r{ r2 r3 r4 r} r� r| r? r� rS rT rU rV )rC r� � log_entryrX r, r, r- r- � s � ��z)RealTimeMonitor._log_adjustment_execution)NNNNNrB )Ir% r& r' r( r r r r@ r r* r+ rQ r r r r� r� r r� r� r� r� r� r� r� r� r r7 r� r� r199 r� r� r1 �boolr� r� r� r� r r� r. r� r� r� r� r� r� r� r� r� r� �ndarrayr� r� r� r� r� r r r� r� r� r� r� r+ r3 r4 r5 r< r= r, r- r, r, r, r- rl � s� �����200201�7�202��203�
" rl �@B �wss://api.example.com/wsrm rn �initial_capital�
websocket_urlrq rJ c C s2 t |�}|du rddddd�}t| |||d�}|S )a� Create and configure a RealTimeMonitor instance204 205 Args:206 portfolio_optimizer: Portfolio optimizer instance207 market_analyzer: Optional market analyzer instance208 initial_capital: Initial portfolio capital209 websocket_url: WebSocket URL for market data210 alert_thresholds: Optional alert thresholds211 212 Returns:213 Configured RealTimeMonitor instance214 Ng��������r� rv g� ��Q��?)�drawdownr8 Z215var_breachr� )rm rn rp rq )rL rl )rm rn rM rN rq rp �monitorr, r, r- �create_realtime_monitor s ��rQ )NrK rL N)5� collectionsr r� rS rR r\ � dataclassesr r r �typingr r r r r216 �abcr r �pandasr� �numpyr� Z217core.typesr r r r �core.portfolio_optimizerr r �core.market_analyzerr Zcore.profilingr Zanalysis.ml_analyzerr �market_metricsr r r r r r. r1 r7 r; r@ rL rl r+ r* rQ r, r, r, r- �<module> sj 218 8 d�������