// OrderBookFuzzyStrangle_v1.c
// Zorro S / lite-C -- SPY long strangle with underlying order-book filter.
// Requires synchronized historical .t2 book snapshots and .t8 options chains
// for Test/Train; GET_BOOK and options support from broker for Trade.
// Research prototype: validate fills, execution, and broker behavior in demo.

#include <contract.c>

#define BOOK_HANDLE         1
#define VOL_PERIOD         20
#define MIN_BOOK_QUOTES     6
#define MIN_DTE            30
#define EXIT_DTE           10
#define MIN_IMBALANCE    0.15
#define EXIT_IMBALANCE   0.07
#define MIN_FUZZY        0.65
#define MOVE_MULTIPLIER  1.10
#define MAX_DEBIT_USD  1500.0
#define PROFIT_FRACTION  0.50
#define LOSS_FRACTION    0.35

// Average absolute close-to-close change, in SPY dollars per hourly bar.
var meanAbsoluteMove(vars Prices, int Period)
{
  var Sum = 0;
  int i;
  for(i = 1; i <= Period; i++)
    Sum += abs(Prices[i-1] - Prices[i]);
  return Sum / Period;
}

// Returns 1 if a usable book snapshot exists and fills the imbalance output.
int readBookImbalance(var Spot, var* Imbalance)
{
  int N = orderUpdate(0,BOOK_HANDLE); // History\SPY.t2 or broker GET_BOOK
  if(N < MIN_BOOK_QUOTES) return 0;

  T2* Quotes = dataStr(BOOK_HANDLE,OrderRow,0);
  if(!Quotes) return 0;

  var Distance = 0.01*Spot;  // visible liquidity within +/-1% of SPY
  if(orderCVD(Quotes,N,Distance) < MIN_BOOK_QUOTES) return 0;

  // cpd returns values in 0..100 normalized to the larger book side.
  var BidDepth = cpd(-(Spot-Distance));
  var AskDepth = cpd(Spot+Distance);
  var Total = BidDepth+AskDepth;
  if(Total <= 0) return 0;

  *Imbalance = (BidDepth-AskDepth)/Total;
  return 1;
}

// Returns 1 if open options should be liquidated on risk/expiration rules.
int exitByRisk()
{
  var Cost = 0;
  var OpenPnL = 0;
  int ExpireSoon = 0;
  int Legs = 0;

  for(current_trades) {
    if(!TradeIsOpen || !TradeIsLong || !TradeIsContract) continue;
    Cost += TradePriceOpen*TradeUnits;
    OpenPnL += TradeProfit;
    if(contractDays(ThisTrade) <= EXIT_DTE) ExpireSoon = 1;
    Legs++;
  }

  if(!Legs) return 0;
  if(ExpireSoon) return 1;
  if(Cost <= 0) return 0;
  if(OpenPnL >= PROFIT_FRACTION*Cost) return 1;
  if(OpenPnL <= -LOSS_FRACTION*Cost) return 1;
  return 0;
}

void buyStrangle(var Spot, var AvgMove)
{
  // Dynamic OTM strike targets in dollars. Select nearest listed strikes.
  var Gap = max(0.01*Spot,8*AvgMove);
  var CallTarget = Spot+Gap;
  var PutTarget = Spot-Gap;
  if(PutTarget <= 0) return;

  // 6 means select by strike (the 4th contractFind parameter is mandatory).
  CONTRACT* Call = contractFind(CALL,MIN_DTE,CallTarget,6);
  CONTRACT* Put = contractFind(PUT,MIN_DTE,PutTarget,6);
  if(!Call || !Put) return;
  if(Call->fStrike <= Spot || Put->fStrike >= Spot) return;
  if(Call->Expiry != Put->Expiry) return;
  if(contractDays(Call) <= EXIT_DTE || contractDays(Put) <= EXIT_DTE)
    return;

  if(contractPrice(Call) <= 0) return;
  if(contractPrice(Put) <= 0) return;
  if(Call->fAsk <= 0 || Put->fAsk <= 0) return;
  if(Call->fBid <= 0 || Put->fBid <= 0) return;

  var Debit = (Call->fAsk+Put->fAsk)*Multiplier;
  if(Debit <= 0 || Debit > MAX_DEBIT_USD) return;

  if(combo(Call,1,Put,1,0,0,0,0) != 2) return;
  MarginCost = comboMargin(1,3); // Stock/ETF options; long positions.

  // The broker receives the combo when the second leg is submitted, if
  // SET_COMBO_LEG is supported. Otherwise separate orders can be submitted.
  enterLong(comboLeg(1));
  enterLong(comboLeg(2));
  printf("\nStrangle order attempted: SPY %.2f, call %.2f, put %.2f, debit %.2f",
    Spot,Call->fStrike,Put->fStrike,Debit);
}

void run()
{
  set(LOGFILE);
  BarPeriod = 60;
  LookBack = 100;
  StartDate = 2020;
  EndDate = 2024;
  History = ".t8"; // Workshop 8: historical options/unadjusted underlying.

  assetList("AssetsIB");
  asset("SPY");
  algo("OBStrangle");
  Multiplier = 100; // Standard SPY option contract; verify with broker.
  Capital = 100000; // Research backtest account, not a live risk control.

  if(is(EXITRUN)) return;

  static int LastChainDate = 0;
  if(is(INITRUN)) {
    LastChainDate = 0;
    return;
  }

  vars Prices = series(priceClose());
  var AvgMove = meanAbsoluteMove(Prices,VOL_PERIOD);
  if(AvgMove <= 0) return;

  FuzzyRange = max(0.01,0.25*AvgMove);
  var Bullish = max(risingF(Prices),valleyF(Prices));
  var Bearish = max(fallingF(Prices),peakF(Prices));

  // In historical tests, options must be refreshed every bar.
  // For live mode, cache the costly IB chain download for the session day.
  int Today = ymd(wdate(0));
  if(!Live || Today != LastChainDate || NumContracts <= 0) {
    if(!contractUpdate(Asset,0,CALL|PUT)) return;
    LastChainDate = Today;
  }

  // These exits must work even when the current order book is unavailable.
  if(NumOpenLong > 0 && exitByRisk()) {
    exitLong("cp"); // Only call and put contracts of this asset/algo.
    return;
  }

  var Imbalance = 0;
  if(!readBookImbalance(priceClose(),&Imbalance)) return;

  plot("Order book imbalance",Imbalance,NEW,BLUE);

  if(NumOpenLong > 0 || NumPendingLong > 0) {
    // Fuzzy bearish price signal plus disappearing book pressure.
    if(Bearish > MIN_FUZZY && abs(Imbalance) < EXIT_IMBALANCE)
      exitLong("cp");
    return;
  }

  // Require a meaningful move, visible bid/ask pressure, and corresponding
  // fuzzy price direction. Long strangle still buys BOTH call and put.
  if(abs(Prices[0]-Prices[1]) < MOVE_MULTIPLIER*AvgMove) return;
  if(abs(Imbalance) < MIN_IMBALANCE) return;

  if(Imbalance > 0 && Bullish >= MIN_FUZZY)
    buyStrangle(priceClose(),AvgMove);
  else if(Imbalance < 0 && Bearish >= MIN_FUZZY)
    buyStrangle(priceClose(),AvgMove);
}