"""Attribution: did the honest engine kill the context finding, or did I change the trade?

`test_context2.py` found no dose-response (pooled slope -0.025, t -0.96) where the original
run found +0.0425 at t +3.18. But it changed two things at once - the fill engine AND the
trade - so the failure cannot yet be pinned on either. This isolates them by running the
ORIGINAL LPS configuration, unchanged, on the new engine:

    breakout    close beyond a qualified range edge at bar i
    retest      first bar j within tol*ATR of the broken edge that still closes beyond it,
                abandoned if price closes back through the edge (wait up to 60 bars)
    entry       MARKET at the open of bar j+1        <- no level, so no fill artifact ever
    stop        the retest bar's own extreme, 0.10 ATR beyond
    target      entry + 2 * risk

That is exactly what produced +0.0425. The only difference is that the outcome now races on
the M1 bid/ask book instead of M5 mid bars with an average spread bolted on.

  slope stays near +0.04   -> the engine is fine and my shallow-limit variant broke it
  slope collapses          -> the original finding depended on the old harness

Both are worth knowing and only this comparison can tell them apart.
"""
import numpy as np, sys, time
sys.stdout.reconfigure(encoding='utf-8', errors='replace')
import fills, book, wyckoff

SYMS = ('EURUSD', 'USDJPY', 'XAUUSD', 'SP500')


def events(sym, tf, theta=0.60, tol=0.35, wait=60, H=200, kR=2.0, htf=200,
           bk=None, f=None):
    """The original LPS trade, market-entered, on the M1 bid/ask book."""
    bk = bk or fills.Book(sym)
    f = f or book.frame(sym, tf, bk)
    step = book.TF_SEC[tf] // 60
    h, l, c = f.h, f.l, f.c
    n = f.n
    atr = f.atr(14)
    L, hi_, lo_ = book.find_ranges(h, l, atr, theta=theta)
    up = (L > 0) & (c > hi_); dn = (L > 0) & (c < lo_)
    fire = np.nonzero(up | dn)[0]
    fire = fire[(fire > max(300, htf + 5)) & (fire < n - wait - 5)]
    if not len(fire):
        return None
    dirs = np.where(up[fire], 1, -1)

    rows, busy = [], -1
    for q in range(len(fire)):
        i = int(fire[q])
        if i <= busy:
            continue
        dd = int(dirs[q]); Lq = int(L[i])
        s = i - Lq
        if s < 1:
            continue
        top, bot = hi_[i], lo_[i]
        lvl = top if dd > 0 else bot
        j = -1
        for k in range(1, wait + 1):
            b_ = i + k
            if b_ >= n - 2:
                break
            near = (l[b_] <= lvl + tol * atr[i]) if dd > 0 else (h[b_] >= lvl - tol * atr[i])
            if near and ((c[b_] > lvl) if dd > 0 else (c[b_] < lvl)):
                j = b_; break
            if (c[b_] < lvl - tol * atr[i]) if dd > 0 else (c[b_] > lvl + tol * atr[i]):
                break
        if j < 0:
            continue
        e = j + 1
        if e >= n - 1:
            continue
        ext = l[j] if dd > 0 else h[j]
        stop = ext - dd * 0.10 * atr[i]
        ag = wyckoff.traces(f, s, i, top, bot, dd, int(np.sign(c[i] - c[i - htf])))
        rows.append((e, dd, stop, ag, Lq))
        busy = e + Lq
    if len(rows) < 100:
        return None
    E = np.array([r[0] for r in rows]); D = np.array([r[1] for r in rows])
    ST = np.array([r[2] for r in rows], float); AG = np.array([r[3] for r in rows])
    start = f.i0[E]
    #--- entry price is not known until the fill, so the target must be built from it;
    #--- run once to get the fill, then set the target at kR x the realised risk
    ent = np.where(D > 0, bk.ao[start], bk.bo[start])
    risk = np.abs(ent - ST)
    ok = risk > 4 * f.spread[E]
    if ok.sum() < 100:
        return None
    E, D, ST, AG, start, ent, risk = (v[ok] for v in (E, D, ST, AG, start, ent, risk))
    out = fills.simulate(bk, start, D, ST, ent + D * kR * risk, H * step, entry=fills.MARKET)
    if out is None:
        return None
    sel = np.nonzero(out['filled'])[0][out['kept']]
    ind = book.nonoverlap(out['idx'], out['exit_idx'] - out['idx'])
    return dict(R=out['R'][ind], ag=AG[sel][ind], t=bk.t[out['idx'][ind]],
                n=int(ind.sum()), amb=out['ambiguous'], unres=out['unresolved'])


if __name__ == '__main__':
    syms = [s for s in sys.argv[1:] if s in SYMS] or list(SYMS)
    print("=== ORIGINAL LPS CONFIG, NEW ENGINE - attribution run ===")
    print("    market entry at the next bar's open, stop at the retest extreme, 2R target.")
    print("    the old harness gave slope +0.0425 R/trace at t +3.18.\n")
    print(f"  {'sym':>7}{'tf':>5}{'n':>6}   " + "".join(f"{k:>12}" for k in range(6))
          + f"{'slope':>9}{'t':>7}{'expR':>9}")
    PR, PA, PT, cells = [], [], [], []
    for tf in ('M15', 'H1'):
        for s in syms:
            a = events(s, tf)
            if a is None:
                print(f"  {s:>7}{tf:>5}     - too few"); continue
            R, ag = a['R'], a['ag']
            txt = [f"{R[ag==k].mean():+6.3f}({int((ag==k).sum()):>4})"
                   if (ag == k).sum() >= 25 else f"{'-':>12}" for k in range(6)]
            sl, tt = book.slope_t(R, ag)
            cells.append(sl)
            print(f"  {s:>7}{tf:>5}{a['n']:>6}   " + "".join(txt)
                  + f"{sl:>+9.4f}{tt:>+7.2f}{R.mean():>+9.4f}")
            PR.append(R); PA.append(ag); PT.append(a['t'])
    if PR:
        R = np.concatenate(PR); ag = np.concatenate(PA); T = np.concatenate(PT)
        sl, tt = book.slope_t(R, ag)
        print(f"\n  POOLED n={len(R):,}  base expR {R.mean():+.4f}"
              f"   slope {sl:+.4f} R/trace   t {tt:+.2f}"
              f"   positive-slope cells {sum(1 for x in cells if x>0)}/{len(cells)}")
        for k in range(6):
            m = ag == k
            if m.sum() < 25:
                continue
            se = R[m].std(ddof=1) / np.sqrt(m.sum())
            o = np.argsort(T[m])
            q = [float(x.mean()) for x in np.array_split(R[m][o], 4)]
            print(f"    {k} agree  n={int(m.sum()):>5}  expR {R[m].mean():+7.4f}"
                  f" +/- {se:.4f}   quarters " + "".join(f"{x:>+8.3f}" for x in q)
                  + f"  {sum(1 for x in q if x>0)}/4")