"""五交易期输家十股、流动性过滤、五期开盘批次与退出优先现金账。"""
from copy import deepcopy
from decimal import Decimal as D
import json
from math import isfinite


def make_data():
    return {f'S{i:02}': {'close': [10 - i*j/100 for j in range(12)],
                         'volume': [500 if i == 12 else 2000] * 12,
                         'open': [10.0] * 11 + [10.2]}
            for i in range(1, 13)}


def select(data, index):
    scores = {}
    if index < 5:
        return []
    for symbol, bars in data.items():
        closes = bars['close'][index-5:index+1]
        volumes = bars['volume'][index-4:index+1]
        if (len(closes) != 6 or any(x is None or not isfinite(x) or x <= 0 for x in closes)
                or len(volumes) != 5 or any(v is None or not isfinite(v) or v <= 0 for v in volumes)
                or sum(volumes)/5 < 1000):
            continue
        scores[symbol] = closes[-1]/closes[0] - 1
    return sorted(scores, key=lambda s: (scores[s], s))[:10]


def run(data):
    cash, holdings, fees, ledger = D(10000), {}, D(0), []
    def price_at(symbol, session):
        raw = data[symbol]['open'][session]
        if raw is None or not isfinite(raw) or raw <= 0:
            raise ValueError('invalid_open')
        return D(str(raw))
    for session in range(len(next(iter(data.values()))['open'])):
        orders, skipped, exited = [], [], set()
        for symbol, lot in sorted(list(holdings.items())):
            if session >= lot['due']:
                price = price_at(symbol, session)
                cash += lot['quantity'] * price - 1
                fees += 1
                orders.append([symbol, 'sell', lot['quantity'], str(price), 1, 'fixed_due'])
                exited.add(symbol)
                del holdings[symbol]
        if session - 1 in (5, 10):
            for symbol in sorted(select(data, session-1)):
                if symbol in exited or symbol in holdings:
                    skipped.append([symbol, 'exit_priority' if symbol in exited else 'existing_batch'])
                    continue
                price = price_at(symbol, session)
                cost = 40 * price + 1
                if cost > cash:
                    skipped.append([symbol, 'cash'])
                    continue
                cash -= cost
                fees += 1
                holdings[symbol] = {'quantity': 40, 'entry': session, 'due': session + 5}
                orders.append([symbol, 'buy', 40, str(price), 1, 'prior_close_selection'])
        equity = cash + sum(lot['quantity'] * price_at(s, session)
                            for s, lot in holdings.items())
        ledger.append({'session': session, 'orders': orders, 'skipped': skipped,
                       'holdings': deepcopy(holdings), 'cash': str(cash),
                       'fees': str(fees), 'equity': str(equity)})
    return ledger


data = make_data()
assert select(data, 5) == [f'S{i:02}' for i in range(11, 1, -1)]
assert 'S12' not in select(data, 5)
rows = run(data)
expected_buys = [[f'S{i:02}', 'buy', 40, '10.0', 1, 'prior_close_selection'] for i in range(2, 12)]
expected_sells = [[f'S{i:02}', 'sell', 40, '10.2', 1, 'fixed_due'] for i in range(2, 12)]
assert rows[6]['orders'] == expected_buys and rows[6]['cash'] == '5990.0'
assert {lot['due'] for lot in rows[6]['holdings'].values()} == {11}
assert rows[11]['orders'] == expected_sells
assert rows[11]['cash'] == rows[11]['equity'] == '10060.0'
assert rows[11]['fees'] == '20' and rows[11]['holdings'] == {}
assert len(rows[11]['skipped']) == 10 and all(x[1] == 'exit_priority' for x in rows[11]['skipped'])
assert rows[11]['skipped'] == [[f'S{i:02}', 'exit_priority'] for i in range(2, 12)]
prefix = {s: {field: values[:7] for field, values in bars.items()} for s, bars in data.items()}
assert run(prefix) == rows[:7]
changed = deepcopy(data)
for bars in changed.values():
    bars['close'][6:] = [10000] * 6
assert select(changed, 5) == select(data, 5)
invalid = deepcopy(data)
invalid['S02']['open'][6] = float('nan')
try:
    run(invalid)
except ValueError as error:
    assert str(error) == 'invalid_open'
else:
    raise AssertionError('非有限执行价格必须拒绝')
print(json.dumps({'selected': select(data, 5), 'entry': rows[6], 'exit': rows[11],
                  'prefix_equal': True, 'future_close_mutation_first_selection_equal': True,
                  'scope': 'synthetic open fills; no historical return claim'}))