trading-daemon/src/exchanges/deutsche_boerse.py

import requests
import gzip
import json
import io
from datetime import datetime, timedelta, timezone
from typing import List, Optional
from .base import BaseExchange, Trade
from bs4 import BeautifulSoup

# API URLs für Deutsche Börse
API_URLS = {
    'XETRA': 'https://mfs.deutsche-boerse.com/api/DETR-posttrade',
    'FRA': 'https://mfs.deutsche-boerse.com/api/DFRA-posttrade',
    'QUOTRIX': 'https://mfs.deutsche-boerse.com/api/DGAT-posttrade',
}
DOWNLOAD_BASE_URL = "https://mfs.deutsche-boerse.com/api/download"

# Browser User-Agent für Zugriff
HEADERS = {
    'User-Agent': 'Mozilla/5.0 (Windows NT 10.0; Win64; x64) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/120.0.0.0 Safari/537.36',
    'Accept': 'application/json, application/gzip, */*',
    'Referer': 'https://mfs.deutsche-boerse.com/',
}


class DeutscheBoerseBase(BaseExchange):
    """Basisklasse für Deutsche Börse Exchanges (Xetra, Frankfurt, Quotrix)"""
    
    @property
    def base_url(self) -> str:
        """Override in subclasses"""
        raise NotImplementedError
    
    @property
    def name(self) -> str:
        raise NotImplementedError
    
    @property
    def api_url(self) -> str:
        """API URL für die Dateiliste"""
        return API_URLS.get(self.name, self.base_url)
    
    def _get_file_list(self) -> List[str]:
        """Holt die Dateiliste von der JSON API"""
        try:
            response = requests.get(self.api_url, headers=HEADERS, timeout=30)
            response.raise_for_status()
            
            data = response.json()
            files = data.get('CurrentFiles', [])
            
            print(f"[{self.name}] API returned {len(files)} files")
            return files
            
        except Exception as e:
            print(f"[{self.name}] Error fetching file list from API: {e}")
            return []
    
    def _filter_files_for_date(self, files: List[str], target_date: datetime.date) -> List[str]:
        """
        Filtert Dateien für ein bestimmtes Datum.
        Dateiformat: DETR-posttrade-YYYY-MM-DDTHH_MM.json.gz (mit Unterstrich!)
        
        Da Handel bis 22:00 MEZ geht (21:00/20:00 UTC), müssen wir auch
        Dateien nach Mitternacht UTC berücksichtigen.
        """
        import re
        filtered = []
        
        # Für den Vortag: Dateien vom target_date UND vom Folgetag (bis ~02:00 UTC)
        target_str = target_date.strftime('%Y-%m-%d')
        next_day = target_date + timedelta(days=1)
        next_day_str = next_day.strftime('%Y-%m-%d')
        
        for file in files:
            # Extrahiere Datum aus Dateiname
            # Format: DETR-posttrade-2026-01-26T21_30.json.gz
            if target_str in file:
                filtered.append(file)
            elif next_day_str in file:
                # Prüfe ob es eine frühe Datei vom nächsten Tag ist (< 03:00 UTC)
                try:
                    # Finde Timestamp im Dateinamen mit Unterstrich für Minuten
                    match = re.search(r'posttrade-(\d{4}-\d{2}-\d{2})T(\d{2})_(\d{2})', file)
                    if match:
                        hour = int(match.group(2))
                        if hour < 3:  # Frühe Morgenstunden gehören noch zum Vortag
                            filtered.append(file)
                except Exception:
                    pass
        
        return filtered
    
    def _download_and_parse_file(self, filename: str) -> List[Trade]:
        """Lädt eine JSON.gz Datei von der API herunter und parst die Trades"""
        trades = []
        
        try:
            # Download-URL: https://mfs.deutsche-boerse.com/api/download/{filename}
            full_url = f"{DOWNLOAD_BASE_URL}/{filename}"
            
            response = requests.get(full_url, headers=HEADERS, timeout=60)
            
            if response.status_code == 404:
                # Datei nicht gefunden - normal für alte Dateien
                return []
            
            response.raise_for_status()
            
            # Gzip entpacken
            with gzip.GzipFile(fileobj=io.BytesIO(response.content)) as f:
                content = f.read().decode('utf-8')
            
            if not content.strip():
                # Leere Datei
                return []
            
            # NDJSON Format: Eine JSON-Zeile pro Trade
            for line in content.strip().split('\n'):
                if not line.strip():
                    continue
                try:
                    record = json.loads(line)
                    trade = self._parse_trade_record(record)
                    if trade:
                        trades.append(trade)
                except json.JSONDecodeError:
                    continue
                except Exception as e:
                    continue
            
            if trades:
                print(f"[{self.name}] Parsed {len(trades)} trades from {filename}")
                    
        except requests.exceptions.HTTPError as e:
            if e.response.status_code != 404:
                print(f"[{self.name}] HTTP error downloading {filename}: {e}")
        except Exception as e:
            print(f"[{self.name}] Error downloading/parsing {filename}: {e}")
        
        return trades
    
    def _parse_trade_record(self, record: dict) -> Optional[Trade]:
        """
        Parst einen einzelnen Trade-Record aus dem JSON.
        Deutsche Börse verwendet RTS1/RTS2 Format.
        
        Wichtige Felder:
        - TrdDt: Trading Date (YYYY-MM-DD)
        - TrdTm: Trading Time (HH:MM:SS.ffffff)
        - ISIN: Instrument Identifier
        - FinInstrmId.Id: Alternative ISIN Feld
        - Pric.Pric.MntryVal.Amt: Preis
        - Qty.Unit: Menge
        """
        try:
            # ISIN extrahieren
            isin = record.get('ISIN') or record.get('FinInstrmId', {}).get('Id', '')
            if not isin:
                return None
            
            # Preis extrahieren (verschiedene mögliche Pfade)
            price = None
            if 'Pric' in record:
                pric = record['Pric']
                if isinstance(pric, dict):
                    if 'Pric' in pric:
                        inner = pric['Pric']
                        if 'MntryVal' in inner:
                            price = float(inner['MntryVal'].get('Amt', 0))
                        elif 'Amt' in inner:
                            price = float(inner['Amt'])
                    elif 'MntryVal' in pric:
                        price = float(pric['MntryVal'].get('Amt', 0))
                elif isinstance(pric, (int, float)):
                    price = float(pric)
            
            if price is None or price <= 0:
                return None
            
            # Menge extrahieren
            quantity = None
            if 'Qty' in record:
                qty = record['Qty']
                if isinstance(qty, dict):
                    quantity = float(qty.get('Unit', qty.get('Qty', 0)))
                elif isinstance(qty, (int, float)):
                    quantity = float(qty)
            
            if quantity is None or quantity <= 0:
                return None
            
            # Timestamp extrahieren
            trd_dt = record.get('TrdDt', '')
            trd_tm = record.get('TrdTm', '00:00:00')
            
            if not trd_dt:
                return None
            
            # Kombiniere Datum und Zeit
            ts_str = f"{trd_dt}T{trd_tm}"
            # Entferne Mikrosekunden wenn zu lang
            if '.' in ts_str:
                parts = ts_str.split('.')
                if len(parts[1]) > 6:
                    ts_str = parts[0] + '.' + parts[1][:6]
            
            # Parse als UTC (Deutsche Börse liefert UTC)
            timestamp = datetime.fromisoformat(ts_str)
            if timestamp.tzinfo is None:
                timestamp = timestamp.replace(tzinfo=timezone.utc)
            
            return Trade(
                exchange=self.name,
                symbol=isin,  # Symbol = ISIN
                isin=isin,
                price=price,
                quantity=quantity,
                timestamp=timestamp
            )
            
        except Exception as e:
            print(f"Error parsing record: {e}")
            return None
    
    def _get_last_trading_day(self, from_date: datetime.date) -> datetime.date:
        """
        Findet den letzten Handelstag (überspringt Wochenenden).
        Montag=0, Sonntag=6
        """
        date = from_date
        # Wenn Samstag (5), gehe zurück zu Freitag
        if date.weekday() == 5:
            date = date - timedelta(days=1)
        # Wenn Sonntag (6), gehe zurück zu Freitag
        elif date.weekday() == 6:
            date = date - timedelta(days=2)
        return date

    def fetch_latest_trades(self, include_yesterday: bool = True, since_date: datetime = None) -> List[Trade]:
        """
        Holt alle Trades vom letzten Handelstag (überspringt Wochenenden).
        """
        all_trades = []
        
        # Bestimme Zieldatum
        if since_date:
            target_date = since_date.date() if hasattr(since_date, 'date') else since_date
        else:
            # Standard: Vortag
            target_date = (datetime.now(timezone.utc) - timedelta(days=1)).date()
        
        # Überspringe Wochenenden
        original_date = target_date
        target_date = self._get_last_trading_day(target_date)
        
        if target_date != original_date:
            print(f"[{self.name}] Skipping weekend: {original_date} -> {target_date}")
        
        print(f"[{self.name}] Fetching trades for date: {target_date}")
        
        # Hole Dateiliste von der API
        files = self._get_file_list()
        
        if not files:
            print(f"[{self.name}] No files available from API")
            return []
        
        # Dateien für Zieldatum filtern
        target_files = self._filter_files_for_date(files, target_date)
        print(f"[{self.name}] {len(target_files)} files match target date (of {len(files)} total)")
        
        if not target_files:
            print(f"[{self.name}] No files for target date found")
            return []
        
        # Alle passenden Dateien herunterladen und parsen
        successful = 0
        for file in target_files:
            trades = self._download_and_parse_file(file)
            if trades:
                all_trades.extend(trades)
                successful += 1
        
        print(f"[{self.name}] Downloaded {successful} files, total {len(all_trades)} trades")
        return all_trades


class XetraExchange(DeutscheBoerseBase):
    """Xetra (Deutsche Börse) - DETR"""
    
    @property
    def base_url(self) -> str:
        return "https://mfs.deutsche-boerse.com/DETR-posttrade"
    
    @property
    def name(self) -> str:
        return "XETRA"


class FrankfurtExchange(DeutscheBoerseBase):
    """Börse Frankfurt - DFRA"""
    
    @property
    def base_url(self) -> str:
        return "https://mfs.deutsche-boerse.com/DFRA-posttrade"
    
    @property
    def name(self) -> str:
        return "FRA"


class QuotrixExchange(DeutscheBoerseBase):
    """Quotrix (Düsseldorf/Tradegate) - DGAT"""
    
    @property
    def base_url(self) -> str:
        return "https://mfs.deutsche-boerse.com/DGAT-posttrade"
    
    @property
    def name(self) -> str:
        return "QUOTRIX"