import sys, json
from decimal import Decimal

def cents(value):
    n = Decimal(value) * 100
    if n != n.to_integral_value() or n <= 0:
        raise ValueError('invalid price')
    return int(n)

def money(value):
    return ('-' if value < 0 else '') + str(abs(value)//100) + '.' + str(abs(value)%100).zfill(2)

def run(data):
    p = data['parameters']
    bars = data['bars']
    cash = int(Decimal(data['initial_cash'])*100)
    initial = cash
    quantity, cost, peak, drawdown, previous = 0, 0, cash, 0, False
    trades, equity = [], []
    closes = [cents(b['close']) for b in bars]
    for i, bar in enumerate(bars):
        # Only preceding completed bars generate a signal. Execute at next open.
        if i >= p['long_window']:
            short = sum(closes[i-p['short_window']:i]) * p['long_window']
            long = sum(closes[i-p['long_window']:i]) * p['short_window']
            bullish = short > long
            open_price = cents(bar['open'])
            if bullish and not previous and quantity == 0:
                price = (open_price*(10000+p['slippage_bps'])+9999)//10000
                unit = p['lot_size']
                units = cash*10000//(price*unit*(10000+p['fee_bps']))
                quantity = units*unit
                gross = quantity*price
                fee = (gross*p['fee_bps']+9999)//10000
                if quantity:
                    cash -= gross+fee
                    cost = gross+fee
                    trades.append({'date':bar['date'],'side':'BUY','quantity':str(quantity),'price':money(price),'fee':money(fee),'realized_pnl':None})
            elif not bullish and previous and quantity:
                price = max(1,open_price*(10000-p['slippage_bps'])//10000)
                gross = quantity*price
                fee = (gross*p['fee_bps']+9999)//10000
                cash += gross-fee
                trades.append({'date':bar['date'],'side':'SELL','quantity':str(quantity),'price':money(price),'fee':money(fee),'realized_pnl':money(gross-fee-cost)})
                quantity, cost = 0, 0
            previous = bullish
        value = cash+quantity*closes[i]
        peak = max(peak,value)
        drawdown = max(drawdown,(peak-value)*10000//peak)
        equity.append({'date':bar['date'],'equity':money(value)})
    final = cash+quantity*closes[-1]
    return {'engine_version':'sma_cross_v1','final_equity':money(final),'cash':money(cash),'remaining_quantity':str(quantity),'total_return_bps':(final-initial)*10000//initial,'max_drawdown_bps':drawdown,'trades':trades,'equity_curve':equity,'valuation':'Final close valuation; open positions are not liquidated.'}

if __name__ == '__main__':
    print(json.dumps(run(json.load(sys.stdin)),separators=(',',':')))