@adaptic/utils 0.0.988 → 0.0.990

package/dist/types/__tests__/atr.test.d.ts

@@ -0,0 +1,2 @@
+export {};
+//# sourceMappingURL=atr.test.d.ts.map

package/dist/types/__tests__/atr.test.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"atr.test.d.ts","sourceRoot":"","sources":["../../../src/__tests__/atr.test.ts"],"names":[],"mappings":""}

package/dist/types/__tests__/index.test.d.ts

@@ -0,0 +1,2 @@
+export {};
+//# sourceMappingURL=index.test.d.ts.map

package/dist/types/__tests__/index.test.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"index.test.d.ts","sourceRoot":"","sources":["../../../src/__tests__/index.test.ts"],"names":[],"mappings":""}

package/dist/types/__tests__/risk-metrics.test.d.ts

@@ -0,0 +1,2 @@
+export {};
+//# sourceMappingURL=risk-metrics.test.d.ts.map

package/dist/types/__tests__/risk-metrics.test.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"risk-metrics.test.d.ts","sourceRoot":"","sources":["../../../src/__tests__/risk-metrics.test.ts"],"names":[],"mappings":""}

package/dist/types/__tests__/strategy-metrics.test.d.ts

@@ -0,0 +1,2 @@
+export {};
+//# sourceMappingURL=strategy-metrics.test.d.ts.map

package/dist/types/__tests__/strategy-metrics.test.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"strategy-metrics.test.d.ts","sourceRoot":"","sources":["../../../src/__tests__/strategy-metrics.test.ts"],"names":[],"mappings":""}

package/dist/types/__tests__/volatility.test.d.ts

@@ -0,0 +1,2 @@
+export {};
+//# sourceMappingURL=volatility.test.d.ts.map

package/dist/types/__tests__/volatility.test.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"volatility.test.d.ts","sourceRoot":"","sources":["../../../src/__tests__/volatility.test.ts"],"names":[],"mappings":""}

package/dist/types/atr.d.ts

@@ -0,0 +1,30 @@
+/**
+ * Wilder ATR + EWMA-smoothed + multi-timespan variants.
+ *
+ * All functions are pure: same inputs → same output, no I/O, no time-dependence.
+ */
+export interface AtrBar {
+    high: number;
+    low: number;
+    close: number;
+    timespan?: "minute" | "hour" | "day";
+}
+/**
+ * Classic Wilder ATR (single value).
+ * @returns ATR for the most recent `period` bars, or null when insufficient bars.
+ */
+export declare function calculateATR(highs: number[], lows: number[], closes: number[], period: number): number | null;
+/**
+ * Returns the EWMA-smoothed ATR series (one ATR per bar, leading nulls until `period` bars).
+ */
+export declare function calculateATREMA(highs: number[], lows: number[], closes: number[], period: number): Array<number | null>;
+/**
+ * Wrapper that accepts AtrBar[] (timespan-tagged); identical math, the timespan tag is
+ * carried through for consumer-side logic only.
+ *
+ * @param bars - All bars must share the same timespan; the tag is metadata only
+ *               and is not validated. Mixed-timespan input produces a meaningless ATR.
+ * @param period - Wilder lookback period (positive integer).
+ */
+export declare function calculateATRMultiTimespan(bars: AtrBar[], period: number): number | null;
+//# sourceMappingURL=atr.d.ts.map

package/dist/types/atr.d.ts.map

@@ -0,0 +1 @@
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package/dist/types/index.d.ts

@@ -3,6 +3,7 @@ import { AlpacaMarketDataAPI } from "./alpaca-market-data-api";
 import { AlpacaTradingAPI } from "./alpaca-trading-api";
 import * as Alpaca from "./alpaca/legacy";
 import * as av from "./alphavantage";
+import * as atrNs from "./atr";
 import * as crypto from "./crypto";
 import * as ft from "./format-tools";
 import * as mt from "./market-time";
@@ -12,9 +13,12 @@ import * as misc from "./misc-utils";
 import * as pm from "./performance-metrics";
 import * as pu from "./price-utils";
 import { TokenBucketRateLimiter } from "./rate-limiter";
+import * as riskNs from "./risk-metrics";
+import * as strategyNs from "./strategy-metrics";
 import * as ta from "./technical-analysis";
 import * as tu from "./time-utils";
 import * as Types from "./types";
+import * as volatilityNs from "./volatility";
 export { getLogger, resetLogger, setLogger, type Logger } from "./logger";
 export { AdapticUtilsError, AlpacaApiError, AlphaVantageError, AuthenticationError, DataFormatError, HttpClientError, HttpServerError, MassiveApiError, NetworkError, RateLimitError, TimeoutError, ValidationError, WebSocketError, } from "./errors";
 export { validateAlpacaCredentials, validateAlphaVantageApiKey, validateMassiveApiKey, } from "./utils/auth-validator";
@@ -36,12 +40,20 @@ export declare const createAlpacaTradingAPI: (credentials: Types.AlpacaCredentia
 export declare const createAlpacaMarketDataAPI: () => AlpacaMarketDataAPI;
 export * from "./alpaca";
 export * as tradingPolicy from "./trading-policy";
+export * as atr from "./atr";
+export * as volatility from "./volatility";
+export * as risk from "./risk-metrics";
+export * as strategy from "./strategy-metrics";
 export { AutonomyMode, OverlayType, OverlaySeverity, OverlayStatus, DecisionOutcome, DecisionRecordStatus, DecisionMemoryOutcome, LlmProvider, } from "./trading-policy/enums";
 export type { AutonomyPrefs, AssetUniversePrefs, RiskBudgetPrefs, SignalConsumptionPrefs, ExecutionPrefs, PositionManagementPrefs, PortfolioConstructionPrefs, OverlayResponsePrefs, ModelPrefs, AuditNotificationPrefs, PolicyMutation, EffectiveTradingPolicy, } from "./trading-policy/schemas";
 export { DEFAULT_TRADING_POLICY } from "./trading-policy/defaults/default-trading-policy";
 export type { TokenProvider } from "./adaptic";
 export declare const adaptic: {
     types: typeof Types;
+    atr: typeof atrNs;
+    risk: typeof riskNs;
+    strategy: typeof strategyNs;
+    volatility: typeof volatilityNs;
     backend: {
         fetchAssetOverview: (symbol: string) => Promise<Types.AssetOverviewResponse>;
         getApolloClient: () => Promise<import("@apollo/client").ApolloClient<import("@apollo/client").NormalizedCacheObject>>;
@@ -348,7 +360,7 @@ export declare const adaptic: {
             apiKey?: string;
         }) => Promise<Types.MassiveIndicesSnapshotResponse>;
         fetchUniversalSnapshot: (tickers: string[], options?: {
-            apiKey? /** @description Real-time WebSocket streams */: string;
+            apiKey? /** @description Real-time and historical quotes */: string;
             type?: string;
             order?: string;
             limit?: number;
@@ -424,6 +436,10 @@ export declare const adaptic: {
 };
 export declare const adptc: {
     types: typeof Types;
+    atr: typeof atrNs;
+    risk: typeof riskNs;
+    strategy: typeof strategyNs;
+    volatility: typeof volatilityNs;
     backend: {
         fetchAssetOverview: (symbol: string) => Promise<Types.AssetOverviewResponse>;
         getApolloClient: () => Promise<import("@apollo/client").ApolloClient<import("@apollo/client").NormalizedCacheObject>>;
@@ -730,7 +746,7 @@ export declare const adptc: {
             apiKey?: string;
         }) => Promise<Types.MassiveIndicesSnapshotResponse>;
         fetchUniversalSnapshot: (tickers: string[], options?: {
-            apiKey? /** @description Real-time WebSocket streams */: string;
+            apiKey? /** @description Real-time and historical quotes */: string;
             type?: string;
             order?: string;
             limit?: number;

package/dist/types/index.d.ts.map

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package/dist/types/risk-metrics.d.ts

@@ -0,0 +1,58 @@
+/**
+ * VaR, Expected Shortfall (CVaR), conditional drawdown, rolling drawdown, Sortino, Calmar.
+ *
+ * Convention: VaR and ES are returned as the actual quantile value (typically negative
+ * for losses). Drawdowns from `calculateConditionalDrawdown` are returned as non-negative
+ * magnitudes (e.g., 0.05 = 5% drawdown). Drawdowns from `calculateRollingDrawdown` are
+ * non-positive (e.g., -0.05 = 5% below rolling peak, 0 = at or above peak).
+ *
+ * All public functions reject non-finite inputs (NaN, Infinity) by throwing. Callers
+ * must pre-validate or filter their inputs.
+ */
+/**
+ * Historical-bootstrap VaR at confidence `alpha`.
+ * E.g., alpha=0.95 returns the 5%-quantile of returns (the loss at the 5th percentile).
+ *
+ * @returns The quantile value (typically negative), or null on empty input.
+ */
+export declare function calculateVaRHistorical(returns: number[], alpha: number): number | null;
+/**
+ * Gaussian parametric VaR: μ + zα·σ where zα is the (1-alpha) standard-normal quantile.
+ *
+ * @returns The Gaussian quantile, or null when fewer than 2 samples.
+ */
+export declare function calculateVaRParametric(returns: number[], alpha: number): number | null;
+/**
+ * Expected Shortfall (Conditional VaR): average of returns below the (1-alpha) quantile.
+ *
+ * @returns The mean tail return (typically negative), or null on empty input.
+ */
+export declare function calculateExpectedShortfall(returns: number[], alpha: number): number | null;
+/**
+ * Conditional Drawdown at Risk (CDaR): average of drawdowns in the worst (1-alpha) tail.
+ * Drawdowns are computed as (peak - equity) / peak so they are non-negative.
+ *
+ * @returns A non-negative magnitude (0 = no drawdowns), or null for fewer than 2 samples.
+ */
+export declare function calculateConditionalDrawdown(equity: number[], alpha: number): number | null;
+/**
+ * Rolling-window drawdown series: for each index, drawdown = (current - rollingPeak) / rollingPeak.
+ * Non-positive values; 0 when at or above the rolling peak. Window measured in samples.
+ *
+ * @returns An array the same length as `equity`.
+ */
+export declare function calculateRollingDrawdown(equity: number[], windowSize: number): number[];
+/**
+ * Sortino ratio: (mean excess return) / downside deviation.
+ * Returns +Infinity when there are no downside returns.
+ * Returns null when fewer than 2 samples.
+ */
+export declare function calculateSortino(returns: number[], riskFreeRate: number): number | null;
+/**
+ * Calmar ratio: CAGR / |max drawdown|.
+ *
+ * @returns null when there is no drawdown (division by zero), fewer than 2 samples,
+ *          or `equity[0] <= 0` (CAGR undefined).
+ */
+export declare function calculateCalmar(equity: number[], periodsPerYear: number): number | null;
+//# sourceMappingURL=risk-metrics.d.ts.map

package/dist/types/risk-metrics.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"risk-metrics.d.ts","sourceRoot":"","sources":["../../src/risk-metrics.ts"],"names":[],"mappings":"AAAA;;;;;;;;;;GAUG;AAgBH;;;;;GAKG;AACH,wBAAgB,sBAAsB,CACpC,OAAO,EAAE,MAAM,EAAE,EACjB,KAAK,EAAE,MAAM,GACZ,MAAM,GAAG,IAAI,CAOf;AAED;;;;GAIG;AACH,wBAAgB,sBAAsB,CACpC,OAAO,EAAE,MAAM,EAAE,EACjB,KAAK,EAAE,MAAM,GACZ,MAAM,GAAG,IAAI,CAUf;AAED;;;;GAIG;AACH,wBAAgB,0BAA0B,CACxC,OAAO,EAAE,MAAM,EAAE,EACjB,KAAK,EAAE,MAAM,GACZ,MAAM,GAAG,IAAI,CAQf;AAED;;;;;GAKG;AACH,wBAAgB,4BAA4B,CAC1C,MAAM,EAAE,MAAM,EAAE,EAChB,KAAK,EAAE,MAAM,GACZ,MAAM,GAAG,IAAI,CAef;AAED;;;;;GAKG;AACH,wBAAgB,wBAAwB,CACtC,MAAM,EAAE,MAAM,EAAE,EAChB,UAAU,EAAE,MAAM,GACjB,MAAM,EAAE,CAWV;AAED;;;;GAIG;AACH,wBAAgB,gBAAgB,CAC9B,OAAO,EAAE,MAAM,EAAE,EACjB,YAAY,EAAE,MAAM,GACnB,MAAM,GAAG,IAAI,CASf;AAED;;;;;GAKG;AACH,wBAAgB,eAAe,CAAC,MAAM,EAAE,MAAM,EAAE,EAAE,cAAc,EAAE,MAAM,GAAG,MAAM,GAAG,IAAI,CAmBvF"}

package/dist/types/strategy-metrics.d.ts

@@ -0,0 +1,65 @@
+/**
+ * Per-strategy rolling metrics and backtest-divergence z-score.
+ *
+ * Conventions:
+ * - tradePnls / tradeReturns is an array of per-trade realised P&L or return
+ *   (positive = win, negative = loss, zero = breakeven).
+ * - All "rolling*" functions return null when fewer than `windowSize` trades exist.
+ * - All public functions reject non-finite inputs (NaN, Infinity) by throwing.
+ *   Callers must pre-validate or filter their inputs.
+ */
+/**
+ * Rolling expectancy: mean P&L over the most-recent `windowSize` trades.
+ *
+ * @param tradePnls - Array of per-trade realised P&L values.
+ * @param windowSize - Number of most-recent trades to include. Must be a positive integer.
+ * @returns Mean P&L of the last `windowSize` trades, or null when fewer than `windowSize` exist.
+ * @throws When `windowSize` is not a positive integer or any input is non-finite.
+ */
+export declare function calculateRollingExpectancy(tradePnls: number[], windowSize: number): number | null;
+/**
+ * Rolling hit-rate: fraction of strictly-positive P&L trades in the most-recent
+ * `windowSize` trades. Zero P&L counts as non-win.
+ *
+ * @param tradePnls - Array of per-trade realised P&L values.
+ * @param windowSize - Number of most-recent trades to include. Must be a positive integer.
+ * @returns Fraction of winning trades in the window, or null when fewer than `windowSize` exist.
+ * @throws When `windowSize` is not a positive integer or any input is non-finite.
+ */
+export declare function calculateRollingHitRate(tradePnls: number[], windowSize: number): number | null;
+/**
+ * Rolling profit factor: sum(wins) / |sum(losses)| over the most-recent `windowSize` trades.
+ *
+ * Edge cases:
+ * - no losses and at least one win → +Infinity
+ * - no wins and no losses (all zeros) → 0
+ * - fewer than windowSize trades → null
+ *
+ * @param tradePnls - Array of per-trade realised P&L values.
+ * @param windowSize - Number of most-recent trades to include. Must be a positive integer.
+ * @returns Profit factor for the rolling window, or null when fewer than `windowSize` exist.
+ * @throws When `windowSize` is not a positive integer or any input is non-finite.
+ */
+export declare function calculateRollingProfitFactor(tradePnls: number[], windowSize: number): number | null;
+/**
+ * Rolling Sortino: delegate to `calculateSortino` over the most-recent `windowSize` returns.
+ *
+ * @param tradeReturns - Array of per-trade return values.
+ * @param windowSize - Number of most-recent trades to include. Must be a positive integer.
+ * @param riskFreeRate - Risk-free rate to subtract from returns (default 0).
+ * @returns Sortino ratio for the rolling window, or null when fewer than `windowSize` exist.
+ * @throws When `windowSize` is not a positive integer or any input is non-finite.
+ */
+export declare function calculateRollingSortino(tradeReturns: number[], windowSize: number, riskFreeRate?: number): number | null;
+/**
+ * Z-score of live-expectancy vs backtest-expectancy, scaled by the backtest stddev.
+ * Positive Z = live outperforming; negative Z = live underperforming.
+ *
+ * @param liveExpectancy - Mean P&L per trade in the live window.
+ * @param backtestExpectancy - Mean P&L per trade from the calibration backtest.
+ * @param backtestStddev - Stddev of per-trade P&L in the backtest. Must be > 0.
+ * @returns Z-score measuring divergence between live and backtest performance.
+ * @throws When any input is non-finite or `backtestStddev` is not positive.
+ */
+export declare function calculateBacktestDivergenceZ(liveExpectancy: number, backtestExpectancy: number, backtestStddev: number): number;
+//# sourceMappingURL=strategy-metrics.d.ts.map

package/dist/types/strategy-metrics.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"strategy-metrics.d.ts","sourceRoot":"","sources":["../../src/strategy-metrics.ts"],"names":[],"mappings":"AAAA;;;;;;;;;GASG;AAkBH;;;;;;;GAOG;AACH,wBAAgB,0BAA0B,CACxC,SAAS,EAAE,MAAM,EAAE,EACnB,UAAU,EAAE,MAAM,GACjB,MAAM,GAAG,IAAI,CAMf;AAED;;;;;;;;GAQG;AACH,wBAAgB,uBAAuB,CACrC,SAAS,EAAE,MAAM,EAAE,EACnB,UAAU,EAAE,MAAM,GACjB,MAAM,GAAG,IAAI,CAOf;AAED;;;;;;;;;;;;GAYG;AACH,wBAAgB,4BAA4B,CAC1C,SAAS,EAAE,MAAM,EAAE,EACnB,UAAU,EAAE,MAAM,GACjB,MAAM,GAAG,IAAI,CASf;AAED;;;;;;;;GAQG;AACH,wBAAgB,uBAAuB,CACrC,YAAY,EAAE,MAAM,EAAE,EACtB,UAAU,EAAE,MAAM,EAClB,YAAY,SAAI,GACf,MAAM,GAAG,IAAI,CAKf;AAED;;;;;;;;;GASG;AACH,wBAAgB,4BAA4B,CAC1C,cAAc,EAAE,MAAM,EACtB,kBAAkB,EAAE,MAAM,EAC1B,cAAc,EAAE,MAAM,GACrB,MAAM,CAQR"}

package/dist/types/trading-policy/schemas/effective-policy.schema.d.ts

@@ -529,7 +529,7 @@ export declare const EffectiveTradingPolicySchema: z.ZodObject<{
         partialFillPolicy: "accept_partial" | "cancel_remainder" | "replace_to_fill";
         sizingMethod: "notional" | "quantity";
         lotRoundingBehavior: "round_down" | "round_nearest" | "round_up";
-        afterHoursExecutionBehavior: "limit_only" | "no_execution" | "normal";
+        afterHoursExecutionBehavior: "normal" | "limit_only" | "no_execution";
         failureBehavior: "fail_safe" | "fail_open";
     }, {
         allowedOrderTypes?: ("limit" | "market" | "stop" | "stop_limit" | "trailing_stop")[] | undefined;
@@ -547,7 +547,7 @@ export declare const EffectiveTradingPolicySchema: z.ZodObject<{
         partialFillPolicy?: "accept_partial" | "cancel_remainder" | "replace_to_fill" | undefined;
         sizingMethod?: "notional" | "quantity" | undefined;
         lotRoundingBehavior?: "round_down" | "round_nearest" | "round_up" | undefined;
-        afterHoursExecutionBehavior?: "limit_only" | "no_execution" | "normal" | undefined;
+        afterHoursExecutionBehavior?: "normal" | "limit_only" | "no_execution" | undefined;
         failureBehavior?: "fail_safe" | "fail_open" | undefined;
     }>>;
     positionManagementPrefs: z.ZodDefault<z.ZodObject<{
@@ -1216,7 +1216,7 @@ export declare const EffectiveTradingPolicySchema: z.ZodObject<{
         partialFillPolicy: "accept_partial" | "cancel_remainder" | "replace_to_fill";
         sizingMethod: "notional" | "quantity";
         lotRoundingBehavior: "round_down" | "round_nearest" | "round_up";
-        afterHoursExecutionBehavior: "limit_only" | "no_execution" | "normal";
+        afterHoursExecutionBehavior: "normal" | "limit_only" | "no_execution";
         failureBehavior: "fail_safe" | "fail_open";
     };
     positionManagementPrefs: {
@@ -1553,7 +1553,7 @@ export declare const EffectiveTradingPolicySchema: z.ZodObject<{
         partialFillPolicy?: "accept_partial" | "cancel_remainder" | "replace_to_fill" | undefined;
         sizingMethod?: "notional" | "quantity" | undefined;
         lotRoundingBehavior?: "round_down" | "round_nearest" | "round_up" | undefined;
-        afterHoursExecutionBehavior?: "limit_only" | "no_execution" | "normal" | undefined;
+        afterHoursExecutionBehavior?: "normal" | "limit_only" | "no_execution" | undefined;
         failureBehavior?: "fail_safe" | "fail_open" | undefined;
     } | undefined;
     positionManagementPrefs?: {

package/dist/types/trading-policy/schemas/execution-prefs.schema.d.ts

@@ -41,7 +41,7 @@ export declare const ExecutionPrefsObjectSchema: z.ZodObject<{
     partialFillPolicy: "accept_partial" | "cancel_remainder" | "replace_to_fill";
     sizingMethod: "notional" | "quantity";
     lotRoundingBehavior: "round_down" | "round_nearest" | "round_up";
-    afterHoursExecutionBehavior: "limit_only" | "no_execution" | "normal";
+    afterHoursExecutionBehavior: "normal" | "limit_only" | "no_execution";
     failureBehavior: "fail_safe" | "fail_open";
 }, {
     allowedOrderTypes?: ("limit" | "market" | "stop" | "stop_limit" | "trailing_stop")[] | undefined;
@@ -59,7 +59,7 @@ export declare const ExecutionPrefsObjectSchema: z.ZodObject<{
     partialFillPolicy?: "accept_partial" | "cancel_remainder" | "replace_to_fill" | undefined;
     sizingMethod?: "notional" | "quantity" | undefined;
     lotRoundingBehavior?: "round_down" | "round_nearest" | "round_up" | undefined;
-    afterHoursExecutionBehavior?: "limit_only" | "no_execution" | "normal" | undefined;
+    afterHoursExecutionBehavior?: "normal" | "limit_only" | "no_execution" | undefined;
     failureBehavior?: "fail_safe" | "fail_open" | undefined;
 }>;
 export declare const ExecutionPrefsSchema: z.ZodDefault<z.ZodObject<{
@@ -96,7 +96,7 @@ export declare const ExecutionPrefsSchema: z.ZodDefault<z.ZodObject<{
     partialFillPolicy: "accept_partial" | "cancel_remainder" | "replace_to_fill";
     sizingMethod: "notional" | "quantity";
     lotRoundingBehavior: "round_down" | "round_nearest" | "round_up";
-    afterHoursExecutionBehavior: "limit_only" | "no_execution" | "normal";
+    afterHoursExecutionBehavior: "normal" | "limit_only" | "no_execution";
     failureBehavior: "fail_safe" | "fail_open";
 }, {
     allowedOrderTypes?: ("limit" | "market" | "stop" | "stop_limit" | "trailing_stop")[] | undefined;
@@ -114,7 +114,7 @@ export declare const ExecutionPrefsSchema: z.ZodDefault<z.ZodObject<{
     partialFillPolicy?: "accept_partial" | "cancel_remainder" | "replace_to_fill" | undefined;
     sizingMethod?: "notional" | "quantity" | undefined;
     lotRoundingBehavior?: "round_down" | "round_nearest" | "round_up" | undefined;
-    afterHoursExecutionBehavior?: "limit_only" | "no_execution" | "normal" | undefined;
+    afterHoursExecutionBehavior?: "normal" | "limit_only" | "no_execution" | undefined;
     failureBehavior?: "fail_safe" | "fail_open" | undefined;
 }>>;
 /** Inferred TypeScript type for execution preferences. */

package/dist/types/trading-policy/schemas/policy-mutation.schema.d.ts

@@ -497,7 +497,7 @@ export declare const PolicyMutationSchema: z.ZodObject<{
         partialFillPolicy?: "accept_partial" | "cancel_remainder" | "replace_to_fill" | undefined;
         sizingMethod?: "notional" | "quantity" | undefined;
         lotRoundingBehavior?: "round_down" | "round_nearest" | "round_up" | undefined;
-        afterHoursExecutionBehavior?: "limit_only" | "no_execution" | "normal" | undefined;
+        afterHoursExecutionBehavior?: "normal" | "limit_only" | "no_execution" | undefined;
         failureBehavior?: "fail_safe" | "fail_open" | undefined;
     }, {
         allowedOrderTypes?: ("limit" | "market" | "stop" | "stop_limit" | "trailing_stop")[] | undefined;
@@ -515,7 +515,7 @@ export declare const PolicyMutationSchema: z.ZodObject<{
         partialFillPolicy?: "accept_partial" | "cancel_remainder" | "replace_to_fill" | undefined;
         sizingMethod?: "notional" | "quantity" | undefined;
         lotRoundingBehavior?: "round_down" | "round_nearest" | "round_up" | undefined;
-        afterHoursExecutionBehavior?: "limit_only" | "no_execution" | "normal" | undefined;
+        afterHoursExecutionBehavior?: "normal" | "limit_only" | "no_execution" | undefined;
         failureBehavior?: "fail_safe" | "fail_open" | undefined;
     }>>;
     positionManagementPrefs: z.ZodOptional<z.ZodObject<{
@@ -1503,7 +1503,7 @@ export declare const PolicyMutationSchema: z.ZodObject<{
         partialFillPolicy?: "accept_partial" | "cancel_remainder" | "replace_to_fill" | undefined;
         sizingMethod?: "notional" | "quantity" | undefined;
         lotRoundingBehavior?: "round_down" | "round_nearest" | "round_up" | undefined;
-        afterHoursExecutionBehavior?: "limit_only" | "no_execution" | "normal" | undefined;
+        afterHoursExecutionBehavior?: "normal" | "limit_only" | "no_execution" | undefined;
         failureBehavior?: "fail_safe" | "fail_open" | undefined;
     }, {
         allowedOrderTypes?: ("limit" | "market" | "stop" | "stop_limit" | "trailing_stop")[] | undefined;
@@ -1521,7 +1521,7 @@ export declare const PolicyMutationSchema: z.ZodObject<{
         partialFillPolicy?: "accept_partial" | "cancel_remainder" | "replace_to_fill" | undefined;
         sizingMethod?: "notional" | "quantity" | undefined;
         lotRoundingBehavior?: "round_down" | "round_nearest" | "round_up" | undefined;
-        afterHoursExecutionBehavior?: "limit_only" | "no_execution" | "normal" | undefined;
+        afterHoursExecutionBehavior?: "normal" | "limit_only" | "no_execution" | undefined;
         failureBehavior?: "fail_safe" | "fail_open" | undefined;
     }>>;
     positionManagementPrefs: z.ZodOptional<z.ZodObject<{
@@ -2509,7 +2509,7 @@ export declare const PolicyMutationSchema: z.ZodObject<{
         partialFillPolicy?: "accept_partial" | "cancel_remainder" | "replace_to_fill" | undefined;
         sizingMethod?: "notional" | "quantity" | undefined;
         lotRoundingBehavior?: "round_down" | "round_nearest" | "round_up" | undefined;
-        afterHoursExecutionBehavior?: "limit_only" | "no_execution" | "normal" | undefined;
+        afterHoursExecutionBehavior?: "normal" | "limit_only" | "no_execution" | undefined;
         failureBehavior?: "fail_safe" | "fail_open" | undefined;
     }, {
         allowedOrderTypes?: ("limit" | "market" | "stop" | "stop_limit" | "trailing_stop")[] | undefined;
@@ -2527,7 +2527,7 @@ export declare const PolicyMutationSchema: z.ZodObject<{
         partialFillPolicy?: "accept_partial" | "cancel_remainder" | "replace_to_fill" | undefined;
         sizingMethod?: "notional" | "quantity" | undefined;
         lotRoundingBehavior?: "round_down" | "round_nearest" | "round_up" | undefined;
-        afterHoursExecutionBehavior?: "limit_only" | "no_execution" | "normal" | undefined;
+        afterHoursExecutionBehavior?: "normal" | "limit_only" | "no_execution" | undefined;
         failureBehavior?: "fail_safe" | "fail_open" | undefined;
     }>>;
     positionManagementPrefs: z.ZodOptional<z.ZodObject<{

package/dist/types/volatility.d.ts

@@ -0,0 +1,65 @@
+/**
+ * Realized and EWMA volatility + regime classifier + annualisation helper.
+ * All functions pure.
+ */
+/**
+ * Volatility regime categorisation: calm (quiet markets), normal (regular trading),
+ * elevated (above-average volatility), crisis (panic/stress regime).
+ */
+export type VolatilityRegime = "calm" | "normal" | "elevated" | "crisis";
+/**
+ * Threshold bands for classifying a volatility value into a {@link VolatilityRegime}.
+ *
+ * Invariant: `calmMax < elevatedMax < crisisMin` (enforced at runtime by
+ * {@link detectVolatilityRegime}).
+ */
+export interface RegimeBands {
+    /** Volatility at or below this is "calm". */
+    calmMax: number;
+    /** Volatility at or above this (but below crisisMin) is "elevated". */
+    elevatedMax: number;
+    /** Volatility at or above this is "crisis". */
+    crisisMin: number;
+}
+/**
+ * Sample standard deviation (Bessel-corrected) of returns over the most recent
+ * `window` samples.
+ * @returns null when fewer than `window` samples.
+ */
+export declare function calculateRealizedVolatility(returns: number[], window: number): number | null;
+/**
+ * EWMA volatility (RiskMetrics-style). λ ∈ (0,1); higher = longer memory.
+ * Default usage: λ = 0.94 for daily returns.
+ *
+ * For a single-element input, the function returns `|returns[0]|` (the seed)
+ * since no smoothing iterations are possible.
+ *
+ * @param returns - Period returns (e.g., log returns or simple returns).
+ * @param lambda - Decay factor in (0,1).
+ * @returns EWMA standard deviation, or null on empty input.
+ * @throws when `lambda` is outside (0,1).
+ */
+export declare function calculateEWMAVolatility(returns: number[], lambda: number): number | null;
+/**
+ * Classify a volatility value into one of four regimes.
+ *
+ * Bands are checked in the order: crisis (≥crisisMin) → elevated (≥elevatedMax)
+ * → calm (≤calmMax) → normal (otherwise).
+ *
+ * @throws when bands are not strictly ordered (calmMax < elevatedMax < crisisMin).
+ */
+export declare function detectVolatilityRegime(volatility: number, bands: RegimeBands): VolatilityRegime;
+/**
+ * Annualise a volatility computed at the given cadence by multiplying by
+ * the square root of the periods per year.
+ *
+ * - daily   → sqrt(252)              (252 trading days per year)
+ * - hourly  → sqrt(252 × 6.5)        (6.5 RTH hours per trading day)
+ * - minute  → sqrt(252 × 6.5 × 60)   (60 minutes per RTH hour)
+ *
+ * @param volatility - Per-period volatility (stddev).
+ * @param cadence - The cadence at which `volatility` was sampled.
+ * @returns The annualised volatility.
+ */
+export declare function annualiseVolatility(volatility: number, cadence: "daily" | "hourly" | "minute"): number;
+//# sourceMappingURL=volatility.d.ts.map

package/dist/types/volatility.d.ts.map

@@ -0,0 +1 @@
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package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@adaptic/utils",
-  "version": "0.0.988",
+  "version": "0.0.990",
   "author": "Adaptic.ai",
   "description": "Utility functions used in Adaptic app and Lambda functions",
   "always-build-npm": true,
@@ -38,7 +38,7 @@
     "changelog": "conventional-changelog -p angular -i CHANGELOG.md -s"
   },
   "dependencies": {
-    "@adaptic/backend-legacy": "0.0.973",
+    "@adaptic/backend-legacy": "0.0.977",
     "@adaptic/lumic-utils": "^1.0.15",
     "@alpacahq/alpaca-trade-api": "^3.1.3",
     "@apollo/client": "^3.13.8",