@ebowwa/quant-rust 0.1.0

package/README.md

@@ -0,0 +1,161 @@
+# @ebowwa/quant-rust
+
+High-performance quantitative finance library with Rust FFI bindings for Bun.
+
+This package provides blazing-fast quantitative finance computations powered by Rust, accessible through a clean TypeScript API using Bun's FFI capabilities.
+
+## Features
+
+- **Prediction Markets**: Kelly criterion, AMM calculations, LMSR pricing, arbitrage detection
+- **Technical Indicators**: SMA, EMA, RSI, MACD, Bollinger Bands, ATR, and more
+- **Risk Management**: VaR, CVaR, Sharpe ratio, Sortino ratio, drawdown analysis
+- **Statistical Functions**: Mean, variance, standard deviation, correlation
+
+## Installation
+
+```bash
+bun add @ebowwa/quant-rust
+```
+
+## Requirements
+
+- Bun >= 1.0.0
+- Prebuilt binaries are included for:
+  - macOS (Apple Silicon/arm64)
+  - macOS (Intel/x64)
+  - Linux (x64)
+  - Windows (x64)
+
+If no prebuilt binary is available for your platform, the library will fall back to the development build in `target/release/`.
+
+## Usage
+
+```typescript
+import {
+  kellyCriterion,
+  detectArbitrage,
+  convertOdds,
+  mean,
+  sma,
+  ema,
+  rsi,
+  macd,
+  calculateVar,
+  calculateSharpeRatio,
+} from "@ebowwa/quant-rust";
+
+// Kelly criterion for position sizing
+const kelly = kellyCriterion(0.6, 0.5, 1000);
+console.log(kelly.kelly_fraction); // 0.2
+console.log(kelly.full_bet_size); // 200
+
+// Detect arbitrage in prediction markets
+const arb = detectArbitrage(0.45, 0.45);
+console.log(arb.has_arbitrage); // true (0.45 + 0.45 = 0.9 < 1)
+console.log(arb.profit_per_share); // 0.1 (10 cents per share)
+
+// Convert between odds formats
+const odds = convertOdds(0.5, "probability");
+console.log(odds.decimal_odds); // 2.0
+console.log(odds.american_odds); // 100
+
+// Statistical functions
+const avg = mean([1, 2, 3, 4, 5]);
+console.log(avg); // 3
+
+// Technical indicators
+const smaResult = sma([1, 2, 3, 4, 5], 3);
+console.log(smaResult); // [2, 3, 4]
+
+const rsiResult = rsi([10, 11, 12, 11, 10, 9, 8, 9, 10, 11, 12, 13, 14, 15, 16], 14);
+console.log(rsiResult); // [71.43...]
+
+// Risk metrics
+const returns = [0.01, 0.02, -0.01, 0.03, -0.02, 0.01, 0.02, 0.01, -0.01, 0.02];
+const varResult = calculateVar(returns, 0.95);
+console.log(varResult.var); // Value at Risk at 95% confidence
+
+const sharpe = calculateSharpeRatio(returns, 0.04, 252);
+console.log(sharpe.annualized_sharpe); // Annualized Sharpe ratio
+```
+
+## API Reference
+
+### Prediction Market Functions
+
+#### `kellyCriterion(yourProbability, marketPrice, bankroll)`
+Calculate optimal position sizing using the Kelly criterion.
+
+#### `detectArbitrage(yesPrice, noPrice)`
+Detect arbitrage opportunities in binary prediction markets.
+
+#### `convertOdds(value, fromType)`
+Convert between probability, decimal odds, and American odds.
+
+#### `ammCalculateCost(poolYes, poolNo, buyYes, shares)`
+Calculate cost to buy shares from a constant-product AMM.
+
+#### `lmsrPrice(yesShares, noShares, b)`
+Calculate LMSR prices for a prediction market.
+
+### Statistical Functions
+
+#### `mean(data)`
+Calculate the arithmetic mean.
+
+#### `stdDev(data)`
+Calculate the standard deviation.
+
+#### `variance(data)`
+Calculate the variance.
+
+#### `correlation(x, y)`
+Calculate Pearson correlation coefficient.
+
+### Technical Indicators
+
+#### `sma(prices, period)`
+Simple Moving Average.
+
+#### `ema(prices, period)`
+Exponential Moving Average.
+
+#### `rsi(prices, period)`
+Relative Strength Index.
+
+#### `macd(prices, fastPeriod, slowPeriod, signalPeriod)`
+MACD (Moving Average Convergence Divergence).
+
+### Risk Management
+
+#### `calculateVar(returns, confidenceLevel)`
+Value at Risk calculation.
+
+#### `calculateDrawdown(equityCurve)`
+Drawdown analysis.
+
+#### `calculateSharpeRatio(returns, riskFreeRate, periodsPerYear)`
+Sharpe ratio calculation.
+
+#### `calculateSortinoRatio(returns, riskFreeRate, periodsPerYear)`
+Sortino ratio (downside deviation only).
+
+## Building from Source
+
+If you need to build the native library from source:
+
+```bash
+# Navigate to the package directory
+cd node_modules/@ebowwa/quant-rust
+
+# Build the Rust library
+cargo build --release
+```
+
+## License
+
+MIT
+
+## Repository
+
+https://github.com/ebowwa/codespaces/tree/main/packages/src/quant-rust

package/bun-ffi.d.ts

@@ -0,0 +1,54 @@
+/**
+ * Type augmentation for bun:ffi
+ *
+ * This file provides additional type definitions for FFIType that may not be
+ * included in the official bun-types package.
+ */
+
+declare module "bun:ffi" {
+  export const FFIType: {
+    bool: FFIEnum;
+    c_int: FFIEnum;
+    c_uint: FFIEnum;
+    char: FFIEnum;
+    "char*": FFIEnum;
+    double: FFIEnum;
+    f32: FFIEnum;
+    f64: FFIEnum;
+    float: FFIEnum;
+    i16: FFIEnum;
+    i32: FFIEnum;
+    i64: FFIEnum;
+    i8: FFIEnum;
+    int: FFIEnum;
+    int16_t: FFIEnum;
+    int32_t: FFIEnum;
+    int64_t: FFIEnum;
+    int8_t: FFIEnum;
+    isize: FFIEnum;
+    u16: FFIEnum;
+    u32: FFIEnum;
+    u64: FFIEnum;
+    u8: FFIEnum;
+    uint16_t: FFIEnum;
+    uint32_t: FFIEnum;
+    uint64_t: FFIEnum;
+    uint8_t: FFIEnum;
+    usize: FFIEnum;
+    "void*": FFIEnum;
+    ptr: FFIEnum;
+    pointer: FFIEnum;
+    void: FFIEnum;
+    cstring: FFIEnum;
+    i64_fast: FFIEnum;
+    u64_fast: FFIEnum;
+    function: FFIEnum;
+    callback: FFIEnum;
+    fn: FFIEnum;
+    napi_env: FFIEnum;
+    napi_value: FFIEnum;
+    buffer: FFIEnum;
+  };
+
+  type FFIEnum = string | number;
+}