@ebowwa/quant-rust 0.1.0

package/types/index.ts

@@ -0,0 +1,513 @@
+/**
+ * TypeScript type definitions for quant-rust
+ *
+ * These types mirror the Rust types in src/types.rs
+ *
+ * @packageDocumentation
+ */
+
+// ============================================================================
+// OHLCV Types
+// ============================================================================
+
+/**
+ * OHLCV candlestick data
+ */
+export interface OHLCV {
+  /** Unix timestamp in milliseconds */
+  timestamp: number;
+  /** Opening price */
+  open: number;
+  /** High price */
+  high: number;
+  /** Low price */
+  low: number;
+  /** Closing price */
+  close: number;
+  /** Volume */
+  volume: number;
+}
+
+// ============================================================================
+// AMM Types
+// ============================================================================
+
+/**
+ * AMM (Automated Market Maker) state for constant-product AMMs
+ */
+export interface AMMState {
+  /** YES pool reserves */
+  pool_yes: number;
+  /** NO pool reserves */
+  pool_no: number;
+  /** Constant product k = pool_yes * pool_no */
+  k: number;
+  /** LP token total supply */
+  lp_token_supply: number;
+  /** Fee as decimal (e.g., 0.003 for 0.3%) */
+  fee: number;
+}
+
+/**
+ * AMM cost calculation result
+ */
+export interface AMMCostResult {
+  /** Total cost to buy the shares */
+  cost: number;
+  /** Average price per share */
+  avg_price: number;
+}
+
+/**
+ * AMM price impact result
+ */
+export interface AMMPriceImpactResult {
+  /** Price before the trade */
+  initial_price: number;
+  /** Price after the trade */
+  final_price: number;
+  /** Price impact as decimal (e.g., 0.01 = 1%) */
+  price_impact: number;
+  /** Price impact in basis points (1 bp = 0.01%) */
+  impact_bps: number;
+}
+
+// ============================================================================
+// LMSR Types
+// ============================================================================
+
+/**
+ * LMSR (Logarithmic Market Scoring Rule) state
+ */
+export interface LMSRState {
+  /** YES shares outstanding */
+  yes_shares: number;
+  /** NO shares outstanding */
+  no_shares: number;
+  /** Liquidity parameter (controls price sensitivity) */
+  b: number;
+}
+
+/**
+ * LMSR price result
+ */
+export interface LMSRPriceResult {
+  /** Current YES price (0-1) */
+  yes_price: number;
+  /** Current NO price (0-1) */
+  no_price: number;
+}
+
+// ============================================================================
+// Kelly Criterion Types
+// ============================================================================
+
+/**
+ * Result of Kelly criterion calculation
+ */
+export interface KellyResult {
+  /** Full Kelly fraction (0-1) */
+  kelly_fraction: number;
+  /** Half Kelly fraction (more conservative) */
+  half_kelly: number;
+  /** Quarter Kelly fraction (most conservative) */
+  quarter_kelly: number;
+  /** Full bet size in currency units */
+  full_bet_size: number;
+  /** Half bet size in currency units */
+  half_bet_size: number;
+  /** Quarter bet size in currency units */
+  quarter_bet_size: number;
+  /** Expected edge (your_prob - market_price) */
+  edge: number;
+  /** Decimal odds */
+  odds: number;
+}
+
+/**
+ * A betting opportunity for multi-bet Kelly
+ */
+export interface BetOpportunity {
+  /** Your estimated probability of winning */
+  your_prob: number;
+  /** Current market price */
+  market_price: number;
+}
+
+// ============================================================================
+// Risk Types
+// ============================================================================
+
+/**
+ * Value at Risk (VaR) and Expected Shortfall (CVaR) result
+ */
+export interface VaRResult {
+  /** Value at Risk at the given confidence level */
+  var: number;
+  /** Conditional VaR (Expected Shortfall) */
+  cvar: number;
+  /** Confidence level used */
+  confidence_level: number;
+}
+
+/**
+ * Drawdown analysis result
+ */
+export interface DrawdownResult {
+  /** Maximum drawdown (as decimal, e.g., 0.25 = 25%) */
+  max_drawdown: number;
+  /** Maximum drawdown duration in periods */
+  max_duration: number;
+  /** Current drawdown */
+  current_drawdown: number;
+  /** Recovery factor (total return / max drawdown) */
+  recovery_factor: number;
+}
+
+/**
+ * Sharpe ratio result
+ */
+export interface SharpeResult {
+  /** Sharpe ratio */
+  sharpe_ratio: number;
+  /** Annualized Sharpe ratio */
+  annualized_sharpe: number;
+  /** Risk-free rate used */
+  risk_free_rate: number;
+  /** Average return */
+  avg_return: number;
+  /** Standard deviation of returns */
+  std_dev: number;
+}
+
+// ============================================================================
+// Statistical Types
+// ============================================================================
+
+/**
+ * Linear regression result
+ */
+export interface RegressionResult {
+  /** Slope (beta coefficient) */
+  slope: number;
+  /** Intercept (alpha) */
+  intercept: number;
+  /** R-squared (coefficient of determination) */
+  r_squared: number;
+  /** Standard error of the slope */
+  std_error: number;
+  /** Number of observations */
+  n: number;
+}
+
+/**
+ * Distribution statistics
+ */
+export interface DistributionStats {
+  /** Mean */
+  mean: number;
+  /** Median */
+  median: number;
+  /** Standard deviation */
+  std_dev: number;
+  /** Variance */
+  variance: number;
+  /** Skewness (asymmetry measure) */
+  skewness: number;
+  /** Kurtosis (tail heaviness, excess over normal) */
+  kurtosis: number;
+  /** Minimum value */
+  min: number;
+  /** Maximum value */
+  max: number;
+  /** Sample size */
+  count: number;
+}
+
+/**
+ * Autocorrelation result
+ */
+export interface AutocorrelationResult {
+  /** Lag values */
+  lags: number[];
+  /** Autocorrelation coefficients */
+  autocorrelations: number[];
+  /** Confidence level (typically 1.96 / sqrt(n) for 95%) */
+  confidence_bound: number;
+}
+
+// ============================================================================
+// Signal Types
+// ============================================================================
+
+/**
+ * Trading signal
+ */
+export const enum Signal {
+  /** Strong buy signal */
+  StrongBuy = 2,
+  /** Buy signal */
+  Buy = 1,
+  /** Neutral / hold */
+  Neutral = 0,
+  /** Sell signal */
+  Sell = -1,
+  /** Strong sell signal */
+  StrongSell = -2,
+}
+
+/**
+ * Indicator result with value and signal
+ */
+export interface IndicatorResult {
+  /** The indicator value */
+  value: number;
+  /** Trading signal derived from the indicator */
+  signal: Signal;
+  /** Optional upper band (for Bollinger, etc.) */
+  upper_band?: number;
+  /** Optional lower band */
+  lower_band?: number;
+}
+
+// ============================================================================
+// Pattern Types
+// ============================================================================
+
+/**
+ * Candlestick pattern type
+ */
+export const enum CandlePattern {
+  /** Doji - indecision */
+  Doji = 'Doji',
+  /** Hammer - bullish reversal */
+  Hammer = 'Hammer',
+  /** Inverted hammer - bullish reversal */
+  InvertedHammer = 'InvertedHammer',
+  /** Bullish engulfing - strong bullish reversal */
+  BullishEngulfing = 'BullishEngulfing',
+  /** Bearish engulfing - strong bearish reversal */
+  BearishEngulfing = 'BearishEngulfing',
+  /** Morning star - bullish reversal */
+  MorningStar = 'MorningStar',
+  /** Evening star - bearish reversal */
+  EveningStar = 'EveningStar',
+  /** Three white soldiers - strong bullish */
+  ThreeWhiteSoldiers = 'ThreeWhiteSoldiers',
+  /** Three black crows - strong bearish */
+  ThreeBlackCrows = 'ThreeBlackCrows',
+  /** Shooting star - bearish reversal */
+  ShootingStar = 'ShootingStar',
+  /** Hanging man - bearish reversal */
+  HangingMan = 'HangingMan',
+}
+
+/**
+ * Pattern recognition result
+ */
+export interface PatternResult {
+  /** The detected pattern */
+  pattern: CandlePattern;
+  /** Confidence level (0-1) */
+  confidence: number;
+  /** Index in the data where pattern was found */
+  index: number;
+  /** Whether the pattern is bullish */
+  is_bullish: boolean;
+}
+
+// ============================================================================
+// Odds Types
+// ============================================================================
+
+/**
+ * Odds conversion result
+ */
+export interface OddsConversion {
+  /** Probability (0-1) */
+  probability: number;
+  /** Decimal odds (e.g., 2.0 for even money) */
+  decimal_odds: number;
+  /** American odds (e.g., -110, +200) */
+  american_odds: number;
+}
+
+/**
+ * Arbitrage detection result
+ */
+export interface ArbitrageResult {
+  /** Whether an arbitrage opportunity exists */
+  has_arbitrage: boolean;
+  /** YES share price */
+  yes_price: number;
+  /** NO share price */
+  no_price: number;
+  /** Sum of prices (if < 1, arbitrage exists) */
+  total_price: number;
+  /** Profit per share if arbitrage exists */
+  profit_per_share: number;
+  /** Profit in basis points */
+  profit_bps: number;
+}
+
+// ============================================================================
+// Brier Score Types
+// ============================================================================
+
+/**
+ * Brier score result
+ */
+export interface BrierScore {
+  /** The Brier score (lower is better, 0 = perfect) */
+  score: number;
+  /** Number of predictions evaluated */
+  count: number;
+}
+
+/**
+ * Prediction for Brier score calculation
+ */
+export interface Prediction {
+  /** Predicted probability (0-1) */
+  predicted: number;
+  /** Actual outcome (0 or 1) */
+  actual: number;
+}
+
+// ============================================================================
+// Indicator Result Types
+// ============================================================================
+
+/**
+ * MACD (Moving Average Convergence Divergence) result
+ */
+export interface MACDResult {
+  /** MACD line (fast EMA - slow EMA) */
+  macd: number[];
+  /** Signal line (EMA of MACD) */
+  signal: number[];
+  /** Histogram (MACD - Signal) */
+  histogram: number[];
+}
+
+/**
+ * Stochastic Oscillator result
+ */
+export interface StochasticResult {
+  /** %K line (fast stochastic) */
+  k: number[];
+  /** %D line (SMA of %K) */
+  d: number[];
+}
+
+/**
+ * Bollinger Bands result
+ */
+export interface BollingerBandsResult {
+  /** Upper band */
+  upper: number[];
+  /** Middle band (SMA) */
+  middle: number[];
+  /** Lower band */
+  lower: number[];
+  /** Bandwidth ((upper - lower) / middle * 100) */
+  bandwidth: number[];
+  /** %B (position within bands) */
+  percent_b: number[];
+}
+
+/**
+ * ATR (Average True Range) result
+ */
+export interface ATRResult {
+  /** ATR values */
+  atr: number[];
+  /** True Range values */
+  tr: number[];
+}
+
+/**
+ * Keltner Channels result
+ */
+export interface KeltnerChannelsResult {
+  /** Upper channel */
+  upper: number[];
+  /** Middle channel (EMA) */
+  middle: number[];
+  /** Lower channel */
+  lower: number[];
+}
+
+// ============================================================================
+// Edge Calculation
+// ============================================================================
+
+/**
+ * Edge calculation result
+ */
+export interface EdgeResult {
+  /** Your edge (your_probability - market_price) */
+  edge: number;
+  /** Whether you have a positive edge */
+  has_edge: boolean;
+  /** Edge as percentage */
+  edge_percent: number;
+}
+
+/**
+ * Calculate your edge in a prediction market bet
+ */
+export function calculateEdge(
+  yourProbability: number,
+  marketPrice: number
+): EdgeResult {
+  const edge = yourProbability - marketPrice;
+  return {
+    edge,
+    has_edge: edge > 0,
+    edge_percent: edge * 100,
+  };
+}
+
+// ============================================================================
+// Position Sizing Types
+// ============================================================================
+
+/**
+ * Fixed fractional position sizing result
+ */
+export interface PositionSizeResult {
+  /** Position size in currency units */
+  position_size: number;
+  /** Number of shares/contracts */
+  shares: number;
+  /** Risk amount in currency units */
+  risk_amount: number;
+  /** Entry price */
+  entry_price: number;
+  /** Stop loss price */
+  stop_loss: number;
+}
+
+/**
+ * Calculate position size using fixed fractional risk management
+ */
+export function positionSizeFixedFractional(
+  capital: number,
+  riskPercent: number,
+  entryPrice: number,
+  stopLoss: number
+): PositionSizeResult {
+  const riskAmount = capital * riskPercent;
+  const riskPerShare = Math.abs(entryPrice - stopLoss);
+  const shares = riskPerShare > 0 ? Math.floor(riskAmount / riskPerShare) : 0;
+  const positionSize = shares * entryPrice;
+
+  return {
+    position_size: positionSize,
+    shares,
+    risk_amount: riskAmount,
+    entry_price: entryPrice,
+    stop_loss: stopLoss,
+  };
+}