@ebowwa/quant-rust 0.1.0

package/dist/src/index.d.ts

@@ -0,0 +1,324 @@
+/**
+ * Bun FFI wrapper for quant-rust
+ *
+ * This module provides TypeScript bindings for the Rust quant library
+ * using Bun's FFI capabilities.
+ *
+ * @packageDocumentation
+ */
+import type { OHLCV, AMMState, AMMCostResult, AMMPriceImpactResult, LMSRPriceResult, KellyResult, ArbitrageResult, OddsConversion, VaRResult, DrawdownResult, SharpeResult } from "../types/index.js";
+/**
+ * Get the library version
+ */
+export declare function getVersion(): string;
+/**
+ * Clear the last error
+ */
+export declare function clearError(): void;
+/**
+ * Get the path to the loaded native library
+ */
+export declare function getLibraryPath(): string;
+/**
+ * Create an OHLCV candlestick data structure
+ *
+ * @param timestamp - Unix timestamp in milliseconds
+ * @param open - Opening price
+ * @param high - High price
+ * @param low - Low price
+ * @param close - Closing price
+ * @param volume - Volume
+ * @returns OHLCV object
+ */
+export declare function createOHLCV(timestamp: number, open: number, high: number, low: number, close: number, volume: number): OHLCV;
+/**
+ * Create an AMM state for constant-product AMMs
+ *
+ * @param poolYes - YES pool reserves
+ * @param poolNo - NO pool reserves
+ * @param fee - Fee as decimal (e.g., 0.003 for 0.3%)
+ * @returns AMMState object
+ */
+export declare function createAMM(poolYes: number, poolNo: number, fee: number): AMMState;
+/**
+ * Calculate the cost to buy shares from a constant-product AMM
+ *
+ * Uses the formula: cost = new_pool_no - pool_no where new_pool_no = k / (pool_yes + shares)
+ *
+ * @param poolYes - Current YES pool reserves
+ * @param poolNo - Current NO pool reserves
+ * @param outcome - Whether to buy 'yes' or 'no' shares
+ * @param shares - Number of shares to buy
+ * @returns Cost in currency units (always positive, number for API compatibility)
+ */
+export declare function ammCalculateCost(poolYes: number, poolNo: number, outcome: 'yes' | 'no' | boolean, shares: number): number;
+/**
+ * Calculate the cost to buy shares from a constant-product AMM (full result)
+ *
+ * @param poolYes - Current YES pool reserves
+ * @param poolNo - Current NO pool reserves
+ * @param outcome - Whether to buy 'yes' or 'no' shares
+ * @param shares - Number of shares to buy
+ * @returns Full cost calculation result with cost and avg_price (always positive)
+ */
+export declare function ammCalculateCostFull(poolYes: number, poolNo: number, outcome: 'yes' | 'no' | boolean, shares: number): AMMCostResult;
+/**
+ * Calculate the price impact for a trade on a constant-product AMM
+ *
+ * @param poolYes - Current YES pool reserves
+ * @param poolNo - Current NO pool reserves
+ * @param outcome - Whether to buy 'yes' or 'no' shares
+ * @param shares - Number of shares to buy
+ * @returns Price impact analysis
+ */
+export declare function ammPriceImpact(poolYes: number, poolNo: number, outcome: 'yes' | 'no' | boolean, shares: number): AMMPriceImpactResult;
+export declare const amm_buy_cost: typeof ammCalculateCost;
+export declare const amm_calculate_cost: typeof ammCalculateCost;
+export declare const amm_price_impact: typeof ammPriceImpact;
+/**
+ * Calculate LMSR prices for a prediction market
+ *
+ * Uses the LMSR formula: price_yes = exp(q_yes/b) / (exp(q_yes/b) + exp(q_no/b))
+ *
+ * @param yesShares - YES shares outstanding
+ * @param noShares - NO shares outstanding
+ * @param b - Liquidity parameter (controls price sensitivity)
+ * @returns LMSR price result with yes_price and no_price
+ */
+export declare function lmsrPrice(yesShares: number, noShares: number, b: number): LMSRPriceResult;
+/**
+ * Calculate the cost to buy shares using LMSR
+ *
+ * Uses the LMSR cost formula: C(q') - C(q) = b * ln(sum(exp(q'_i/b))) - b * ln(sum(exp(q_i/b)))
+ *
+ * @param yesShares - Current YES shares outstanding
+ * @param noShares - Current NO shares outstanding
+ * @param b - Liquidity parameter
+ * @param outcome - Whether to buy 'yes' or 'no' shares (or boolean)
+ * @param shares - Number of shares to buy
+ * @returns Cost calculation result
+ */
+export declare function lmsrCost(yesShares: number, noShares: number, b: number, outcome: 'yes' | 'no' | boolean, shares: number): AMMCostResult;
+/**
+ * Calculate LMSR price and cost (unified function)
+ *
+ * @param yesShares - Current YES shares outstanding
+ * @param noShares - Current NO shares outstanding
+ * @param liquidityParam - Liquidity parameter (b)
+ * @param operation - "price" or "cost"
+ * @param outcome - "yes" or "no"
+ * @param sharesToBuy - Number of shares (only for cost operation)
+ * @returns Price or cost result
+ */
+export declare function lmsrCalculate(yesShares: number, noShares: number, liquidityParam: number, operation: "price" | "cost", outcome: "yes" | "no", sharesToBuy?: number): LMSRPriceResult | AMMCostResult;
+/**
+ * Calculate the Kelly criterion for optimal position sizing
+ *
+ * The Kelly criterion determines the optimal fraction of bankroll to bet
+ * based on your estimated probability vs the market price.
+ *
+ * @param yourProbability - Your estimated probability of winning (0-1)
+ * @param marketPrice - Current market price to buy shares (0-1)
+ * @param bankroll - Your total bankroll in currency units
+ * @returns Kelly criterion result with various bet sizes
+ */
+export declare function kellyCriterion(yourProbability: number, marketPrice: number, bankroll: number): KellyResult;
+export declare const kelly_criterion: typeof kellyCriterion;
+/**
+ * Detect arbitrage opportunities in prediction markets
+ *
+ * If yes_price + no_price < 1, there's an arbitrage opportunity.
+ *
+ * @param yesPrice - Current YES share price (0-1)
+ * @param noPrice - Current NO share price (0-1)
+ * @returns Arbitrage analysis with profit field for API compatibility
+ */
+export declare function detectArbitrage(yesPrice: number, noPrice: number): ArbitrageResult & {
+    profit: number;
+};
+export declare const detect_arbitrage: typeof detectArbitrage;
+/** Odds input type */
+export type OddsType = "probability" | "decimal" | "american";
+/**
+ * Convert between probability, decimal odds, and American odds
+ *
+ * @param value - The value to convert
+ * @param fromType - The type of the input value
+ * @param toType - Optional target type (if specified, returns just that value)
+ * @returns Converted odds in all formats, or single value if toType specified
+ */
+export declare function convertOdds(value: number, fromType: OddsType, toType?: OddsType): OddsConversion | number;
+export declare const convert_odds: typeof convertOdds;
+/**
+ * Calculate the mean (average) of an array of numbers
+ *
+ * @param data - Array of numbers
+ * @returns Mean value, or NaN if array is empty
+ */
+export declare function mean(data: number[]): number;
+/**
+ * Calculate the standard deviation of an array of numbers
+ *
+ * @param data - Array of numbers
+ * @returns Standard deviation, or NaN if array is empty
+ */
+export declare function stdDev(data: number[]): number;
+/**
+ * Calculate the variance of an array of numbers
+ *
+ * @param data - Array of numbers
+ * @returns Variance, or NaN if array is empty
+ */
+export declare function variance(data: number[]): number;
+/**
+ * Calculate the Pearson correlation coefficient between two arrays
+ *
+ * @param x - First array of numbers
+ * @param y - Second array of numbers
+ * @returns Correlation coefficient (-1 to 1), or NaN if arrays are invalid
+ */
+export declare function correlation(x: number[], y: number[]): number;
+export declare const std_dev: typeof stdDev;
+/**
+ * Simple Moving Average (SMA)
+ *
+ * @param prices - Array of prices
+ * @param period - Number of periods to average
+ * @returns Array of SMA values
+ */
+export declare function sma(prices: number[], period: number): number[];
+/**
+ * Exponential Moving Average (EMA)
+ *
+ * @param prices - Array of prices
+ * @param period - EMA period
+ * @returns Array of EMA values
+ */
+export declare function ema(prices: number[], period: number): number[];
+/**
+ * Relative Strength Index (RSI)
+ *
+ * @param prices - Array of prices
+ * @param period - RSI period (default: 14)
+ * @returns Array of RSI values (0-100)
+ */
+export declare function rsi(prices: number[], period?: number): number[];
+/**
+ * MACD (Moving Average Convergence Divergence)
+ *
+ * @param prices - Array of prices
+ * @param fastPeriod - Fast EMA period (default: 12)
+ * @param slowPeriod - Slow EMA period (default: 26)
+ * @param signalPeriod - Signal line period (default: 9)
+ * @returns Object with macd, signal, and histogram arrays
+ */
+export declare function macd(prices: number[], fastPeriod?: number, slowPeriod?: number, signalPeriod?: number): {
+    macd: number[];
+    signal: number[];
+    histogram: number[];
+};
+/**
+ * Calculate Value at Risk (VaR) and Expected Shortfall (CVaR)
+ *
+ * @param returns - Array of returns
+ * @param confidenceLevel - Confidence level (default: 0.95)
+ * @returns VaR result
+ */
+export declare function calculateVar(returns: number[], confidenceLevel?: number): VaRResult;
+/**
+ * Calculate drawdown analysis from equity curve
+ *
+ * @param equityCurve - Array of equity values over time
+ * @returns Drawdown analysis result
+ */
+export declare function calculateDrawdown(equityCurve: number[]): DrawdownResult;
+/**
+ * Calculate Sharpe ratio
+ *
+ * @param returns - Array of returns
+ * @param riskFreeRate - Annual risk-free rate (default: 0.04)
+ * @param periodsPerYear - Trading periods per year (default: 252)
+ * @returns Annualized Sharpe ratio (number for API compatibility)
+ */
+export declare function calculateSharpeRatio(returns: number[], riskFreeRate?: number, periodsPerYear?: number): number;
+/**
+ * Calculate Sharpe ratio with full result
+ *
+ * @param returns - Array of returns
+ * @param riskFreeRate - Annual risk-free rate (default: 0.04)
+ * @param periodsPerYear - Trading periods per year (default: 252)
+ * @returns Full Sharpe ratio result object
+ */
+export declare function calculateSharpeRatioFull(returns: number[], riskFreeRate?: number, periodsPerYear?: number): SharpeResult;
+export declare const calculate_var: typeof calculateVar;
+export declare const calculate_drawdown: typeof calculateDrawdown;
+export declare const calculate_sharpe_ratio: typeof calculateSharpeRatio;
+export declare const sharpeRatio: typeof calculateSharpeRatio;
+/**
+ * Calculate Sortino ratio (only penalizes downside volatility)
+ *
+ * @param returns - Array of returns
+ * @param riskFreeRate - Annual risk-free rate (default: 0.04)
+ * @param periodsPerYear - Trading periods per year (default: 252)
+ * @returns Sortino ratio
+ */
+export declare function calculateSortinoRatio(returns: number[], riskFreeRate?: number, periodsPerYear?: number): number;
+/**
+ * Calculate beta and alpha against a benchmark
+ *
+ * @param assetReturns - Array of asset returns
+ * @param benchmarkReturns - Array of benchmark returns
+ * @returns Object with beta and alpha values
+ */
+export declare function calculateBetaAlpha(assetReturns: number[], benchmarkReturns: number[]): {
+    beta: number;
+    alpha: number;
+};
+export declare const calculate_sortino_ratio: typeof calculateSortinoRatio;
+export declare const calculate_beta_alpha: typeof calculateBetaAlpha;
+export * from "../types/index.js";
+declare const _default: {
+    getVersion: typeof getVersion;
+    clearError: typeof clearError;
+    getLibraryPath: typeof getLibraryPath;
+    createOHLCV: typeof createOHLCV;
+    createAMM: typeof createAMM;
+    ammCalculateCost: typeof ammCalculateCost;
+    ammCalculateCostFull: typeof ammCalculateCostFull;
+    ammPriceImpact: typeof ammPriceImpact;
+    amm_buy_cost: typeof ammCalculateCost;
+    amm_calculate_cost: typeof ammCalculateCost;
+    amm_price_impact: typeof ammPriceImpact;
+    lmsrPrice: typeof lmsrPrice;
+    lmsrCost: typeof lmsrCost;
+    lmsrCalculate: typeof lmsrCalculate;
+    kellyCriterion: typeof kellyCriterion;
+    kelly_criterion: typeof kellyCriterion;
+    detectArbitrage: typeof detectArbitrage;
+    detect_arbitrage: typeof detectArbitrage;
+    convertOdds: typeof convertOdds;
+    convert_odds: typeof convertOdds;
+    mean: typeof mean;
+    stdDev: typeof stdDev;
+    std_dev: typeof stdDev;
+    variance: typeof variance;
+    correlation: typeof correlation;
+    sma: typeof sma;
+    ema: typeof ema;
+    rsi: typeof rsi;
+    macd: typeof macd;
+    calculateVar: typeof calculateVar;
+    calculate_var: typeof calculateVar;
+    calculateDrawdown: typeof calculateDrawdown;
+    calculate_drawdown: typeof calculateDrawdown;
+    calculateSharpeRatio: typeof calculateSharpeRatio;
+    calculateSharpeRatioFull: typeof calculateSharpeRatioFull;
+    calculate_sharpe_ratio: typeof calculateSharpeRatio;
+    sharpeRatio: typeof calculateSharpeRatio;
+    calculateSortinoRatio: typeof calculateSortinoRatio;
+    calculate_sortino_ratio: typeof calculateSortinoRatio;
+    calculateBetaAlpha: typeof calculateBetaAlpha;
+    calculate_beta_alpha: typeof calculateBetaAlpha;
+};
+export default _default;
+//# sourceMappingURL=index.d.ts.map

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

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