@fullstackcraftllc/floe 0.0.13 → 0.0.15

package/dist/rv/index.d.ts

@@ -0,0 +1,26 @@
+import { PriceObservation, RealizedVolatilityResult } from './types';
+export type { PriceObservation, RealizedVolatilityResult } from './types';
+/**
+ * Compute annualized realized volatility from price observations.
+ *
+ * Uses the standard quadratic variation estimator:
+ *
+ *   QV = Σᵢ (ln(Pᵢ / Pᵢ₋₁))²
+ *
+ * Annualized as:
+ *
+ *   σ_realized = √(QV × (N_year / elapsed_time))
+ *
+ * This function is stateless and tick-based: pass all observed prices
+ * and it computes from the full set. No windowing, no sampling — the
+ * consumer decides what observations to include. As the session
+ * progresses and more ticks arrive, the estimate naturally converges.
+ *
+ * Observations are sorted by timestamp internally, so order does not
+ * matter. Duplicate timestamps are preserved (both contribute).
+ * Zero or negative prices are filtered out.
+ *
+ * @param observations - Array of { price, timestamp } observations
+ * @returns Realized volatility result with annualized RV
+ */
+export declare function computeRealizedVolatility(observations: PriceObservation[]): RealizedVolatilityResult;

package/dist/rv/index.js

@@ -0,0 +1,81 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.computeRealizedVolatility = computeRealizedVolatility;
+const types_1 = require("../types");
+/**
+ * Compute annualized realized volatility from price observations.
+ *
+ * Uses the standard quadratic variation estimator:
+ *
+ *   QV = Σᵢ (ln(Pᵢ / Pᵢ₋₁))²
+ *
+ * Annualized as:
+ *
+ *   σ_realized = √(QV × (N_year / elapsed_time))
+ *
+ * This function is stateless and tick-based: pass all observed prices
+ * and it computes from the full set. No windowing, no sampling — the
+ * consumer decides what observations to include. As the session
+ * progresses and more ticks arrive, the estimate naturally converges.
+ *
+ * Observations are sorted by timestamp internally, so order does not
+ * matter. Duplicate timestamps are preserved (both contribute).
+ * Zero or negative prices are filtered out.
+ *
+ * @param observations - Array of { price, timestamp } observations
+ * @returns Realized volatility result with annualized RV
+ */
+function computeRealizedVolatility(observations) {
+    // Filter invalid observations and sort by timestamp
+    const valid = observations
+        .filter(o => o.price > 0 && isFinite(o.price) && isFinite(o.timestamp))
+        .sort((a, b) => a.timestamp - b.timestamp);
+    if (valid.length < 2) {
+        return emptyResult(valid);
+    }
+    // Compute sum of squared log returns
+    let quadraticVariation = 0;
+    let numReturns = 0;
+    for (let i = 1; i < valid.length; i++) {
+        const logReturn = Math.log(valid[i].price / valid[i - 1].price);
+        quadraticVariation += logReturn * logReturn;
+        numReturns++;
+    }
+    // Elapsed time
+    const firstTs = valid[0].timestamp;
+    const lastTs = valid[valid.length - 1].timestamp;
+    const elapsedMs = lastTs - firstTs;
+    const elapsedMinutes = elapsedMs / 60000;
+    const elapsedYears = elapsedMs / types_1.MILLISECONDS_PER_YEAR;
+    // Guard against zero elapsed time
+    if (elapsedYears <= 0) {
+        return emptyResult(valid);
+    }
+    // Annualize: σ² = QV × (year / elapsed)
+    const annualizedVariance = quadraticVariation / elapsedYears;
+    const realizedVolatility = Math.sqrt(annualizedVariance);
+    return {
+        realizedVolatility,
+        annualizedVariance,
+        quadraticVariation,
+        numObservations: valid.length,
+        numReturns,
+        elapsedMinutes,
+        elapsedYears,
+        firstObservation: firstTs,
+        lastObservation: lastTs,
+    };
+}
+function emptyResult(valid) {
+    return {
+        realizedVolatility: 0,
+        annualizedVariance: 0,
+        quadraticVariation: 0,
+        numObservations: valid.length,
+        numReturns: 0,
+        elapsedMinutes: 0,
+        elapsedYears: 0,
+        firstObservation: valid.length > 0 ? valid[0].timestamp : 0,
+        lastObservation: valid.length > 0 ? valid[valid.length - 1].timestamp : 0,
+    };
+}

package/dist/rv/types.d.ts

@@ -0,0 +1,32 @@
+/**
+ * A single price observation for realized volatility computation.
+ */
+export interface PriceObservation {
+    /** Price of the underlying (mid, last, or whatever the consumer provides) */
+    price: number;
+    /** Timestamp in milliseconds */
+    timestamp: number;
+}
+/**
+ * Result of computing realized volatility from price observations.
+ */
+export interface RealizedVolatilityResult {
+    /** Annualized realized volatility as decimal (e.g. 0.18 = 18%) */
+    realizedVolatility: number;
+    /** Annualized realized variance */
+    annualizedVariance: number;
+    /** Raw quadratic variation: Σ (ln(Pᵢ/Pᵢ₋₁))² */
+    quadraticVariation: number;
+    /** Number of price observations used */
+    numObservations: number;
+    /** Number of returns computed (observations - 1) */
+    numReturns: number;
+    /** Elapsed time in minutes from first to last observation */
+    elapsedMinutes: number;
+    /** Elapsed time in years (for annualization reference) */
+    elapsedYears: number;
+    /** Timestamp of first observation */
+    firstObservation: number;
+    /** Timestamp of last observation */
+    lastObservation: number;
+}

package/dist/rv/types.js

@@ -0,0 +1,2 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });

package/dist/utils/indexOptions.js

@@ -9,8 +9,9 @@ exports.getUnderlyingFromOptionRoot = exports.OPTION_ROOT_TO_UNDERLYING = void 0
 exports.OPTION_ROOT_TO_UNDERLYING = {
     'SPXW': 'SPX', // SPX Weekly options
     'SPXPM': 'SPX', // SPX PM-settled options
-    'NDXP': 'NDX', // NDX PM-settled options
+    'NDXP': 'NDX', // NDXP is Tradier's NDX options root
     'RUTW': 'RUT', // RUT Weekly options
+    'DJXW': 'DJX', // DJX Weekly options
     // Add more as needed
 };
 /**

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@fullstackcraftllc/floe",
-  "version": "0.0.13",
+  "version": "0.0.15",
   "description": "Production-ready options analytics toolkit. Normalize broker data structures and calculate Black-Scholes, Greeks, and exposures with a clean, type-safe API. Built for trading platforms and fintech applications.",
   "main": "dist/index.js",
   "types": "dist/index.d.ts",