@gbozee/ultimate 0.0.2-next.5 → 0.0.2-next.50

package/dist/frontend-index.d.ts

@@ -120,7 +120,7 @@ export declare function determineTPSl(payload: {
 };
 export interface GetEntriesParams {
 	kind: "long" | "short";
-	distribution: "arithmetic" | "geometric" | "normal" | "exponential" | "inverse-exponential";
+	distribution: "arithmetic" | "geometric" | "normal" | "exponential" | "lognormal" | "inverse-exponential";
 	margin_range: [
 		number,
 		number
@@ -133,6 +133,7 @@ export interface GetEntriesParams {
 		lambda?: number;
 	};
 }
+export declare function determine_pnl(entry: number, close_price: number, quantity: number, kind?: string, contract_size?: number): number;
 export type SignalConfigType = {
 	symbol?: string;
 	focus: number;
@@ -181,7 +182,7 @@ export type SignalConfigType = {
 		}>;
 	};
 };
-declare class Signal {
+export declare class Signal {
 	focus: number;
 	budget: number;
 	percent_change: number;
@@ -1135,6 +1136,33 @@ export declare function generateDangerousConfig(payload: {
 		entry: any;
 	};
 };
+export declare function computeMarginProtection({ entry, quantity, tp, stop_loss, avg_price, avg_qty, next_order, base_asset, symbol, }: {
+	symbol: string;
+	base_asset: number;
+	next_order: number;
+	entry: number;
+	quantity: number;
+	tp: {
+		price: number;
+	};
+	stop_loss: {
+		price: number;
+	};
+	avg_price: number;
+	avg_qty: number;
+}): {
+	existing_quantity: number;
+	quantity_to_place: number;
+	quantity: number;
+	price: number;
+	tp: number;
+	risk: number;
+	protect_quantity: number;
+	ideal_protect_quantity: number;
+	hedge: number;
+	price_place: string;
+	decimal_place: string;
+};
 export type StrategyPosition = {
 	entry: number;
 	quantity: number;
@@ -1494,7 +1522,8 @@ declare function constructAppConfig$1({ config, global_config, }: {
 		lambda?: number;
 	};
 };
-declare function buildWithOptimumReward({ config, settings, global_config, force_exact, }: {
+declare function buildWithOptimumReward({ config, settings, global_config, force_exact, use_default, }: {
+	use_default?: boolean;
 	config: TradeConfig;
 	global_config: GlobalConfig;
 	settings: {

package/dist/frontend-index.js

@@ -9,7 +9,13 @@ function generateArithmetic(payload) {
   });
 }
 function generateGeometric(payload) {
-  const { margin_range, risk_reward, kind, price_places = "%.1f", percent_change } = payload;
+  const {
+    margin_range,
+    risk_reward,
+    kind,
+    price_places = "%.1f",
+    percent_change
+  } = payload;
   const effectivePercentChange = percent_change ?? Math.abs(margin_range[1] / margin_range[0] - 1) / risk_reward;
   return Array.from({ length: risk_reward + 1 }, (_, i) => {
     const price = kind === "long" ? margin_range[1] * Math.pow(1 - effectivePercentChange, i) : margin_range[0] * Math.pow(1 + effectivePercentChange, i);
@@ -31,7 +37,13 @@ function approximateInverseNormal(p) {
   }
 }
 function generateNormal(payload) {
-  const { margin_range, risk_reward, kind, price_places = "%.1f", stdDevFactor = 6 } = payload;
+  const {
+    margin_range,
+    risk_reward,
+    kind,
+    price_places = "%.1f",
+    stdDevFactor = 6
+  } = payload;
   const mean = (margin_range[0] + margin_range[1]) / 2;
   const stdDev = Math.abs(margin_range[1] - margin_range[0]) / stdDevFactor;
   const skew = kind === "long" ? -0.2 : 0.2;
@@ -46,7 +58,13 @@ function generateNormal(payload) {
   return entries.sort((a, b) => a - b);
 }
 function generateExponential(payload) {
-  const { margin_range, risk_reward, kind, price_places = "%.1f", lambda } = payload;
+  const {
+    margin_range,
+    risk_reward,
+    kind,
+    price_places = "%.1f",
+    lambda
+  } = payload;
   const range = Math.abs(margin_range[1] - margin_range[0]);
   const effectiveLambda = lambda || 2.5;
   return Array.from({ length: risk_reward + 1 }, (_, i) => {
@@ -57,7 +75,13 @@ function generateExponential(payload) {
   });
 }
 function generateInverseExponential(payload) {
-  const { margin_range, risk_reward, kind, price_places = "%.1f", curveFactor = 2 } = payload;
+  const {
+    margin_range,
+    risk_reward,
+    kind,
+    price_places = "%.1f",
+    curveFactor = 2
+  } = payload;
   const range = Math.abs(margin_range[1] - margin_range[0]);
   return Array.from({ length: risk_reward + 1 }, (_, i) => {
     const t = i / risk_reward;
@@ -91,8 +115,7 @@ function getEntries(params) {
         margin_range,
         risk_reward,
         kind,
-        price_places,
-        percent_change: distribution_params?.curveFactor
+        price_places
       });
       break;
     case "normal":
@@ -122,12 +145,43 @@ function getEntries(params) {
         curveFactor: distribution_params?.curveFactor
       });
       break;
+    case "lognormal":
+      entries = generateLognormal({
+        margin_range,
+        risk_reward,
+        kind,
+        price_places,
+        stdDevFactor: distribution_params?.stdDevFactor
+      });
+      break;
     default:
       throw new Error(`Unknown distribution type: ${distribution}`);
   }
   return entries.sort((a, b) => a - b);
 }
 var distributions_default = getEntries;
+function generateLognormal(payload) {
+  const {
+    margin_range,
+    risk_reward,
+    kind,
+    price_places = "%.1f",
+    stdDevFactor = 6
+  } = payload;
+  const logMin = Math.log(margin_range[0]);
+  const logMax = Math.log(margin_range[1]);
+  const mean = (logMin + logMax) / 2;
+  const stdDev = Math.abs(logMax - logMin) / stdDevFactor;
+  const entries = Array.from({ length: risk_reward + 1 }, (_, i) => {
+    const p = (i + 0.5) / (risk_reward + 1);
+    const z = approximateInverseNormal(p);
+    let logPrice = mean + stdDev * z;
+    logPrice = Math.max(logMin, Math.min(logMax, logPrice));
+    const price = Math.exp(logPrice);
+    return to_f(kind === "long" ? Math.min(price, margin_range[1]) : Math.max(price, margin_range[0]), price_places);
+  });
+  return entries.sort((a, b) => a - b);
+}
 
 // src/helpers/optimizations.ts
 function calculateTheoreticalKelly({
@@ -501,7 +555,7 @@ class Signal {
     const simple_support = Math.min(current_price, stop_loss);
     const simple_resistance = Math.max(current_price, stop_loss);
     const risk_per_trade = risk / this.risk_reward;
-    const use_progressive = distribution_params.use_progressive || this.use_progressive_risk;
+    const use_progressive = distribution_params?.use_progressive || this.use_progressive_risk;
     const risk_distribution = use_progressive ? {
       enabled: true,
       total_risk_budget: risk,
@@ -970,7 +1024,6 @@ class Signal {
         const defaultStopLoss = i === 0 ? stop_loss : _base;
         const new_stop = kind === "long" ? this.support : stop_loss;
         let risk_to_use = this.getZoneRisk(i, limit_orders.length, this);
-        console.log("index: ", i, " risk: ", risk_to_use);
         if (this.use_kelly) {
           const func = this.kelly_func === "theoretical" ? calculateTheoreticalKelly : this.kelly_func === "position_based" ? calculatePositionBasedKelly : calculateTheoreticalKellyFixed;
           const theoretical_kelly = func({
@@ -1297,6 +1350,9 @@ function formatPrice(value2, opts = {}) {
   return formatter.format(value2);
 }
 function to_f(value2, places = "%.1f") {
+  if (!value2) {
+    return null;
+  }
   let v = typeof value2 === "string" ? parseFloat(value2) : value2;
   const formattedValue = places.replace("%.", "").replace("f", "");
   return parseFloat(v.toFixed(parseInt(formattedValue)));
@@ -1655,7 +1711,7 @@ function buildConfig(app_config, {
   min_avg_size = 0,
   distribution,
   distribution_params,
-  use_progressive_risk
+  use_progressive_risk = false
 }) {
   let fee = app_config.fee / 100;
   let working_risk = risk || app_config.risk_per_trade;
@@ -1697,7 +1753,7 @@ function buildConfig(app_config, {
   if (!stop) {
     return [];
   }
-  const condition = (kind === "long" ? entry > app_config.support : entry >= app_config.support) && stop >= app_config.support * 0.999;
+  const condition = true;
   if (kind === "short") {}
   const result = entry === stop ? [] : condition ? instance.build_entry({
     current_price: entry,
@@ -2180,7 +2236,7 @@ function determineOptimumReward(payload) {
   const criterion = app_config.strategy || "quantity";
   const risk_rewards = createArray(low_range, high_range, 1);
   let func = risk_rewards.map((trade_no) => {
-    let trades = sortedBuildConfig(app_config, {
+    const pp = {
       take_profit: app_config.take_profit,
       entry: app_config.entry,
       stop: app_config.stop,
@@ -2192,7 +2248,8 @@ function determineOptimumReward(payload) {
       decimal_places: app_config.decimal_places,
       distribution,
       distribution_params: payload.distribution_params
-    });
+    };
+    let trades = sortedBuildConfig(app_config, pp);
     let total = 0;
     let max = -Infinity;
     let min = Infinity;
@@ -2283,7 +2340,6 @@ function findIndexByCondition(lst, kind, condition, defaultKey = "neg_pnl") {
       return b.net_diff - a.net_diff;
     }
   });
-  console.log("found", sortedFound);
   if (defaultKey === "quantity") {
     return sortedFound[0].index;
   }
@@ -2914,6 +2970,55 @@ function generateDangerousConfig(payload) {
     risk_reward: optimumRiskReward
   };
 }
+function computeMarginProtection({
+  entry,
+  quantity,
+  tp,
+  stop_loss,
+  avg_price,
+  avg_qty,
+  next_order,
+  base_asset,
+  symbol
+}) {
+  const pnl = Math.abs(tp.price - entry) * quantity;
+  const loss = Math.abs(avg_price - stop_loss.price) * avg_qty;
+  const margin_position = pnl / Math.abs(next_order - tp.price);
+  const protect_position = loss / Math.abs(stop_loss.price - tp.price);
+  const ideal_protect_position = loss / Math.abs(next_order - tp.price);
+  const places = {
+    BTCUSDT: "%.5f",
+    ETHUSDT: "%.4f",
+    BNBUSDT: "%.3f"
+  };
+  const price_places = {
+    BTCUSDT: "%.2f",
+    ETHUSDT: "%.2f",
+    BNBUSDT: "%.2f"
+  };
+  let quantity_to_place = protect_position;
+  if (base_asset > 0) {
+    let diff = quantity_to_place - base_asset;
+    if (diff < 0) {
+      return;
+    }
+    quantity_to_place = diff;
+  }
+  const payload = {
+    existing_quantity: base_asset,
+    quantity_to_place: to_f(quantity_to_place, places[symbol]),
+    quantity: to_f(margin_position, places[symbol]),
+    price: tp.price,
+    tp: next_order,
+    risk: to_f(pnl, "%.1f"),
+    protect_quantity: to_f(protect_position, places[symbol]),
+    ideal_protect_quantity: to_f(ideal_protect_position, places[symbol]),
+    hedge: to_f(loss, "%.1f"),
+    price_place: price_places[symbol],
+    decimal_place: places[symbol]
+  };
+  return payload;
+}
 // src/helpers/strategy.ts
 class Strategy {
   position;
@@ -3488,10 +3593,14 @@ function helperFuncToBuildTrades({
   symbol_config,
   app_config_kind,
   appConfig,
-  force_exact_risk = true
+  force_exact_risk = true,
+  use_default = false
 }) {
   const risk = custom_b_config.risk * (custom_b_config.risk_factor || 1);
-  let result = getRiskReward({
+  let result = use_default ? {
+    risk,
+    risk_reward: custom_b_config.risk_reward
+  } : getRiskReward({
     entry: custom_b_config.entry,
     stop: custom_b_config.stop,
     risk,
@@ -3540,7 +3649,8 @@ function buildWithOptimumReward({
   config,
   settings,
   global_config,
-  force_exact
+  force_exact,
+  use_default = false
 }) {
   const kind = config.entry > config.stop ? "long" : "short";
   let stop = settings.stop;
@@ -3554,7 +3664,8 @@ function buildWithOptimumReward({
     stop,
     risk,
     distribution,
-    distribution_params
+    distribution_params,
+    risk_reward: settings.risk_reward || config?.risk_reward
   };
   const appConfig = constructAppConfig2({
     config,
@@ -3565,7 +3676,8 @@ function buildWithOptimumReward({
     app_config_kind: kind,
     appConfig,
     symbol_config: global_config,
-    force_exact_risk: force_exact
+    force_exact_risk: force_exact,
+    use_default
   });
   const adjusted_size = summary.quantity;
   const symbol_config = global_config;
@@ -3905,6 +4017,7 @@ export {
   determine_stop_and_size,
   determine_remaining_entry,
   determine_position_size,
+  determine_pnl,
   determine_break_even_price,
   determine_average_entry_and_size,
   determine_amount_to_sell2 as determine_amount_to_sell,
@@ -3921,6 +4034,7 @@ export {
   computeSellZones,
   computeRiskReward,
   computeProfitDetail,
+  computeMarginProtection,
   compoundAPI,
   calculateFactorFromTakeProfit,
   calculateFactorFromSellQuantity,
@@ -3930,5 +4044,6 @@ export {
   asCoins,
   allCoins,
   Strategy,
-  SpecialCoins
+  SpecialCoins,
+  Signal
 };