@hardlydifficult/math 1.0.0

package/dist/RingBuffer.d.ts

@@ -0,0 +1,17 @@
+/**
+ *
+ */
+export declare class RingBuffer<T> {
+    readonly capacity: number;
+    private readonly buffer;
+    private head;
+    private count;
+    constructor(capacity: number);
+    push(item: T): void;
+    get length(): number;
+    toArray(): T[];
+    first(): T | undefined;
+    last(): T | undefined;
+    clear(): void;
+}
+//# sourceMappingURL=RingBuffer.d.ts.map

package/dist/RingBuffer.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"RingBuffer.d.ts","sourceRoot":"","sources":["../src/RingBuffer.ts"],"names":[],"mappings":"AAAA;;GAEG;AACH,qBAAa,UAAU,CAAC,CAAC;IAKX,QAAQ,CAAC,QAAQ,EAAE,MAAM;IAJrC,OAAO,CAAC,QAAQ,CAAC,MAAM,CAAoB;IAC3C,OAAO,CAAC,IAAI,CAAK;IACjB,OAAO,CAAC,KAAK,CAAK;gBAEG,QAAQ,EAAE,MAAM;IAOrC,IAAI,CAAC,IAAI,EAAE,CAAC,GAAG,IAAI;IAQnB,IAAI,MAAM,IAAI,MAAM,CAEnB;IAED,OAAO,IAAI,CAAC,EAAE;IAed,KAAK,IAAI,CAAC,GAAG,SAAS;IAQtB,IAAI,IAAI,CAAC,GAAG,SAAS;IAOrB,KAAK,IAAI,IAAI;CAKd"}

package/dist/RingBuffer.js

@@ -0,0 +1,63 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.RingBuffer = void 0;
+/**
+ *
+ */
+class RingBuffer {
+    capacity;
+    buffer;
+    head = 0;
+    count = 0;
+    constructor(capacity) {
+        this.capacity = capacity;
+        if (capacity < 1) {
+            throw new Error("RingBuffer capacity must be >= 1");
+        }
+        this.buffer = new Array(capacity);
+    }
+    push(item) {
+        this.buffer[this.head] = item;
+        this.head = (this.head + 1) % this.capacity;
+        if (this.count < this.capacity) {
+            this.count++;
+        }
+    }
+    get length() {
+        return this.count;
+    }
+    toArray() {
+        if (this.count === 0) {
+            return [];
+        }
+        const start = this.count < this.capacity ? 0 : this.head;
+        const result = [];
+        for (let i = 0; i < this.count; i++) {
+            const item = this.buffer[(start + i) % this.capacity];
+            if (item !== undefined) {
+                result.push(item);
+            }
+        }
+        return result;
+    }
+    first() {
+        if (this.count === 0) {
+            return undefined;
+        }
+        const start = this.count < this.capacity ? 0 : this.head;
+        return this.buffer[start];
+    }
+    last() {
+        if (this.count === 0) {
+            return undefined;
+        }
+        return this.buffer[(this.head - 1 + this.capacity) % this.capacity];
+    }
+    clear() {
+        this.head = 0;
+        this.count = 0;
+        this.buffer.fill(undefined);
+    }
+}
+exports.RingBuffer = RingBuffer;
+//# sourceMappingURL=RingBuffer.js.map

package/dist/RingBuffer.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"RingBuffer.js","sourceRoot":"","sources":["../src/RingBuffer.ts"],"names":[],"mappings":";;;AAAA;;GAEG;AACH,MAAa,UAAU;IAKA;IAJJ,MAAM,CAAoB;IACnC,IAAI,GAAG,CAAC,CAAC;IACT,KAAK,GAAG,CAAC,CAAC;IAElB,YAAqB,QAAgB;QAAhB,aAAQ,GAAR,QAAQ,CAAQ;QACnC,IAAI,QAAQ,GAAG,CAAC,EAAE,CAAC;YACjB,MAAM,IAAI,KAAK,CAAC,kCAAkC,CAAC,CAAC;QACtD,CAAC;QACD,IAAI,CAAC,MAAM,GAAG,IAAI,KAAK,CAAgB,QAAQ,CAAC,CAAC;IACnD,CAAC;IAED,IAAI,CAAC,IAAO;QACV,IAAI,CAAC,MAAM,CAAC,IAAI,CAAC,IAAI,CAAC,GAAG,IAAI,CAAC;QAC9B,IAAI,CAAC,IAAI,GAAG,CAAC,IAAI,CAAC,IAAI,GAAG,CAAC,CAAC,GAAG,IAAI,CAAC,QAAQ,CAAC;QAC5C,IAAI,IAAI,CAAC,KAAK,GAAG,IAAI,CAAC,QAAQ,EAAE,CAAC;YAC/B,IAAI,CAAC,KAAK,EAAE,CAAC;QACf,CAAC;IACH,CAAC;IAED,IAAI,MAAM;QACR,OAAO,IAAI,CAAC,KAAK,CAAC;IACpB,CAAC;IAED,OAAO;QACL,IAAI,IAAI,CAAC,KAAK,KAAK,CAAC,EAAE,CAAC;YACrB,OAAO,EAAE,CAAC;QACZ,CAAC;QACD,MAAM,KAAK,GAAG,IAAI,CAAC,KAAK,GAAG,IAAI,CAAC,QAAQ,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,IAAI,CAAC,IAAI,CAAC;QACzD,MAAM,MAAM,GAAQ,EAAE,CAAC;QACvB,KAAK,IAAI,CAAC,GAAG,CAAC,EAAE,CAAC,GAAG,IAAI,CAAC,KAAK,EAAE,CAAC,EAAE,EAAE,CAAC;YACpC,MAAM,IAAI,GAAG,IAAI,CAAC,MAAM,CAAC,CAAC,KAAK,GAAG,CAAC,CAAC,GAAG,IAAI,CAAC,QAAQ,CAAC,CAAC;YACtD,IAAI,IAAI,KAAK,SAAS,EAAE,CAAC;gBACvB,MAAM,CAAC,IAAI,CAAC,IAAI,CAAC,CAAC;YACpB,CAAC;QACH,CAAC;QACD,OAAO,MAAM,CAAC;IAChB,CAAC;IAED,KAAK;QACH,IAAI,IAAI,CAAC,KAAK,KAAK,CAAC,EAAE,CAAC;YACrB,OAAO,SAAS,CAAC;QACnB,CAAC;QACD,MAAM,KAAK,GAAG,IAAI,CAAC,KAAK,GAAG,IAAI,CAAC,QAAQ,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,IAAI,CAAC,IAAI,CAAC;QACzD,OAAO,IAAI,CAAC,MAAM,CAAC,KAAK,CAAC,CAAC;IAC5B,CAAC;IAED,IAAI;QACF,IAAI,IAAI,CAAC,KAAK,KAAK,CAAC,EAAE,CAAC;YACrB,OAAO,SAAS,CAAC;QACnB,CAAC;QACD,OAAO,IAAI,CAAC,MAAM,CAAC,CAAC,IAAI,CAAC,IAAI,GAAG,CAAC,GAAG,IAAI,CAAC,QAAQ,CAAC,GAAG,IAAI,CAAC,QAAQ,CAAC,CAAC;IACtE,CAAC;IAED,KAAK;QACH,IAAI,CAAC,IAAI,GAAG,CAAC,CAAC;QACd,IAAI,CAAC,KAAK,GAAG,CAAC,CAAC;QACf,IAAI,CAAC,MAAM,CAAC,IAAI,CAAC,SAAS,CAAC,CAAC;IAC9B,CAAC;CACF;AA3DD,gCA2DC"}

package/dist/RollingVwap.d.ts

@@ -0,0 +1,12 @@
+/**
+ *
+ */
+export declare class RollingVwap {
+    private readonly buffer;
+    private readonly windowMs;
+    constructor(windowMs: number, capacity?: number);
+    addTrade(ts: number, price: number, size: number): this;
+    get value(): number;
+    valueAt(now: number): number;
+}
+//# sourceMappingURL=RollingVwap.d.ts.map

package/dist/RollingVwap.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"RollingVwap.d.ts","sourceRoot":"","sources":["../src/RollingVwap.ts"],"names":[],"mappings":"AAQA;;GAEG;AACH,qBAAa,WAAW;IACtB,OAAO,CAAC,QAAQ,CAAC,MAAM,CAA0B;IACjD,OAAO,CAAC,QAAQ,CAAC,QAAQ,CAAS;gBAEtB,QAAQ,EAAE,MAAM,EAAE,QAAQ,SAAS;IAK/C,QAAQ,CAAC,EAAE,EAAE,MAAM,EAAE,KAAK,EAAE,MAAM,EAAE,IAAI,EAAE,MAAM,GAAG,IAAI;IAKvD,IAAI,KAAK,IAAI,MAAM,CAElB;IAED,OAAO,CAAC,GAAG,EAAE,MAAM,GAAG,MAAM;CAa7B"}

package/dist/RollingVwap.js

@@ -0,0 +1,37 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.RollingVwap = void 0;
+const RingBuffer_js_1 = require("./RingBuffer.js");
+/**
+ *
+ */
+class RollingVwap {
+    buffer;
+    windowMs;
+    constructor(windowMs, capacity = 50_000) {
+        this.windowMs = windowMs;
+        this.buffer = new RingBuffer_js_1.RingBuffer(capacity);
+    }
+    addTrade(ts, price, size) {
+        this.buffer.push({ ts, price, size });
+        return this;
+    }
+    get value() {
+        return this.valueAt(Date.now());
+    }
+    valueAt(now) {
+        const arr = this.buffer.toArray();
+        let pv = 0;
+        let v = 0;
+        for (let i = arr.length - 1; i >= 0; i--) {
+            if (now - arr[i].ts > this.windowMs) {
+                break;
+            }
+            pv += arr[i].price * arr[i].size;
+            v += arr[i].size;
+        }
+        return v > 0 ? pv / v : 0;
+    }
+}
+exports.RollingVwap = RollingVwap;
+//# sourceMappingURL=RollingVwap.js.map

package/dist/RollingVwap.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"RollingVwap.js","sourceRoot":"","sources":["../src/RollingVwap.ts"],"names":[],"mappings":";;;AAAA,mDAA6C;AAQ7C;;GAEG;AACH,MAAa,WAAW;IACL,MAAM,CAA0B;IAChC,QAAQ,CAAS;IAElC,YAAY,QAAgB,EAAE,QAAQ,GAAG,MAAM;QAC7C,IAAI,CAAC,QAAQ,GAAG,QAAQ,CAAC;QACzB,IAAI,CAAC,MAAM,GAAG,IAAI,0BAAU,CAAc,QAAQ,CAAC,CAAC;IACtD,CAAC;IAED,QAAQ,CAAC,EAAU,EAAE,KAAa,EAAE,IAAY;QAC9C,IAAI,CAAC,MAAM,CAAC,IAAI,CAAC,EAAE,EAAE,EAAE,KAAK,EAAE,IAAI,EAAE,CAAC,CAAC;QACtC,OAAO,IAAI,CAAC;IACd,CAAC;IAED,IAAI,KAAK;QACP,OAAO,IAAI,CAAC,OAAO,CAAC,IAAI,CAAC,GAAG,EAAE,CAAC,CAAC;IAClC,CAAC;IAED,OAAO,CAAC,GAAW;QACjB,MAAM,GAAG,GAAG,IAAI,CAAC,MAAM,CAAC,OAAO,EAAE,CAAC;QAClC,IAAI,EAAE,GAAG,CAAC,CAAC;QACX,IAAI,CAAC,GAAG,CAAC,CAAC;QACV,KAAK,IAAI,CAAC,GAAG,GAAG,CAAC,MAAM,GAAG,CAAC,EAAE,CAAC,IAAI,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC;YACzC,IAAI,GAAG,GAAG,GAAG,CAAC,CAAC,CAAC,CAAC,EAAE,GAAG,IAAI,CAAC,QAAQ,EAAE,CAAC;gBACpC,MAAM;YACR,CAAC;YACD,EAAE,IAAI,GAAG,CAAC,CAAC,CAAC,CAAC,KAAK,GAAG,GAAG,CAAC,CAAC,CAAC,CAAC,IAAI,CAAC;YACjC,CAAC,IAAI,GAAG,CAAC,CAAC,CAAC,CAAC,IAAI,CAAC;QACnB,CAAC;QACD,OAAO,CAAC,GAAG,CAAC,CAAC,CAAC,CAAC,EAAE,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC;IAC5B,CAAC;CACF;AA/BD,kCA+BC"}

package/dist/SlopeTracker.d.ts

@@ -0,0 +1,10 @@
+/**
+ *
+ */
+export declare class SlopeTracker {
+    private readonly buffer;
+    constructor(capacity?: number);
+    addSample(ts: number, value: number): this;
+    slope(windowMs: number): number;
+}
+//# sourceMappingURL=SlopeTracker.d.ts.map

package/dist/SlopeTracker.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"SlopeTracker.d.ts","sourceRoot":"","sources":["../src/SlopeTracker.ts"],"names":[],"mappings":"AAQA;;GAEG;AACH,qBAAa,YAAY;IACvB,OAAO,CAAC,QAAQ,CAAC,MAAM,CAA+B;gBAE1C,QAAQ,SAAM;IAI1B,SAAS,CAAC,EAAE,EAAE,MAAM,EAAE,KAAK,EAAE,MAAM,GAAG,IAAI;IAK1C,KAAK,CAAC,QAAQ,EAAE,MAAM,GAAG,MAAM;CAkBhC"}

package/dist/SlopeTracker.js

@@ -0,0 +1,36 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.SlopeTracker = void 0;
+const linearRegression_js_1 = require("./linearRegression.js");
+const RingBuffer_js_1 = require("./RingBuffer.js");
+/**
+ *
+ */
+class SlopeTracker {
+    buffer;
+    constructor(capacity = 600) {
+        this.buffer = new RingBuffer_js_1.RingBuffer(capacity);
+    }
+    addSample(ts, value) {
+        this.buffer.push({ ts, value });
+        return this;
+    }
+    slope(windowMs) {
+        const arr = this.buffer.toArray();
+        if (arr.length < 2) {
+            return 0;
+        }
+        const cutoff = arr[arr.length - 1].ts - windowMs;
+        const windowSamples = [];
+        for (let i = arr.length - 1; i >= 0; i--) {
+            if (arr[i].ts < cutoff) {
+                break;
+            }
+            windowSamples.push({ t: arr[i].ts, v: arr[i].value });
+        }
+        windowSamples.reverse();
+        return (0, linearRegression_js_1.computeSlope)(windowSamples);
+    }
+}
+exports.SlopeTracker = SlopeTracker;
+//# sourceMappingURL=SlopeTracker.js.map

package/dist/SlopeTracker.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"SlopeTracker.js","sourceRoot":"","sources":["../src/SlopeTracker.ts"],"names":[],"mappings":";;;AAAA,+DAAkE;AAClE,mDAA6C;AAO7C;;GAEG;AACH,MAAa,YAAY;IACN,MAAM,CAA+B;IAEtD,YAAY,QAAQ,GAAG,GAAG;QACxB,IAAI,CAAC,MAAM,GAAG,IAAI,0BAAU,CAAmB,QAAQ,CAAC,CAAC;IAC3D,CAAC;IAED,SAAS,CAAC,EAAU,EAAE,KAAa;QACjC,IAAI,CAAC,MAAM,CAAC,IAAI,CAAC,EAAE,EAAE,EAAE,KAAK,EAAE,CAAC,CAAC;QAChC,OAAO,IAAI,CAAC;IACd,CAAC;IAED,KAAK,CAAC,QAAgB;QACpB,MAAM,GAAG,GAAG,IAAI,CAAC,MAAM,CAAC,OAAO,EAAE,CAAC;QAClC,IAAI,GAAG,CAAC,MAAM,GAAG,CAAC,EAAE,CAAC;YACnB,OAAO,CAAC,CAAC;QACX,CAAC;QAED,MAAM,MAAM,GAAG,GAAG,CAAC,GAAG,CAAC,MAAM,GAAG,CAAC,CAAC,CAAC,EAAE,GAAG,QAAQ,CAAC;QACjD,MAAM,aAAa,GAAa,EAAE,CAAC;QACnC,KAAK,IAAI,CAAC,GAAG,GAAG,CAAC,MAAM,GAAG,CAAC,EAAE,CAAC,IAAI,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC;YACzC,IAAI,GAAG,CAAC,CAAC,CAAC,CAAC,EAAE,GAAG,MAAM,EAAE,CAAC;gBACvB,MAAM;YACR,CAAC;YACD,aAAa,CAAC,IAAI,CAAC,EAAE,CAAC,EAAE,GAAG,CAAC,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,EAAE,GAAG,CAAC,CAAC,CAAC,CAAC,KAAK,EAAE,CAAC,CAAC;QACxD,CAAC;QAED,aAAa,CAAC,OAAO,EAAE,CAAC;QACxB,OAAO,IAAA,kCAAY,EAAC,aAAa,CAAC,CAAC;IACrC,CAAC;CACF;AA9BD,oCA8BC"}

package/dist/VwapTracker.d.ts

@@ -0,0 +1,13 @@
+/**
+ *
+ */
+export declare class VwapTracker {
+    private sumPV;
+    private sumV;
+    private sumPV2;
+    addTrade(price: number, size: number): this;
+    reset(): this;
+    get value(): number;
+    zScore(currentPrice: number): number;
+}
+//# sourceMappingURL=VwapTracker.d.ts.map

package/dist/VwapTracker.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"VwapTracker.d.ts","sourceRoot":"","sources":["../src/VwapTracker.ts"],"names":[],"mappings":"AAAA;;GAEG;AACH,qBAAa,WAAW;IACtB,OAAO,CAAC,KAAK,CAAK;IAClB,OAAO,CAAC,IAAI,CAAK;IACjB,OAAO,CAAC,MAAM,CAAK;IAEnB,QAAQ,CAAC,KAAK,EAAE,MAAM,EAAE,IAAI,EAAE,MAAM,GAAG,IAAI;IAO3C,KAAK,IAAI,IAAI;IAOb,IAAI,KAAK,IAAI,MAAM,CAElB;IAED,MAAM,CAAC,YAAY,EAAE,MAAM,GAAG,MAAM;CASrC"}

package/dist/VwapTracker.js

@@ -0,0 +1,37 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.VwapTracker = void 0;
+/**
+ *
+ */
+class VwapTracker {
+    sumPV = 0;
+    sumV = 0;
+    sumPV2 = 0;
+    addTrade(price, size) {
+        this.sumPV += price * size;
+        this.sumV += size;
+        this.sumPV2 += price * price * size;
+        return this;
+    }
+    reset() {
+        this.sumPV = 0;
+        this.sumV = 0;
+        this.sumPV2 = 0;
+        return this;
+    }
+    get value() {
+        return this.sumV > 0 ? this.sumPV / this.sumV : 0;
+    }
+    zScore(currentPrice) {
+        const vwap = this.value;
+        if (vwap === 0 || this.sumV === 0 || currentPrice === 0) {
+            return 0;
+        }
+        const variance = this.sumPV2 / this.sumV - vwap * vwap;
+        const sigma = variance > 0 ? Math.sqrt(variance) : 0;
+        return sigma > 0 ? (currentPrice - vwap) / sigma : 0;
+    }
+}
+exports.VwapTracker = VwapTracker;
+//# sourceMappingURL=VwapTracker.js.map

package/dist/VwapTracker.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"VwapTracker.js","sourceRoot":"","sources":["../src/VwapTracker.ts"],"names":[],"mappings":";;;AAAA;;GAEG;AACH,MAAa,WAAW;IACd,KAAK,GAAG,CAAC,CAAC;IACV,IAAI,GAAG,CAAC,CAAC;IACT,MAAM,GAAG,CAAC,CAAC;IAEnB,QAAQ,CAAC,KAAa,EAAE,IAAY;QAClC,IAAI,CAAC,KAAK,IAAI,KAAK,GAAG,IAAI,CAAC;QAC3B,IAAI,CAAC,IAAI,IAAI,IAAI,CAAC;QAClB,IAAI,CAAC,MAAM,IAAI,KAAK,GAAG,KAAK,GAAG,IAAI,CAAC;QACpC,OAAO,IAAI,CAAC;IACd,CAAC;IAED,KAAK;QACH,IAAI,CAAC,KAAK,GAAG,CAAC,CAAC;QACf,IAAI,CAAC,IAAI,GAAG,CAAC,CAAC;QACd,IAAI,CAAC,MAAM,GAAG,CAAC,CAAC;QAChB,OAAO,IAAI,CAAC;IACd,CAAC;IAED,IAAI,KAAK;QACP,OAAO,IAAI,CAAC,IAAI,GAAG,CAAC,CAAC,CAAC,CAAC,IAAI,CAAC,KAAK,GAAG,IAAI,CAAC,IAAI,CAAC,CAAC,CAAC,CAAC,CAAC;IACpD,CAAC;IAED,MAAM,CAAC,YAAoB;QACzB,MAAM,IAAI,GAAG,IAAI,CAAC,KAAK,CAAC;QACxB,IAAI,IAAI,KAAK,CAAC,IAAI,IAAI,CAAC,IAAI,KAAK,CAAC,IAAI,YAAY,KAAK,CAAC,EAAE,CAAC;YACxD,OAAO,CAAC,CAAC;QACX,CAAC;QACD,MAAM,QAAQ,GAAG,IAAI,CAAC,MAAM,GAAG,IAAI,CAAC,IAAI,GAAG,IAAI,GAAG,IAAI,CAAC;QACvD,MAAM,KAAK,GAAG,QAAQ,GAAG,CAAC,CAAC,CAAC,CAAC,IAAI,CAAC,IAAI,CAAC,QAAQ,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC;QACrD,OAAO,KAAK,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC,YAAY,GAAG,IAAI,CAAC,GAAG,KAAK,CAAC,CAAC,CAAC,CAAC,CAAC;IACvD,CAAC;CACF;AAhCD,kCAgCC"}

package/dist/WindowedChange.d.ts

@@ -0,0 +1,11 @@
+/**
+ *
+ */
+export declare class WindowedChange {
+    private readonly buffer;
+    private readonly windowMs;
+    constructor(windowMs: number, capacity?: number);
+    addSample(ts: number, value: number): this;
+    get change(): number;
+}
+//# sourceMappingURL=WindowedChange.d.ts.map

package/dist/WindowedChange.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"WindowedChange.d.ts","sourceRoot":"","sources":["../src/WindowedChange.ts"],"names":[],"mappings":"AAOA;;GAEG;AACH,qBAAa,cAAc;IACzB,OAAO,CAAC,QAAQ,CAAC,MAAM,CAA+B;IACtD,OAAO,CAAC,QAAQ,CAAC,QAAQ,CAAS;gBAEtB,QAAQ,EAAE,MAAM,EAAE,QAAQ,SAAM;IAK5C,SAAS,CAAC,EAAE,EAAE,MAAM,EAAE,KAAK,EAAE,MAAM,GAAG,IAAI;IAK1C,IAAI,MAAM,IAAI,MAAM,CA2BnB;CACF"}

package/dist/WindowedChange.js

@@ -0,0 +1,46 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.WindowedChange = void 0;
+const RingBuffer_js_1 = require("./RingBuffer.js");
+/**
+ *
+ */
+class WindowedChange {
+    buffer;
+    windowMs;
+    constructor(windowMs, capacity = 240) {
+        this.windowMs = windowMs;
+        this.buffer = new RingBuffer_js_1.RingBuffer(capacity);
+    }
+    addSample(ts, value) {
+        this.buffer.push({ ts, value });
+        return this;
+    }
+    get change() {
+        const arr = this.buffer.toArray();
+        if (arr.length < 2) {
+            return 0;
+        }
+        const latest = arr[arr.length - 1];
+        const cutoff = latest.ts - this.windowMs;
+        let oldest;
+        for (const sample of arr) {
+            if (sample.ts <= cutoff) {
+                oldest = sample;
+            }
+            else {
+                break;
+            }
+        }
+        if (!oldest || oldest.value === 0) {
+            const first = arr[0];
+            if (first.value === 0) {
+                return 0;
+            }
+            return (latest.value - first.value) / first.value;
+        }
+        return (latest.value - oldest.value) / oldest.value;
+    }
+}
+exports.WindowedChange = WindowedChange;
+//# sourceMappingURL=WindowedChange.js.map

package/dist/WindowedChange.js.map

@@ -0,0 +1 @@
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package/dist/bookImbalance.d.ts

@@ -0,0 +1,6 @@
+export type Level = readonly [price: number, size: number];
+/** Top-of-book imbalance: (bidSize - askSize) / (bidSize + askSize). */
+export declare function bookImbalance(bidSize: number, askSize: number): number;
+/** Depth-weighted imbalance within ±depthPct of mid price. */
+export declare function depthImbalance(bids: readonly Level[], asks: readonly Level[], depthPct: number): number;
+//# sourceMappingURL=bookImbalance.d.ts.map

package/dist/bookImbalance.d.ts.map

@@ -0,0 +1 @@
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package/dist/bookImbalance.js

@@ -0,0 +1,38 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.bookImbalance = bookImbalance;
+exports.depthImbalance = depthImbalance;
+/** Top-of-book imbalance: (bidSize - askSize) / (bidSize + askSize). */
+function bookImbalance(bidSize, askSize) {
+    const total = bidSize + askSize;
+    return total > 0 ? (bidSize - askSize) / total : 0;
+}
+/** Depth-weighted imbalance within ±depthPct of mid price. */
+function depthImbalance(bids, asks, depthPct) {
+    if (bids.length === 0 || asks.length === 0) {
+        return 0;
+    }
+    const mid = (bids[0][0] + asks[0][0]) / 2;
+    if (mid <= 0) {
+        return 0;
+    }
+    const lower = mid * (1 - depthPct);
+    const upper = mid * (1 + depthPct);
+    let sumBid = 0;
+    for (const [px, sz] of bids) {
+        if (px < lower) {
+            break;
+        }
+        sumBid += sz;
+    }
+    let sumAsk = 0;
+    for (const [px, sz] of asks) {
+        if (px > upper) {
+            break;
+        }
+        sumAsk += sz;
+    }
+    const total = sumBid + sumAsk;
+    return total > 0 ? (sumBid - sumAsk) / total : 0;
+}
+//# sourceMappingURL=bookImbalance.js.map

package/dist/bookImbalance.js.map

@@ -0,0 +1 @@
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package/dist/clamp.d.ts

@@ -0,0 +1,3 @@
+/** Constrain a value to the inclusive [min, max] range. */
+export declare function clamp(value: number, min: number, max: number): number;
+//# sourceMappingURL=clamp.d.ts.map

package/dist/clamp.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"clamp.d.ts","sourceRoot":"","sources":["../src/clamp.ts"],"names":[],"mappings":"AAAA,2DAA2D;AAC3D,wBAAgB,KAAK,CAAC,KAAK,EAAE,MAAM,EAAE,GAAG,EAAE,MAAM,EAAE,GAAG,EAAE,MAAM,GAAG,MAAM,CAErE"}

package/dist/clamp.js

@@ -0,0 +1,8 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.clamp = clamp;
+/** Constrain a value to the inclusive [min, max] range. */
+function clamp(value, min, max) {
+    return Math.min(Math.max(value, min), max);
+}
+//# sourceMappingURL=clamp.js.map

package/dist/clamp.js.map

@@ -0,0 +1 @@
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package/dist/index.d.ts

@@ -0,0 +1,10 @@
+export { RingBuffer } from "./RingBuffer.js";
+export { type Sample, computeSlope } from "./linearRegression.js";
+export { clamp } from "./clamp.js";
+export { type TrendLabel, classifyTrend } from "./trend.js";
+export { type Level, bookImbalance, depthImbalance } from "./bookImbalance.js";
+export { VwapTracker } from "./VwapTracker.js";
+export { RollingVwap } from "./RollingVwap.js";
+export { SlopeTracker } from "./SlopeTracker.js";
+export { WindowedChange } from "./WindowedChange.js";
+//# sourceMappingURL=index.d.ts.map

package/dist/index.d.ts.map

@@ -0,0 +1 @@
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package/dist/index.js

@@ -0,0 +1,23 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.WindowedChange = exports.SlopeTracker = exports.RollingVwap = exports.VwapTracker = exports.depthImbalance = exports.bookImbalance = exports.classifyTrend = exports.clamp = exports.computeSlope = exports.RingBuffer = void 0;
+var RingBuffer_js_1 = require("./RingBuffer.js");
+Object.defineProperty(exports, "RingBuffer", { enumerable: true, get: function () { return RingBuffer_js_1.RingBuffer; } });
+var linearRegression_js_1 = require("./linearRegression.js");
+Object.defineProperty(exports, "computeSlope", { enumerable: true, get: function () { return linearRegression_js_1.computeSlope; } });
+var clamp_js_1 = require("./clamp.js");
+Object.defineProperty(exports, "clamp", { enumerable: true, get: function () { return clamp_js_1.clamp; } });
+var trend_js_1 = require("./trend.js");
+Object.defineProperty(exports, "classifyTrend", { enumerable: true, get: function () { return trend_js_1.classifyTrend; } });
+var bookImbalance_js_1 = require("./bookImbalance.js");
+Object.defineProperty(exports, "bookImbalance", { enumerable: true, get: function () { return bookImbalance_js_1.bookImbalance; } });
+Object.defineProperty(exports, "depthImbalance", { enumerable: true, get: function () { return bookImbalance_js_1.depthImbalance; } });
+var VwapTracker_js_1 = require("./VwapTracker.js");
+Object.defineProperty(exports, "VwapTracker", { enumerable: true, get: function () { return VwapTracker_js_1.VwapTracker; } });
+var RollingVwap_js_1 = require("./RollingVwap.js");
+Object.defineProperty(exports, "RollingVwap", { enumerable: true, get: function () { return RollingVwap_js_1.RollingVwap; } });
+var SlopeTracker_js_1 = require("./SlopeTracker.js");
+Object.defineProperty(exports, "SlopeTracker", { enumerable: true, get: function () { return SlopeTracker_js_1.SlopeTracker; } });
+var WindowedChange_js_1 = require("./WindowedChange.js");
+Object.defineProperty(exports, "WindowedChange", { enumerable: true, get: function () { return WindowedChange_js_1.WindowedChange; } });
+//# sourceMappingURL=index.js.map

package/dist/index.js.map

@@ -0,0 +1 @@
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package/dist/linearRegression.d.ts

@@ -0,0 +1,7 @@
+export interface Sample {
+    readonly t: number;
+    readonly v: number;
+}
+/** Least-squares regression slope over time-series samples. */
+export declare function computeSlope(samples: readonly Sample[]): number;
+//# sourceMappingURL=linearRegression.d.ts.map

package/dist/linearRegression.d.ts.map

@@ -0,0 +1 @@
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package/dist/linearRegression.js

@@ -0,0 +1,32 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.computeSlope = computeSlope;
+/** Least-squares regression slope over time-series samples. */
+function computeSlope(samples) {
+    if (samples.length < 2) {
+        return 0;
+    }
+    const t0 = samples[0].t;
+    const n = samples.length;
+    let sumT = 0;
+    let sumV = 0;
+    for (let i = 0; i < n; i++) {
+        sumT += (samples[i].t - t0) / 1000;
+        sumV += samples[i].v;
+    }
+    const meanT = sumT / n;
+    const meanV = sumV / n;
+    let num = 0;
+    let den = 0;
+    for (let i = 0; i < n; i++) {
+        const dt = (samples[i].t - t0) / 1000 - meanT;
+        const dv = samples[i].v - meanV;
+        num += dt * dv;
+        den += dt * dt;
+    }
+    if (den === 0) {
+        return 0;
+    }
+    return num / den;
+}
+//# sourceMappingURL=linearRegression.js.map

package/dist/linearRegression.js.map

@@ -0,0 +1 @@
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package/dist/trend.d.ts

@@ -0,0 +1,4 @@
+export type TrendLabel = "up" | "down" | "flat";
+/** Classify a value as up/down/flat against a symmetric threshold. */
+export declare function classifyTrend(value: number, threshold: number): TrendLabel;
+//# sourceMappingURL=trend.d.ts.map

package/dist/trend.d.ts.map

@@ -0,0 +1 @@
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package/dist/trend.js

@@ -0,0 +1,14 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.classifyTrend = classifyTrend;
+/** Classify a value as up/down/flat against a symmetric threshold. */
+function classifyTrend(value, threshold) {
+    if (value > threshold) {
+        return "up";
+    }
+    if (value < -threshold) {
+        return "down";
+    }
+    return "flat";
+}
+//# sourceMappingURL=trend.js.map

package/dist/trend.js.map

@@ -0,0 +1 @@
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package/package.json

@@ -0,0 +1,34 @@
+{
+  "name": "@hardlydifficult/math",
+  "version": "1.0.0",
+  "main": "./dist/index.js",
+  "types": "./dist/index.d.ts",
+  "files": [
+    "dist"
+  ],
+  "scripts": {
+    "build": "tsc",
+    "test": "vitest run",
+    "test:watch": "vitest",
+    "test:coverage": "vitest run --coverage",
+    "lint": "tsc --noEmit",
+    "clean": "node --eval \"fs.rmSync('dist', { recursive: true, force: true })\""
+  },
+  "devDependencies": {
+    "typescript": "5.9.3",
+    "vitest": "4.0.18",
+    "@vitest/coverage-v8": "4.0.18"
+  },
+  "engines": {
+    "node": ">=20.19.0"
+  },
+  "type": "commonjs",
+  "exports": {
+    ".": {
+      "types": "./dist/index.d.ts",
+      "import": "./dist/index.js",
+      "require": "./dist/index.js",
+      "default": "./dist/index.js"
+    }
+  }
+}