@newyorkcompute/kalshi-core 0.3.0 → 0.4.0
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- package/dist/index.d.ts +1 -0
- package/dist/index.d.ts.map +1 -1
- package/dist/index.js +2 -0
- package/dist/index.js.map +1 -1
- package/dist/mm/index.d.ts +10 -0
- package/dist/mm/index.d.ts.map +1 -0
- package/dist/mm/index.js +12 -0
- package/dist/mm/index.js.map +1 -0
- package/dist/mm/inventory.d.ts +70 -0
- package/dist/mm/inventory.d.ts.map +1 -0
- package/dist/mm/inventory.js +171 -0
- package/dist/mm/inventory.js.map +1 -0
- package/dist/mm/inventory.test.d.ts +2 -0
- package/dist/mm/inventory.test.d.ts.map +1 -0
- package/dist/mm/inventory.test.js +358 -0
- package/dist/mm/inventory.test.js.map +1 -0
- package/dist/mm/order-manager.d.ts +81 -0
- package/dist/mm/order-manager.d.ts.map +1 -0
- package/dist/mm/order-manager.js +216 -0
- package/dist/mm/order-manager.js.map +1 -0
- package/dist/mm/order-manager.test.d.ts +2 -0
- package/dist/mm/order-manager.test.d.ts.map +1 -0
- package/dist/mm/order-manager.test.js +333 -0
- package/dist/mm/order-manager.test.js.map +1 -0
- package/dist/mm/risk.d.ts +77 -0
- package/dist/mm/risk.d.ts.map +1 -0
- package/dist/mm/risk.js +179 -0
- package/dist/mm/risk.js.map +1 -0
- package/dist/mm/risk.test.d.ts +2 -0
- package/dist/mm/risk.test.d.ts.map +1 -0
- package/dist/mm/risk.test.js +297 -0
- package/dist/mm/risk.test.js.map +1 -0
- package/dist/mm/types.d.ts +128 -0
- package/dist/mm/types.d.ts.map +1 -0
- package/dist/mm/types.js +7 -0
- package/dist/mm/types.js.map +1 -0
- package/dist/websocket/auth.d.ts +9 -2
- package/dist/websocket/auth.d.ts.map +1 -1
- package/dist/websocket/auth.js +18 -13
- package/dist/websocket/auth.js.map +1 -1
- package/dist/websocket/auth.test.js +15 -6
- package/dist/websocket/auth.test.js.map +1 -1
- package/dist/websocket/client.d.ts.map +1 -1
- package/dist/websocket/client.js +6 -0
- package/dist/websocket/client.js.map +1 -1
- package/dist/websocket/types.d.ts +13 -1
- package/dist/websocket/types.d.ts.map +1 -1
- package/package.json +1 -1
|
@@ -0,0 +1 @@
|
|
|
1
|
+
{"version":3,"file":"order-manager.js","sourceRoot":"","sources":["../../src/mm/order-manager.ts"],"names":[],"mappings":"AAAA;;;;;GAKG;AA2BH;;GAEG;AACH,SAAS,qBAAqB;IAC5B,OAAO,MAAM,IAAI,CAAC,GAAG,EAAE,IAAI,IAAI,CAAC,MAAM,EAAE,CAAC,QAAQ,CAAC,EAAE,CAAC,CAAC,KAAK,CAAC,CAAC,EAAE,CAAC,CAAC,EAAE,CAAC;AACtE,CAAC;AAED;;GAEG;AACH,MAAM,OAAO,YAAY;IACf,MAAM,GAA8B,IAAI,GAAG,EAAE,CAAC;IAC9C,SAAS,CAAY;IAE7B,YAAY,SAAoB;QAC9B,IAAI,CAAC,SAAS,GAAG,SAAS,CAAC;IAC7B,CAAC;IAED;;OAEG;IACH,KAAK,CAAC,KAAK,CAAC,KAAuB;QACjC,MAAM,aAAa,GAAG,qBAAqB,EAAE,CAAC;QAE9C,iCAAiC;QACjC,MAAM,YAAY,GAAiB;YACjC,aAAa;YACb,MAAM,EAAE,KAAK,CAAC,MAAM;YACpB,IAAI,EAAE,KAAK,CAAC,IAAI;YAChB,MAAM,EAAE,KAAK,CAAC,MAAM;YACpB,KAAK,EAAE,KAAK,CAAC,KAAK;YAClB,KAAK,EAAE,KAAK,CAAC,KAAK;YAClB,MAAM,EAAE,SAAS;YACjB,SAAS,EAAE,IAAI,IAAI,EAAE;YACrB,WAAW,EAAE,CAAC;SACf,CAAC;QAEF,IAAI,CAAC,MAAM,CAAC,GAAG,CAAC,aAAa,EAAE,YAAY,CAAC,CAAC;QAE7C,IAAI,CAAC;YACH,uBAAuB;YACvB,MAAM,QAAQ,GAAG,MAAM,IAAI,CAAC,SAAS,CAAC,WAAW,CAAC;gBAChD,MAAM,EAAE,KAAK,CAAC,MAAM;gBACpB,IAAI,EAAE,OAAO;gBACb,IAAI,EAAE,KAAK,CAAC,IAAI;gBAChB,MAAM,EAAE,KAAK,CAAC,MAAM;gBACpB,SAAS,EAAE,KAAK,CAAC,IAAI,KAAK,KAAK,CAAC,CAAC,CAAC,KAAK,CAAC,KAAK,CAAC,CAAC,CAAC,SAAS;gBACzD,QAAQ,EAAE,KAAK,CAAC,IAAI,KAAK,IAAI,CAAC,CAAC,CAAC,KAAK,CAAC,KAAK,CAAC,CAAC,CAAC,SAAS;gBACvD,KAAK,EAAE,KAAK,CAAC,KAAK;gBAClB,eAAe,EAAE,aAAa;aAC/B,CAAC,CAAC;YAEH,8BAA8B;YAC9B,MAAM,WAAW,GAAG,QAAQ,CAAC,IAAI,CAAC,KAAK,CAAC;YACxC,YAAY,CAAC,EAAE,GAAG,WAAW,EAAE,QAAQ,CAAC;YACxC,YAAY,CAAC,MAAM,GAAG,IAAI,CAAC,eAAe,CAAC,WAAW,EAAE,MAAM,CAAC,CAAC;YAEhE,OAAO,EAAE,OAAO,EAAE,IAAI,EAAE,KAAK,EAAE,YAAY,EAAE,CAAC;QAChD,CAAC;QAAC,OAAO,KAAK,EAAE,CAAC;YACf,YAAY,CAAC,MAAM,GAAG,QAAQ,CAAC;YAC/B,MAAM,YAAY,GAChB,KAAK,YAAY,KAAK,CAAC,CAAC,CAAC,KAAK,CAAC,OAAO,CAAC,CAAC,CAAC,eAAe,CAAC;YAC3D,OAAO,EAAE,OAAO,EAAE,KAAK,EAAE,KAAK,EAAE,YAAY,EAAE,KAAK,EAAE,YAAY,EAAE,CAAC;QACtE,CAAC;IACH,CAAC;IAED;;OAEG;IACH,KAAK,CAAC,SAAS,CAAC,MAA0B;QACxC,8BAA8B;QAC9B,OAAO,OAAO,CAAC,GAAG,CAAC,MAAM,CAAC,GAAG,CAAC,CAAC,KAAK,EAAE,EAAE,CAAC,IAAI,CAAC,KAAK,CAAC,KAAK,CAAC,CAAC,CAAC,CAAC;IAC/D,CAAC;IAED;;OAEG;IACH,KAAK,CAAC,MAAM,CAAC,aAAqB;QAChC,MAAM,KAAK,GAAG,IAAI,CAAC,MAAM,CAAC,GAAG,CAAC,aAAa,CAAC,CAAC;QAC7C,IAAI,CAAC,KAAK,IAAI,CAAC,KAAK,CAAC,EAAE,EAAE,CAAC;YACxB,OAAO,KAAK,CAAC;QACf,CAAC;QAED,IAAI,CAAC;YACH,MAAM,IAAI,CAAC,SAAS,CAAC,WAAW,CAAC,KAAK,CAAC,EAAE,CAAC,CAAC;YAC3C,KAAK,CAAC,MAAM,GAAG,WAAW,CAAC;YAC3B,OAAO,IAAI,CAAC;QACd,CAAC;QAAC,MAAM,CAAC;YACP,2CAA2C;YAC3C,OAAO,KAAK,CAAC;QACf,CAAC;IACH,CAAC;IAED;;OAEG;IACH,KAAK,CAAC,SAAS,CAAC,MAAe;QAC7B,MAAM,cAAc,GAAG,IAAI,CAAC,SAAS,CAAC,MAAM,CAAC,CAAC;QAC9C,IAAI,cAAc,GAAG,CAAC,CAAC;QAEvB,qBAAqB;QACrB,MAAM,OAAO,GAAG,MAAM,OAAO,CAAC,UAAU,CACtC,cAAc,CAAC,GAAG,CAAC,CAAC,KAAK,EAAE,EAAE,CAAC,IAAI,CAAC,MAAM,CAAC,KAAK,CAAC,aAAa,CAAC,CAAC,CAChE,CAAC;QAEF,KAAK,MAAM,MAAM,IAAI,OAAO,EAAE,CAAC;YAC7B,IAAI,MAAM,CAAC,MAAM,KAAK,WAAW,IAAI,MAAM,CAAC,KAAK,EAAE,CAAC;gBAClD,cAAc,EAAE,CAAC;YACnB,CAAC;QACH,CAAC;QAED,OAAO,cAAc,CAAC;IACxB,CAAC;IAED;;OAEG;IACH,SAAS,CAAC,MAAe;QACvB,MAAM,cAAc,GAAkB,CAAC,SAAS,EAAE,MAAM,EAAE,SAAS,CAAC,CAAC;QACrE,MAAM,MAAM,GAAmB,EAAE,CAAC;QAElC,KAAK,MAAM,KAAK,IAAI,IAAI,CAAC,MAAM,CAAC,MAAM,EAAE,EAAE,CAAC;YACzC,IAAI,CAAC,cAAc,CAAC,QAAQ,CAAC,KAAK,CAAC,MAAM,CAAC;gBAAE,SAAS;YACrD,IAAI,MAAM,IAAI,KAAK,CAAC,MAAM,KAAK,MAAM;gBAAE,SAAS;YAChD,MAAM,CAAC,IAAI,CAAC,KAAK,CAAC,CAAC;QACrB,CAAC;QAED,OAAO,MAAM,CAAC;IAChB,CAAC;IAED;;OAEG;IACH,MAAM;QACJ,OAAO,KAAK,CAAC,IAAI,CAAC,IAAI,CAAC,MAAM,CAAC,MAAM,EAAE,CAAC,CAAC;IAC1C,CAAC;IAED;;OAEG;IACH,GAAG,CAAC,aAAqB;QACvB,OAAO,IAAI,CAAC,MAAM,CAAC,GAAG,CAAC,aAAa,CAAC,CAAC;IACxC,CAAC;IAED;;OAEG;IACH,YAAY,CACV,aAAqB,EACrB,MAAmB,EACnB,WAAoB,EACpB,YAAqB;QAErB,MAAM,KAAK,GAAG,IAAI,CAAC,MAAM,CAAC,GAAG,CAAC,aAAa,CAAC,CAAC;QAC7C,IAAI,CAAC,KAAK;YAAE,OAAO;QAEnB,KAAK,CAAC,MAAM,GAAG,MAAM,CAAC;QACtB,IAAI,WAAW,KAAK,SAAS,EAAE,CAAC;YAC9B,KAAK,CAAC,WAAW,GAAG,WAAW,CAAC;QAClC,CAAC;QACD,IAAI,YAAY,KAAK,SAAS,EAAE,CAAC;YAC/B,KAAK,CAAC,YAAY,GAAG,YAAY,CAAC;QACpC,CAAC;IACH,CAAC;IAED;;;;;OAKG;IACH,KAAK,CAAC,WAAW,CAAC,KAAY;QAI5B,4CAA4C;QAC5C,MAAM,SAAS,GAAG,MAAM,IAAI,CAAC,SAAS,CAAC,KAAK,CAAC,MAAM,CAAC,CAAC;QAErD,kCAAkC;QAClC,MAAM,MAAM,GAAuB,EAAE,CAAC;QAEtC,6BAA6B;QAC7B,IAAI,KAAK,CAAC,OAAO,GAAG,CAAC,IAAI,KAAK,CAAC,QAAQ,IAAI,CAAC,IAAI,KAAK,CAAC,QAAQ,IAAI,EAAE,EAAE,CAAC;YACrE,MAAM,CAAC,IAAI,CAAC;gBACV,MAAM,EAAE,KAAK,CAAC,MAAM;gBACpB,IAAI,EAAE,KAAK,CAAC,IAAI;gBAChB,MAAM,EAAE,KAAK;gBACb,KAAK,EAAE,KAAK,CAAC,QAAQ;gBACrB,KAAK,EAAE,KAAK,CAAC,OAAO;aACrB,CAAC,CAAC;QACL,CAAC;QAED,yCAAyC;QACzC,IAAI,KAAK,CAAC,OAAO,GAAG,CAAC,IAAI,KAAK,CAAC,QAAQ,IAAI,CAAC,IAAI,KAAK,CAAC,QAAQ,IAAI,EAAE,EAAE,CAAC;YACrE,MAAM,CAAC,IAAI,CAAC;gBACV,MAAM,EAAE,KAAK,CAAC,MAAM;gBACpB,IAAI,EAAE,KAAK,CAAC,IAAI;gBAChB,MAAM,EAAE,MAAM;gBACd,KAAK,EAAE,KAAK,CAAC,QAAQ;gBACrB,KAAK,EAAE,KAAK,CAAC,OAAO;aACrB,CAAC,CAAC;QACL,CAAC;QAED,MAAM,MAAM,GAAG,MAAM,IAAI,CAAC,SAAS,CAAC,MAAM,CAAC,CAAC;QAE5C,OAAO,EAAE,SAAS,EAAE,MAAM,EAAE,CAAC;IAC/B,CAAC;IAED;;OAEG;IACH,OAAO,CAAC,SAAiB,EAAE,GAAG,EAAE,GAAG,EAAE,GAAG,IAAI;QAC1C,MAAM,GAAG,GAAG,IAAI,CAAC,GAAG,EAAE,CAAC;QACvB,MAAM,iBAAiB,GAAkB,CAAC,QAAQ,EAAE,WAAW,EAAE,QAAQ,CAAC,CAAC;QAC3E,IAAI,OAAO,GAAG,CAAC,CAAC;QAEhB,KAAK,MAAM,CAAC,EAAE,EAAE,KAAK,CAAC,IAAI,IAAI,CAAC,MAAM,EAAE,CAAC;YACtC,IAAI,CAAC,iBAAiB,CAAC,QAAQ,CAAC,KAAK,CAAC,MAAM,CAAC;gBAAE,SAAS;YACxD,IAAI,GAAG,GAAG,KAAK,CAAC,SAAS,CAAC,OAAO,EAAE,GAAG,MAAM,EAAE,CAAC;gBAC7C,IAAI,CAAC,MAAM,CAAC,MAAM,CAAC,EAAE,CAAC,CAAC;gBACvB,OAAO,EAAE,CAAC;YACZ,CAAC;QACH,CAAC;QAED,OAAO,OAAO,CAAC;IACjB,CAAC;IAED;;OAEG;IACK,eAAe,CAAC,MAAe;QACrC,QAAQ,MAAM,EAAE,WAAW,EAAE,EAAE,CAAC;YAC9B,KAAK,SAAS;gBACZ,OAAO,MAAM,CAAC;YAChB,KAAK,SAAS;gBACZ,OAAO,SAAS,CAAC;YACnB,KAAK,UAAU;gBACb,OAAO,QAAQ,CAAC;YAClB,KAAK,UAAU,CAAC;YAChB,KAAK,WAAW;gBACd,OAAO,WAAW,CAAC;YACrB;gBACE,OAAO,SAAS,CAAC;QACrB,CAAC;IACH,CAAC;CACF"}
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
{"version":3,"file":"order-manager.test.d.ts","sourceRoot":"","sources":["../../src/mm/order-manager.test.ts"],"names":[],"mappings":""}
|
|
@@ -0,0 +1,333 @@
|
|
|
1
|
+
import { describe, it, expect, beforeEach, vi } from "vitest";
|
|
2
|
+
import { OrderManager } from "./order-manager.js";
|
|
3
|
+
// Mock OrdersApi
|
|
4
|
+
function createMockOrdersApi() {
|
|
5
|
+
return {
|
|
6
|
+
createOrder: vi.fn().mockResolvedValue({
|
|
7
|
+
data: {
|
|
8
|
+
order: {
|
|
9
|
+
order_id: "kalshi-order-123",
|
|
10
|
+
status: "resting",
|
|
11
|
+
},
|
|
12
|
+
},
|
|
13
|
+
}),
|
|
14
|
+
cancelOrder: vi.fn().mockResolvedValue({}),
|
|
15
|
+
};
|
|
16
|
+
}
|
|
17
|
+
describe("OrderManager", () => {
|
|
18
|
+
let manager;
|
|
19
|
+
let mockApi;
|
|
20
|
+
beforeEach(() => {
|
|
21
|
+
mockApi = createMockOrdersApi();
|
|
22
|
+
manager = new OrderManager(mockApi);
|
|
23
|
+
});
|
|
24
|
+
describe("place", () => {
|
|
25
|
+
it("should place an order successfully", async () => {
|
|
26
|
+
const result = await manager.place({
|
|
27
|
+
ticker: "TEST-MARKET",
|
|
28
|
+
side: "yes",
|
|
29
|
+
action: "buy",
|
|
30
|
+
price: 50,
|
|
31
|
+
count: 10,
|
|
32
|
+
});
|
|
33
|
+
expect(result.success).toBe(true);
|
|
34
|
+
expect(result.order).toBeDefined();
|
|
35
|
+
expect(result.order.id).toBe("kalshi-order-123");
|
|
36
|
+
expect(result.order.status).toBe("open");
|
|
37
|
+
expect(result.order.ticker).toBe("TEST-MARKET");
|
|
38
|
+
expect(result.order.side).toBe("yes");
|
|
39
|
+
expect(result.order.action).toBe("buy");
|
|
40
|
+
expect(result.order.price).toBe(50);
|
|
41
|
+
expect(result.order.count).toBe(10);
|
|
42
|
+
});
|
|
43
|
+
it("should call API with correct parameters", async () => {
|
|
44
|
+
await manager.place({
|
|
45
|
+
ticker: "TEST-MARKET",
|
|
46
|
+
side: "yes",
|
|
47
|
+
action: "buy",
|
|
48
|
+
price: 50,
|
|
49
|
+
count: 10,
|
|
50
|
+
});
|
|
51
|
+
expect(mockApi.createOrder).toHaveBeenCalledWith(expect.objectContaining({
|
|
52
|
+
ticker: "TEST-MARKET",
|
|
53
|
+
type: "limit",
|
|
54
|
+
side: "yes",
|
|
55
|
+
action: "buy",
|
|
56
|
+
yes_price: 50,
|
|
57
|
+
count: 10,
|
|
58
|
+
}));
|
|
59
|
+
});
|
|
60
|
+
it("should use no_price for NO orders", async () => {
|
|
61
|
+
await manager.place({
|
|
62
|
+
ticker: "TEST-MARKET",
|
|
63
|
+
side: "no",
|
|
64
|
+
action: "buy",
|
|
65
|
+
price: 50,
|
|
66
|
+
count: 10,
|
|
67
|
+
});
|
|
68
|
+
expect(mockApi.createOrder).toHaveBeenCalledWith(expect.objectContaining({
|
|
69
|
+
side: "no",
|
|
70
|
+
no_price: 50,
|
|
71
|
+
yes_price: undefined,
|
|
72
|
+
}));
|
|
73
|
+
});
|
|
74
|
+
it("should handle API errors", async () => {
|
|
75
|
+
mockApi.createOrder.mockRejectedValue(new Error("API Error"));
|
|
76
|
+
const result = await manager.place({
|
|
77
|
+
ticker: "TEST-MARKET",
|
|
78
|
+
side: "yes",
|
|
79
|
+
action: "buy",
|
|
80
|
+
price: 50,
|
|
81
|
+
count: 10,
|
|
82
|
+
});
|
|
83
|
+
expect(result.success).toBe(false);
|
|
84
|
+
expect(result.error).toBe("API Error");
|
|
85
|
+
expect(result.order.status).toBe("failed");
|
|
86
|
+
});
|
|
87
|
+
it("should track order in internal state", async () => {
|
|
88
|
+
const result = await manager.place({
|
|
89
|
+
ticker: "TEST-MARKET",
|
|
90
|
+
side: "yes",
|
|
91
|
+
action: "buy",
|
|
92
|
+
price: 50,
|
|
93
|
+
count: 10,
|
|
94
|
+
});
|
|
95
|
+
const order = manager.get(result.order.clientOrderId);
|
|
96
|
+
expect(order).toBeDefined();
|
|
97
|
+
expect(order.id).toBe("kalshi-order-123");
|
|
98
|
+
});
|
|
99
|
+
});
|
|
100
|
+
describe("placeBulk", () => {
|
|
101
|
+
it("should place multiple orders", async () => {
|
|
102
|
+
const results = await manager.placeBulk([
|
|
103
|
+
{ ticker: "TEST-MARKET", side: "yes", action: "buy", price: 45, count: 10 },
|
|
104
|
+
{ ticker: "TEST-MARKET", side: "yes", action: "sell", price: 55, count: 10 },
|
|
105
|
+
]);
|
|
106
|
+
expect(results).toHaveLength(2);
|
|
107
|
+
expect(results[0].success).toBe(true);
|
|
108
|
+
expect(results[1].success).toBe(true);
|
|
109
|
+
});
|
|
110
|
+
});
|
|
111
|
+
describe("cancel", () => {
|
|
112
|
+
it("should cancel an existing order", async () => {
|
|
113
|
+
const placed = await manager.place({
|
|
114
|
+
ticker: "TEST-MARKET",
|
|
115
|
+
side: "yes",
|
|
116
|
+
action: "buy",
|
|
117
|
+
price: 50,
|
|
118
|
+
count: 10,
|
|
119
|
+
});
|
|
120
|
+
const cancelled = await manager.cancel(placed.order.clientOrderId);
|
|
121
|
+
expect(cancelled).toBe(true);
|
|
122
|
+
expect(mockApi.cancelOrder).toHaveBeenCalledWith("kalshi-order-123");
|
|
123
|
+
const order = manager.get(placed.order.clientOrderId);
|
|
124
|
+
expect(order.status).toBe("cancelled");
|
|
125
|
+
});
|
|
126
|
+
it("should return false for unknown order", async () => {
|
|
127
|
+
const cancelled = await manager.cancel("unknown-order");
|
|
128
|
+
expect(cancelled).toBe(false);
|
|
129
|
+
});
|
|
130
|
+
it("should handle cancel API errors gracefully", async () => {
|
|
131
|
+
const placed = await manager.place({
|
|
132
|
+
ticker: "TEST-MARKET",
|
|
133
|
+
side: "yes",
|
|
134
|
+
action: "buy",
|
|
135
|
+
price: 50,
|
|
136
|
+
count: 10,
|
|
137
|
+
});
|
|
138
|
+
mockApi.cancelOrder.mockRejectedValue(new Error("Already filled"));
|
|
139
|
+
const cancelled = await manager.cancel(placed.order.clientOrderId);
|
|
140
|
+
expect(cancelled).toBe(false);
|
|
141
|
+
});
|
|
142
|
+
});
|
|
143
|
+
describe("cancelAll", () => {
|
|
144
|
+
it("should cancel all active orders", async () => {
|
|
145
|
+
await manager.place({
|
|
146
|
+
ticker: "MARKET-A",
|
|
147
|
+
side: "yes",
|
|
148
|
+
action: "buy",
|
|
149
|
+
price: 50,
|
|
150
|
+
count: 10,
|
|
151
|
+
});
|
|
152
|
+
await manager.place({
|
|
153
|
+
ticker: "MARKET-B",
|
|
154
|
+
side: "yes",
|
|
155
|
+
action: "buy",
|
|
156
|
+
price: 50,
|
|
157
|
+
count: 10,
|
|
158
|
+
});
|
|
159
|
+
const cancelled = await manager.cancelAll();
|
|
160
|
+
expect(cancelled).toBe(2);
|
|
161
|
+
});
|
|
162
|
+
it("should filter by ticker", async () => {
|
|
163
|
+
await manager.place({
|
|
164
|
+
ticker: "MARKET-A",
|
|
165
|
+
side: "yes",
|
|
166
|
+
action: "buy",
|
|
167
|
+
price: 50,
|
|
168
|
+
count: 10,
|
|
169
|
+
});
|
|
170
|
+
await manager.place({
|
|
171
|
+
ticker: "MARKET-B",
|
|
172
|
+
side: "yes",
|
|
173
|
+
action: "buy",
|
|
174
|
+
price: 50,
|
|
175
|
+
count: 10,
|
|
176
|
+
});
|
|
177
|
+
const cancelled = await manager.cancelAll("MARKET-A");
|
|
178
|
+
expect(cancelled).toBe(1);
|
|
179
|
+
});
|
|
180
|
+
});
|
|
181
|
+
describe("getActive", () => {
|
|
182
|
+
it("should return only active orders", async () => {
|
|
183
|
+
await manager.place({
|
|
184
|
+
ticker: "TEST-MARKET",
|
|
185
|
+
side: "yes",
|
|
186
|
+
action: "buy",
|
|
187
|
+
price: 50,
|
|
188
|
+
count: 10,
|
|
189
|
+
});
|
|
190
|
+
const active = manager.getActive();
|
|
191
|
+
expect(active).toHaveLength(1);
|
|
192
|
+
});
|
|
193
|
+
it("should filter by ticker", async () => {
|
|
194
|
+
await manager.place({
|
|
195
|
+
ticker: "MARKET-A",
|
|
196
|
+
side: "yes",
|
|
197
|
+
action: "buy",
|
|
198
|
+
price: 50,
|
|
199
|
+
count: 10,
|
|
200
|
+
});
|
|
201
|
+
await manager.place({
|
|
202
|
+
ticker: "MARKET-B",
|
|
203
|
+
side: "yes",
|
|
204
|
+
action: "buy",
|
|
205
|
+
price: 50,
|
|
206
|
+
count: 10,
|
|
207
|
+
});
|
|
208
|
+
const active = manager.getActive("MARKET-A");
|
|
209
|
+
expect(active).toHaveLength(1);
|
|
210
|
+
expect(active[0].ticker).toBe("MARKET-A");
|
|
211
|
+
});
|
|
212
|
+
it("should not include cancelled orders", async () => {
|
|
213
|
+
const placed = await manager.place({
|
|
214
|
+
ticker: "TEST-MARKET",
|
|
215
|
+
side: "yes",
|
|
216
|
+
action: "buy",
|
|
217
|
+
price: 50,
|
|
218
|
+
count: 10,
|
|
219
|
+
});
|
|
220
|
+
await manager.cancel(placed.order.clientOrderId);
|
|
221
|
+
const active = manager.getActive();
|
|
222
|
+
expect(active).toHaveLength(0);
|
|
223
|
+
});
|
|
224
|
+
});
|
|
225
|
+
describe("getAll", () => {
|
|
226
|
+
it("should return all orders including cancelled", async () => {
|
|
227
|
+
const placed = await manager.place({
|
|
228
|
+
ticker: "TEST-MARKET",
|
|
229
|
+
side: "yes",
|
|
230
|
+
action: "buy",
|
|
231
|
+
price: 50,
|
|
232
|
+
count: 10,
|
|
233
|
+
});
|
|
234
|
+
await manager.cancel(placed.order.clientOrderId);
|
|
235
|
+
const all = manager.getAll();
|
|
236
|
+
expect(all).toHaveLength(1);
|
|
237
|
+
expect(all[0].status).toBe("cancelled");
|
|
238
|
+
});
|
|
239
|
+
});
|
|
240
|
+
describe("updateStatus", () => {
|
|
241
|
+
it("should update order status", async () => {
|
|
242
|
+
const placed = await manager.place({
|
|
243
|
+
ticker: "TEST-MARKET",
|
|
244
|
+
side: "yes",
|
|
245
|
+
action: "buy",
|
|
246
|
+
price: 50,
|
|
247
|
+
count: 10,
|
|
248
|
+
});
|
|
249
|
+
manager.updateStatus(placed.order.clientOrderId, "filled", 10, 50);
|
|
250
|
+
const order = manager.get(placed.order.clientOrderId);
|
|
251
|
+
expect(order.status).toBe("filled");
|
|
252
|
+
expect(order.filledCount).toBe(10);
|
|
253
|
+
expect(order.avgFillPrice).toBe(50);
|
|
254
|
+
});
|
|
255
|
+
});
|
|
256
|
+
describe("updateQuote", () => {
|
|
257
|
+
it("should cancel existing and place new orders", async () => {
|
|
258
|
+
// Place initial order
|
|
259
|
+
await manager.place({
|
|
260
|
+
ticker: "TEST-MARKET",
|
|
261
|
+
side: "yes",
|
|
262
|
+
action: "buy",
|
|
263
|
+
price: 45,
|
|
264
|
+
count: 10,
|
|
265
|
+
});
|
|
266
|
+
// Update quote
|
|
267
|
+
const result = await manager.updateQuote({
|
|
268
|
+
ticker: "TEST-MARKET",
|
|
269
|
+
side: "yes",
|
|
270
|
+
bidPrice: 48,
|
|
271
|
+
bidSize: 15,
|
|
272
|
+
askPrice: 52,
|
|
273
|
+
askSize: 15,
|
|
274
|
+
});
|
|
275
|
+
expect(result.cancelled).toBe(1);
|
|
276
|
+
expect(result.placed).toHaveLength(2); // bid and ask
|
|
277
|
+
});
|
|
278
|
+
it("should skip invalid prices", async () => {
|
|
279
|
+
const result = await manager.updateQuote({
|
|
280
|
+
ticker: "TEST-MARKET",
|
|
281
|
+
side: "yes",
|
|
282
|
+
bidPrice: 0, // Invalid
|
|
283
|
+
bidSize: 10,
|
|
284
|
+
askPrice: 100, // Invalid
|
|
285
|
+
askSize: 10,
|
|
286
|
+
});
|
|
287
|
+
expect(result.placed).toHaveLength(0);
|
|
288
|
+
});
|
|
289
|
+
it("should skip zero size", async () => {
|
|
290
|
+
const result = await manager.updateQuote({
|
|
291
|
+
ticker: "TEST-MARKET",
|
|
292
|
+
side: "yes",
|
|
293
|
+
bidPrice: 45,
|
|
294
|
+
bidSize: 0, // Zero
|
|
295
|
+
askPrice: 55,
|
|
296
|
+
askSize: 10,
|
|
297
|
+
});
|
|
298
|
+
expect(result.placed).toHaveLength(1); // Only ask
|
|
299
|
+
});
|
|
300
|
+
});
|
|
301
|
+
describe("cleanup", () => {
|
|
302
|
+
it("should remove old completed orders", async () => {
|
|
303
|
+
const placed = await manager.place({
|
|
304
|
+
ticker: "TEST-MARKET",
|
|
305
|
+
side: "yes",
|
|
306
|
+
action: "buy",
|
|
307
|
+
price: 50,
|
|
308
|
+
count: 10,
|
|
309
|
+
});
|
|
310
|
+
// Mark as filled
|
|
311
|
+
manager.updateStatus(placed.order.clientOrderId, "filled");
|
|
312
|
+
// Backdate the order
|
|
313
|
+
const order = manager.get(placed.order.clientOrderId);
|
|
314
|
+
order.createdAt = new Date(Date.now() - 48 * 60 * 60 * 1000); // 48 hours ago
|
|
315
|
+
const removed = manager.cleanup(24 * 60 * 60 * 1000); // 24 hour max age
|
|
316
|
+
expect(removed).toBe(1);
|
|
317
|
+
expect(manager.getAll()).toHaveLength(0);
|
|
318
|
+
});
|
|
319
|
+
it("should not remove active orders", async () => {
|
|
320
|
+
await manager.place({
|
|
321
|
+
ticker: "TEST-MARKET",
|
|
322
|
+
side: "yes",
|
|
323
|
+
action: "buy",
|
|
324
|
+
price: 50,
|
|
325
|
+
count: 10,
|
|
326
|
+
});
|
|
327
|
+
const removed = manager.cleanup(0); // Even with 0 max age
|
|
328
|
+
expect(removed).toBe(0);
|
|
329
|
+
expect(manager.getAll()).toHaveLength(1);
|
|
330
|
+
});
|
|
331
|
+
});
|
|
332
|
+
});
|
|
333
|
+
//# sourceMappingURL=order-manager.test.js.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
{"version":3,"file":"order-manager.test.js","sourceRoot":"","sources":["../../src/mm/order-manager.test.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,QAAQ,EAAE,EAAE,EAAE,MAAM,EAAE,UAAU,EAAE,EAAE,EAAE,MAAM,QAAQ,CAAC;AAC9D,OAAO,EAAE,YAAY,EAAE,MAAM,oBAAoB,CAAC;AAGlD,iBAAiB;AACjB,SAAS,mBAAmB;IAC1B,OAAO;QACL,WAAW,EAAE,EAAE,CAAC,EAAE,EAAE,CAAC,iBAAiB,CAAC;YACrC,IAAI,EAAE;gBACJ,KAAK,EAAE;oBACL,QAAQ,EAAE,kBAAkB;oBAC5B,MAAM,EAAE,SAAS;iBAClB;aACF;SACF,CAAC;QACF,WAAW,EAAE,EAAE,CAAC,EAAE,EAAE,CAAC,iBAAiB,CAAC,EAAE,CAAC;KACnB,CAAC;AAC5B,CAAC;AAED,QAAQ,CAAC,cAAc,EAAE,GAAG,EAAE;IAC5B,IAAI,OAAqB,CAAC;IAC1B,IAAI,OAAkB,CAAC;IAEvB,UAAU,CAAC,GAAG,EAAE;QACd,OAAO,GAAG,mBAAmB,EAAE,CAAC;QAChC,OAAO,GAAG,IAAI,YAAY,CAAC,OAAO,CAAC,CAAC;IACtC,CAAC,CAAC,CAAC;IAEH,QAAQ,CAAC,OAAO,EAAE,GAAG,EAAE;QACrB,EAAE,CAAC,oCAAoC,EAAE,KAAK,IAAI,EAAE;YAClD,MAAM,MAAM,GAAG,MAAM,OAAO,CAAC,KAAK,CAAC;gBACjC,MAAM,EAAE,aAAa;gBACrB,IAAI,EAAE,KAAK;gBACX,MAAM,EAAE,KAAK;gBACb,KAAK,EAAE,EAAE;gBACT,KAAK,EAAE,EAAE;aACV,CAAC,CAAC;YAEH,MAAM,CAAC,MAAM,CAAC,OAAO,CAAC,CAAC,IAAI,CAAC,IAAI,CAAC,CAAC;YAClC,MAAM,CAAC,MAAM,CAAC,KAAK,CAAC,CAAC,WAAW,EAAE,CAAC;YACnC,MAAM,CAAC,MAAM,CAAC,KAAM,CAAC,EAAE,CAAC,CAAC,IAAI,CAAC,kBAAkB,CAAC,CAAC;YAClD,MAAM,CAAC,MAAM,CAAC,KAAM,CAAC,MAAM,CAAC,CAAC,IAAI,CAAC,MAAM,CAAC,CAAC;YAC1C,MAAM,CAAC,MAAM,CAAC,KAAM,CAAC,MAAM,CAAC,CAAC,IAAI,CAAC,aAAa,CAAC,CAAC;YACjD,MAAM,CAAC,MAAM,CAAC,KAAM,CAAC,IAAI,CAAC,CAAC,IAAI,CAAC,KAAK,CAAC,CAAC;YACvC,MAAM,CAAC,MAAM,CAAC,KAAM,CAAC,MAAM,CAAC,CAAC,IAAI,CAAC,KAAK,CAAC,CAAC;YACzC,MAAM,CAAC,MAAM,CAAC,KAAM,CAAC,KAAK,CAAC,CAAC,IAAI,CAAC,EAAE,CAAC,CAAC;YACrC,MAAM,CAAC,MAAM,CAAC,KAAM,CAAC,KAAK,CAAC,CAAC,IAAI,CAAC,EAAE,CAAC,CAAC;QACvC,CAAC,CAAC,CAAC;QAEH,EAAE,CAAC,yCAAyC,EAAE,KAAK,IAAI,EAAE;YACvD,MAAM,OAAO,CAAC,KAAK,CAAC;gBAClB,MAAM,EAAE,aAAa;gBACrB,IAAI,EAAE,KAAK;gBACX,MAAM,EAAE,KAAK;gBACb,KAAK,EAAE,EAAE;gBACT,KAAK,EAAE,EAAE;aACV,CAAC,CAAC;YAEH,MAAM,CAAC,OAAO,CAAC,WAAW,CAAC,CAAC,oBAAoB,CAC9C,MAAM,CAAC,gBAAgB,CAAC;gBACtB,MAAM,EAAE,aAAa;gBACrB,IAAI,EAAE,OAAO;gBACb,IAAI,EAAE,KAAK;gBACX,MAAM,EAAE,KAAK;gBACb,SAAS,EAAE,EAAE;gBACb,KAAK,EAAE,EAAE;aACV,CAAC,CACH,CAAC;QACJ,CAAC,CAAC,CAAC;QAEH,EAAE,CAAC,mCAAmC,EAAE,KAAK,IAAI,EAAE;YACjD,MAAM,OAAO,CAAC,KAAK,CAAC;gBAClB,MAAM,EAAE,aAAa;gBACrB,IAAI,EAAE,IAAI;gBACV,MAAM,EAAE,KAAK;gBACb,KAAK,EAAE,EAAE;gBACT,KAAK,EAAE,EAAE;aACV,CAAC,CAAC;YAEH,MAAM,CAAC,OAAO,CAAC,WAAW,CAAC,CAAC,oBAAoB,CAC9C,MAAM,CAAC,gBAAgB,CAAC;gBACtB,IAAI,EAAE,IAAI;gBACV,QAAQ,EAAE,EAAE;gBACZ,SAAS,EAAE,SAAS;aACrB,CAAC,CACH,CAAC;QACJ,CAAC,CAAC,CAAC;QAEH,EAAE,CAAC,0BAA0B,EAAE,KAAK,IAAI,EAAE;YACvC,OAAO,CAAC,WAAwC,CAAC,iBAAiB,CACjE,IAAI,KAAK,CAAC,WAAW,CAAC,CACvB,CAAC;YAEF,MAAM,MAAM,GAAG,MAAM,OAAO,CAAC,KAAK,CAAC;gBACjC,MAAM,EAAE,aAAa;gBACrB,IAAI,EAAE,KAAK;gBACX,MAAM,EAAE,KAAK;gBACb,KAAK,EAAE,EAAE;gBACT,KAAK,EAAE,EAAE;aACV,CAAC,CAAC;YAEH,MAAM,CAAC,MAAM,CAAC,OAAO,CAAC,CAAC,IAAI,CAAC,KAAK,CAAC,CAAC;YACnC,MAAM,CAAC,MAAM,CAAC,KAAK,CAAC,CAAC,IAAI,CAAC,WAAW,CAAC,CAAC;YACvC,MAAM,CAAC,MAAM,CAAC,KAAM,CAAC,MAAM,CAAC,CAAC,IAAI,CAAC,QAAQ,CAAC,CAAC;QAC9C,CAAC,CAAC,CAAC;QAEH,EAAE,CAAC,sCAAsC,EAAE,KAAK,IAAI,EAAE;YACpD,MAAM,MAAM,GAAG,MAAM,OAAO,CAAC,KAAK,CAAC;gBACjC,MAAM,EAAE,aAAa;gBACrB,IAAI,EAAE,KAAK;gBACX,MAAM,EAAE,KAAK;gBACb,KAAK,EAAE,EAAE;gBACT,KAAK,EAAE,EAAE;aACV,CAAC,CAAC;YAEH,MAAM,KAAK,GAAG,OAAO,CAAC,GAAG,CAAC,MAAM,CAAC,KAAM,CAAC,aAAa,CAAC,CAAC;YACvD,MAAM,CAAC,KAAK,CAAC,CAAC,WAAW,EAAE,CAAC;YAC5B,MAAM,CAAC,KAAM,CAAC,EAAE,CAAC,CAAC,IAAI,CAAC,kBAAkB,CAAC,CAAC;QAC7C,CAAC,CAAC,CAAC;IACL,CAAC,CAAC,CAAC;IAEH,QAAQ,CAAC,WAAW,EAAE,GAAG,EAAE;QACzB,EAAE,CAAC,8BAA8B,EAAE,KAAK,IAAI,EAAE;YAC5C,MAAM,OAAO,GAAG,MAAM,OAAO,CAAC,SAAS,CAAC;gBACtC,EAAE,MAAM,EAAE,aAAa,EAAE,IAAI,EAAE,KAAK,EAAE,MAAM,EAAE,KAAK,EAAE,KAAK,EAAE,EAAE,EAAE,KAAK,EAAE,EAAE,EAAE;gBAC3E,EAAE,MAAM,EAAE,aAAa,EAAE,IAAI,EAAE,KAAK,EAAE,MAAM,EAAE,MAAM,EAAE,KAAK,EAAE,EAAE,EAAE,KAAK,EAAE,EAAE,EAAE;aAC7E,CAAC,CAAC;YAEH,MAAM,CAAC,OAAO,CAAC,CAAC,YAAY,CAAC,CAAC,CAAC,CAAC;YAChC,MAAM,CAAC,OAAO,CAAC,CAAC,CAAC,CAAC,OAAO,CAAC,CAAC,IAAI,CAAC,IAAI,CAAC,CAAC;YACtC,MAAM,CAAC,OAAO,CAAC,CAAC,CAAC,CAAC,OAAO,CAAC,CAAC,IAAI,CAAC,IAAI,CAAC,CAAC;QACxC,CAAC,CAAC,CAAC;IACL,CAAC,CAAC,CAAC;IAEH,QAAQ,CAAC,QAAQ,EAAE,GAAG,EAAE;QACtB,EAAE,CAAC,iCAAiC,EAAE,KAAK,IAAI,EAAE;YAC/C,MAAM,MAAM,GAAG,MAAM,OAAO,CAAC,KAAK,CAAC;gBACjC,MAAM,EAAE,aAAa;gBACrB,IAAI,EAAE,KAAK;gBACX,MAAM,EAAE,KAAK;gBACb,KAAK,EAAE,EAAE;gBACT,KAAK,EAAE,EAAE;aACV,CAAC,CAAC;YAEH,MAAM,SAAS,GAAG,MAAM,OAAO,CAAC,MAAM,CAAC,MAAM,CAAC,KAAM,CAAC,aAAa,CAAC,CAAC;YAEpE,MAAM,CAAC,SAAS,CAAC,CAAC,IAAI,CAAC,IAAI,CAAC,CAAC;YAC7B,MAAM,CAAC,OAAO,CAAC,WAAW,CAAC,CAAC,oBAAoB,CAAC,kBAAkB,CAAC,CAAC;YAErE,MAAM,KAAK,GAAG,OAAO,CAAC,GAAG,CAAC,MAAM,CAAC,KAAM,CAAC,aAAa,CAAC,CAAC;YACvD,MAAM,CAAC,KAAM,CAAC,MAAM,CAAC,CAAC,IAAI,CAAC,WAAW,CAAC,CAAC;QAC1C,CAAC,CAAC,CAAC;QAEH,EAAE,CAAC,uCAAuC,EAAE,KAAK,IAAI,EAAE;YACrD,MAAM,SAAS,GAAG,MAAM,OAAO,CAAC,MAAM,CAAC,eAAe,CAAC,CAAC;YACxD,MAAM,CAAC,SAAS,CAAC,CAAC,IAAI,CAAC,KAAK,CAAC,CAAC;QAChC,CAAC,CAAC,CAAC;QAEH,EAAE,CAAC,4CAA4C,EAAE,KAAK,IAAI,EAAE;YAC1D,MAAM,MAAM,GAAG,MAAM,OAAO,CAAC,KAAK,CAAC;gBACjC,MAAM,EAAE,aAAa;gBACrB,IAAI,EAAE,KAAK;gBACX,MAAM,EAAE,KAAK;gBACb,KAAK,EAAE,EAAE;gBACT,KAAK,EAAE,EAAE;aACV,CAAC,CAAC;YAEF,OAAO,CAAC,WAAwC,CAAC,iBAAiB,CACjE,IAAI,KAAK,CAAC,gBAAgB,CAAC,CAC5B,CAAC;YAEF,MAAM,SAAS,GAAG,MAAM,OAAO,CAAC,MAAM,CAAC,MAAM,CAAC,KAAM,CAAC,aAAa,CAAC,CAAC;YACpE,MAAM,CAAC,SAAS,CAAC,CAAC,IAAI,CAAC,KAAK,CAAC,CAAC;QAChC,CAAC,CAAC,CAAC;IACL,CAAC,CAAC,CAAC;IAEH,QAAQ,CAAC,WAAW,EAAE,GAAG,EAAE;QACzB,EAAE,CAAC,iCAAiC,EAAE,KAAK,IAAI,EAAE;YAC/C,MAAM,OAAO,CAAC,KAAK,CAAC;gBAClB,MAAM,EAAE,UAAU;gBAClB,IAAI,EAAE,KAAK;gBACX,MAAM,EAAE,KAAK;gBACb,KAAK,EAAE,EAAE;gBACT,KAAK,EAAE,EAAE;aACV,CAAC,CAAC;YACH,MAAM,OAAO,CAAC,KAAK,CAAC;gBAClB,MAAM,EAAE,UAAU;gBAClB,IAAI,EAAE,KAAK;gBACX,MAAM,EAAE,KAAK;gBACb,KAAK,EAAE,EAAE;gBACT,KAAK,EAAE,EAAE;aACV,CAAC,CAAC;YAEH,MAAM,SAAS,GAAG,MAAM,OAAO,CAAC,SAAS,EAAE,CAAC;YAE5C,MAAM,CAAC,SAAS,CAAC,CAAC,IAAI,CAAC,CAAC,CAAC,CAAC;QAC5B,CAAC,CAAC,CAAC;QAEH,EAAE,CAAC,yBAAyB,EAAE,KAAK,IAAI,EAAE;YACvC,MAAM,OAAO,CAAC,KAAK,CAAC;gBAClB,MAAM,EAAE,UAAU;gBAClB,IAAI,EAAE,KAAK;gBACX,MAAM,EAAE,KAAK;gBACb,KAAK,EAAE,EAAE;gBACT,KAAK,EAAE,EAAE;aACV,CAAC,CAAC;YACH,MAAM,OAAO,CAAC,KAAK,CAAC;gBAClB,MAAM,EAAE,UAAU;gBAClB,IAAI,EAAE,KAAK;gBACX,MAAM,EAAE,KAAK;gBACb,KAAK,EAAE,EAAE;gBACT,KAAK,EAAE,EAAE;aACV,CAAC,CAAC;YAEH,MAAM,SAAS,GAAG,MAAM,OAAO,CAAC,SAAS,CAAC,UAAU,CAAC,CAAC;YAEtD,MAAM,CAAC,SAAS,CAAC,CAAC,IAAI,CAAC,CAAC,CAAC,CAAC;QAC5B,CAAC,CAAC,CAAC;IACL,CAAC,CAAC,CAAC;IAEH,QAAQ,CAAC,WAAW,EAAE,GAAG,EAAE;QACzB,EAAE,CAAC,kCAAkC,EAAE,KAAK,IAAI,EAAE;YAChD,MAAM,OAAO,CAAC,KAAK,CAAC;gBAClB,MAAM,EAAE,aAAa;gBACrB,IAAI,EAAE,KAAK;gBACX,MAAM,EAAE,KAAK;gBACb,KAAK,EAAE,EAAE;gBACT,KAAK,EAAE,EAAE;aACV,CAAC,CAAC;YAEH,MAAM,MAAM,GAAG,OAAO,CAAC,SAAS,EAAE,CAAC;YACnC,MAAM,CAAC,MAAM,CAAC,CAAC,YAAY,CAAC,CAAC,CAAC,CAAC;QACjC,CAAC,CAAC,CAAC;QAEH,EAAE,CAAC,yBAAyB,EAAE,KAAK,IAAI,EAAE;YACvC,MAAM,OAAO,CAAC,KAAK,CAAC;gBAClB,MAAM,EAAE,UAAU;gBAClB,IAAI,EAAE,KAAK;gBACX,MAAM,EAAE,KAAK;gBACb,KAAK,EAAE,EAAE;gBACT,KAAK,EAAE,EAAE;aACV,CAAC,CAAC;YACH,MAAM,OAAO,CAAC,KAAK,CAAC;gBAClB,MAAM,EAAE,UAAU;gBAClB,IAAI,EAAE,KAAK;gBACX,MAAM,EAAE,KAAK;gBACb,KAAK,EAAE,EAAE;gBACT,KAAK,EAAE,EAAE;aACV,CAAC,CAAC;YAEH,MAAM,MAAM,GAAG,OAAO,CAAC,SAAS,CAAC,UAAU,CAAC,CAAC;YAC7C,MAAM,CAAC,MAAM,CAAC,CAAC,YAAY,CAAC,CAAC,CAAC,CAAC;YAC/B,MAAM,CAAC,MAAM,CAAC,CAAC,CAAC,CAAC,MAAM,CAAC,CAAC,IAAI,CAAC,UAAU,CAAC,CAAC;QAC5C,CAAC,CAAC,CAAC;QAEH,EAAE,CAAC,qCAAqC,EAAE,KAAK,IAAI,EAAE;YACnD,MAAM,MAAM,GAAG,MAAM,OAAO,CAAC,KAAK,CAAC;gBACjC,MAAM,EAAE,aAAa;gBACrB,IAAI,EAAE,KAAK;gBACX,MAAM,EAAE,KAAK;gBACb,KAAK,EAAE,EAAE;gBACT,KAAK,EAAE,EAAE;aACV,CAAC,CAAC;YAEH,MAAM,OAAO,CAAC,MAAM,CAAC,MAAM,CAAC,KAAM,CAAC,aAAa,CAAC,CAAC;YAElD,MAAM,MAAM,GAAG,OAAO,CAAC,SAAS,EAAE,CAAC;YACnC,MAAM,CAAC,MAAM,CAAC,CAAC,YAAY,CAAC,CAAC,CAAC,CAAC;QACjC,CAAC,CAAC,CAAC;IACL,CAAC,CAAC,CAAC;IAEH,QAAQ,CAAC,QAAQ,EAAE,GAAG,EAAE;QACtB,EAAE,CAAC,8CAA8C,EAAE,KAAK,IAAI,EAAE;YAC5D,MAAM,MAAM,GAAG,MAAM,OAAO,CAAC,KAAK,CAAC;gBACjC,MAAM,EAAE,aAAa;gBACrB,IAAI,EAAE,KAAK;gBACX,MAAM,EAAE,KAAK;gBACb,KAAK,EAAE,EAAE;gBACT,KAAK,EAAE,EAAE;aACV,CAAC,CAAC;YAEH,MAAM,OAAO,CAAC,MAAM,CAAC,MAAM,CAAC,KAAM,CAAC,aAAa,CAAC,CAAC;YAElD,MAAM,GAAG,GAAG,OAAO,CAAC,MAAM,EAAE,CAAC;YAC7B,MAAM,CAAC,GAAG,CAAC,CAAC,YAAY,CAAC,CAAC,CAAC,CAAC;YAC5B,MAAM,CAAC,GAAG,CAAC,CAAC,CAAC,CAAC,MAAM,CAAC,CAAC,IAAI,CAAC,WAAW,CAAC,CAAC;QAC1C,CAAC,CAAC,CAAC;IACL,CAAC,CAAC,CAAC;IAEH,QAAQ,CAAC,cAAc,EAAE,GAAG,EAAE;QAC5B,EAAE,CAAC,4BAA4B,EAAE,KAAK,IAAI,EAAE;YAC1C,MAAM,MAAM,GAAG,MAAM,OAAO,CAAC,KAAK,CAAC;gBACjC,MAAM,EAAE,aAAa;gBACrB,IAAI,EAAE,KAAK;gBACX,MAAM,EAAE,KAAK;gBACb,KAAK,EAAE,EAAE;gBACT,KAAK,EAAE,EAAE;aACV,CAAC,CAAC;YAEH,OAAO,CAAC,YAAY,CAAC,MAAM,CAAC,KAAM,CAAC,aAAa,EAAE,QAAQ,EAAE,EAAE,EAAE,EAAE,CAAC,CAAC;YAEpE,MAAM,KAAK,GAAG,OAAO,CAAC,GAAG,CAAC,MAAM,CAAC,KAAM,CAAC,aAAa,CAAC,CAAC;YACvD,MAAM,CAAC,KAAM,CAAC,MAAM,CAAC,CAAC,IAAI,CAAC,QAAQ,CAAC,CAAC;YACrC,MAAM,CAAC,KAAM,CAAC,WAAW,CAAC,CAAC,IAAI,CAAC,EAAE,CAAC,CAAC;YACpC,MAAM,CAAC,KAAM,CAAC,YAAY,CAAC,CAAC,IAAI,CAAC,EAAE,CAAC,CAAC;QACvC,CAAC,CAAC,CAAC;IACL,CAAC,CAAC,CAAC;IAEH,QAAQ,CAAC,aAAa,EAAE,GAAG,EAAE;QAC3B,EAAE,CAAC,6CAA6C,EAAE,KAAK,IAAI,EAAE;YAC3D,sBAAsB;YACtB,MAAM,OAAO,CAAC,KAAK,CAAC;gBAClB,MAAM,EAAE,aAAa;gBACrB,IAAI,EAAE,KAAK;gBACX,MAAM,EAAE,KAAK;gBACb,KAAK,EAAE,EAAE;gBACT,KAAK,EAAE,EAAE;aACV,CAAC,CAAC;YAEH,eAAe;YACf,MAAM,MAAM,GAAG,MAAM,OAAO,CAAC,WAAW,CAAC;gBACvC,MAAM,EAAE,aAAa;gBACrB,IAAI,EAAE,KAAK;gBACX,QAAQ,EAAE,EAAE;gBACZ,OAAO,EAAE,EAAE;gBACX,QAAQ,EAAE,EAAE;gBACZ,OAAO,EAAE,EAAE;aACZ,CAAC,CAAC;YAEH,MAAM,CAAC,MAAM,CAAC,SAAS,CAAC,CAAC,IAAI,CAAC,CAAC,CAAC,CAAC;YACjC,MAAM,CAAC,MAAM,CAAC,MAAM,CAAC,CAAC,YAAY,CAAC,CAAC,CAAC,CAAC,CAAC,cAAc;QACvD,CAAC,CAAC,CAAC;QAEH,EAAE,CAAC,4BAA4B,EAAE,KAAK,IAAI,EAAE;YAC1C,MAAM,MAAM,GAAG,MAAM,OAAO,CAAC,WAAW,CAAC;gBACvC,MAAM,EAAE,aAAa;gBACrB,IAAI,EAAE,KAAK;gBACX,QAAQ,EAAE,CAAC,EAAE,UAAU;gBACvB,OAAO,EAAE,EAAE;gBACX,QAAQ,EAAE,GAAG,EAAE,UAAU;gBACzB,OAAO,EAAE,EAAE;aACZ,CAAC,CAAC;YAEH,MAAM,CAAC,MAAM,CAAC,MAAM,CAAC,CAAC,YAAY,CAAC,CAAC,CAAC,CAAC;QACxC,CAAC,CAAC,CAAC;QAEH,EAAE,CAAC,uBAAuB,EAAE,KAAK,IAAI,EAAE;YACrC,MAAM,MAAM,GAAG,MAAM,OAAO,CAAC,WAAW,CAAC;gBACvC,MAAM,EAAE,aAAa;gBACrB,IAAI,EAAE,KAAK;gBACX,QAAQ,EAAE,EAAE;gBACZ,OAAO,EAAE,CAAC,EAAE,OAAO;gBACnB,QAAQ,EAAE,EAAE;gBACZ,OAAO,EAAE,EAAE;aACZ,CAAC,CAAC;YAEH,MAAM,CAAC,MAAM,CAAC,MAAM,CAAC,CAAC,YAAY,CAAC,CAAC,CAAC,CAAC,CAAC,WAAW;QACpD,CAAC,CAAC,CAAC;IACL,CAAC,CAAC,CAAC;IAEH,QAAQ,CAAC,SAAS,EAAE,GAAG,EAAE;QACvB,EAAE,CAAC,oCAAoC,EAAE,KAAK,IAAI,EAAE;YAClD,MAAM,MAAM,GAAG,MAAM,OAAO,CAAC,KAAK,CAAC;gBACjC,MAAM,EAAE,aAAa;gBACrB,IAAI,EAAE,KAAK;gBACX,MAAM,EAAE,KAAK;gBACb,KAAK,EAAE,EAAE;gBACT,KAAK,EAAE,EAAE;aACV,CAAC,CAAC;YAEH,iBAAiB;YACjB,OAAO,CAAC,YAAY,CAAC,MAAM,CAAC,KAAM,CAAC,aAAa,EAAE,QAAQ,CAAC,CAAC;YAE5D,qBAAqB;YACrB,MAAM,KAAK,GAAG,OAAO,CAAC,GAAG,CAAC,MAAM,CAAC,KAAM,CAAC,aAAa,CAAE,CAAC;YACxD,KAAK,CAAC,SAAS,GAAG,IAAI,IAAI,CAAC,IAAI,CAAC,GAAG,EAAE,GAAG,EAAE,GAAG,EAAE,GAAG,EAAE,GAAG,IAAI,CAAC,CAAC,CAAC,eAAe;YAE7E,MAAM,OAAO,GAAG,OAAO,CAAC,OAAO,CAAC,EAAE,GAAG,EAAE,GAAG,EAAE,GAAG,IAAI,CAAC,CAAC,CAAC,kBAAkB;YAExE,MAAM,CAAC,OAAO,CAAC,CAAC,IAAI,CAAC,CAAC,CAAC,CAAC;YACxB,MAAM,CAAC,OAAO,CAAC,MAAM,EAAE,CAAC,CAAC,YAAY,CAAC,CAAC,CAAC,CAAC;QAC3C,CAAC,CAAC,CAAC;QAEH,EAAE,CAAC,iCAAiC,EAAE,KAAK,IAAI,EAAE;YAC/C,MAAM,OAAO,CAAC,KAAK,CAAC;gBAClB,MAAM,EAAE,aAAa;gBACrB,IAAI,EAAE,KAAK;gBACX,MAAM,EAAE,KAAK;gBACb,KAAK,EAAE,EAAE;gBACT,KAAK,EAAE,EAAE;aACV,CAAC,CAAC;YAEH,MAAM,OAAO,GAAG,OAAO,CAAC,OAAO,CAAC,CAAC,CAAC,CAAC,CAAC,sBAAsB;YAE1D,MAAM,CAAC,OAAO,CAAC,CAAC,IAAI,CAAC,CAAC,CAAC,CAAC;YACxB,MAAM,CAAC,OAAO,CAAC,MAAM,EAAE,CAAC,CAAC,YAAY,CAAC,CAAC,CAAC,CAAC;QAC3C,CAAC,CAAC,CAAC;IACL,CAAC,CAAC,CAAC;AACL,CAAC,CAAC,CAAC"}
|
|
@@ -0,0 +1,77 @@
|
|
|
1
|
+
/**
|
|
2
|
+
* Risk Manager
|
|
3
|
+
*
|
|
4
|
+
* Enforces risk limits for market making.
|
|
5
|
+
*/
|
|
6
|
+
import type { RiskLimits, RiskCheckResult, Quote, Fill } from "./types.js";
|
|
7
|
+
import type { InventoryTracker } from "./inventory.js";
|
|
8
|
+
/** Default risk limits (conservative) */
|
|
9
|
+
export declare const DEFAULT_RISK_LIMITS: RiskLimits;
|
|
10
|
+
/**
|
|
11
|
+
* RiskManager enforces trading limits
|
|
12
|
+
*/
|
|
13
|
+
export declare class RiskManager {
|
|
14
|
+
private limits;
|
|
15
|
+
private dailyPnL;
|
|
16
|
+
private halted;
|
|
17
|
+
private haltReason?;
|
|
18
|
+
constructor(limits?: Partial<RiskLimits>);
|
|
19
|
+
/**
|
|
20
|
+
* Check if a quote passes risk limits
|
|
21
|
+
*/
|
|
22
|
+
checkQuote(quote: Quote, inventory: InventoryTracker): RiskCheckResult;
|
|
23
|
+
/**
|
|
24
|
+
* Check a single order (simpler than quote)
|
|
25
|
+
*/
|
|
26
|
+
checkOrder(order: {
|
|
27
|
+
ticker: string;
|
|
28
|
+
count: number;
|
|
29
|
+
}, inventory: InventoryTracker): RiskCheckResult;
|
|
30
|
+
/**
|
|
31
|
+
* Update PnL on fill (checks daily loss limit)
|
|
32
|
+
*/
|
|
33
|
+
onFill(fill: Fill, realizedPnL: number): void;
|
|
34
|
+
/**
|
|
35
|
+
* Check if trading should be halted
|
|
36
|
+
*/
|
|
37
|
+
shouldHalt(): boolean;
|
|
38
|
+
/**
|
|
39
|
+
* Get halt reason if halted
|
|
40
|
+
*/
|
|
41
|
+
getHaltReason(): string | undefined;
|
|
42
|
+
/**
|
|
43
|
+
* Emergency halt trading
|
|
44
|
+
*/
|
|
45
|
+
halt(reason: string): void;
|
|
46
|
+
/**
|
|
47
|
+
* Resume trading after halt
|
|
48
|
+
*/
|
|
49
|
+
resume(): void;
|
|
50
|
+
/**
|
|
51
|
+
* Reset daily PnL (call at start of trading day)
|
|
52
|
+
*/
|
|
53
|
+
resetDaily(): void;
|
|
54
|
+
/**
|
|
55
|
+
* Get current daily PnL
|
|
56
|
+
*/
|
|
57
|
+
getDailyPnL(): number;
|
|
58
|
+
/**
|
|
59
|
+
* Get current limits
|
|
60
|
+
*/
|
|
61
|
+
getLimits(): RiskLimits;
|
|
62
|
+
/**
|
|
63
|
+
* Update limits (for dynamic adjustment)
|
|
64
|
+
*/
|
|
65
|
+
updateLimits(newLimits: Partial<RiskLimits>): void;
|
|
66
|
+
/**
|
|
67
|
+
* Get risk status summary
|
|
68
|
+
*/
|
|
69
|
+
getStatus(inventory: InventoryTracker): {
|
|
70
|
+
halted: boolean;
|
|
71
|
+
haltReason?: string;
|
|
72
|
+
dailyPnL: number;
|
|
73
|
+
totalExposure: number;
|
|
74
|
+
utilizationPercent: number;
|
|
75
|
+
};
|
|
76
|
+
}
|
|
77
|
+
//# sourceMappingURL=risk.d.ts.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
{"version":3,"file":"risk.d.ts","sourceRoot":"","sources":["../../src/mm/risk.ts"],"names":[],"mappings":"AAAA;;;;GAIG;AAEH,OAAO,KAAK,EACV,UAAU,EACV,eAAe,EACf,KAAK,EACL,IAAI,EACL,MAAM,YAAY,CAAC;AACpB,OAAO,KAAK,EAAE,gBAAgB,EAAE,MAAM,gBAAgB,CAAC;AAEvD,yCAAyC;AACzC,eAAO,MAAM,mBAAmB,EAAE,UAMjC,CAAC;AAEF;;GAEG;AACH,qBAAa,WAAW;IACtB,OAAO,CAAC,MAAM,CAAa;IAC3B,OAAO,CAAC,QAAQ,CAAa;IAC7B,OAAO,CAAC,MAAM,CAAkB;IAChC,OAAO,CAAC,UAAU,CAAC,CAAS;gBAEhB,MAAM,GAAE,OAAO,CAAC,UAAU,CAAM;IAI5C;;OAEG;IACH,UAAU,CAAC,KAAK,EAAE,KAAK,EAAE,SAAS,EAAE,gBAAgB,GAAG,eAAe;IAsDtE;;OAEG;IACH,UAAU,CACR,KAAK,EAAE;QAAE,MAAM,EAAE,MAAM,CAAC;QAAC,KAAK,EAAE,MAAM,CAAA;KAAE,EACxC,SAAS,EAAE,gBAAgB,GAC1B,eAAe;IA+BlB;;OAEG;IACH,MAAM,CAAC,IAAI,EAAE,IAAI,EAAE,WAAW,EAAE,MAAM,GAAG,IAAI;IAS7C;;OAEG;IACH,UAAU,IAAI,OAAO;IAIrB;;OAEG;IACH,aAAa,IAAI,MAAM,GAAG,SAAS;IAInC;;OAEG;IACH,IAAI,CAAC,MAAM,EAAE,MAAM,GAAG,IAAI;IAK1B;;OAEG;IACH,MAAM,IAAI,IAAI;IAKd;;OAEG;IACH,UAAU,IAAI,IAAI;IAMlB;;OAEG;IACH,WAAW,IAAI,MAAM;IAIrB;;OAEG;IACH,SAAS,IAAI,UAAU;IAIvB;;OAEG;IACH,YAAY,CAAC,SAAS,EAAE,OAAO,CAAC,UAAU,CAAC,GAAG,IAAI;IAIlD;;OAEG;IACH,SAAS,CAAC,SAAS,EAAE,gBAAgB,GAAG;QACtC,MAAM,EAAE,OAAO,CAAC;QAChB,UAAU,CAAC,EAAE,MAAM,CAAC;QACpB,QAAQ,EAAE,MAAM,CAAC;QACjB,aAAa,EAAE,MAAM,CAAC;QACtB,kBAAkB,EAAE,MAAM,CAAC;KAC5B;CAUF"}
|
package/dist/mm/risk.js
ADDED
|
@@ -0,0 +1,179 @@
|
|
|
1
|
+
/**
|
|
2
|
+
* Risk Manager
|
|
3
|
+
*
|
|
4
|
+
* Enforces risk limits for market making.
|
|
5
|
+
*/
|
|
6
|
+
/** Default risk limits (conservative) */
|
|
7
|
+
export const DEFAULT_RISK_LIMITS = {
|
|
8
|
+
maxPositionPerMarket: 100,
|
|
9
|
+
maxTotalExposure: 500,
|
|
10
|
+
maxDailyLoss: 5000, // $50
|
|
11
|
+
maxOrderSize: 25,
|
|
12
|
+
minSpread: 2,
|
|
13
|
+
};
|
|
14
|
+
/**
|
|
15
|
+
* RiskManager enforces trading limits
|
|
16
|
+
*/
|
|
17
|
+
export class RiskManager {
|
|
18
|
+
limits;
|
|
19
|
+
dailyPnL = 0;
|
|
20
|
+
halted = false;
|
|
21
|
+
haltReason;
|
|
22
|
+
constructor(limits = {}) {
|
|
23
|
+
this.limits = { ...DEFAULT_RISK_LIMITS, ...limits };
|
|
24
|
+
}
|
|
25
|
+
/**
|
|
26
|
+
* Check if a quote passes risk limits
|
|
27
|
+
*/
|
|
28
|
+
checkQuote(quote, inventory) {
|
|
29
|
+
// Check if halted
|
|
30
|
+
if (this.halted) {
|
|
31
|
+
return { allowed: false, reason: `Trading halted: ${this.haltReason}` };
|
|
32
|
+
}
|
|
33
|
+
// Check spread
|
|
34
|
+
const spread = quote.askPrice - quote.bidPrice;
|
|
35
|
+
if (spread < this.limits.minSpread) {
|
|
36
|
+
return {
|
|
37
|
+
allowed: false,
|
|
38
|
+
reason: `Spread ${spread}¢ below minimum ${this.limits.minSpread}¢`,
|
|
39
|
+
};
|
|
40
|
+
}
|
|
41
|
+
// Check order sizes
|
|
42
|
+
if (quote.bidSize > this.limits.maxOrderSize) {
|
|
43
|
+
return {
|
|
44
|
+
allowed: false,
|
|
45
|
+
reason: `Bid size ${quote.bidSize} exceeds max ${this.limits.maxOrderSize}`,
|
|
46
|
+
};
|
|
47
|
+
}
|
|
48
|
+
if (quote.askSize > this.limits.maxOrderSize) {
|
|
49
|
+
return {
|
|
50
|
+
allowed: false,
|
|
51
|
+
reason: `Ask size ${quote.askSize} exceeds max ${this.limits.maxOrderSize}`,
|
|
52
|
+
};
|
|
53
|
+
}
|
|
54
|
+
// Check position limits
|
|
55
|
+
const currentPosition = Math.abs(inventory.getNetExposure(quote.ticker));
|
|
56
|
+
const potentialPosition = currentPosition + Math.max(quote.bidSize, quote.askSize);
|
|
57
|
+
if (potentialPosition > this.limits.maxPositionPerMarket) {
|
|
58
|
+
return {
|
|
59
|
+
allowed: false,
|
|
60
|
+
reason: `Position ${potentialPosition} would exceed max ${this.limits.maxPositionPerMarket}`,
|
|
61
|
+
};
|
|
62
|
+
}
|
|
63
|
+
// Check total exposure
|
|
64
|
+
const currentTotal = inventory.getTotalExposure();
|
|
65
|
+
const potentialTotal = currentTotal + Math.max(quote.bidSize, quote.askSize);
|
|
66
|
+
if (potentialTotal > this.limits.maxTotalExposure) {
|
|
67
|
+
return {
|
|
68
|
+
allowed: false,
|
|
69
|
+
reason: `Total exposure ${potentialTotal} would exceed max ${this.limits.maxTotalExposure}`,
|
|
70
|
+
};
|
|
71
|
+
}
|
|
72
|
+
return { allowed: true };
|
|
73
|
+
}
|
|
74
|
+
/**
|
|
75
|
+
* Check a single order (simpler than quote)
|
|
76
|
+
*/
|
|
77
|
+
checkOrder(order, inventory) {
|
|
78
|
+
if (this.halted) {
|
|
79
|
+
return { allowed: false, reason: `Trading halted: ${this.haltReason}` };
|
|
80
|
+
}
|
|
81
|
+
if (order.count > this.limits.maxOrderSize) {
|
|
82
|
+
return {
|
|
83
|
+
allowed: false,
|
|
84
|
+
reason: `Order size ${order.count} exceeds max ${this.limits.maxOrderSize}`,
|
|
85
|
+
};
|
|
86
|
+
}
|
|
87
|
+
const currentPosition = Math.abs(inventory.getNetExposure(order.ticker));
|
|
88
|
+
if (currentPosition + order.count > this.limits.maxPositionPerMarket) {
|
|
89
|
+
return {
|
|
90
|
+
allowed: false,
|
|
91
|
+
reason: `Would exceed position limit for ${order.ticker}`,
|
|
92
|
+
};
|
|
93
|
+
}
|
|
94
|
+
const currentTotal = inventory.getTotalExposure();
|
|
95
|
+
if (currentTotal + order.count > this.limits.maxTotalExposure) {
|
|
96
|
+
return {
|
|
97
|
+
allowed: false,
|
|
98
|
+
reason: `Would exceed total exposure limit`,
|
|
99
|
+
};
|
|
100
|
+
}
|
|
101
|
+
return { allowed: true };
|
|
102
|
+
}
|
|
103
|
+
/**
|
|
104
|
+
* Update PnL on fill (checks daily loss limit)
|
|
105
|
+
*/
|
|
106
|
+
onFill(fill, realizedPnL) {
|
|
107
|
+
this.dailyPnL += realizedPnL;
|
|
108
|
+
// Check daily loss limit
|
|
109
|
+
if (this.dailyPnL < -this.limits.maxDailyLoss) {
|
|
110
|
+
this.halt(`Daily loss limit reached: ${this.dailyPnL}¢`);
|
|
111
|
+
}
|
|
112
|
+
}
|
|
113
|
+
/**
|
|
114
|
+
* Check if trading should be halted
|
|
115
|
+
*/
|
|
116
|
+
shouldHalt() {
|
|
117
|
+
return this.halted;
|
|
118
|
+
}
|
|
119
|
+
/**
|
|
120
|
+
* Get halt reason if halted
|
|
121
|
+
*/
|
|
122
|
+
getHaltReason() {
|
|
123
|
+
return this.haltReason;
|
|
124
|
+
}
|
|
125
|
+
/**
|
|
126
|
+
* Emergency halt trading
|
|
127
|
+
*/
|
|
128
|
+
halt(reason) {
|
|
129
|
+
this.halted = true;
|
|
130
|
+
this.haltReason = reason;
|
|
131
|
+
}
|
|
132
|
+
/**
|
|
133
|
+
* Resume trading after halt
|
|
134
|
+
*/
|
|
135
|
+
resume() {
|
|
136
|
+
this.halted = false;
|
|
137
|
+
this.haltReason = undefined;
|
|
138
|
+
}
|
|
139
|
+
/**
|
|
140
|
+
* Reset daily PnL (call at start of trading day)
|
|
141
|
+
*/
|
|
142
|
+
resetDaily() {
|
|
143
|
+
this.dailyPnL = 0;
|
|
144
|
+
// Don't auto-resume if halted for loss limit
|
|
145
|
+
// Operator must explicitly resume
|
|
146
|
+
}
|
|
147
|
+
/**
|
|
148
|
+
* Get current daily PnL
|
|
149
|
+
*/
|
|
150
|
+
getDailyPnL() {
|
|
151
|
+
return this.dailyPnL;
|
|
152
|
+
}
|
|
153
|
+
/**
|
|
154
|
+
* Get current limits
|
|
155
|
+
*/
|
|
156
|
+
getLimits() {
|
|
157
|
+
return { ...this.limits };
|
|
158
|
+
}
|
|
159
|
+
/**
|
|
160
|
+
* Update limits (for dynamic adjustment)
|
|
161
|
+
*/
|
|
162
|
+
updateLimits(newLimits) {
|
|
163
|
+
this.limits = { ...this.limits, ...newLimits };
|
|
164
|
+
}
|
|
165
|
+
/**
|
|
166
|
+
* Get risk status summary
|
|
167
|
+
*/
|
|
168
|
+
getStatus(inventory) {
|
|
169
|
+
const totalExposure = inventory.getTotalExposure();
|
|
170
|
+
return {
|
|
171
|
+
halted: this.halted,
|
|
172
|
+
haltReason: this.haltReason,
|
|
173
|
+
dailyPnL: this.dailyPnL,
|
|
174
|
+
totalExposure,
|
|
175
|
+
utilizationPercent: (totalExposure / this.limits.maxTotalExposure) * 100,
|
|
176
|
+
};
|
|
177
|
+
}
|
|
178
|
+
}
|
|
179
|
+
//# sourceMappingURL=risk.js.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
{"version":3,"file":"risk.js","sourceRoot":"","sources":["../../src/mm/risk.ts"],"names":[],"mappings":"AAAA;;;;GAIG;AAUH,yCAAyC;AACzC,MAAM,CAAC,MAAM,mBAAmB,GAAe;IAC7C,oBAAoB,EAAE,GAAG;IACzB,gBAAgB,EAAE,GAAG;IACrB,YAAY,EAAE,IAAI,EAAE,MAAM;IAC1B,YAAY,EAAE,EAAE;IAChB,SAAS,EAAE,CAAC;CACb,CAAC;AAEF;;GAEG;AACH,MAAM,OAAO,WAAW;IACd,MAAM,CAAa;IACnB,QAAQ,GAAW,CAAC,CAAC;IACrB,MAAM,GAAY,KAAK,CAAC;IACxB,UAAU,CAAU;IAE5B,YAAY,SAA8B,EAAE;QAC1C,IAAI,CAAC,MAAM,GAAG,EAAE,GAAG,mBAAmB,EAAE,GAAG,MAAM,EAAE,CAAC;IACtD,CAAC;IAED;;OAEG;IACH,UAAU,CAAC,KAAY,EAAE,SAA2B;QAClD,kBAAkB;QAClB,IAAI,IAAI,CAAC,MAAM,EAAE,CAAC;YAChB,OAAO,EAAE,OAAO,EAAE,KAAK,EAAE,MAAM,EAAE,mBAAmB,IAAI,CAAC,UAAU,EAAE,EAAE,CAAC;QAC1E,CAAC;QAED,eAAe;QACf,MAAM,MAAM,GAAG,KAAK,CAAC,QAAQ,GAAG,KAAK,CAAC,QAAQ,CAAC;QAC/C,IAAI,MAAM,GAAG,IAAI,CAAC,MAAM,CAAC,SAAS,EAAE,CAAC;YACnC,OAAO;gBACL,OAAO,EAAE,KAAK;gBACd,MAAM,EAAE,UAAU,MAAM,mBAAmB,IAAI,CAAC,MAAM,CAAC,SAAS,GAAG;aACpE,CAAC;QACJ,CAAC;QAED,oBAAoB;QACpB,IAAI,KAAK,CAAC,OAAO,GAAG,IAAI,CAAC,MAAM,CAAC,YAAY,EAAE,CAAC;YAC7C,OAAO;gBACL,OAAO,EAAE,KAAK;gBACd,MAAM,EAAE,YAAY,KAAK,CAAC,OAAO,gBAAgB,IAAI,CAAC,MAAM,CAAC,YAAY,EAAE;aAC5E,CAAC;QACJ,CAAC;QACD,IAAI,KAAK,CAAC,OAAO,GAAG,IAAI,CAAC,MAAM,CAAC,YAAY,EAAE,CAAC;YAC7C,OAAO;gBACL,OAAO,EAAE,KAAK;gBACd,MAAM,EAAE,YAAY,KAAK,CAAC,OAAO,gBAAgB,IAAI,CAAC,MAAM,CAAC,YAAY,EAAE;aAC5E,CAAC;QACJ,CAAC;QAED,wBAAwB;QACxB,MAAM,eAAe,GAAG,IAAI,CAAC,GAAG,CAAC,SAAS,CAAC,cAAc,CAAC,KAAK,CAAC,MAAM,CAAC,CAAC,CAAC;QACzE,MAAM,iBAAiB,GAAG,eAAe,GAAG,IAAI,CAAC,GAAG,CAAC,KAAK,CAAC,OAAO,EAAE,KAAK,CAAC,OAAO,CAAC,CAAC;QAEnF,IAAI,iBAAiB,GAAG,IAAI,CAAC,MAAM,CAAC,oBAAoB,EAAE,CAAC;YACzD,OAAO;gBACL,OAAO,EAAE,KAAK;gBACd,MAAM,EAAE,YAAY,iBAAiB,qBAAqB,IAAI,CAAC,MAAM,CAAC,oBAAoB,EAAE;aAC7F,CAAC;QACJ,CAAC;QAED,uBAAuB;QACvB,MAAM,YAAY,GAAG,SAAS,CAAC,gBAAgB,EAAE,CAAC;QAClD,MAAM,cAAc,GAAG,YAAY,GAAG,IAAI,CAAC,GAAG,CAAC,KAAK,CAAC,OAAO,EAAE,KAAK,CAAC,OAAO,CAAC,CAAC;QAE7E,IAAI,cAAc,GAAG,IAAI,CAAC,MAAM,CAAC,gBAAgB,EAAE,CAAC;YAClD,OAAO;gBACL,OAAO,EAAE,KAAK;gBACd,MAAM,EAAE,kBAAkB,cAAc,qBAAqB,IAAI,CAAC,MAAM,CAAC,gBAAgB,EAAE;aAC5F,CAAC;QACJ,CAAC;QAED,OAAO,EAAE,OAAO,EAAE,IAAI,EAAE,CAAC;IAC3B,CAAC;IAED;;OAEG;IACH,UAAU,CACR,KAAwC,EACxC,SAA2B;QAE3B,IAAI,IAAI,CAAC,MAAM,EAAE,CAAC;YAChB,OAAO,EAAE,OAAO,EAAE,KAAK,EAAE,MAAM,EAAE,mBAAmB,IAAI,CAAC,UAAU,EAAE,EAAE,CAAC;QAC1E,CAAC;QAED,IAAI,KAAK,CAAC,KAAK,GAAG,IAAI,CAAC,MAAM,CAAC,YAAY,EAAE,CAAC;YAC3C,OAAO;gBACL,OAAO,EAAE,KAAK;gBACd,MAAM,EAAE,cAAc,KAAK,CAAC,KAAK,gBAAgB,IAAI,CAAC,MAAM,CAAC,YAAY,EAAE;aAC5E,CAAC;QACJ,CAAC;QAED,MAAM,eAAe,GAAG,IAAI,CAAC,GAAG,CAAC,SAAS,CAAC,cAAc,CAAC,KAAK,CAAC,MAAM,CAAC,CAAC,CAAC;QACzE,IAAI,eAAe,GAAG,KAAK,CAAC,KAAK,GAAG,IAAI,CAAC,MAAM,CAAC,oBAAoB,EAAE,CAAC;YACrE,OAAO;gBACL,OAAO,EAAE,KAAK;gBACd,MAAM,EAAE,mCAAmC,KAAK,CAAC,MAAM,EAAE;aAC1D,CAAC;QACJ,CAAC;QAED,MAAM,YAAY,GAAG,SAAS,CAAC,gBAAgB,EAAE,CAAC;QAClD,IAAI,YAAY,GAAG,KAAK,CAAC,KAAK,GAAG,IAAI,CAAC,MAAM,CAAC,gBAAgB,EAAE,CAAC;YAC9D,OAAO;gBACL,OAAO,EAAE,KAAK;gBACd,MAAM,EAAE,mCAAmC;aAC5C,CAAC;QACJ,CAAC;QAED,OAAO,EAAE,OAAO,EAAE,IAAI,EAAE,CAAC;IAC3B,CAAC;IAED;;OAEG;IACH,MAAM,CAAC,IAAU,EAAE,WAAmB;QACpC,IAAI,CAAC,QAAQ,IAAI,WAAW,CAAC;QAE7B,yBAAyB;QACzB,IAAI,IAAI,CAAC,QAAQ,GAAG,CAAC,IAAI,CAAC,MAAM,CAAC,YAAY,EAAE,CAAC;YAC9C,IAAI,CAAC,IAAI,CAAC,6BAA6B,IAAI,CAAC,QAAQ,GAAG,CAAC,CAAC;QAC3D,CAAC;IACH,CAAC;IAED;;OAEG;IACH,UAAU;QACR,OAAO,IAAI,CAAC,MAAM,CAAC;IACrB,CAAC;IAED;;OAEG;IACH,aAAa;QACX,OAAO,IAAI,CAAC,UAAU,CAAC;IACzB,CAAC;IAED;;OAEG;IACH,IAAI,CAAC,MAAc;QACjB,IAAI,CAAC,MAAM,GAAG,IAAI,CAAC;QACnB,IAAI,CAAC,UAAU,GAAG,MAAM,CAAC;IAC3B,CAAC;IAED;;OAEG;IACH,MAAM;QACJ,IAAI,CAAC,MAAM,GAAG,KAAK,CAAC;QACpB,IAAI,CAAC,UAAU,GAAG,SAAS,CAAC;IAC9B,CAAC;IAED;;OAEG;IACH,UAAU;QACR,IAAI,CAAC,QAAQ,GAAG,CAAC,CAAC;QAClB,6CAA6C;QAC7C,kCAAkC;IACpC,CAAC;IAED;;OAEG;IACH,WAAW;QACT,OAAO,IAAI,CAAC,QAAQ,CAAC;IACvB,CAAC;IAED;;OAEG;IACH,SAAS;QACP,OAAO,EAAE,GAAG,IAAI,CAAC,MAAM,EAAE,CAAC;IAC5B,CAAC;IAED;;OAEG;IACH,YAAY,CAAC,SAA8B;QACzC,IAAI,CAAC,MAAM,GAAG,EAAE,GAAG,IAAI,CAAC,MAAM,EAAE,GAAG,SAAS,EAAE,CAAC;IACjD,CAAC;IAED;;OAEG;IACH,SAAS,CAAC,SAA2B;QAOnC,MAAM,aAAa,GAAG,SAAS,CAAC,gBAAgB,EAAE,CAAC;QACnD,OAAO;YACL,MAAM,EAAE,IAAI,CAAC,MAAM;YACnB,UAAU,EAAE,IAAI,CAAC,UAAU;YAC3B,QAAQ,EAAE,IAAI,CAAC,QAAQ;YACvB,aAAa;YACb,kBAAkB,EAAE,CAAC,aAAa,GAAG,IAAI,CAAC,MAAM,CAAC,gBAAgB,CAAC,GAAG,GAAG;SACzE,CAAC;IACJ,CAAC;CACF"}
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
{"version":3,"file":"risk.test.d.ts","sourceRoot":"","sources":["../../src/mm/risk.test.ts"],"names":[],"mappings":""}
|