@newyorkcompute/kalshi-core 0.3.0 → 0.5.0

package/dist/mm/inventory.test.js

@@ -0,0 +1,358 @@
+import { describe, it, expect, beforeEach } from "vitest";
+import { InventoryTracker } from "./inventory.js";
+describe("InventoryTracker", () => {
+    let tracker;
+    beforeEach(() => {
+        tracker = new InventoryTracker();
+    });
+    describe("onFill", () => {
+        it("should add YES contracts on buy", () => {
+            const fill = {
+                orderId: "order1",
+                ticker: "TEST-MARKET",
+                side: "yes",
+                action: "buy",
+                count: 10,
+                price: 50,
+                timestamp: new Date(),
+            };
+            tracker.onFill(fill);
+            const position = tracker.getPosition("TEST-MARKET");
+            expect(position).toBeDefined();
+            expect(position.yesContracts).toBe(10);
+            expect(position.noContracts).toBe(0);
+            expect(position.netExposure).toBe(10);
+        });
+        it("should subtract YES contracts on sell", () => {
+            // First buy
+            tracker.onFill({
+                orderId: "order1",
+                ticker: "TEST-MARKET",
+                side: "yes",
+                action: "buy",
+                count: 10,
+                price: 50,
+                timestamp: new Date(),
+            });
+            // Then sell
+            tracker.onFill({
+                orderId: "order2",
+                ticker: "TEST-MARKET",
+                side: "yes",
+                action: "sell",
+                count: 5,
+                price: 55,
+                timestamp: new Date(),
+            });
+            const position = tracker.getPosition("TEST-MARKET");
+            expect(position.yesContracts).toBe(5);
+            expect(position.netExposure).toBe(5);
+        });
+        it("should add NO contracts on buy", () => {
+            const fill = {
+                orderId: "order1",
+                ticker: "TEST-MARKET",
+                side: "no",
+                action: "buy",
+                count: 10,
+                price: 50,
+                timestamp: new Date(),
+            };
+            tracker.onFill(fill);
+            const position = tracker.getPosition("TEST-MARKET");
+            expect(position.noContracts).toBe(10);
+            expect(position.yesContracts).toBe(0);
+            expect(position.netExposure).toBe(-10); // Negative because NO
+        });
+        it("should track multiple markets independently", () => {
+            tracker.onFill({
+                orderId: "order1",
+                ticker: "MARKET-A",
+                side: "yes",
+                action: "buy",
+                count: 10,
+                price: 50,
+                timestamp: new Date(),
+            });
+            tracker.onFill({
+                orderId: "order2",
+                ticker: "MARKET-B",
+                side: "yes",
+                action: "buy",
+                count: 20,
+                price: 60,
+                timestamp: new Date(),
+            });
+            expect(tracker.getPosition("MARKET-A").yesContracts).toBe(10);
+            expect(tracker.getPosition("MARKET-B").yesContracts).toBe(20);
+        });
+        it("should update daily stats", () => {
+            tracker.onFill({
+                orderId: "order1",
+                ticker: "TEST-MARKET",
+                side: "yes",
+                action: "buy",
+                count: 10,
+                price: 50,
+                timestamp: new Date(),
+            });
+            tracker.onFill({
+                orderId: "order2",
+                ticker: "TEST-MARKET",
+                side: "yes",
+                action: "buy",
+                count: 5,
+                price: 55,
+                timestamp: new Date(),
+            });
+            const summary = tracker.getPnLSummary();
+            expect(summary.fillsToday).toBe(2);
+            expect(summary.volumeToday).toBe(15);
+        });
+    });
+    describe("getTotalExposure", () => {
+        it("should return 0 with no positions", () => {
+            expect(tracker.getTotalExposure()).toBe(0);
+        });
+        it("should sum absolute exposures across markets", () => {
+            tracker.onFill({
+                orderId: "order1",
+                ticker: "MARKET-A",
+                side: "yes",
+                action: "buy",
+                count: 10,
+                price: 50,
+                timestamp: new Date(),
+            });
+            tracker.onFill({
+                orderId: "order2",
+                ticker: "MARKET-B",
+                side: "no",
+                action: "buy",
+                count: 5,
+                price: 50,
+                timestamp: new Date(),
+            });
+            // A: +10 yes = +10 exposure
+            // B: +5 no = -5 exposure (absolute = 5)
+            expect(tracker.getTotalExposure()).toBe(15);
+        });
+    });
+    describe("getNetExposure", () => {
+        it("should return 0 for unknown ticker", () => {
+            expect(tracker.getNetExposure("UNKNOWN")).toBe(0);
+        });
+        it("should return correct net exposure", () => {
+            tracker.onFill({
+                orderId: "order1",
+                ticker: "TEST-MARKET",
+                side: "yes",
+                action: "buy",
+                count: 10,
+                price: 50,
+                timestamp: new Date(),
+            });
+            expect(tracker.getNetExposure("TEST-MARKET")).toBe(10);
+        });
+    });
+    describe("getAllPositions", () => {
+        it("should return empty array with no positions", () => {
+            expect(tracker.getAllPositions()).toEqual([]);
+        });
+        it("should return all positions", () => {
+            tracker.onFill({
+                orderId: "order1",
+                ticker: "MARKET-A",
+                side: "yes",
+                action: "buy",
+                count: 10,
+                price: 50,
+                timestamp: new Date(),
+            });
+            tracker.onFill({
+                orderId: "order2",
+                ticker: "MARKET-B",
+                side: "yes",
+                action: "buy",
+                count: 20,
+                price: 60,
+                timestamp: new Date(),
+            });
+            const positions = tracker.getAllPositions();
+            expect(positions).toHaveLength(2);
+        });
+    });
+    describe("resetDaily", () => {
+        it("should reset daily stats", () => {
+            tracker.onFill({
+                orderId: "order1",
+                ticker: "TEST-MARKET",
+                side: "yes",
+                action: "buy",
+                count: 10,
+                price: 50,
+                timestamp: new Date(),
+            });
+            tracker.resetDaily();
+            const summary = tracker.getPnLSummary();
+            expect(summary.fillsToday).toBe(0);
+            expect(summary.volumeToday).toBe(0);
+            expect(summary.realizedToday).toBe(0);
+        });
+        it("should preserve positions after reset", () => {
+            tracker.onFill({
+                orderId: "order1",
+                ticker: "TEST-MARKET",
+                side: "yes",
+                action: "buy",
+                count: 10,
+                price: 50,
+                timestamp: new Date(),
+            });
+            tracker.resetDaily();
+            const position = tracker.getPosition("TEST-MARKET");
+            expect(position.yesContracts).toBe(10);
+        });
+    });
+    describe("clear", () => {
+        it("should remove all positions", () => {
+            tracker.onFill({
+                orderId: "order1",
+                ticker: "TEST-MARKET",
+                side: "yes",
+                action: "buy",
+                count: 10,
+                price: 50,
+                timestamp: new Date(),
+            });
+            tracker.clear();
+            expect(tracker.getAllPositions()).toEqual([]);
+            expect(tracker.getPosition("TEST-MARKET")).toBeUndefined();
+        });
+    });
+    describe("initializeFromPortfolio", () => {
+        it("should initialize positions from portfolio data", () => {
+            tracker.initializeFromPortfolio([
+                { ticker: "MARKET-A", yesContracts: 10, noContracts: 0, costBasis: 500 },
+                { ticker: "MARKET-B", yesContracts: 0, noContracts: 5, costBasis: 250 },
+            ]);
+            const posA = tracker.getPosition("MARKET-A");
+            expect(posA.yesContracts).toBe(10);
+            expect(posA.netExposure).toBe(10);
+            const posB = tracker.getPosition("MARKET-B");
+            expect(posB.noContracts).toBe(5);
+            expect(posB.netExposure).toBe(-5);
+        });
+    });
+    describe("getPnLSummary with currentPrices", () => {
+        it("should calculate unrealized PnL for YES position", () => {
+            // Buy 10 YES @ 50¢ = 500¢ cost
+            tracker.onFill({
+                orderId: "order1",
+                ticker: "TEST-MARKET",
+                side: "yes",
+                action: "buy",
+                count: 10,
+                price: 50,
+                timestamp: new Date(),
+            });
+            // Current price is 60¢ - unrealized profit = 10 * (60 - 50) = 100¢
+            const prices = new Map([["TEST-MARKET", 60]]);
+            const summary = tracker.getPnLSummary(prices);
+            expect(summary.unrealized).toBe(100);
+            expect(summary.total).toBe(100);
+        });
+        it("should calculate unrealized PnL for NO position", () => {
+            // Buy 10 NO @ 40¢ = 400¢ cost
+            tracker.onFill({
+                orderId: "order1",
+                ticker: "TEST-MARKET",
+                side: "no",
+                action: "buy",
+                count: 10,
+                price: 40,
+                timestamp: new Date(),
+            });
+            // Current YES price is 50¢, so NO value = 10 * (100-50) = 500¢
+            // Unrealized = 500 - 400 = 100¢
+            const prices = new Map([["TEST-MARKET", 50]]);
+            const summary = tracker.getPnLSummary(prices);
+            expect(summary.unrealized).toBe(100);
+        });
+        it("should skip positions with zero exposure", () => {
+            tracker.initializeFromPortfolio([
+                { ticker: "MARKET-A", yesContracts: 0, noContracts: 0, costBasis: 0 },
+            ]);
+            const prices = new Map([["MARKET-A", 50]]);
+            const summary = tracker.getPnLSummary(prices);
+            expect(summary.unrealized).toBe(0);
+        });
+        it("should skip markets without current price", () => {
+            tracker.onFill({
+                orderId: "order1",
+                ticker: "TEST-MARKET",
+                side: "yes",
+                action: "buy",
+                count: 10,
+                price: 50,
+                timestamp: new Date(),
+            });
+            // Empty prices map
+            const prices = new Map();
+            const summary = tracker.getPnLSummary(prices);
+            expect(summary.unrealized).toBe(0);
+        });
+    });
+    describe("sell NO contracts", () => {
+        it("should subtract NO contracts on sell", () => {
+            // First buy NO
+            tracker.onFill({
+                orderId: "order1",
+                ticker: "TEST-MARKET",
+                side: "no",
+                action: "buy",
+                count: 10,
+                price: 40,
+                timestamp: new Date(),
+            });
+            // Then sell NO
+            tracker.onFill({
+                orderId: "order2",
+                ticker: "TEST-MARKET",
+                side: "no",
+                action: "sell",
+                count: 5,
+                price: 45,
+                timestamp: new Date(),
+            });
+            const position = tracker.getPosition("TEST-MARKET");
+            expect(position.noContracts).toBe(5);
+            expect(position.netExposure).toBe(-5);
+        });
+        it("should calculate realized PnL when selling NO", () => {
+            // Buy 10 NO @ 40¢
+            tracker.onFill({
+                orderId: "order1",
+                ticker: "TEST-MARKET",
+                side: "no",
+                action: "buy",
+                count: 10,
+                price: 40,
+                timestamp: new Date(),
+            });
+            // Sell 5 NO @ 50¢ - profit = 5 * (50 - 40) = 50¢
+            tracker.onFill({
+                orderId: "order2",
+                ticker: "TEST-MARKET",
+                side: "no",
+                action: "sell",
+                count: 5,
+                price: 50,
+                timestamp: new Date(),
+            });
+            const summary = tracker.getPnLSummary();
+            expect(summary.realizedToday).toBeGreaterThan(0);
+        });
+    });
+});
+//# sourceMappingURL=inventory.test.js.map

package/dist/mm/inventory.test.js.map

@@ -0,0 +1 @@
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package/dist/mm/order-manager.d.ts

@@ -0,0 +1,93 @@
+/**
+ * Order Manager
+ *
+ * Manages the lifecycle of orders for market making.
+ * Handles placement, cancellation, and tracking of orders.
+ */
+import type { OrdersApi } from "kalshi-typescript";
+import type { ManagedOrder, Side, Action, OrderStatus, Quote } from "./types.js";
+/** Input for creating a new order */
+export interface CreateOrderInput {
+    ticker: string;
+    side: Side;
+    action: Action;
+    price: number;
+    count: number;
+}
+/** Result of order placement */
+export interface PlaceOrderResult {
+    success: boolean;
+    order?: ManagedOrder;
+    error?: string;
+}
+/**
+ * OrderManager handles order lifecycle for market making
+ */
+export declare class OrderManager {
+    private orders;
+    private ordersApi;
+    constructor(ordersApi: OrdersApi);
+    /**
+     * Place a new order
+     */
+    place(input: CreateOrderInput): Promise<PlaceOrderResult>;
+    /**
+     * Place multiple orders (for two-sided quotes)
+     */
+    placeBulk(inputs: CreateOrderInput[]): Promise<PlaceOrderResult[]>;
+    /**
+     * Cancel a specific order by client order ID
+     */
+    cancel(clientOrderId: string): Promise<boolean>;
+    /**
+     * Cancel all orders, optionally filtered by ticker
+     */
+    cancelAll(ticker?: string): Promise<number>;
+    /**
+     * Get all active (open/partial) orders
+     */
+    getActive(ticker?: string): ManagedOrder[];
+    /**
+     * Get all orders (including filled/cancelled)
+     */
+    getAll(): ManagedOrder[];
+    /**
+     * Get order by client order ID
+     */
+    get(clientOrderId: string): ManagedOrder | undefined;
+    /**
+     * Update order status (called when we receive fill/cancel events)
+     */
+    updateStatus(clientOrderId: string, status: OrderStatus, filledCount?: number, avgFillPrice?: number): void;
+    /**
+     * Update quotes for a market (ATOMIC: place new BEFORE canceling old)
+     *
+     * This is the main method for market making - it updates quotes with
+     * minimal exposure gap:
+     * 1. Place new orders first (briefly have double exposure)
+     * 2. Cancel old orders only after new ones confirmed
+     *
+     * This prevents the "naked" period where we have no quotes in market.
+     */
+    updateQuote(quote: Quote): Promise<{
+        cancelled: number;
+        placed: PlaceOrderResult[];
+    }>;
+    /**
+     * Update quotes (legacy mode: cancel first, then place)
+     * Use this if you're hitting rate limits from double orders
+     */
+    updateQuoteLegacy(quote: Quote): Promise<{
+        cancelled: number;
+        placed: PlaceOrderResult[];
+    }>;
+    /**
+     * Clean up old completed orders (keep memory bounded)
+     */
+    cleanup(maxAge?: number): number;
+    /**
+     * Map Kalshi order status to our internal status
+     */
+    private mapKalshiStatus;
+}
+//# sourceMappingURL=order-manager.d.ts.map

package/dist/mm/order-manager.d.ts.map

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