@newyorkcompute/kalshi-core 0.3.0 → 0.5.0

package/dist/mm/orderbook.d.ts

@@ -0,0 +1,162 @@
+/**
+ * Local Orderbook
+ *
+ * Maintains a local copy of the orderbook from WebSocket snapshots and deltas.
+ * This allows for fast quote updates without waiting for ticker messages.
+ */
+/** Single price level in the orderbook */
+export interface PriceLevel {
+    price: number;
+    quantity: number;
+}
+/** Orderbook snapshot from WebSocket */
+export interface OrderbookSnapshot {
+    market_ticker: string;
+    market_id: string;
+    /** YES side bids: [price, quantity][] */
+    yes: [number, number][];
+    /** NO side bids: [price, quantity][] */
+    no: [number, number][];
+}
+/** Orderbook delta from WebSocket */
+export interface OrderbookDelta {
+    market_ticker: string;
+    /** Price that changed */
+    price: number;
+    /** New quantity (0 = level removed) */
+    delta: number;
+    /** Which side: 'yes' or 'no' */
+    side: "yes" | "no";
+}
+/** Best bid/ask with size */
+export interface BBO {
+    bidPrice: number;
+    bidSize: number;
+    askPrice: number;
+    askSize: number;
+    midPrice: number;
+    spread: number;
+}
+/**
+ * LocalOrderbook maintains orderbook state from WebSocket messages.
+ *
+ * Key insight for Kalshi:
+ * - YES bids are stored in `yes` array
+ * - NO bids are stored in `no` array
+ * - YES ask = 100 - NO bid price
+ *
+ * Example: If there's a NO bid at 90¢, that's equivalent to a YES ask at 10¢
+ */
+export declare class LocalOrderbook {
+    private ticker;
+    /** YES bids: price → quantity */
+    private yesBids;
+    /** NO bids: price → quantity (YES asks = 100 - NO bid) */
+    private noBids;
+    /** Last update timestamp */
+    private lastUpdate;
+    /** Sequence number for ordering */
+    private sequence;
+    constructor(ticker: string);
+    /**
+     * Apply a full orderbook snapshot
+     */
+    applySnapshot(snapshot: OrderbookSnapshot): void;
+    /**
+     * Apply an incremental delta update
+     */
+    applyDelta(delta: OrderbookDelta): void;
+    /**
+     * Get best bid (highest YES bid)
+     */
+    getBestBid(): PriceLevel | null;
+    /**
+     * Get best ask (100 - highest NO bid)
+     */
+    getBestAsk(): PriceLevel | null;
+    /**
+     * Get best bid and offer (BBO)
+     */
+    getBBO(): BBO | null;
+    /**
+     * Get microprice (size-weighted mid)
+     * Better estimate of "fair value" than simple mid
+     *
+     * microprice = (bid * askSize + ask * bidSize) / (bidSize + askSize)
+     *
+     * If ask size is smaller, price is closer to ask (more selling pressure)
+     * If bid size is smaller, price is closer to bid (more buying pressure)
+     */
+    getMicroprice(): number | null;
+    /**
+     * Get depth at N levels
+     */
+    getDepth(levels?: number): {
+        bids: PriceLevel[];
+        asks: PriceLevel[];
+    };
+    /**
+     * Get total bid depth (sum of all bid quantities)
+     */
+    getTotalBidDepth(): number;
+    /**
+     * Get total ask depth (sum of all ask quantities)
+     */
+    getTotalAskDepth(): number;
+    /**
+     * Get imbalance ratio: (bidDepth - askDepth) / (bidDepth + askDepth)
+     * Positive = more bids (bullish), Negative = more asks (bearish)
+     */
+    getImbalance(): number;
+    /**
+     * Check if orderbook is stale (no updates for X ms)
+     */
+    isStale(maxAgeMs?: number): boolean;
+    /**
+     * Get time since last update
+     */
+    getAge(): number;
+    /**
+     * Get sequence number (for ordering/debugging)
+     */
+    getSequence(): number;
+    /**
+     * Get ticker
+     */
+    getTicker(): string;
+    /**
+     * Clear the orderbook
+     */
+    clear(): void;
+}
+/**
+ * OrderbookManager manages multiple LocalOrderbook instances
+ */
+export declare class OrderbookManager {
+    private orderbooks;
+    /**
+     * Get or create orderbook for a ticker
+     */
+    getOrderbook(ticker: string): LocalOrderbook;
+    /**
+     * Apply snapshot to appropriate orderbook
+     */
+    applySnapshot(snapshot: OrderbookSnapshot): void;
+    /**
+     * Apply delta to appropriate orderbook
+     */
+    applyDelta(delta: OrderbookDelta): void;
+    /**
+     * Get BBO for a ticker
+     */
+    getBBO(ticker: string): BBO | null;
+    /**
+     * Get all managed tickers
+     */
+    getTickers(): string[];
+    /**
+     * Clear all orderbooks
+     */
+    clear(): void;
+}
+//# sourceMappingURL=orderbook.d.ts.map

package/dist/mm/orderbook.d.ts.map

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package/dist/mm/orderbook.js

@@ -0,0 +1,271 @@
+/**
+ * Local Orderbook
+ *
+ * Maintains a local copy of the orderbook from WebSocket snapshots and deltas.
+ * This allows for fast quote updates without waiting for ticker messages.
+ */
+/**
+ * LocalOrderbook maintains orderbook state from WebSocket messages.
+ *
+ * Key insight for Kalshi:
+ * - YES bids are stored in `yes` array
+ * - NO bids are stored in `no` array
+ * - YES ask = 100 - NO bid price
+ *
+ * Example: If there's a NO bid at 90¢, that's equivalent to a YES ask at 10¢
+ */
+export class LocalOrderbook {
+    ticker;
+    /** YES bids: price → quantity */
+    yesBids = new Map();
+    /** NO bids: price → quantity (YES asks = 100 - NO bid) */
+    noBids = new Map();
+    /** Last update timestamp */
+    lastUpdate = 0;
+    /** Sequence number for ordering */
+    sequence = 0;
+    constructor(ticker) {
+        this.ticker = ticker;
+    }
+    /**
+     * Apply a full orderbook snapshot
+     */
+    applySnapshot(snapshot) {
+        this.yesBids.clear();
+        this.noBids.clear();
+        // Load YES bids
+        for (const [price, qty] of snapshot.yes) {
+            if (qty > 0) {
+                this.yesBids.set(price, qty);
+            }
+        }
+        // Load NO bids
+        for (const [price, qty] of snapshot.no) {
+            if (qty > 0) {
+                this.noBids.set(price, qty);
+            }
+        }
+        this.lastUpdate = Date.now();
+        this.sequence++;
+    }
+    /**
+     * Apply an incremental delta update
+     */
+    applyDelta(delta) {
+        const map = delta.side === "yes" ? this.yesBids : this.noBids;
+        if (delta.delta <= 0) {
+            // Remove level
+            map.delete(delta.price);
+        }
+        else {
+            // Update level
+            map.set(delta.price, delta.delta);
+        }
+        this.lastUpdate = Date.now();
+        this.sequence++;
+    }
+    /**
+     * Get best bid (highest YES bid)
+     */
+    getBestBid() {
+        if (this.yesBids.size === 0)
+            return null;
+        let bestPrice = 0;
+        let bestQty = 0;
+        for (const [price, qty] of this.yesBids) {
+            if (price > bestPrice && qty > 0) {
+                bestPrice = price;
+                bestQty = qty;
+            }
+        }
+        return bestPrice > 0 ? { price: bestPrice, quantity: bestQty } : null;
+    }
+    /**
+     * Get best ask (100 - highest NO bid)
+     */
+    getBestAsk() {
+        if (this.noBids.size === 0)
+            return null;
+        let bestNoPrice = 0;
+        let bestQty = 0;
+        for (const [price, qty] of this.noBids) {
+            if (price > bestNoPrice && qty > 0) {
+                bestNoPrice = price;
+                bestQty = qty;
+            }
+        }
+        if (bestNoPrice === 0)
+            return null;
+        // Convert NO bid to YES ask
+        return { price: 100 - bestNoPrice, quantity: bestQty };
+    }
+    /**
+     * Get best bid and offer (BBO)
+     */
+    getBBO() {
+        const bid = this.getBestBid();
+        const ask = this.getBestAsk();
+        if (!bid || !ask)
+            return null;
+        return {
+            bidPrice: bid.price,
+            bidSize: bid.quantity,
+            askPrice: ask.price,
+            askSize: ask.quantity,
+            midPrice: (bid.price + ask.price) / 2,
+            spread: ask.price - bid.price,
+        };
+    }
+    /**
+     * Get microprice (size-weighted mid)
+     * Better estimate of "fair value" than simple mid
+     *
+     * microprice = (bid * askSize + ask * bidSize) / (bidSize + askSize)
+     *
+     * If ask size is smaller, price is closer to ask (more selling pressure)
+     * If bid size is smaller, price is closer to bid (more buying pressure)
+     */
+    getMicroprice() {
+        const bid = this.getBestBid();
+        const ask = this.getBestAsk();
+        if (!bid || !ask)
+            return null;
+        const totalSize = bid.quantity + ask.quantity;
+        if (totalSize === 0)
+            return (bid.price + ask.price) / 2;
+        return (bid.price * ask.quantity + ask.price * bid.quantity) / totalSize;
+    }
+    /**
+     * Get depth at N levels
+     */
+    getDepth(levels = 5) {
+        // Sort bids descending (highest first)
+        const sortedBids = Array.from(this.yesBids.entries())
+            .filter(([, qty]) => qty > 0)
+            .sort(([a], [b]) => b - a)
+            .slice(0, levels)
+            .map(([price, quantity]) => ({ price, quantity }));
+        // Convert NO bids to YES asks, sort ascending (lowest first)
+        const sortedAsks = Array.from(this.noBids.entries())
+            .filter(([, qty]) => qty > 0)
+            .map(([noPrice, quantity]) => ({ price: 100 - noPrice, quantity }))
+            .sort((a, b) => a.price - b.price)
+            .slice(0, levels);
+        return { bids: sortedBids, asks: sortedAsks };
+    }
+    /**
+     * Get total bid depth (sum of all bid quantities)
+     */
+    getTotalBidDepth() {
+        let total = 0;
+        for (const qty of this.yesBids.values()) {
+            total += qty;
+        }
+        return total;
+    }
+    /**
+     * Get total ask depth (sum of all ask quantities)
+     */
+    getTotalAskDepth() {
+        let total = 0;
+        for (const qty of this.noBids.values()) {
+            total += qty;
+        }
+        return total;
+    }
+    /**
+     * Get imbalance ratio: (bidDepth - askDepth) / (bidDepth + askDepth)
+     * Positive = more bids (bullish), Negative = more asks (bearish)
+     */
+    getImbalance() {
+        const bidDepth = this.getTotalBidDepth();
+        const askDepth = this.getTotalAskDepth();
+        const total = bidDepth + askDepth;
+        if (total === 0)
+            return 0;
+        return (bidDepth - askDepth) / total;
+    }
+    /**
+     * Check if orderbook is stale (no updates for X ms)
+     */
+    isStale(maxAgeMs = 5000) {
+        return Date.now() - this.lastUpdate > maxAgeMs;
+    }
+    /**
+     * Get time since last update
+     */
+    getAge() {
+        return Date.now() - this.lastUpdate;
+    }
+    /**
+     * Get sequence number (for ordering/debugging)
+     */
+    getSequence() {
+        return this.sequence;
+    }
+    /**
+     * Get ticker
+     */
+    getTicker() {
+        return this.ticker;
+    }
+    /**
+     * Clear the orderbook
+     */
+    clear() {
+        this.yesBids.clear();
+        this.noBids.clear();
+        this.lastUpdate = 0;
+        this.sequence = 0;
+    }
+}
+/**
+ * OrderbookManager manages multiple LocalOrderbook instances
+ */
+export class OrderbookManager {
+    orderbooks = new Map();
+    /**
+     * Get or create orderbook for a ticker
+     */
+    getOrderbook(ticker) {
+        let ob = this.orderbooks.get(ticker);
+        if (!ob) {
+            ob = new LocalOrderbook(ticker);
+            this.orderbooks.set(ticker, ob);
+        }
+        return ob;
+    }
+    /**
+     * Apply snapshot to appropriate orderbook
+     */
+    applySnapshot(snapshot) {
+        const ob = this.getOrderbook(snapshot.market_ticker);
+        ob.applySnapshot(snapshot);
+    }
+    /**
+     * Apply delta to appropriate orderbook
+     */
+    applyDelta(delta) {
+        const ob = this.getOrderbook(delta.market_ticker);
+        ob.applyDelta(delta);
+    }
+    /**
+     * Get BBO for a ticker
+     */
+    getBBO(ticker) {
+        return this.orderbooks.get(ticker)?.getBBO() ?? null;
+    }
+    /**
+     * Get all managed tickers
+     */
+    getTickers() {
+        return Array.from(this.orderbooks.keys());
+    }
+    /**
+     * Clear all orderbooks
+     */
+    clear() {
+        this.orderbooks.clear();
+    }
+}
+//# sourceMappingURL=orderbook.js.map

package/dist/mm/orderbook.js.map

@@ -0,0 +1 @@
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package/dist/mm/orderbook.test.d.ts

@@ -0,0 +1,2 @@
+export {};
+//# sourceMappingURL=orderbook.test.d.ts.map

package/dist/mm/orderbook.test.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"orderbook.test.d.ts","sourceRoot":"","sources":["../../src/mm/orderbook.test.ts"],"names":[],"mappings":""}