@newyorkcompute/kalshi-core 0.3.0 → 0.5.0

package/dist/mm/orderbook.test.js

@@ -0,0 +1,264 @@
+import { describe, it, expect, beforeEach } from "vitest";
+import { LocalOrderbook, OrderbookManager } from "./orderbook.js";
+describe("LocalOrderbook", () => {
+    let orderbook;
+    beforeEach(() => {
+        orderbook = new LocalOrderbook("TEST-MARKET");
+    });
+    describe("applySnapshot", () => {
+        it("should initialize from snapshot", () => {
+            const snapshot = {
+                market_ticker: "TEST-MARKET",
+                market_id: "123",
+                yes: [[50, 10], [49, 20], [48, 30]], // YES bids
+                no: [[60, 15], [59, 25]], // NO bids (YES asks = 100 - price)
+            };
+            orderbook.applySnapshot(snapshot);
+            const bbo = orderbook.getBBO();
+            expect(bbo).not.toBeNull();
+            expect(bbo?.bidPrice).toBe(50); // Best YES bid
+            expect(bbo?.askPrice).toBe(40); // 100 - 60 (best NO bid)
+            expect(bbo?.spread).toBe(-10); // 40 - 50 = -10 (crossed market)
+        });
+        it("should handle empty snapshot", () => {
+            const snapshot = {
+                market_ticker: "TEST-MARKET",
+                market_id: "123",
+                yes: [],
+                no: [],
+            };
+            orderbook.applySnapshot(snapshot);
+            expect(orderbook.getBBO()).toBeNull();
+            expect(orderbook.getBestBid()).toBeNull();
+            expect(orderbook.getBestAsk()).toBeNull();
+        });
+        it("should filter zero quantity levels", () => {
+            const snapshot = {
+                market_ticker: "TEST-MARKET",
+                market_id: "123",
+                yes: [[50, 10], [49, 0], [48, 5]], // 49 has zero qty
+                no: [[90, 15]],
+            };
+            orderbook.applySnapshot(snapshot);
+            const depth = orderbook.getDepth(5);
+            expect(depth.bids).toHaveLength(2); // 50 and 48, not 49
+        });
+    });
+    describe("applyDelta", () => {
+        beforeEach(() => {
+            const snapshot = {
+                market_ticker: "TEST-MARKET",
+                market_id: "123",
+                yes: [[50, 10]],
+                no: [[90, 15]],
+            };
+            orderbook.applySnapshot(snapshot);
+        });
+        it("should update existing level", () => {
+            const delta = {
+                market_ticker: "TEST-MARKET",
+                price: 50,
+                delta: 25, // Update to 25
+                side: "yes",
+            };
+            orderbook.applyDelta(delta);
+            const bid = orderbook.getBestBid();
+            expect(bid?.quantity).toBe(25);
+        });
+        it("should add new level", () => {
+            const delta = {
+                market_ticker: "TEST-MARKET",
+                price: 51,
+                delta: 5,
+                side: "yes",
+            };
+            orderbook.applyDelta(delta);
+            const bid = orderbook.getBestBid();
+            expect(bid?.price).toBe(51); // New best bid
+            expect(bid?.quantity).toBe(5);
+        });
+        it("should remove level when delta is zero", () => {
+            const delta = {
+                market_ticker: "TEST-MARKET",
+                price: 50,
+                delta: 0, // Remove
+                side: "yes",
+            };
+            orderbook.applyDelta(delta);
+            expect(orderbook.getBestBid()).toBeNull();
+        });
+        it("should track sequence number", () => {
+            const initialSeq = orderbook.getSequence();
+            orderbook.applyDelta({
+                market_ticker: "TEST-MARKET",
+                price: 51,
+                delta: 5,
+                side: "yes",
+            });
+            expect(orderbook.getSequence()).toBe(initialSeq + 1);
+        });
+    });
+    describe("getMicroprice", () => {
+        it("should calculate size-weighted mid", () => {
+            const snapshot = {
+                market_ticker: "TEST-MARKET",
+                market_id: "123",
+                yes: [[50, 10]], // Bid at 50 with size 10
+                no: [[40, 20]], // NO bid at 40 = YES ask at 60, size 20
+            };
+            orderbook.applySnapshot(snapshot);
+            const microprice = orderbook.getMicroprice();
+            // microprice = (bid * askSize + ask * bidSize) / (bidSize + askSize)
+            // = (50 * 20 + 60 * 10) / (10 + 20) = (1000 + 600) / 30 = 53.33
+            expect(microprice).toBeCloseTo(53.33, 1);
+        });
+        it("should return null for empty orderbook", () => {
+            expect(orderbook.getMicroprice()).toBeNull();
+        });
+    });
+    describe("getImbalance", () => {
+        it("should calculate bid/ask imbalance", () => {
+            const snapshot = {
+                market_ticker: "TEST-MARKET",
+                market_id: "123",
+                yes: [[50, 30]], // More bid depth
+                no: [[90, 10]],
+            };
+            orderbook.applySnapshot(snapshot);
+            const imbalance = orderbook.getImbalance();
+            // (bidDepth - askDepth) / (bidDepth + askDepth) = (30 - 10) / 40 = 0.5
+            expect(imbalance).toBe(0.5);
+        });
+        it("should return 0 for empty orderbook", () => {
+            expect(orderbook.getImbalance()).toBe(0);
+        });
+    });
+    describe("getDepth", () => {
+        it("should return sorted levels", () => {
+            const snapshot = {
+                market_ticker: "TEST-MARKET",
+                market_id: "123",
+                yes: [[48, 30], [50, 10], [49, 20]], // Unsorted
+                no: [[90, 15], [88, 25]], // NO bids
+            };
+            orderbook.applySnapshot(snapshot);
+            const depth = orderbook.getDepth(3);
+            // Bids should be sorted descending (highest first)
+            expect(depth.bids[0].price).toBe(50);
+            expect(depth.bids[1].price).toBe(49);
+            expect(depth.bids[2].price).toBe(48);
+            // Asks should be sorted ascending (lowest first)
+            expect(depth.asks[0].price).toBe(10); // 100 - 90
+            expect(depth.asks[1].price).toBe(12); // 100 - 88
+        });
+        it("should limit to requested levels", () => {
+            const snapshot = {
+                market_ticker: "TEST-MARKET",
+                market_id: "123",
+                yes: [[50, 10], [49, 20], [48, 30], [47, 40], [46, 50]],
+                no: [],
+            };
+            orderbook.applySnapshot(snapshot);
+            const depth = orderbook.getDepth(2);
+            expect(depth.bids).toHaveLength(2);
+        });
+    });
+    describe("staleness", () => {
+        it("should track last update time", () => {
+            const snapshot = {
+                market_ticker: "TEST-MARKET",
+                market_id: "123",
+                yes: [[50, 10]],
+                no: [],
+            };
+            orderbook.applySnapshot(snapshot);
+            expect(orderbook.getAge()).toBeLessThan(100); // Should be very recent
+            expect(orderbook.isStale(5000)).toBe(false);
+        });
+    });
+});
+describe("OrderbookManager", () => {
+    let manager;
+    beforeEach(() => {
+        manager = new OrderbookManager();
+    });
+    it("should create orderbook on demand", () => {
+        const ob1 = manager.getOrderbook("MARKET-1");
+        const ob2 = manager.getOrderbook("MARKET-1");
+        expect(ob1).toBe(ob2); // Same instance
+    });
+    it("should apply snapshot to correct orderbook", () => {
+        const snapshot = {
+            market_ticker: "MARKET-1",
+            market_id: "123",
+            yes: [[50, 10]],
+            no: [[90, 15]],
+        };
+        manager.applySnapshot(snapshot);
+        const bbo = manager.getBBO("MARKET-1");
+        expect(bbo).not.toBeNull();
+        expect(bbo?.bidPrice).toBe(50);
+    });
+    it("should apply delta to correct orderbook", () => {
+        // First apply snapshot
+        manager.applySnapshot({
+            market_ticker: "MARKET-1",
+            market_id: "123",
+            yes: [[50, 10]],
+            no: [[90, 15]],
+        });
+        // Then apply delta
+        manager.applyDelta({
+            market_ticker: "MARKET-1",
+            price: 51,
+            delta: 5,
+            side: "yes",
+        });
+        const bbo = manager.getBBO("MARKET-1");
+        expect(bbo?.bidPrice).toBe(51);
+    });
+    it("should track multiple markets", () => {
+        manager.applySnapshot({
+            market_ticker: "MARKET-1",
+            market_id: "1",
+            yes: [[50, 10]],
+            no: [],
+        });
+        manager.applySnapshot({
+            market_ticker: "MARKET-2",
+            market_id: "2",
+            yes: [[60, 10]],
+            no: [],
+        });
+        expect(manager.getTickers()).toContain("MARKET-1");
+        expect(manager.getTickers()).toContain("MARKET-2");
+        expect(manager.getTickers()).toHaveLength(2);
+    });
+    it("should clear all orderbooks", () => {
+        manager.applySnapshot({
+            market_ticker: "MARKET-1",
+            market_id: "1",
+            yes: [[50, 10]],
+            no: [],
+        });
+        manager.clear();
+        expect(manager.getTickers()).toHaveLength(0);
+        expect(manager.getBBO("MARKET-1")).toBeNull();
+    });
+});
+describe("LocalOrderbook - clear", () => {
+    it("should clear all data", () => {
+        const orderbook = new LocalOrderbook("TEST");
+        orderbook.applySnapshot({
+            market_ticker: "TEST",
+            market_id: "123",
+            yes: [[50, 10]],
+            no: [[90, 15]],
+        });
+        expect(orderbook.getBBO()).not.toBeNull();
+        orderbook.clear();
+        expect(orderbook.getBBO()).toBeNull();
+        expect(orderbook.getSequence()).toBe(0);
+    });
+});
+//# sourceMappingURL=orderbook.test.js.map

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

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

@@ -0,0 +1,77 @@
+/**
+ * Risk Manager
+ *
+ * Enforces risk limits for market making.
+ */
+import type { RiskLimits, RiskCheckResult, Quote, Fill } from "./types.js";
+import type { InventoryTracker } from "./inventory.js";
+/** Default risk limits (conservative) */
+export declare const DEFAULT_RISK_LIMITS: RiskLimits;
+/**
+ * RiskManager enforces trading limits
+ */
+export declare class RiskManager {
+    private limits;
+    private dailyPnL;
+    private halted;
+    private haltReason?;
+    constructor(limits?: Partial<RiskLimits>);
+    /**
+     * Check if a quote passes risk limits
+     */
+    checkQuote(quote: Quote, inventory: InventoryTracker): RiskCheckResult;
+    /**
+     * Check a single order (simpler than quote)
+     */
+    checkOrder(order: {
+        ticker: string;
+        count: number;
+    }, inventory: InventoryTracker): RiskCheckResult;
+    /**
+     * Update PnL on fill (checks daily loss limit)
+     */
+    onFill(fill: Fill, realizedPnL: number): void;
+    /**
+     * Check if trading should be halted
+     */
+    shouldHalt(): boolean;
+    /**
+     * Get halt reason if halted
+     */
+    getHaltReason(): string | undefined;
+    /**
+     * Emergency halt trading
+     */
+    halt(reason: string): void;
+    /**
+     * Resume trading after halt
+     */
+    resume(): void;
+    /**
+     * Reset daily PnL (call at start of trading day)
+     */
+    resetDaily(): void;
+    /**
+     * Get current daily PnL
+     */
+    getDailyPnL(): number;
+    /**
+     * Get current limits
+     */
+    getLimits(): RiskLimits;
+    /**
+     * Update limits (for dynamic adjustment)
+     */
+    updateLimits(newLimits: Partial<RiskLimits>): void;
+    /**
+     * Get risk status summary
+     */
+    getStatus(inventory: InventoryTracker): {
+        halted: boolean;
+        haltReason?: string;
+        dailyPnL: number;
+        totalExposure: number;
+        utilizationPercent: number;
+    };
+}
+//# sourceMappingURL=risk.d.ts.map

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

@@ -0,0 +1 @@
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package/dist/mm/risk.js

@@ -0,0 +1,179 @@
+/**
+ * Risk Manager
+ *
+ * Enforces risk limits for market making.
+ */
+/** Default risk limits (conservative) */
+export const DEFAULT_RISK_LIMITS = {
+    maxPositionPerMarket: 100,
+    maxTotalExposure: 500,
+    maxDailyLoss: 5000, // $50
+    maxOrderSize: 25,
+    minSpread: 2,
+};
+/**
+ * RiskManager enforces trading limits
+ */
+export class RiskManager {
+    limits;
+    dailyPnL = 0;
+    halted = false;
+    haltReason;
+    constructor(limits = {}) {
+        this.limits = { ...DEFAULT_RISK_LIMITS, ...limits };
+    }
+    /**
+     * Check if a quote passes risk limits
+     */
+    checkQuote(quote, inventory) {
+        // Check if halted
+        if (this.halted) {
+            return { allowed: false, reason: `Trading halted: ${this.haltReason}` };
+        }
+        // Check spread
+        const spread = quote.askPrice - quote.bidPrice;
+        if (spread < this.limits.minSpread) {
+            return {
+                allowed: false,
+                reason: `Spread ${spread}¢ below minimum ${this.limits.minSpread}¢`,
+            };
+        }
+        // Check order sizes
+        if (quote.bidSize > this.limits.maxOrderSize) {
+            return {
+                allowed: false,
+                reason: `Bid size ${quote.bidSize} exceeds max ${this.limits.maxOrderSize}`,
+            };
+        }
+        if (quote.askSize > this.limits.maxOrderSize) {
+            return {
+                allowed: false,
+                reason: `Ask size ${quote.askSize} exceeds max ${this.limits.maxOrderSize}`,
+            };
+        }
+        // Check position limits
+        const currentPosition = Math.abs(inventory.getNetExposure(quote.ticker));
+        const potentialPosition = currentPosition + Math.max(quote.bidSize, quote.askSize);
+        if (potentialPosition > this.limits.maxPositionPerMarket) {
+            return {
+                allowed: false,
+                reason: `Position ${potentialPosition} would exceed max ${this.limits.maxPositionPerMarket}`,
+            };
+        }
+        // Check total exposure
+        const currentTotal = inventory.getTotalExposure();
+        const potentialTotal = currentTotal + Math.max(quote.bidSize, quote.askSize);
+        if (potentialTotal > this.limits.maxTotalExposure) {
+            return {
+                allowed: false,
+                reason: `Total exposure ${potentialTotal} would exceed max ${this.limits.maxTotalExposure}`,
+            };
+        }
+        return { allowed: true };
+    }
+    /**
+     * Check a single order (simpler than quote)
+     */
+    checkOrder(order, inventory) {
+        if (this.halted) {
+            return { allowed: false, reason: `Trading halted: ${this.haltReason}` };
+        }
+        if (order.count > this.limits.maxOrderSize) {
+            return {
+                allowed: false,
+                reason: `Order size ${order.count} exceeds max ${this.limits.maxOrderSize}`,
+            };
+        }
+        const currentPosition = Math.abs(inventory.getNetExposure(order.ticker));
+        if (currentPosition + order.count > this.limits.maxPositionPerMarket) {
+            return {
+                allowed: false,
+                reason: `Would exceed position limit for ${order.ticker}`,
+            };
+        }
+        const currentTotal = inventory.getTotalExposure();
+        if (currentTotal + order.count > this.limits.maxTotalExposure) {
+            return {
+                allowed: false,
+                reason: `Would exceed total exposure limit`,
+            };
+        }
+        return { allowed: true };
+    }
+    /**
+     * Update PnL on fill (checks daily loss limit)
+     */
+    onFill(fill, realizedPnL) {
+        this.dailyPnL += realizedPnL;
+        // Check daily loss limit
+        if (this.dailyPnL < -this.limits.maxDailyLoss) {
+            this.halt(`Daily loss limit reached: ${this.dailyPnL}¢`);
+        }
+    }
+    /**
+     * Check if trading should be halted
+     */
+    shouldHalt() {
+        return this.halted;
+    }
+    /**
+     * Get halt reason if halted
+     */
+    getHaltReason() {
+        return this.haltReason;
+    }
+    /**
+     * Emergency halt trading
+     */
+    halt(reason) {
+        this.halted = true;
+        this.haltReason = reason;
+    }
+    /**
+     * Resume trading after halt
+     */
+    resume() {
+        this.halted = false;
+        this.haltReason = undefined;
+    }
+    /**
+     * Reset daily PnL (call at start of trading day)
+     */
+    resetDaily() {
+        this.dailyPnL = 0;
+        // Don't auto-resume if halted for loss limit
+        // Operator must explicitly resume
+    }
+    /**
+     * Get current daily PnL
+     */
+    getDailyPnL() {
+        return this.dailyPnL;
+    }
+    /**
+     * Get current limits
+     */
+    getLimits() {
+        return { ...this.limits };
+    }
+    /**
+     * Update limits (for dynamic adjustment)
+     */
+    updateLimits(newLimits) {
+        this.limits = { ...this.limits, ...newLimits };
+    }
+    /**
+     * Get risk status summary
+     */
+    getStatus(inventory) {
+        const totalExposure = inventory.getTotalExposure();
+        return {
+            halted: this.halted,
+            haltReason: this.haltReason,
+            dailyPnL: this.dailyPnL,
+            totalExposure,
+            utilizationPercent: (totalExposure / this.limits.maxTotalExposure) * 100,
+        };
+    }
+}
+//# sourceMappingURL=risk.js.map

package/dist/mm/risk.js.map

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package/dist/mm/risk.test.d.ts

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

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

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