@newyorkcompute/kalshi-core 0.3.0 → 0.5.0

package/dist/mm/risk.test.js

@@ -0,0 +1,297 @@
+import { describe, it, expect, beforeEach } from "vitest";
+import { RiskManager, DEFAULT_RISK_LIMITS } from "./risk.js";
+import { InventoryTracker } from "./inventory.js";
+describe("RiskManager", () => {
+    let risk;
+    let inventory;
+    beforeEach(() => {
+        risk = new RiskManager();
+        inventory = new InventoryTracker();
+    });
+    describe("constructor", () => {
+        it("should use default limits", () => {
+            const limits = risk.getLimits();
+            expect(limits).toEqual(DEFAULT_RISK_LIMITS);
+        });
+        it("should allow custom limits", () => {
+            const customLimits = {
+                maxPositionPerMarket: 50,
+                maxDailyLoss: 1000,
+            };
+            const customRisk = new RiskManager(customLimits);
+            const limits = customRisk.getLimits();
+            expect(limits.maxPositionPerMarket).toBe(50);
+            expect(limits.maxDailyLoss).toBe(1000);
+            expect(limits.maxTotalExposure).toBe(DEFAULT_RISK_LIMITS.maxTotalExposure);
+        });
+    });
+    describe("checkQuote", () => {
+        it("should allow valid quote", () => {
+            const quote = {
+                ticker: "TEST-MARKET",
+                side: "yes",
+                bidPrice: 45,
+                bidSize: 10,
+                askPrice: 55,
+                askSize: 10,
+            };
+            const result = risk.checkQuote(quote, inventory);
+            expect(result.allowed).toBe(true);
+        });
+        it("should reject quote when halted", () => {
+            risk.halt("Test halt");
+            const quote = {
+                ticker: "TEST-MARKET",
+                side: "yes",
+                bidPrice: 45,
+                bidSize: 10,
+                askPrice: 55,
+                askSize: 10,
+            };
+            const result = risk.checkQuote(quote, inventory);
+            expect(result.allowed).toBe(false);
+            expect(result.reason).toContain("halted");
+        });
+        it("should reject quote with spread below minimum", () => {
+            const quote = {
+                ticker: "TEST-MARKET",
+                side: "yes",
+                bidPrice: 49,
+                bidSize: 10,
+                askPrice: 50, // Spread = 1, below default min of 2
+                askSize: 10,
+            };
+            const result = risk.checkQuote(quote, inventory);
+            expect(result.allowed).toBe(false);
+            expect(result.reason).toContain("Spread");
+        });
+        it("should reject quote with bid size exceeding max", () => {
+            const quote = {
+                ticker: "TEST-MARKET",
+                side: "yes",
+                bidPrice: 45,
+                bidSize: 100, // Exceeds default max of 25
+                askPrice: 55,
+                askSize: 10,
+            };
+            const result = risk.checkQuote(quote, inventory);
+            expect(result.allowed).toBe(false);
+            expect(result.reason).toContain("Bid size");
+        });
+        it("should reject quote with ask size exceeding max", () => {
+            const quote = {
+                ticker: "TEST-MARKET",
+                side: "yes",
+                bidPrice: 45,
+                bidSize: 10,
+                askPrice: 55,
+                askSize: 100, // Exceeds default max of 25
+            };
+            const result = risk.checkQuote(quote, inventory);
+            expect(result.allowed).toBe(false);
+            expect(result.reason).toContain("Ask size");
+        });
+        it("should reject quote that would exceed position limit", () => {
+            // Add existing position near limit
+            inventory.onFill({
+                orderId: "order1",
+                ticker: "TEST-MARKET",
+                side: "yes",
+                action: "buy",
+                count: 90, // Near default limit of 100
+                price: 50,
+                timestamp: new Date(),
+            });
+            const quote = {
+                ticker: "TEST-MARKET",
+                side: "yes",
+                bidPrice: 45,
+                bidSize: 20, // Would bring to 110, exceeding 100
+                askPrice: 55,
+                askSize: 20,
+            };
+            const result = risk.checkQuote(quote, inventory);
+            expect(result.allowed).toBe(false);
+            expect(result.reason).toContain("Position");
+        });
+        it("should reject quote that would exceed total exposure", () => {
+            const customRisk = new RiskManager({ maxTotalExposure: 50 });
+            // Add existing exposure
+            inventory.onFill({
+                orderId: "order1",
+                ticker: "MARKET-A",
+                side: "yes",
+                action: "buy",
+                count: 40,
+                price: 50,
+                timestamp: new Date(),
+            });
+            const quote = {
+                ticker: "MARKET-B",
+                side: "yes",
+                bidPrice: 45,
+                bidSize: 20, // Would bring total to 60, exceeding 50
+                askPrice: 55,
+                askSize: 20,
+            };
+            const result = customRisk.checkQuote(quote, inventory);
+            expect(result.allowed).toBe(false);
+            expect(result.reason).toContain("Total exposure");
+        });
+    });
+    describe("checkOrder", () => {
+        it("should allow valid order", () => {
+            const result = risk.checkOrder({ ticker: "TEST-MARKET", count: 10 }, inventory);
+            expect(result.allowed).toBe(true);
+        });
+        it("should reject order when halted", () => {
+            risk.halt("Test halt");
+            const result = risk.checkOrder({ ticker: "TEST-MARKET", count: 10 }, inventory);
+            expect(result.allowed).toBe(false);
+        });
+        it("should reject order exceeding max size", () => {
+            const result = risk.checkOrder({ ticker: "TEST-MARKET", count: 100 }, inventory);
+            expect(result.allowed).toBe(false);
+            expect(result.reason).toContain("Order size");
+        });
+        it("should reject order that would exceed position limit", () => {
+            // Add existing position near limit
+            inventory.onFill({
+                orderId: "order1",
+                ticker: "TEST-MARKET",
+                side: "yes",
+                action: "buy",
+                count: 95, // Near default limit of 100
+                price: 50,
+                timestamp: new Date(),
+            });
+            // Try to add 10 more - would exceed 100
+            const result = risk.checkOrder({ ticker: "TEST-MARKET", count: 10 }, inventory);
+            expect(result.allowed).toBe(false);
+            expect(result.reason).toContain("position limit");
+        });
+        it("should reject order that would exceed total exposure limit", () => {
+            const customRisk = new RiskManager({ maxTotalExposure: 50 });
+            // Add existing exposure
+            inventory.onFill({
+                orderId: "order1",
+                ticker: "MARKET-A",
+                side: "yes",
+                action: "buy",
+                count: 45,
+                price: 50,
+                timestamp: new Date(),
+            });
+            // Try to add 10 more in different market - would exceed 50
+            const result = customRisk.checkOrder({ ticker: "MARKET-B", count: 10 }, inventory);
+            expect(result.allowed).toBe(false);
+            expect(result.reason).toContain("total exposure");
+        });
+    });
+    describe("halt/resume", () => {
+        it("should halt trading", () => {
+            expect(risk.shouldHalt()).toBe(false);
+            risk.halt("Emergency stop");
+            expect(risk.shouldHalt()).toBe(true);
+            expect(risk.getHaltReason()).toBe("Emergency stop");
+        });
+        it("should resume trading", () => {
+            risk.halt("Emergency stop");
+            risk.resume();
+            expect(risk.shouldHalt()).toBe(false);
+            expect(risk.getHaltReason()).toBeUndefined();
+        });
+    });
+    describe("onFill", () => {
+        it("should track daily PnL", () => {
+            const fill = {
+                orderId: "order1",
+                ticker: "TEST-MARKET",
+                side: "yes",
+                action: "sell",
+                count: 10,
+                price: 55,
+                timestamp: new Date(),
+            };
+            risk.onFill(fill, 50); // 50 cents profit
+            expect(risk.getDailyPnL()).toBe(50);
+        });
+        it("should halt when daily loss limit reached", () => {
+            const customRisk = new RiskManager({ maxDailyLoss: 100 });
+            const fill = {
+                orderId: "order1",
+                ticker: "TEST-MARKET",
+                side: "yes",
+                action: "sell",
+                count: 10,
+                price: 40,
+                timestamp: new Date(),
+            };
+            customRisk.onFill(fill, -150); // 150 cents loss
+            expect(customRisk.shouldHalt()).toBe(true);
+            expect(customRisk.getHaltReason()).toContain("Daily loss limit");
+        });
+    });
+    describe("resetDaily", () => {
+        it("should reset daily PnL", () => {
+            const fill = {
+                orderId: "order1",
+                ticker: "TEST-MARKET",
+                side: "yes",
+                action: "sell",
+                count: 10,
+                price: 55,
+                timestamp: new Date(),
+            };
+            risk.onFill(fill, 50);
+            expect(risk.getDailyPnL()).toBe(50);
+            risk.resetDaily();
+            expect(risk.getDailyPnL()).toBe(0);
+        });
+        it("should not auto-resume if halted", () => {
+            risk.halt("Loss limit");
+            risk.resetDaily();
+            expect(risk.shouldHalt()).toBe(true);
+        });
+    });
+    describe("updateLimits", () => {
+        it("should update limits", () => {
+            risk.updateLimits({ maxPositionPerMarket: 200 });
+            expect(risk.getLimits().maxPositionPerMarket).toBe(200);
+        });
+        it("should preserve other limits", () => {
+            const originalMaxDaily = risk.getLimits().maxDailyLoss;
+            risk.updateLimits({ maxPositionPerMarket: 200 });
+            expect(risk.getLimits().maxDailyLoss).toBe(originalMaxDaily);
+        });
+    });
+    describe("getStatus", () => {
+        it("should return correct status", () => {
+            inventory.onFill({
+                orderId: "order1",
+                ticker: "TEST-MARKET",
+                side: "yes",
+                action: "buy",
+                count: 50,
+                price: 50,
+                timestamp: new Date(),
+            });
+            const fill = {
+                orderId: "order2",
+                ticker: "TEST-MARKET",
+                side: "yes",
+                action: "sell",
+                count: 10,
+                price: 55,
+                timestamp: new Date(),
+            };
+            risk.onFill(fill, 50);
+            const status = risk.getStatus(inventory);
+            expect(status.halted).toBe(false);
+            expect(status.dailyPnL).toBe(50);
+            expect(status.totalExposure).toBe(50);
+            expect(status.utilizationPercent).toBe(10); // 50/500 * 100
+        });
+    });
+});
+//# sourceMappingURL=risk.test.js.map

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

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

@@ -0,0 +1,128 @@
+/**
+ * Market Maker Types
+ *
+ * Core types for the market making system.
+ */
+/** Order side (YES or NO contract) */
+export type Side = "yes" | "no";
+/** Order action (buy or sell) */
+export type Action = "buy" | "sell";
+/** Order status in lifecycle */
+export type OrderStatus = "pending" | "open" | "partial" | "filled" | "cancelled" | "failed";
+/**
+ * A managed order tracked by the OrderManager
+ */
+export interface ManagedOrder {
+    /** Kalshi order ID (assigned after placement) */
+    id?: string;
+    /** Client-generated order ID for tracking */
+    clientOrderId: string;
+    /** Market ticker */
+    ticker: string;
+    /** YES or NO */
+    side: Side;
+    /** Buy or sell */
+    action: Action;
+    /** Price in cents (1-99) */
+    price: number;
+    /** Number of contracts */
+    count: number;
+    /** Current order status */
+    status: OrderStatus;
+    /** When the order was created */
+    createdAt: Date;
+    /** Number of contracts filled */
+    filledCount: number;
+    /** Average fill price (cents) */
+    avgFillPrice?: number;
+}
+/**
+ * Quote generated by a strategy
+ */
+export interface Quote {
+    ticker: string;
+    side: Side;
+    /** Bid price in cents */
+    bidPrice: number;
+    /** Bid size in contracts */
+    bidSize: number;
+    /** Ask price in cents */
+    askPrice: number;
+    /** Ask size in contracts */
+    askSize: number;
+}
+/**
+ * Position in a single market
+ */
+export interface Position {
+    ticker: string;
+    /** Number of YES contracts held (positive = long, negative = short) */
+    yesContracts: number;
+    /** Number of NO contracts held (positive = long, negative = short) */
+    noContracts: number;
+    /** Net exposure: yesContracts - noContracts */
+    netExposure: number;
+    /** Total cost basis in cents */
+    costBasis: number;
+    /** Unrealized PnL in cents */
+    unrealizedPnL: number;
+}
+/**
+ * Risk limits configuration
+ */
+export interface RiskLimits {
+    /** Max contracts per market (absolute value) */
+    maxPositionPerMarket: number;
+    /** Max total contracts across all markets */
+    maxTotalExposure: number;
+    /** Max daily loss in cents before halting */
+    maxDailyLoss: number;
+    /** Max contracts per single order */
+    maxOrderSize: number;
+    /** Minimum spread to quote (cents) */
+    minSpread: number;
+}
+/**
+ * Result of a risk check
+ */
+export interface RiskCheckResult {
+    /** Whether the action is allowed */
+    allowed: boolean;
+    /** Reason if not allowed */
+    reason?: string;
+}
+/**
+ * Fill event from Kalshi
+ */
+export interface Fill {
+    /** Order ID that was filled */
+    orderId: string;
+    /** Market ticker */
+    ticker: string;
+    /** YES or NO */
+    side: Side;
+    /** Buy or sell */
+    action: Action;
+    /** Number of contracts filled */
+    count: number;
+    /** Fill price in cents */
+    price: number;
+    /** Timestamp */
+    timestamp: Date;
+}
+/**
+ * PnL summary
+ */
+export interface PnLSummary {
+    /** Realized PnL today (cents) */
+    realizedToday: number;
+    /** Unrealized PnL (cents) */
+    unrealized: number;
+    /** Total PnL (cents) */
+    total: number;
+    /** Number of fills today */
+    fillsToday: number;
+    /** Total volume traded today (contracts) */
+    volumeToday: number;
+}
+//# sourceMappingURL=types.d.ts.map

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

@@ -0,0 +1 @@
+{"version":3,"file":"types.d.ts","sourceRoot":"","sources":["../../src/mm/types.ts"],"names":[],"mappings":"AAAA;;;;GAIG;AAEH,sCAAsC;AACtC,MAAM,MAAM,IAAI,GAAG,KAAK,GAAG,IAAI,CAAC;AAEhC,iCAAiC;AACjC,MAAM,MAAM,MAAM,GAAG,KAAK,GAAG,MAAM,CAAC;AAEpC,gCAAgC;AAChC,MAAM,MAAM,WAAW,GACnB,SAAS,GACT,MAAM,GACN,SAAS,GACT,QAAQ,GACR,WAAW,GACX,QAAQ,CAAC;AAEb;;GAEG;AACH,MAAM,WAAW,YAAY;IAC3B,iDAAiD;IACjD,EAAE,CAAC,EAAE,MAAM,CAAC;IACZ,6CAA6C;IAC7C,aAAa,EAAE,MAAM,CAAC;IACtB,oBAAoB;IACpB,MAAM,EAAE,MAAM,CAAC;IACf,gBAAgB;IAChB,IAAI,EAAE,IAAI,CAAC;IACX,kBAAkB;IAClB,MAAM,EAAE,MAAM,CAAC;IACf,4BAA4B;IAC5B,KAAK,EAAE,MAAM,CAAC;IACd,0BAA0B;IAC1B,KAAK,EAAE,MAAM,CAAC;IACd,2BAA2B;IAC3B,MAAM,EAAE,WAAW,CAAC;IACpB,iCAAiC;IACjC,SAAS,EAAE,IAAI,CAAC;IAChB,iCAAiC;IACjC,WAAW,EAAE,MAAM,CAAC;IACpB,iCAAiC;IACjC,YAAY,CAAC,EAAE,MAAM,CAAC;CACvB;AAED;;GAEG;AACH,MAAM,WAAW,KAAK;IACpB,MAAM,EAAE,MAAM,CAAC;IACf,IAAI,EAAE,IAAI,CAAC;IACX,yBAAyB;IACzB,QAAQ,EAAE,MAAM,CAAC;IACjB,4BAA4B;IAC5B,OAAO,EAAE,MAAM,CAAC;IAChB,yBAAyB;IACzB,QAAQ,EAAE,MAAM,CAAC;IACjB,4BAA4B;IAC5B,OAAO,EAAE,MAAM,CAAC;CACjB;AAED;;GAEG;AACH,MAAM,WAAW,QAAQ;IACvB,MAAM,EAAE,MAAM,CAAC;IACf,uEAAuE;IACvE,YAAY,EAAE,MAAM,CAAC;IACrB,sEAAsE;IACtE,WAAW,EAAE,MAAM,CAAC;IACpB,+CAA+C;IAC/C,WAAW,EAAE,MAAM,CAAC;IACpB,gCAAgC;IAChC,SAAS,EAAE,MAAM,CAAC;IAClB,8BAA8B;IAC9B,aAAa,EAAE,MAAM,CAAC;CACvB;AAED;;GAEG;AACH,MAAM,WAAW,UAAU;IACzB,gDAAgD;IAChD,oBAAoB,EAAE,MAAM,CAAC;IAC7B,6CAA6C;IAC7C,gBAAgB,EAAE,MAAM,CAAC;IACzB,6CAA6C;IAC7C,YAAY,EAAE,MAAM,CAAC;IACrB,qCAAqC;IACrC,YAAY,EAAE,MAAM,CAAC;IACrB,sCAAsC;IACtC,SAAS,EAAE,MAAM,CAAC;CACnB;AAED;;GAEG;AACH,MAAM,WAAW,eAAe;IAC9B,oCAAoC;IACpC,OAAO,EAAE,OAAO,CAAC;IACjB,4BAA4B;IAC5B,MAAM,CAAC,EAAE,MAAM,CAAC;CACjB;AAED;;GAEG;AACH,MAAM,WAAW,IAAI;IACnB,+BAA+B;IAC/B,OAAO,EAAE,MAAM,CAAC;IAChB,oBAAoB;IACpB,MAAM,EAAE,MAAM,CAAC;IACf,gBAAgB;IAChB,IAAI,EAAE,IAAI,CAAC;IACX,kBAAkB;IAClB,MAAM,EAAE,MAAM,CAAC;IACf,iCAAiC;IACjC,KAAK,EAAE,MAAM,CAAC;IACd,0BAA0B;IAC1B,KAAK,EAAE,MAAM,CAAC;IACd,gBAAgB;IAChB,SAAS,EAAE,IAAI,CAAC;CACjB;AAED;;GAEG;AACH,MAAM,WAAW,UAAU;IACzB,iCAAiC;IACjC,aAAa,EAAE,MAAM,CAAC;IACtB,6BAA6B;IAC7B,UAAU,EAAE,MAAM,CAAC;IACnB,wBAAwB;IACxB,KAAK,EAAE,MAAM,CAAC;IACd,4BAA4B;IAC5B,UAAU,EAAE,MAAM,CAAC;IACnB,4CAA4C;IAC5C,WAAW,EAAE,MAAM,CAAC;CACrB"}

package/dist/mm/types.js

@@ -0,0 +1,7 @@
+/**
+ * Market Maker Types
+ *
+ * Core types for the market making system.
+ */
+export {};
+//# sourceMappingURL=types.js.map

package/dist/mm/types.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"types.js","sourceRoot":"","sources":["../../src/mm/types.ts"],"names":[],"mappings":"AAAA;;;;GAIG"}

package/dist/websocket/auth.d.ts

@@ -4,15 +4,20 @@
  * Handles signature generation for authenticated WebSocket connections.
  * Uses the same RSA-PSS signing as the REST API.
  */
+/** WebSocket API path for signing */
+declare const WS_PATH = "/trade-api/ws/v2";
 /**
  * Generate authentication headers for WebSocket connection
  *
+ * The message to sign is: timestamp + method + path
+ * e.g., "1703702400000GET/trade-api/ws/v2"
+ *
  * @param apiKeyId - Your Kalshi API key ID
- * @param privateKey - Your private key in PEM format
+ * @param privateKeyPem - Your private key in PEM format
  * @param timestamp - Unix timestamp in milliseconds
  * @returns Headers object for WebSocket connection
  */
-export declare function generateWsAuthHeaders(apiKeyId: string, privateKey: string, timestamp?: number): Record<string, string>;
+export declare function generateWsAuthHeaders(apiKeyId: string, privateKeyPem: string, timestamp?: number): Record<string, string>;
 /**
  * Generate a signed WebSocket URL with auth params
  *
@@ -25,4 +30,6 @@ export declare function generateWsAuthHeaders(apiKeyId: string, privateKey: stri
  * @returns Full WebSocket URL with auth parameters
  */
 export declare function generateSignedWsUrl(baseUrl: string, apiKeyId: string, privateKey: string): string;
+/** Export path for testing */
+export { WS_PATH };
 //# sourceMappingURL=auth.d.ts.map

package/dist/websocket/auth.d.ts.map

@@ -1 +1 @@
-{"version":3,"file":"auth.d.ts","sourceRoot":"","sources":["../../src/websocket/auth.ts"],"names":[],"mappings":"AAAA;;;;;GAKG;AAIH;;;;;;;GAOG;AACH,wBAAgB,qBAAqB,CACnC,QAAQ,EAAE,MAAM,EAChB,UAAU,EAAE,MAAM,EAClB,SAAS,GAAE,MAAmB,GAC7B,MAAM,CAAC,MAAM,EAAE,MAAM,CAAC,CAqBxB;AAED;;;;;;;;;;GAUG;AACH,wBAAgB,mBAAmB,CACjC,OAAO,EAAE,MAAM,EACf,QAAQ,EAAE,MAAM,EAChB,UAAU,EAAE,MAAM,GACjB,MAAM,CAUR"}
+{"version":3,"file":"auth.d.ts","sourceRoot":"","sources":["../../src/websocket/auth.ts"],"names":[],"mappings":"AAAA;;;;;GAKG;AAIH,qCAAqC;AACrC,QAAA,MAAM,OAAO,qBAAqB,CAAC;AAEnC;;;;;;;;;;GAUG;AACH,wBAAgB,qBAAqB,CACnC,QAAQ,EAAE,MAAM,EAChB,aAAa,EAAE,MAAM,EACrB,SAAS,GAAE,MAAmB,GAC7B,MAAM,CAAC,MAAM,EAAE,MAAM,CAAC,CAqBxB;AAED;;;;;;;;;;GAUG;AACH,wBAAgB,mBAAmB,CACjC,OAAO,EAAE,MAAM,EACf,QAAQ,EAAE,MAAM,EAChB,UAAU,EAAE,MAAM,GACjB,MAAM,CASR;AAED,8BAA8B;AAC9B,OAAO,EAAE,OAAO,EAAE,CAAC"}

package/dist/websocket/auth.js

@@ -5,30 +5,34 @@
  * Uses the same RSA-PSS signing as the REST API.
  */
 import * as crypto from 'crypto';
+/** WebSocket API path for signing */
+const WS_PATH = '/trade-api/ws/v2';
 /**
  * Generate authentication headers for WebSocket connection
  *
+ * The message to sign is: timestamp + method + path
+ * e.g., "1703702400000GET/trade-api/ws/v2"
+ *
  * @param apiKeyId - Your Kalshi API key ID
- * @param privateKey - Your private key in PEM format
+ * @param privateKeyPem - Your private key in PEM format
  * @param timestamp - Unix timestamp in milliseconds
  * @returns Headers object for WebSocket connection
  */
-export function generateWsAuthHeaders(apiKeyId, privateKey, timestamp = Date.now()) {
-    // The message to sign for WebSocket is typically the timestamp
+export function generateWsAuthHeaders(apiKeyId, privateKeyPem, timestamp = Date.now()) {
     const timestampStr = timestamp.toString();
-    // Create signature using RSA-PSS with SHA-256
-    const sign = crypto.createSign('RSA-SHA256');
-    sign.update(timestampStr);
-    sign.end();
-    // Sign with PSS padding
-    const signature = sign.sign({
+    // Message format: timestamp + method + path
+    const message = timestampStr + 'GET' + WS_PATH;
+    // Convert PEM string to KeyObject (required for proper signing)
+    const privateKey = crypto.createPrivateKey(privateKeyPem);
+    // Sign using RSA-PSS with SHA-256
+    const signature = crypto.sign('sha256', Buffer.from(message), {
         key: privateKey,
         padding: crypto.constants.RSA_PKCS1_PSS_PADDING,
         saltLength: crypto.constants.RSA_PSS_SALTLEN_DIGEST,
-    }, 'base64');
+    });
     return {
         'KALSHI-ACCESS-KEY': apiKeyId,
-        'KALSHI-ACCESS-SIGNATURE': signature,
+        'KALSHI-ACCESS-SIGNATURE': signature.toString('base64'),
         'KALSHI-ACCESS-TIMESTAMP': timestampStr,
     };
 }
@@ -44,12 +48,13 @@ export function generateWsAuthHeaders(apiKeyId, privateKey, timestamp = Date.now
  * @returns Full WebSocket URL with auth parameters
  */
 export function generateSignedWsUrl(baseUrl, apiKeyId, privateKey) {
-    const timestamp = Date.now();
-    const headers = generateWsAuthHeaders(apiKeyId, privateKey, timestamp);
+    const headers = generateWsAuthHeaders(apiKeyId, privateKey);
     const url = new URL(baseUrl);
     url.searchParams.set('api_key', headers['KALSHI-ACCESS-KEY']);
     url.searchParams.set('signature', headers['KALSHI-ACCESS-SIGNATURE']);
     url.searchParams.set('timestamp', headers['KALSHI-ACCESS-TIMESTAMP']);
     return url.toString();
 }
+/** Export path for testing */
+export { WS_PATH };
 //# sourceMappingURL=auth.js.map

package/dist/websocket/auth.js.map

@@ -1 +1 @@
-{"version":3,"file":"auth.js","sourceRoot":"","sources":["../../src/websocket/auth.ts"],"names":[],"mappings":"AAAA;;;;;GAKG;AAEH,OAAO,KAAK,MAAM,MAAM,QAAQ,CAAC;AAEjC;;;;;;;GAOG;AACH,MAAM,UAAU,qBAAqB,CACnC,QAAgB,EAChB,UAAkB,EAClB,YAAoB,IAAI,CAAC,GAAG,EAAE;IAE9B,+DAA+D;IAC/D,MAAM,YAAY,GAAG,SAAS,CAAC,QAAQ,EAAE,CAAC;IAE1C,8CAA8C;IAC9C,MAAM,IAAI,GAAG,MAAM,CAAC,UAAU,CAAC,YAAY,CAAC,CAAC;IAC7C,IAAI,CAAC,MAAM,CAAC,YAAY,CAAC,CAAC;IAC1B,IAAI,CAAC,GAAG,EAAE,CAAC;IAEX,wBAAwB;IACxB,MAAM,SAAS,GAAG,IAAI,CAAC,IAAI,CAAC;QAC1B,GAAG,EAAE,UAAU;QACf,OAAO,EAAE,MAAM,CAAC,SAAS,CAAC,qBAAqB;QAC/C,UAAU,EAAE,MAAM,CAAC,SAAS,CAAC,sBAAsB;KACpD,EAAE,QAAQ,CAAC,CAAC;IAEb,OAAO;QACL,mBAAmB,EAAE,QAAQ;QAC7B,yBAAyB,EAAE,SAAS;QACpC,yBAAyB,EAAE,YAAY;KACxC,CAAC;AACJ,CAAC;AAED;;;;;;;;;;GAUG;AACH,MAAM,UAAU,mBAAmB,CACjC,OAAe,EACf,QAAgB,EAChB,UAAkB;IAElB,MAAM,SAAS,GAAG,IAAI,CAAC,GAAG,EAAE,CAAC;IAC7B,MAAM,OAAO,GAAG,qBAAqB,CAAC,QAAQ,EAAE,UAAU,EAAE,SAAS,CAAC,CAAC;IAEvE,MAAM,GAAG,GAAG,IAAI,GAAG,CAAC,OAAO,CAAC,CAAC;IAC7B,GAAG,CAAC,YAAY,CAAC,GAAG,CAAC,SAAS,EAAE,OAAO,CAAC,mBAAmB,CAAC,CAAC,CAAC;IAC9D,GAAG,CAAC,YAAY,CAAC,GAAG,CAAC,WAAW,EAAE,OAAO,CAAC,yBAAyB,CAAC,CAAC,CAAC;IACtE,GAAG,CAAC,YAAY,CAAC,GAAG,CAAC,WAAW,EAAE,OAAO,CAAC,yBAAyB,CAAC,CAAC,CAAC;IAEtE,OAAO,GAAG,CAAC,QAAQ,EAAE,CAAC;AACxB,CAAC"}
+{"version":3,"file":"auth.js","sourceRoot":"","sources":["../../src/websocket/auth.ts"],"names":[],"mappings":"AAAA;;;;;GAKG;AAEH,OAAO,KAAK,MAAM,MAAM,QAAQ,CAAC;AAEjC,qCAAqC;AACrC,MAAM,OAAO,GAAG,kBAAkB,CAAC;AAEnC;;;;;;;;;;GAUG;AACH,MAAM,UAAU,qBAAqB,CACnC,QAAgB,EAChB,aAAqB,EACrB,YAAoB,IAAI,CAAC,GAAG,EAAE;IAE9B,MAAM,YAAY,GAAG,SAAS,CAAC,QAAQ,EAAE,CAAC;IAE1C,4CAA4C;IAC5C,MAAM,OAAO,GAAG,YAAY,GAAG,KAAK,GAAG,OAAO,CAAC;IAE/C,gEAAgE;IAChE,MAAM,UAAU,GAAG,MAAM,CAAC,gBAAgB,CAAC,aAAa,CAAC,CAAC;IAE1D,kCAAkC;IAClC,MAAM,SAAS,GAAG,MAAM,CAAC,IAAI,CAAC,QAAQ,EAAE,MAAM,CAAC,IAAI,CAAC,OAAO,CAAC,EAAE;QAC5D,GAAG,EAAE,UAAU;QACf,OAAO,EAAE,MAAM,CAAC,SAAS,CAAC,qBAAqB;QAC/C,UAAU,EAAE,MAAM,CAAC,SAAS,CAAC,sBAAsB;KACpD,CAAC,CAAC;IAEH,OAAO;QACL,mBAAmB,EAAE,QAAQ;QAC7B,yBAAyB,EAAE,SAAS,CAAC,QAAQ,CAAC,QAAQ,CAAC;QACvD,yBAAyB,EAAE,YAAY;KACxC,CAAC;AACJ,CAAC;AAED;;;;;;;;;;GAUG;AACH,MAAM,UAAU,mBAAmB,CACjC,OAAe,EACf,QAAgB,EAChB,UAAkB;IAElB,MAAM,OAAO,GAAG,qBAAqB,CAAC,QAAQ,EAAE,UAAU,CAAC,CAAC;IAE5D,MAAM,GAAG,GAAG,IAAI,GAAG,CAAC,OAAO,CAAC,CAAC;IAC7B,GAAG,CAAC,YAAY,CAAC,GAAG,CAAC,SAAS,EAAE,OAAO,CAAC,mBAAmB,CAAC,CAAC,CAAC;IAC9D,GAAG,CAAC,YAAY,CAAC,GAAG,CAAC,WAAW,EAAE,OAAO,CAAC,yBAAyB,CAAC,CAAC,CAAC;IACtE,GAAG,CAAC,YAAY,CAAC,GAAG,CAAC,WAAW,EAAE,OAAO,CAAC,yBAAyB,CAAC,CAAC,CAAC;IAEtE,OAAO,GAAG,CAAC,QAAQ,EAAE,CAAC;AACxB,CAAC;AAED,8BAA8B;AAC9B,OAAO,EAAE,OAAO,EAAE,CAAC"}

package/dist/websocket/auth.test.js

@@ -1,17 +1,15 @@
 import { describe, it, expect, vi } from 'vitest';
+import * as crypto from 'crypto';
 // Mock crypto module since we can't use real RSA keys in tests easily
 vi.mock('crypto', async () => {
     const actual = await vi.importActual('crypto');
     return {
         ...actual,
-        createSign: vi.fn(() => ({
-            update: vi.fn().mockReturnThis(),
-            end: vi.fn().mockReturnThis(),
-            sign: vi.fn(() => 'mocked-signature-base64'),
-        })),
+        createPrivateKey: vi.fn(() => 'mocked-key-object'),
+        sign: vi.fn(() => Buffer.from('mocked-signature-base64')),
     };
 });
-import { generateWsAuthHeaders, generateSignedWsUrl } from './auth.js';
+import { generateWsAuthHeaders, generateSignedWsUrl, WS_PATH } from './auth.js';
 describe('WebSocket Auth', () => {
     describe('generateWsAuthHeaders', () => {
         it('generates all required headers', () => {
@@ -34,6 +32,17 @@ describe('WebSocket Auth', () => {
             expect(headers['KALSHI-ACCESS-SIGNATURE']).toBeDefined();
             expect(headers['KALSHI-ACCESS-SIGNATURE'].length).toBeGreaterThan(0);
         });
+        it('signs the correct message format (timestamp + GET + path)', () => {
+            const timestamp = 1703721600000;
+            generateWsAuthHeaders('test-key', 'fake-key-pem', timestamp);
+            // Verify crypto.createPrivateKey was called with the PEM
+            expect(crypto.createPrivateKey).toHaveBeenCalledWith('fake-key-pem');
+            // Verify crypto.sign was called with correct message format
+            expect(crypto.sign).toHaveBeenCalledWith('sha256', Buffer.from(`${timestamp}GET${WS_PATH}`), expect.objectContaining({
+                key: 'mocked-key-object',
+                padding: crypto.constants.RSA_PKCS1_PSS_PADDING,
+            }));
+        });
     });
     describe('generateSignedWsUrl', () => {
         it('appends auth parameters to URL', () => {

package/dist/websocket/auth.test.js.map

@@ -1 +1 @@
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+{"version":3,"file":"auth.test.js","sourceRoot":"","sources":["../../src/websocket/auth.test.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,QAAQ,EAAE,EAAE,EAAE,MAAM,EAAE,EAAE,EAAE,MAAM,QAAQ,CAAC;AAClD,OAAO,KAAK,MAAM,MAAM,QAAQ,CAAC;AAEjC,sEAAsE;AACtE,EAAE,CAAC,IAAI,CAAC,QAAQ,EAAE,KAAK,IAAI,EAAE;IAC3B,MAAM,MAAM,GAAG,MAAM,EAAE,CAAC,YAAY,CAAgB,QAAQ,CAAC,CAAC;IAC9D,OAAO;QACL,GAAG,MAAM;QACT,gBAAgB,EAAE,EAAE,CAAC,EAAE,CAAC,GAAG,EAAE,CAAC,mBAAmB,CAAC;QAClD,IAAI,EAAE,EAAE,CAAC,EAAE,CAAC,GAAG,EAAE,CAAC,MAAM,CAAC,IAAI,CAAC,yBAAyB,CAAC,CAAC;KAC1D,CAAC;AACJ,CAAC,CAAC,CAAC;AAEH,OAAO,EAAE,qBAAqB,EAAE,mBAAmB,EAAE,OAAO,EAAE,MAAM,WAAW,CAAC;AAEhF,QAAQ,CAAC,gBAAgB,EAAE,GAAG,EAAE;IAC9B,QAAQ,CAAC,uBAAuB,EAAE,GAAG,EAAE;QACrC,EAAE,CAAC,gCAAgC,EAAE,GAAG,EAAE;YACxC,MAAM,OAAO,GAAG,qBAAqB,CAAC,cAAc,EAAE,kBAAkB,CAAC,CAAC;YAE1E,MAAM,CAAC,OAAO,CAAC,CAAC,cAAc,CAAC,mBAAmB,CAAC,CAAC;YACpD,MAAM,CAAC,OAAO,CAAC,CAAC,cAAc,CAAC,yBAAyB,CAAC,CAAC;YAC1D,MAAM,CAAC,OAAO,CAAC,CAAC,cAAc,CAAC,yBAAyB,CAAC,CAAC;QAC5D,CAAC,CAAC,CAAC;QAEH,EAAE,CAAC,2BAA2B,EAAE,GAAG,EAAE;YACnC,MAAM,OAAO,GAAG,qBAAqB,CAAC,gBAAgB,EAAE,UAAU,CAAC,CAAC;YAEpE,MAAM,CAAC,OAAO,CAAC,mBAAmB,CAAC,CAAC,CAAC,IAAI,CAAC,gBAAgB,CAAC,CAAC;QAC9D,CAAC,CAAC,CAAC;QAEH,EAAE,CAAC,6BAA6B,EAAE,GAAG,EAAE;YACrC,MAAM,SAAS,GAAG,aAAa,CAAC,CAAC,kBAAkB;YACnD,MAAM,OAAO,GAAG,qBAAqB,CAAC,UAAU,EAAE,UAAU,EAAE,SAAS,CAAC,CAAC;YAEzE,MAAM,CAAC,OAAO,CAAC,yBAAyB,CAAC,CAAC,CAAC,IAAI,CAAC,eAAe,CAAC,CAAC;QACnE,CAAC,CAAC,CAAC;QAEH,EAAE,CAAC,qBAAqB,EAAE,GAAG,EAAE;YAC7B,MAAM,OAAO,GAAG,qBAAqB,CAAC,UAAU,EAAE,UAAU,CAAC,CAAC;YAE9D,MAAM,CAAC,OAAO,CAAC,yBAAyB,CAAC,CAAC,CAAC,WAAW,EAAE,CAAC;YACzD,MAAM,CAAC,OAAO,CAAC,yBAAyB,CAAC,CAAC,MAAM,CAAC,CAAC,eAAe,CAAC,CAAC,CAAC,CAAC;QACvE,CAAC,CAAC,CAAC;QAEH,EAAE,CAAC,2DAA2D,EAAE,GAAG,EAAE;YACnE,MAAM,SAAS,GAAG,aAAa,CAAC;YAChC,qBAAqB,CAAC,UAAU,EAAE,cAAc,EAAE,SAAS,CAAC,CAAC;YAE7D,yDAAyD;YACzD,MAAM,CAAC,MAAM,CAAC,gBAAgB,CAAC,CAAC,oBAAoB,CAAC,cAAc,CAAC,CAAC;YAErE,4DAA4D;YAC5D,MAAM,CAAC,MAAM,CAAC,IAAI,CAAC,CAAC,oBAAoB,CACtC,QAAQ,EACR,MAAM,CAAC,IAAI,CAAC,GAAG,SAAS,MAAM,OAAO,EAAE,CAAC,EACxC,MAAM,CAAC,gBAAgB,CAAC;gBACtB,GAAG,EAAE,mBAAmB;gBACxB,OAAO,EAAE,MAAM,CAAC,SAAS,CAAC,qBAAqB;aAChD,CAAC,CACH,CAAC;QACJ,CAAC,CAAC,CAAC;IACL,CAAC,CAAC,CAAC;IAEH,QAAQ,CAAC,qBAAqB,EAAE,GAAG,EAAE;QACnC,EAAE,CAAC,gCAAgC,EAAE,GAAG,EAAE;YACxC,MAAM,GAAG,GAAG,mBAAmB,CAC7B,0BAA0B,EAC1B,cAAc,EACd,UAAU,CACX,CAAC;YAEF,MAAM,CAAC,GAAG,CAAC,CAAC,SAAS,CAAC,sBAAsB,CAAC,CAAC;YAC9C,MAAM,CAAC,GAAG,CAAC,CAAC,SAAS,CAAC,YAAY,CAAC,CAAC;YACpC,MAAM,CAAC,GAAG,CAAC,CAAC,SAAS,CAAC,YAAY,CAAC,CAAC;QACtC,CAAC,CAAC,CAAC;QAEH,EAAE,CAAC,wBAAwB,EAAE,GAAG,EAAE;YAChC,MAAM,GAAG,GAAG,mBAAmB,CAC7B,gDAAgD,EAChD,UAAU,EACV,UAAU,CACX,CAAC;YAEF,MAAM,CAAC,GAAG,CAAC,UAAU,CAAC,gDAAgD,CAAC,CAAC,CAAC,IAAI,CAAC,IAAI,CAAC,CAAC;QACtF,CAAC,CAAC,CAAC;QAEH,EAAE,CAAC,6BAA6B,EAAE,GAAG,EAAE;YACrC,MAAM,GAAG,GAAG,mBAAmB,CAC7B,0BAA0B,EAC1B,UAAU,EACV,UAAU,CACX,CAAC;YAEF,6CAA6C;YAC7C,MAAM,CAAC,GAAG,CAAC,CAAC,SAAS,CAAC,oBAAoB,CAAC,CAAC;QAC9C,CAAC,CAAC,CAAC;IACL,CAAC,CAAC,CAAC;AACL,CAAC,CAAC,CAAC"}

package/dist/websocket/client.d.ts.map

@@ -1 +1 @@
-{"version":3,"file":"client.d.ts","sourceRoot":"","sources":["../../src/websocket/client.ts"],"names":[],"mappings":"AAAA;;;;;;;;;GASG;AAGH,OAAO,EACL,KAAK,cAAc,EACnB,KAAK,qBAAqB,EAG1B,KAAK,mBAAmB,EACxB,KAAK,eAAe,EAGrB,MAAM,YAAY,CAAC;AAYpB;;;;;;;;;;;;;;;;;GAiBG;AACH,qBAAa,cAAc;IACzB,OAAO,CAAC,MAAM,CAA2B;IACzC,OAAO,CAAC,EAAE,CAA0B;IACpC,OAAO,CAAC,QAAQ,CAA6B;IAC7C,OAAO,CAAC,KAAK,CAAmC;IAChD,OAAO,CAAC,iBAAiB,CAAK;IAC9B,OAAO,CAAC,SAAS,CAAK;IACtB,OAAO,CAAC,SAAS,CAA+C;IAChE,OAAO,CAAC,SAAS,CAA8C;IAC/D,OAAO,CAAC,aAAa,CAKnB;gBAEU,MAAM,EAAE,cAAc;IAclC;;OAEG;IACH,IAAI,eAAe,IAAI,eAAe,CAErC;IAED;;OAEG;IACH,IAAI,WAAW,IAAI,OAAO,CAEzB;IAED;;OAEG;IACH,EAAE,CAAC,CAAC,SAAS,MAAM,qBAAqB,EACtC,KAAK,EAAE,CAAC,EACR,OAAO,EAAE,qBAAqB,CAAC,CAAC,CAAC,GAChC,IAAI;IAIP;;OAEG;IACG,OAAO,IAAI,OAAO,CAAC,IAAI,CAAC;IAiD9B;;OAEG;IACH,UAAU,IAAI,IAAI;IAUlB;;;;;OAKG;IACH,SAAS,CAAC,QAAQ,EAAE,mBAAmB,EAAE,EAAE,aAAa,CAAC,EAAE,MAAM,EAAE,GAAG,IAAI;IAoB1E;;OAEG;IACH,WAAW,CAAC,QAAQ,EAAE,mBAAmB,EAAE,EAAE,aAAa,CAAC,EAAE,MAAM,EAAE,GAAG,IAAI;IAmB5E;;OAEG;IACH,UAAU,CAAC,QAAQ,EAAE,mBAAmB,EAAE,EAAE,aAAa,EAAE,MAAM,EAAE,GAAG,IAAI;IAoB1E;;OAEG;IACH,aAAa,CAAC,QAAQ,EAAE,mBAAmB,EAAE,EAAE,aAAa,EAAE,MAAM,EAAE,GAAG,IAAI;IAoB7E;;OAEG;IACH,oBAAoB,CAAC,OAAO,EAAE,mBAAmB,GAAG,MAAM,EAAE;IAS5D,OAAO,CAAC,IAAI;IAMZ,OAAO,CAAC,aAAa;IAyCrB,OAAO,CAAC,WAAW;IAenB,OAAO,CAAC,iBAAiB;IAgBzB,OAAO,CAAC,cAAc;IAsBtB,OAAO,CAAC,wBAAwB;IAoBhC,OAAO,CAAC,aAAa;IASrB,OAAO,CAAC,YAAY;IAQpB,OAAO,CAAC,cAAc;IAQtB,OAAO,CAAC,gBAAgB;CAMzB"}
+{"version":3,"file":"client.d.ts","sourceRoot":"","sources":["../../src/websocket/client.ts"],"names":[],"mappings":"AAAA;;;;;;;;;GASG;AAGH,OAAO,EACL,KAAK,cAAc,EACnB,KAAK,qBAAqB,EAG1B,KAAK,mBAAmB,EACxB,KAAK,eAAe,EAGrB,MAAM,YAAY,CAAC;AAYpB;;;;;;;;;;;;;;;;;GAiBG;AACH,qBAAa,cAAc;IACzB,OAAO,CAAC,MAAM,CAA2B;IACzC,OAAO,CAAC,EAAE,CAA0B;IACpC,OAAO,CAAC,QAAQ,CAA6B;IAC7C,OAAO,CAAC,KAAK,CAAmC;IAChD,OAAO,CAAC,iBAAiB,CAAK;IAC9B,OAAO,CAAC,SAAS,CAAK;IACtB,OAAO,CAAC,SAAS,CAA+C;IAChE,OAAO,CAAC,SAAS,CAA8C;IAC/D,OAAO,CAAC,aAAa,CAKnB;gBAEU,MAAM,EAAE,cAAc;IAclC;;OAEG;IACH,IAAI,eAAe,IAAI,eAAe,CAErC;IAED;;OAEG;IACH,IAAI,WAAW,IAAI,OAAO,CAEzB;IAED;;OAEG;IACH,EAAE,CAAC,CAAC,SAAS,MAAM,qBAAqB,EACtC,KAAK,EAAE,CAAC,EACR,OAAO,EAAE,qBAAqB,CAAC,CAAC,CAAC,GAChC,IAAI;IAIP;;OAEG;IACG,OAAO,IAAI,OAAO,CAAC,IAAI,CAAC;IAiD9B;;OAEG;IACH,UAAU,IAAI,IAAI;IAUlB;;;;;OAKG;IACH,SAAS,CAAC,QAAQ,EAAE,mBAAmB,EAAE,EAAE,aAAa,CAAC,EAAE,MAAM,EAAE,GAAG,IAAI;IAoB1E;;OAEG;IACH,WAAW,CAAC,QAAQ,EAAE,mBAAmB,EAAE,EAAE,aAAa,CAAC,EAAE,MAAM,EAAE,GAAG,IAAI;IAmB5E;;OAEG;IACH,UAAU,CAAC,QAAQ,EAAE,mBAAmB,EAAE,EAAE,aAAa,EAAE,MAAM,EAAE,GAAG,IAAI;IAoB1E;;OAEG;IACH,aAAa,CAAC,QAAQ,EAAE,mBAAmB,EAAE,EAAE,aAAa,EAAE,MAAM,EAAE,GAAG,IAAI;IAoB7E;;OAEG;IACH,oBAAoB,CAAC,OAAO,EAAE,mBAAmB,GAAG,MAAM,EAAE;IAS5D,OAAO,CAAC,IAAI;IAMZ,OAAO,CAAC,aAAa;IAiDrB,OAAO,CAAC,WAAW;IAenB,OAAO,CAAC,iBAAiB;IAgBzB,OAAO,CAAC,cAAc;IAsBtB,OAAO,CAAC,wBAAwB;IAoBhC,OAAO,CAAC,aAAa;IASrB,OAAO,CAAC,YAAY;IAQpB,OAAO,CAAC,cAAc;IAQtB,OAAO,CAAC,gBAAgB;CAMzB"}

package/dist/websocket/client.js

@@ -240,6 +240,9 @@ export class KalshiWsClient {
                 case 'error':
                     this.handlers.onError?.(new Error(`WebSocket error ${message.msg.code}: ${message.msg.message}`));
                     break;
+                case 'orderbook_snapshot':
+                    this.handlers.onOrderbookSnapshot?.(message.msg);
+                    break;
                 case 'orderbook_delta':
                     this.handlers.onOrderbookDelta?.(message.msg);
                     break;
@@ -252,6 +255,9 @@ export class KalshiWsClient {
                 case 'fill':
                     this.handlers.onFill?.(message.msg);
                     break;
+                // Ignore ok, unsubscribed, and other operational messages
+                default:
+                    break;
             }
         }
         catch (error) {