@reefclaw/connect 0.1.11 → 0.1.12

package/assets/plugin/risk/pre-trade-check.js

@@ -1,345 +0,0 @@
-// Pre-trade risk gate — pure function.
-// Validates a proposed order against portfolio limits, drawdown zones, and volatility.
-// Lives in the plugin (synchronous access to simulator state).
-import { getCachedTradingParams } from '../trading-params-cache.js';
-// ---- Default pre-trade limits (now read from trading params cache) ----
-export function getDefaultPreTradeLimits() {
-    const tp = getCachedTradingParams();
-    return {
-        maxPositionSize: tp.maxPositionSize,
-        maxOpenPositions: tp.maxOpenPositions,
-        maxGrossExposure: tp.maxGrossExposure,
-        maxPerTradeLoss: tp.maxPerTradeLoss,
-    };
-}
-/** @deprecated Use getDefaultPreTradeLimits() for dynamic values */
-export const DEFAULT_PRE_TRADE_LIMITS = {
-    maxPositionSize: 10_000,
-    maxOpenPositions: 5,
-    maxGrossExposure: 1.5,
-    maxPerTradeLoss: 500,
-};
-// ---- Drawdown zone thresholds (now read from trading params cache) ----
-export function getDrawdownThresholds() {
-    const tp = getCachedTradingParams();
-    return {
-        YELLOW: tp.drawdownYellow,
-        ORANGE: tp.drawdownOrange,
-        RED: tp.drawdownRed,
-    };
-}
-export const DRAWDOWN_ZONE_THRESHOLDS = {
-    YELLOW: -0.01, // -1%
-    ORANGE: -0.02, // -2%
-    RED: -0.025, // -2.5%
-};
-// ---- Pure helpers ----
-/** Determine drawdown zone from drawdown ratio (e.g. -0.015 = -1.5%). */
-export function getDrawdownZone(drawdownRatio) {
-    const thresholds = getDrawdownThresholds();
-    if (drawdownRatio <= thresholds.RED)
-        return 'RED';
-    if (drawdownRatio <= thresholds.ORANGE)
-        return 'ORANGE';
-    if (drawdownRatio <= thresholds.YELLOW)
-        return 'YELLOW';
-    return 'GREEN';
-}
-/** Compute volatility factor from current ATR vs baseline. Clamped [0.5, 3.0]. */
-export function computeVolFactor(currentAtr, baselineAtr) {
-    if (baselineAtr <= 0 || currentAtr <= 0)
-        return 1.0;
-    return Math.max(0.5, Math.min(3.0, currentAtr / baselineAtr));
-}
-/** Adjust a limit value by volatility factor. Higher vol = tighter limit. */
-export function adjustLimitByVol(defaultLimit, volFactor) {
-    if (volFactor <= 1.0)
-        return defaultLimit;
-    return defaultLimit / volFactor;
-}
-/** Check if an order is closing an existing position (partial or full). */
-export function isClosingOrder(order, positions) {
-    const pos = positions.find(p => p.symbol === order.symbol);
-    if (!pos)
-        return false;
-    // Sell against a long = closing; buy against a short = closing
-    return (pos.side === 'long' && order.side === 'sell') ||
-        (pos.side === 'short' && order.side === 'buy');
-}
-// ---- Main pre-trade gate ----
-// ---- Equity-proportional floors (safety net for tiny accounts) ----
-// These are independent of the configurable trading params and exist so that
-// a $10,000 static `maxPositionSize` default can't allow a $289 account to
-// open an $8,000 position. They shrink the effective caps relative to current
-// equity; the tighter of (absolute limit, equity-proportional floor) wins.
-export const EQUITY_FLOOR = {
-    /** Max single-position notional as a fraction of equity.
-     *  Raised 0.25 → 0.40 on 2026-04-20 so small live accounts ($186) can fit
-     *  BTC's ~$75 min-lot. Still protects against all-in entries. Tracked for
-     *  promotion to operator-configurable trading param in the next session. */
-    MAX_POSITION_PCT: 0.40,
-    /** Max per-trade risk (expected loss) as a fraction of equity. */
-    MAX_PER_TRADE_LOSS_PCT: 0.02,
-    /** Presumed adverse move when an order has no explicit stopPrice. */
-    NO_STOP_ASSUMED_ADVERSE: 0.05,
-};
-export function preTradeRiskCheck(order, portfolio, limits = DEFAULT_PRE_TRADE_LIMITS, options = {}) {
-    const violations = [];
-    const volFactor = options.volFactor ?? 1.0;
-    // Caller-provided equity is authoritative; fall back to local compute for
-    // legacy test callers that don't supply it.
-    const currentEquity = portfolio.equity ?? computePortfolioEquity(portfolio);
-    // Drawdown anchor: prefer sessionStartNav, fall back to current equity.
-    const nav = portfolio.sessionStartNav > 0 ? portfolio.sessionStartNav : currentEquity;
-    const drawdownRatio = nav > 0 ? (currentEquity - nav) / nav : 0;
-    const zone = getDrawdownZone(drawdownRatio);
-    // Classify the order against any same-symbol position BEFORE the zone gates:
-    //   - pure reduce / full close  → "closing": exempt from entry gates (exits
-    //     must always work, even in RED/ORANGE).
-    //   - flip (over-close)         → closes the old leg AND opens a NEW opposite
-    //     leg; the NEW leg must clear every entry gate (drawdown zone, size,
-    //     gross, per-trade-loss, bracket requirement). Previously a flip took the
-    //     exit exemption and opened unchecked, possibly oversized, stop-less
-    //     exposure — even in the RED zone (M6).
-    //   - same-direction add (scale-in) / fresh entry → full entry checks (M5).
-    // Emergency flatten bypasses this function entirely (EmergencyControls → adapter.createOrder).
-    const closingPos = portfolio.positions.find(p => p.symbol === order.symbol &&
-        ((p.side === 'long' && order.side === 'sell') || (p.side === 'short' && order.side === 'buy')));
-    const flipAmount = closingPos ? order.amount - closingPos.quantity : 0;
-    const isFlip = closingPos != null && flipAmount > 1e-9 * Math.max(closingPos.quantity, 1);
-    const closing = closingPos != null && !isFlip; // reduce/close, opens no new exposure
-    // The leg that opens new exposure and must clear the entry gates. For a flip
-    // it's ONLY the excess beyond the closed position; otherwise the whole order.
-    // stopPrice/targetPrice carry over so the per-trade-loss and live
-    // bracket-requirement gates evaluate against the new leg's real stop.
-    const entryOrder = isFlip ? { ...order, amount: flipAmount } : order;
-    // Bracket requirement gates — only apply to entries (not closes) when the
-    // caller explicitly passes `bracketEnforcement`. Closes are exempt so
-    // operators can always exit, even if the entry broke the policy.
-    if (!closing && options.bracketEnforcement) {
-        const { requireStopLoss, requireTakeProfit } = options.bracketEnforcement;
-        if (requireStopLoss && (order.stopPrice === undefined || !(order.stopPrice > 0))) {
-            violations.push({
-                rule: 'requireStopLoss',
-                message: 'Live trades require a stopPrice. Disable requireStopLoss in Trading Parameters to override (not recommended).',
-                current: 0,
-                limit: 1,
-            });
-        }
-        if (requireTakeProfit && (order.targetPrice === undefined || !(order.targetPrice > 0))) {
-            violations.push({
-                rule: 'requireTakeProfit',
-                message: 'Live trades require a target_price. Disable requireTakeProfit in Trading Parameters to override.',
-                current: 0,
-                limit: 1,
-            });
-        }
-        if (violations.length > 0) {
-            return {
-                allowed: false,
-                violations,
-                drawdownZone: zone,
-                effectiveMaxPositionSize: 0,
-            };
-        }
-    }
-    // Exits are always allowed regardless of drawdown zone
-    if (closing) {
-        const effectiveMax = computeEffectivePositionSize(limits.maxPositionSize, volFactor, zone);
-        return {
-            allowed: true,
-            violations: [],
-            drawdownZone: zone,
-            effectiveMaxPositionSize: effectiveMax,
-        };
-    }
-    // RED zone: reject new entries (exits already handled above)
-    if (zone === 'RED') {
-        violations.push({
-            rule: 'drawdownZone',
-            message: `RED zone (${(drawdownRatio * 100).toFixed(2)}% drawdown) — new entries rejected`,
-            current: drawdownRatio,
-            limit: DRAWDOWN_ZONE_THRESHOLDS.RED,
-        });
-        return {
-            allowed: false,
-            violations,
-            drawdownZone: zone,
-            effectiveMaxPositionSize: 0,
-        };
-    }
-    // ORANGE zone: only exits allowed (already handled above)
-    if (zone === 'ORANGE') {
-        violations.push({
-            rule: 'drawdownZone',
-            message: `ORANGE zone (${(drawdownRatio * 100).toFixed(2)}% drawdown) — new entries blocked, exits only`,
-            current: drawdownRatio,
-            limit: DRAWDOWN_ZONE_THRESHOLDS.ORANGE,
-        });
-        return {
-            allowed: false,
-            violations,
-            drawdownZone: zone,
-            effectiveMaxPositionSize: 0,
-        };
-    }
-    // ---- Entry checks (GREEN/YELLOW) ----
-    const streak = options.consecutiveLosses ?? 0;
-    const tp = getCachedTradingParams();
-    // Equity-proportional floor — shrinks the static cap on small accounts.
-    // A $10k default `maxPositionSize` is useless on a $289 account; cap to
-    // `EQUITY_FLOOR.MAX_POSITION_PCT` of current equity. The tighter of the two wins.
-    const equityPositionCap = currentEquity > 0
-        ? currentEquity * EQUITY_FLOOR.MAX_POSITION_PCT
-        : limits.maxPositionSize;
-    const scaledMaxPositionSize = Math.min(limits.maxPositionSize, equityPositionCap);
-    let effectiveMaxPositionSize = computeEffectivePositionSize(scaledMaxPositionSize, volFactor, zone);
-    // Graduated size reduction on loss streaks (never a hard block — that creates deadlocks)
-    // Ensure correct ordering: the harsher reduction (0.25x) needs the higher threshold
-    const quarterThreshold = Math.max(tp.lossStreakQuarterSize, tp.lossStreakHalfSize);
-    const halfThreshold = Math.min(tp.lossStreakQuarterSize, tp.lossStreakHalfSize);
-    if (streak >= quarterThreshold) {
-        effectiveMaxPositionSize *= 0.25;
-    }
-    else if (streak >= halfThreshold) {
-        effectiveMaxPositionSize *= 0.5;
-    }
-    // 1. Position size check — against the RESULTING position notional, not just
-    //    this order's increment. A same-direction scale-in must include the
-    //    existing leg, or repeated small adds each pass individually yet build a
-    //    position far beyond the per-symbol cap (M5). A flip's resulting position
-    //    is only the new opposite leg (the old leg is closed), so the existing
-    //    notional is NOT added there.
-    const entryNotional = entryOrder.amount * order.price;
-    const sameSymbolPos = portfolio.positions.find(p => p.symbol === order.symbol);
-    const isScaleIn = sameSymbolPos != null &&
-        ((sameSymbolPos.side === 'long' && order.side === 'buy') ||
-            (sameSymbolPos.side === 'short' && order.side === 'sell'));
-    const existingNotional = isScaleIn && sameSymbolPos
-        ? sameSymbolPos.quantity * (sameSymbolPos.markPrice ?? sameSymbolPos.entryPrice)
-        : 0;
-    const resultingNotional = existingNotional + entryNotional;
-    if (resultingNotional > effectiveMaxPositionSize) {
-        violations.push({
-            rule: 'positionSize',
-            message: `Resulting position notional $${resultingNotional.toFixed(2)} (existing $${existingNotional.toFixed(2)} + order $${entryNotional.toFixed(2)}) exceeds effective max $${effectiveMaxPositionSize.toFixed(2)} (equity $${currentEquity.toFixed(2)}, cap ${(EQUITY_FLOOR.MAX_POSITION_PCT * 100).toFixed(0)}% of equity)`,
-            current: resultingNotional,
-            limit: effectiveMaxPositionSize,
-        });
-    }
-    // 2. Open positions count (would a new symbol exceed limit?)
-    const existingSymbols = new Set(portfolio.positions.map(p => p.symbol));
-    if (!existingSymbols.has(order.symbol)) {
-        const newCount = existingSymbols.size + 1;
-        if (newCount > limits.maxOpenPositions) {
-            violations.push({
-                rule: 'openPositions',
-                message: `New position would bring count to ${newCount}, max is ${limits.maxOpenPositions}`,
-                current: newCount,
-                limit: limits.maxOpenPositions,
-            });
-        }
-    }
-    // 3. Projected gross exposure. On a flip the closed leg leaves the book, so
-    //    net it out — otherwise the projection double-counts the position we close.
-    if (nav > 0) {
-        const currentGross = computeGrossExposure(portfolio);
-        const closedLegNotional = isFlip && closingPos
-            ? closingPos.quantity * (closingPos.markPrice ?? closingPos.entryPrice)
-            : 0;
-        const projectedGross = currentGross - closedLegNotional + entryNotional;
-        const projectedRatio = projectedGross / nav;
-        const effectiveMaxGross = adjustLimitByVol(limits.maxGrossExposure, volFactor);
-        if (projectedRatio > effectiveMaxGross) {
-            violations.push({
-                rule: 'grossExposure',
-                message: `Projected gross exposure ${projectedRatio.toFixed(2)}x exceeds limit ${effectiveMaxGross.toFixed(2)}x`,
-                current: projectedRatio,
-                limit: effectiveMaxGross,
-            });
-        }
-    }
-    // 4. Per-trade loss check — MANDATORY (was previously opt-in on stopPrice).
-    // Without a stop, we presume a 5% adverse move as the worst-case loss. This
-    // prevents the gate from waving through stopless entries on thin accounts.
-    if (!closing) {
-        // Use the opening leg's amount/notional (the flip's new leg, or the whole
-        // order for a fresh entry/scale-in) so the flip's new exposure is gated.
-        const expectedLoss = order.stopPrice != null
-            ? Math.abs(order.price - order.stopPrice) * entryOrder.amount
-            : entryNotional * EQUITY_FLOOR.NO_STOP_ASSUMED_ADVERSE;
-        const equityLossCap = currentEquity > 0
-            ? currentEquity * EQUITY_FLOOR.MAX_PER_TRADE_LOSS_PCT
-            : limits.maxPerTradeLoss;
-        const scaledPerTradeLoss = Math.min(limits.maxPerTradeLoss, equityLossCap);
-        if (expectedLoss > scaledPerTradeLoss) {
-            const stopNote = order.stopPrice != null
-                ? `stop @ ${order.stopPrice}`
-                : `no stop — assumed ${(EQUITY_FLOOR.NO_STOP_ASSUMED_ADVERSE * 100).toFixed(0)}% adverse move`;
-            violations.push({
-                rule: 'perTradeLoss',
-                message: `Expected loss $${expectedLoss.toFixed(2)} (${stopNote}) exceeds per-trade limit $${scaledPerTradeLoss.toFixed(2)} (${(EQUITY_FLOOR.MAX_PER_TRADE_LOSS_PCT * 100).toFixed(0)}% of equity $${currentEquity.toFixed(2)})`,
-                current: expectedLoss,
-                limit: scaledPerTradeLoss,
-            });
-        }
-    }
-    return {
-        allowed: violations.length === 0,
-        violations,
-        drawdownZone: zone,
-        effectiveMaxPositionSize,
-    };
-}
-// ---- Exported helpers ----
-/** Count consecutive losses from the end of a trade history array. */
-export function computeConsecutiveLosses(trades) {
-    let streak = 0;
-    for (let i = trades.length - 1; i >= 0; i--) {
-        if (trades[i].realizedPnl < 0) {
-            streak++;
-        }
-        else {
-            break;
-        }
-    }
-    return streak;
-}
-// ---- Internal helpers ----
-function computeEffectivePositionSize(baseMax, volFactor, zone) {
-    let effective = adjustLimitByVol(baseMax, volFactor);
-    if (zone === 'YELLOW') {
-        effective *= 0.5; // YELLOW halves position sizes
-    }
-    return effective;
-}
-function computePortfolioEquity(portfolio) {
-    let equity = portfolio.walletTotal;
-    for (const pos of portfolio.positions) {
-        const mark = pos.markPrice ?? pos.entryPrice;
-        const pnl = pos.side === 'long'
-            ? (mark - pos.entryPrice) * pos.quantity
-            : (pos.entryPrice - mark) * pos.quantity;
-        if (portfolio.isLive) {
-            // Live Binance: wallet already includes margin — add only unrealized P&L.
-            equity += pnl;
-        }
-        else {
-            // Paper simulator (SPOT-collateral model): the full entry notional was
-            // deducted from wallet at open and is released on close, so we must add
-            // it back here. Same formula for longs and shorts — the previous
-            // `-qty*mark` short branch was arithmetically wrong and underrepresented
-            // equity by 2*entry*qty whenever the account held a short.
-            equity += pos.entryPrice * pos.quantity + pnl;
-        }
-    }
-    return equity;
-}
-function computeGrossExposure(portfolio) {
-    let gross = 0;
-    for (const pos of portfolio.positions) {
-        const price = pos.markPrice ?? pos.entryPrice;
-        gross += Math.abs(pos.quantity * price);
-    }
-    return gross;
-}

package/assets/plugin/risk/pre-trade-types.d.ts

@@ -1,60 +0,0 @@
-export type DrawdownZone = 'GREEN' | 'YELLOW' | 'ORANGE' | 'RED';
-export interface PreTradeRiskLimits {
-    maxPositionSize: number;
-    maxOpenPositions: number;
-    maxGrossExposure: number;
-    maxPerTradeLoss: number;
-}
-export interface ProposedOrder {
-    symbol: string;
-    side: 'buy' | 'sell';
-    type: 'market' | 'limit';
-    amount: number;
-    price: number;
-    stopPrice?: number;
-    targetPrice?: number;
-}
-export interface PortfolioSnapshot {
-    positions: Array<{
-        symbol: string;
-        side: 'long' | 'short';
-        quantity: number;
-        entryPrice: number;
-        markPrice?: number;
-    }>;
-    walletTotal: number;
-    walletAvailable: number;
-    sessionStartNav: number;
-    /** Mark-to-market total account value. If provided, takes precedence over
-     *  the gate's own equity computation — the caller's value is authoritative
-     *  because it has access to the real simulator/exchange state. When absent
-     *  (legacy test callers), the gate falls back to an internal computation. */
-    equity?: number;
-    /** Paper simulator deducts notional from wallet at entry — equity = wallet + position value.
-     *  Live Binance wallet already includes margin — equity = wallet + unrealized PnL only. */
-    isLive?: boolean;
-}
-export interface PreTradeViolation {
-    rule: string;
-    message: string;
-    current: number;
-    limit: number;
-}
-export interface PreTradeResult {
-    allowed: boolean;
-    violations: PreTradeViolation[];
-    drawdownZone: DrawdownZone;
-    effectiveMaxPositionSize: number;
-}
-export interface PreTradeOptions {
-    volFactor?: number;
-    consecutiveLosses?: number;
-    /** When true, the gate rejects entries without a stopPrice and/or targetPrice
-     *  based on the flags below. Only meaningful in live mode with bracket orders
-     *  enabled — in paper/off mode the stop-watcher handles protection and these
-     *  flags don't apply (gate ignores them). */
-    bracketEnforcement?: {
-        requireStopLoss: boolean;
-        requireTakeProfit: boolean;
-    };
-}

package/assets/plugin/risk/pre-trade-types.js

@@ -1,3 +0,0 @@
-// Pre-trade risk gate types.
-// Used by preTradeRiskCheck() to validate orders before they reach the simulator.
-export {};

package/assets/plugin/shadow/shadow-tracker.d.ts

@@ -1,36 +0,0 @@
-import { EventEmitter } from 'node:events';
-import type { BinancePrivateApi } from '../ccxt/binance-private.js';
-import type { ExchangeSimulator } from '../simulator/exchange-simulator.js';
-import type { ShadowComparison, ShadowMetrics, ShadowConfig } from './types.js';
-/**
- * ShadowTracker hooks into the ExchangeSimulator to compute
- * shadow estimates for every paper fill.
- *
- * Events emitted:
- * - 'shadowComparison': ShadowComparison — after each fill comparison
- */
-export declare class ShadowTracker extends EventEmitter {
-    private privateApi;
-    private simulator;
-    private metrics;
-    private config;
-    private recentComparisons;
-    private active;
-    constructor(privateApi: BinancePrivateApi, simulator: ExchangeSimulator, config?: ShadowConfig, existingMetrics?: ShadowMetrics);
-    /** Start listening for simulator fill events. */
-    start(): void;
-    /** Stop listening. */
-    stop(): void;
-    /** Get current shadow metrics. */
-    getMetrics(): ShadowMetrics;
-    /** Get recent comparisons. */
-    getRecentComparisons(): ShadowComparison[];
-    /** Check if shadow mode criteria are met for mode upgrade. */
-    isReadyForUpgrade(): {
-        ready: boolean;
-        reasons: string[];
-    };
-    private onFill;
-    private computeShadowComparison;
-    private updateMetrics;
-}

package/assets/plugin/shadow/shadow-tracker.js

@@ -1,151 +0,0 @@
-// Shadow Tracker — compares paper fills against live exchange estimates.
-// Listens for fill events from the simulator, fetches real order book,
-// computes what the live fill would have been, logs the comparison.
-import { EventEmitter } from 'node:events';
-import { logger } from '../logger.js';
-import { priceToBps } from '../simulator/types.js';
-import { computeBookAwareFillPrice } from '../simulator/realistic-fills.js';
-import { createEmptyShadowMetrics, DEFAULT_SHADOW_CONFIG } from './types.js';
-const TAG = 'shadow-tracker';
-/** Maximum recent comparisons to keep in memory. */
-const MAX_RECENT_COMPARISONS = 100;
-/**
- * ShadowTracker hooks into the ExchangeSimulator to compute
- * shadow estimates for every paper fill.
- *
- * Events emitted:
- * - 'shadowComparison': ShadowComparison — after each fill comparison
- */
-export class ShadowTracker extends EventEmitter {
-    privateApi;
-    simulator;
-    metrics;
-    config;
-    recentComparisons = [];
-    active = false;
-    constructor(privateApi, simulator, config, existingMetrics) {
-        super();
-        this.privateApi = privateApi;
-        this.simulator = simulator;
-        this.config = config ?? DEFAULT_SHADOW_CONFIG;
-        this.metrics = existingMetrics ?? createEmptyShadowMetrics();
-    }
-    /** Start listening for simulator fill events. */
-    start() {
-        if (this.active)
-            return;
-        this.active = true;
-        this.simulator.on('fill', this.onFill);
-        logger.info(TAG, `Shadow tracker started (${this.metrics.totalShadowTrades} prior comparisons)`);
-    }
-    /** Stop listening. */
-    stop() {
-        if (!this.active)
-            return;
-        this.active = false;
-        this.simulator.off('fill', this.onFill);
-        logger.info(TAG, 'Shadow tracker stopped');
-    }
-    /** Get current shadow metrics. */
-    getMetrics() {
-        return { ...this.metrics };
-    }
-    /** Get recent comparisons. */
-    getRecentComparisons() {
-        return [...this.recentComparisons];
-    }
-    /** Check if shadow mode criteria are met for mode upgrade. */
-    isReadyForUpgrade() {
-        const reasons = [];
-        if (this.metrics.totalShadowTrades < this.config.minTrades) {
-            reasons.push(`Need ${this.config.minTrades} shadow trades, have ${this.metrics.totalShadowTrades}`);
-        }
-        if (this.metrics.tradingDays < this.config.minDays) {
-            reasons.push(`Need ${this.config.minDays} trading days, have ${this.metrics.tradingDays}`);
-        }
-        if (this.metrics.avgDeltaBps > this.config.maxAvgDeltaBps) {
-            reasons.push(`Avg delta ${this.metrics.avgDeltaBps.toFixed(2)}bps exceeds max ${this.config.maxAvgDeltaBps}bps`);
-        }
-        return { ready: reasons.length === 0, reasons };
-    }
-    // Arrow function to preserve `this` binding when used as event listener
-    onFill = (fillData) => {
-        // Only compare market order fills (limit orders fill at limit price, no comparison needed)
-        if (fillData.type !== 'market')
-            return;
-        // Fire and forget — shadow comparison is async but doesn't block the fill
-        this.computeShadowComparison(fillData).catch(err => {
-            logger.warn(TAG, `Shadow comparison failed: ${err instanceof Error ? err.message : String(err)}`);
-        });
-    };
-    async computeShadowComparison(fillData) {
-        // Fetch fresh order book from the exchange (authenticated path)
-        const liveBook = await this.privateApi.fetchOrderBook(fillData.symbol, 20);
-        let shadowPrice;
-        let bookDepthUsed = 0;
-        let bookDepthAvailable = false;
-        if (liveBook && liveBook.asks.length > 0 && liveBook.bids.length > 0) {
-            // Walk the live book to compute shadow VWAP
-            const { vwap, levelsConsumed } = computeBookAwareFillPrice(fillData.side, fillData.amount, liveBook);
-            shadowPrice = vwap;
-            bookDepthUsed = levelsConsumed;
-            bookDepthAvailable = true;
-        }
-        else {
-            // No live book available — use paper fill as shadow estimate
-            shadowPrice = fillData.fillPrice;
-            logger.warn(TAG, `No live order book for ${fillData.symbol} — shadow estimate equals paper`);
-        }
-        // Compute shadow fee (same taker rate as paper for fair comparison)
-        const simConfig = this.simulator.getSimulationConfig();
-        const shadowFee = fillData.amount * shadowPrice * simConfig.fees.takerRate;
-        // Delta: positive = live would be worse (pay more for buy, receive less for sell)
-        const deltaBps = priceToBps(shadowPrice, fillData.fillPrice);
-        const comparison = {
-            orderId: fillData.orderId,
-            symbol: fillData.symbol,
-            side: fillData.side,
-            type: fillData.type,
-            amount: fillData.amount,
-            paperFillPrice: fillData.fillPrice,
-            shadowEstimatePrice: shadowPrice,
-            deltaBps,
-            paperFee: fillData.fee,
-            shadowEstimateFee: shadowFee,
-            bookDepthUsed,
-            bookDepthAvailable,
-            timestamp: new Date().toISOString(),
-        };
-        // Update metrics
-        this.updateMetrics(comparison);
-        // Store recent comparison (match webapp slice pattern — slice instead of shift)
-        this.recentComparisons = [
-            ...this.recentComparisons.slice(-(MAX_RECENT_COMPARISONS - 1)),
-            comparison,
-        ];
-        // Emit event for skill/bridge pipeline
-        this.emit('shadowComparison', comparison);
-        logger.info(TAG, `Shadow comparison: ${fillData.side} ${fillData.amount} ${fillData.symbol}` +
-            ` | Paper: ${fillData.fillPrice.toFixed(2)} | Shadow: ${shadowPrice.toFixed(2)}` +
-            ` | Delta: ${deltaBps.toFixed(2)}bps` +
-            ` | Book: ${bookDepthAvailable ? `${bookDepthUsed} levels` : 'unavailable'}`);
-    }
-    updateMetrics(comparison) {
-        const m = this.metrics;
-        m.totalShadowTrades++;
-        const absDelta = Math.abs(comparison.deltaBps);
-        m.totalDeltaBpsSum += absDelta;
-        m.avgDeltaBps = m.totalDeltaBpsSum / m.totalShadowTrades;
-        if (absDelta > m.worstDeltaBps) {
-            m.worstDeltaBps = absDelta;
-        }
-        m.paperTotalFees += comparison.paperFee;
-        m.shadowTotalFees += comparison.shadowEstimateFee;
-        // Track trading days
-        const today = comparison.timestamp.slice(0, 10);
-        if (today !== m.lastTradeDate) {
-            m.tradingDays++;
-            m.lastTradeDate = today;
-        }
-    }
-}

package/assets/plugin/shadow/types.d.ts

@@ -1,42 +0,0 @@
-import type { TradingMode } from '../types.js';
-export type { TradingMode };
-/** A single shadow comparison record: paper fill vs live estimate. */
-export interface ShadowComparison {
-    orderId: string;
-    symbol: string;
-    side: 'buy' | 'sell';
-    type: 'market' | 'limit';
-    amount: number;
-    paperFillPrice: number;
-    shadowEstimatePrice: number;
-    deltaBps: number;
-    paperFee: number;
-    shadowEstimateFee: number;
-    bookDepthUsed: number;
-    bookDepthAvailable: boolean;
-    timestamp: string;
-}
-/** Aggregate shadow metrics across all shadow comparisons. */
-export interface ShadowMetrics {
-    totalShadowTrades: number;
-    avgDeltaBps: number;
-    worstDeltaBps: number;
-    totalDeltaBpsSum: number;
-    paperTotalFees: number;
-    shadowTotalFees: number;
-    startedAt: string;
-    tradingDays: number;
-    lastTradeDate: string;
-}
-/** Shadow mode configuration thresholds. */
-export interface ShadowConfig {
-    /** Minimum shadow trades before allowing mode upgrade (default: 50) */
-    minTrades: number;
-    /** Minimum days in shadow mode (default: 7) */
-    minDays: number;
-    /** Max acceptable average delta in bps (default: 5) */
-    maxAvgDeltaBps: number;
-}
-export declare const DEFAULT_SHADOW_CONFIG: ShadowConfig;
-/** Create empty shadow metrics. */
-export declare function createEmptyShadowMetrics(): ShadowMetrics;

package/assets/plugin/shadow/types.js

@@ -1,20 +0,0 @@
-// Shadow mode types — tracking paper vs live fill comparison.
-export const DEFAULT_SHADOW_CONFIG = {
-    minTrades: 50,
-    minDays: 7,
-    maxAvgDeltaBps: 5,
-};
-/** Create empty shadow metrics. */
-export function createEmptyShadowMetrics() {
-    return {
-        totalShadowTrades: 0,
-        avgDeltaBps: 0,
-        worstDeltaBps: 0,
-        totalDeltaBpsSum: 0,
-        paperTotalFees: 0,
-        shadowTotalFees: 0,
-        startedAt: new Date().toISOString(),
-        tradingDays: 0,
-        lastTradeDate: '',
-    };
-}