@reefclaw/connect 0.1.11 → 0.1.12

package/assets/plugin/wave9/usdm-evidence-provider.d.ts

@@ -1,42 +0,0 @@
-import type { OhlcvBar } from '../signals/types.js';
-export declare const FOUR_HOURS_MS: number;
-export declare const FUNDING_INTERVAL_MS: number;
-/** Binance has emitted historical funding timestamps three milliseconds after
- * the nominal settlement boundary. Accept only tightly bounded source jitter,
- * then canonicalize back to the exact research event identity. */
-export declare const FUNDING_TIME_TOLERANCE_MS = 10;
-export interface Wave9FundingSettlement {
-    time: Date;
-    rate: number;
-}
-export interface Wave9SymbolEvidence {
-    symbol: string;
-    venueSymbol: string;
-    dailyBars: OhlcvBar[];
-    fourHourBars: OhlcvBar[];
-    fundingSettlements: Wave9FundingSettlement[];
-}
-export interface Wave9EvidenceBatch {
-    venue: 'binance_usdm';
-    marketType: 'future';
-    eventTime: Date;
-    evidenceFromExclusive: Date;
-    symbols: Wave9SymbolEvidence[];
-}
-interface UsdmExchange {
-    id?: string;
-    options?: Record<string, unknown>;
-    fetchOHLCV(symbol: string, timeframe: string, since?: number, limit?: number): Promise<unknown[]>;
-    fetchFundingRateHistory(symbol: string, since?: number, limit?: number): Promise<unknown[]>;
-}
-export interface Wave9EvidenceProvider {
-    fetchAtomicBatch(eventTime: Date): Promise<Wave9EvidenceBatch>;
-}
-export declare class BinanceUsdmWave9EvidenceProvider implements Wave9EvidenceProvider {
-    private readonly exchange;
-    constructor(exchange: UsdmExchange);
-    fetchAtomicBatch(eventTime: Date): Promise<Wave9EvidenceBatch>;
-}
-/** Deliberately lazy: off mode imports this module but never loads/creates CCXT. */
-export declare function createWave9UsdmEvidenceProvider(): Wave9EvidenceProvider;
-export {};

package/assets/plugin/wave9/usdm-evidence-provider.js

@@ -1,133 +0,0 @@
-import { createRequire } from 'node:module';
-import { DAY_MS, WAVE9_CONTEXT_BARS, WAVE9_SYMBOL_PRIORITY, } from '../portfolio/wave9-policy.js';
-export const FOUR_HOURS_MS = 4 * 60 * 60 * 1_000;
-export const FUNDING_INTERVAL_MS = 8 * 60 * 60 * 1_000;
-/** Binance has emitted historical funding timestamps three milliseconds after
- * the nominal settlement boundary. Accept only tightly bounded source jitter,
- * then canonicalize back to the exact research event identity. */
-export const FUNDING_TIME_TOLERANCE_MS = 10;
-function venueSymbol(symbol) {
-    if (!symbol.endsWith('USDT'))
-        throw new Error(`unsupported Wave 9 symbol ${symbol}`);
-    return `${symbol.slice(0, -4)}/USDT:USDT`;
-}
-function ohlcvRows(rows, label) {
-    return rows.map((raw, index) => {
-        if (!Array.isArray(raw) || raw.length < 6) {
-            throw new Error(`${label} row ${index} is not a complete OHLCV tuple`);
-        }
-        const values = raw.slice(0, 6).map(Number);
-        if (!values.every(Number.isFinite)) {
-            throw new Error(`${label} row ${index} contains a non-finite value`);
-        }
-        const [time, open, high, low, close, volume] = values;
-        if (open <= 0 || high <= 0 || low <= 0 || close <= 0 || volume < 0) {
-            throw new Error(`${label} row ${index} has invalid market values`);
-        }
-        if (high < Math.max(open, close) || low > Math.min(open, close)) {
-            throw new Error(`${label} row ${index} has invalid OHLC geometry`);
-        }
-        return { time: new Date(time), open, high, low, close, volume };
-    });
-}
-function fundingRows(rows, label) {
-    return rows.map((raw, index) => {
-        const row = raw;
-        const info = row?.info;
-        const time = Number(row?.timestamp ?? info?.fundingTime);
-        const rate = Number(row?.fundingRate ?? info?.fundingRate);
-        if (!Number.isFinite(time) || !Number.isFinite(rate)) {
-            throw new Error(`${label} funding row ${index} is incomplete`);
-        }
-        return { time: new Date(time), rate };
-    });
-}
-function requireExactTimes(actual, expected, label) {
-    const times = actual.map((row) => row.time.getTime());
-    if (times.length !== expected.length || times.some((time, index) => time !== expected[index])) {
-        throw new Error(`${label} is partial or stale: expected [${expected.map((time) => new Date(time).toISOString()).join(', ')}], got [${times.map((time) => new Date(time).toISOString()).join(', ')}]`);
-    }
-}
-function canonicalizeFundingTimes(actual, expected, label) {
-    const times = actual.map((row) => row.time.getTime());
-    const mismatched = times.length !== expected.length
-        || times.some((time, index) => Math.abs(time - expected[index]) > FUNDING_TIME_TOLERANCE_MS);
-    if (mismatched) {
-        throw new Error(`${label} is partial or stale: expected [${expected.map((time) => new Date(time).toISOString()).join(', ')}] `
-            + `within ${FUNDING_TIME_TOLERANCE_MS}ms, got [${times.map((time) => new Date(time).toISOString()).join(', ')}]`);
-    }
-    return actual.map((row, index) => ({ ...row, time: new Date(expected[index]) }));
-}
-export class BinanceUsdmWave9EvidenceProvider {
-    exchange;
-    constructor(exchange) {
-        this.exchange = exchange;
-        if (exchange.id !== 'binanceusdm' || exchange.options?.defaultType !== 'future') {
-            throw new Error('Wave 9 evidence provider requires Binance USD-M futures (binanceusdm/defaultType=future)');
-        }
-    }
-    async fetchAtomicBatch(eventTime) {
-        const eventMs = eventTime.getTime();
-        if (!Number.isFinite(eventMs) || eventMs % DAY_MS !== 0) {
-            throw new Error('Wave 9 event must be a UTC daily boundary');
-        }
-        const fromMs = eventMs - DAY_MS;
-        const expectedDaily = Array.from({ length: WAVE9_CONTEXT_BARS }, (_, index) => eventMs - (WAVE9_CONTEXT_BARS - index) * DAY_MS);
-        const expected4h = Array.from({ length: 7 }, (_, index) => fromMs + index * FOUR_HOURS_MS);
-        const expectedFunding = [fromMs + FUNDING_INTERVAL_MS, fromMs + 2 * FUNDING_INTERVAL_MS, eventMs];
-        // Promise.all is only a transport optimization. No caller sees a batch
-        // unless every one of the eight frozen symbols validates in full.
-        const symbols = await Promise.all(WAVE9_SYMBOL_PRIORITY.map(async (symbol) => {
-            const ccxtSymbol = venueSymbol(symbol);
-            const [dailyRaw, fourHourRaw, fundingRaw] = await Promise.all([
-                this.exchange.fetchOHLCV(ccxtSymbol, '1d', eventMs - (WAVE9_CONTEXT_BARS + 2) * DAY_MS, WAVE9_CONTEXT_BARS + 2),
-                this.exchange.fetchOHLCV(ccxtSymbol, '4h', fromMs, 7),
-                this.exchange.fetchFundingRateHistory(ccxtSymbol, fromMs + 1, 16),
-            ]);
-            const dailyBars = ohlcvRows(dailyRaw, `${symbol} 1d`)
-                .filter((bar) => bar.time.getTime() + DAY_MS <= eventMs)
-                .slice(-WAVE9_CONTEXT_BARS);
-            const fourHourBars = ohlcvRows(fourHourRaw, `${symbol} 4h`)
-                .filter((bar) => bar.time.getTime() >= fromMs && bar.time.getTime() <= eventMs)
-                .sort((left, right) => left.time.getTime() - right.time.getTime());
-            const fundingRowsInWindow = fundingRows(fundingRaw, symbol)
-                .filter((row) => row.time.getTime() > fromMs
-                && row.time.getTime() <= eventMs + FUNDING_TIME_TOLERANCE_MS)
-                .sort((left, right) => left.time.getTime() - right.time.getTime());
-            requireExactTimes(dailyBars, expectedDaily, `${symbol} completed 1d evidence`);
-            requireExactTimes(fourHourBars, expected4h, `${symbol} 4h evidence`);
-            const fundingSettlements = canonicalizeFundingTimes(fundingRowsInWindow, expectedFunding, `${symbol} funding evidence`);
-            return {
-                symbol,
-                venueSymbol: ccxtSymbol,
-                dailyBars,
-                fourHourBars,
-                fundingSettlements,
-            };
-        }));
-        if (symbols.some((row, index) => row.symbol !== WAVE9_SYMBOL_PRIORITY[index])) {
-            throw new Error('Wave 9 evidence universe/order mismatch');
-        }
-        return {
-            venue: 'binance_usdm',
-            marketType: 'future',
-            eventTime: new Date(eventMs),
-            evidenceFromExclusive: new Date(fromMs),
-            symbols,
-        };
-    }
-}
-/** Deliberately lazy: off mode imports this module but never loads/creates CCXT. */
-export function createWave9UsdmEvidenceProvider() {
-    const require = createRequire(import.meta.url);
-    // eslint-disable-next-line @typescript-eslint/no-explicit-any
-    const ccxt = require('ccxt');
-    const BinanceUsdm = ccxt.binanceusdm ?? ccxt.default?.binanceusdm;
-    if (!BinanceUsdm)
-        throw new Error('CCXT binanceusdm class is unavailable');
-    const exchange = new BinanceUsdm({
-        enableRateLimit: true,
-        options: { defaultType: 'future' },
-    });
-    return new BinanceUsdmWave9EvidenceProvider(exchange);
-}