@reefclaw/connect 0.1.12 → 0.1.14

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

@@ -0,0 +1,345 @@
+// 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

@@ -0,0 +1,60 @@
+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

@@ -0,0 +1,3 @@
+// 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

@@ -0,0 +1,36 @@
+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

@@ -0,0 +1,151 @@
+// 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

@@ -0,0 +1,42 @@
+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

@@ -0,0 +1,20 @@
+// 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: '',
+    };
+}