@reefclaw/connect 0.1.9 → 0.1.11

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

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

@@ -0,0 +1,133 @@
+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);
+}

package/assets/shared/portfolio/wave9-admission.d.ts

@@ -0,0 +1,67 @@
+import type { Direction } from '../signals/types.js';
+import { type Wave9StrategyName } from './wave9-policy.js';
+export interface Wave9AdmissionPolicy {
+    riskPct: number;
+    maxPositions: number;
+    maxOpenRiskPct: number;
+    maxGrossExposureMultiple: number;
+    maxPositionUsd: number;
+    feeBps: number;
+    slippageBps: number;
+    capEnforcement: 'admission_only_no_forced_deleveraging';
+    riskMeasure: 'fixed_initial_stop_risk_usd';
+}
+export declare const WAVE9_ADMISSION_POLICY: Readonly<Wave9AdmissionPolicy>;
+export interface Wave9AdmissionPosition {
+    candidateId: string;
+    symbol: string;
+    strategy: Wave9StrategyName;
+    direction: Direction;
+    entryPrice: number;
+    quantity: number;
+    markPrice: number;
+    initialStop: number;
+    dollarRiskUsd: number;
+    accruedFundingUsd: number;
+}
+export interface Wave9AdmissionState {
+    cashEquityUsd: number;
+    positions: Wave9AdmissionPosition[];
+}
+export interface Wave9AdmissionCandidate {
+    id: string;
+    eventTime: string;
+    symbol: string;
+    strategy: Wave9StrategyName;
+    direction: Direction;
+    referencePrice: number;
+    stopPrice: number;
+}
+export type Wave9AdmissionReason = 'accepted' | 'invalidGeometry' | 'symbolAlreadyOpen' | 'maxPositions' | 'maxGrossExposure' | 'maxOpenRisk' | 'invalidSizing';
+export interface Wave9AdmissionLedgerRow extends Wave9AdmissionPosition {
+    estimatedExitCostUsd: number;
+}
+export interface Wave9AdmissionDecision extends Wave9AdmissionCandidate {
+    accepted: boolean;
+    reason: Wave9AdmissionReason;
+    entryPrice?: number;
+    quantity?: number;
+    notionalUsd?: number;
+    riskUsd?: number;
+    projectedCashEquityUsd?: number;
+    projectedLiquidationEquityUsd?: number;
+    projectedGrossExposureUsd?: number;
+    projectedOpenRiskUsd?: number;
+    projectedOpenPositions?: number;
+    projectedPositionLedger?: Wave9AdmissionLedgerRow[];
+}
+export interface Wave9AdmissionBatchResult {
+    decisions: Wave9AdmissionDecision[];
+    state: Wave9AdmissionState;
+}
+/**
+ * Apply a same-event candidate batch in the exact frozen priority. The caller
+ * must release stops and completed-daily reversals before invoking this
+ * function, just as the chronological research engine does.
+ */
+export declare function applyWave9AdmissionBatch(inputState: Wave9AdmissionState, rawCandidates: readonly Wave9AdmissionCandidate[], policy?: Readonly<Wave9AdmissionPolicy>): Wave9AdmissionBatchResult;

package/assets/shared/portfolio/wave9-admission.js

@@ -0,0 +1,260 @@
+// Pure chronological Wave 9 admission policy. It mirrors the research
+// portfolio's configured-symbol-then-strategy order and liquidation-equity
+// cap arithmetic. Runtime safety gates are intentionally not folded into this
+// function; the shadow observer compares them separately and must never claim
+// behavioral parity when they disagree.
+import { WAVE9_LONG_STRATEGY, WAVE9_STRATEGY_PRIORITY, WAVE9_SYMBOL_PRIORITY, } from './wave9-policy.js';
+export const WAVE9_ADMISSION_POLICY = Object.freeze({
+    riskPct: 0.5,
+    maxPositions: 4,
+    maxOpenRiskPct: 2,
+    maxGrossExposureMultiple: 1.5,
+    maxPositionUsd: 10_000,
+    feeBps: 5,
+    slippageBps: 10,
+    capEnforcement: 'admission_only_no_forced_deleveraging',
+    riskMeasure: 'fixed_initial_stop_risk_usd',
+});
+function finitePositive(value) {
+    return Number.isFinite(value) && value > 0;
+}
+function nearlyEqual(left, right) {
+    return Math.abs(left - right) <= 1e-9 * Math.max(1, Math.abs(left), Math.abs(right));
+}
+function validatePolicy(policy) {
+    for (const [label, value] of Object.entries({
+        riskPct: policy.riskPct,
+        maxOpenRiskPct: policy.maxOpenRiskPct,
+        maxGrossExposureMultiple: policy.maxGrossExposureMultiple,
+        maxPositionUsd: policy.maxPositionUsd,
+    })) {
+        if (!finitePositive(value))
+            throw new Error(`${label} must be positive and finite`);
+    }
+    if (!Number.isInteger(policy.maxPositions) || policy.maxPositions <= 0) {
+        throw new Error('maxPositions must be a positive integer');
+    }
+    for (const [label, value] of Object.entries({
+        feeBps: policy.feeBps,
+        slippageBps: policy.slippageBps,
+    })) {
+        if (!Number.isFinite(value) || value < 0) {
+            throw new Error(`${label} must be finite and non-negative`);
+        }
+    }
+    if (policy.capEnforcement !== 'admission_only_no_forced_deleveraging'
+        || policy.riskMeasure !== 'fixed_initial_stop_risk_usd') {
+        throw new Error('unsupported Wave 9 admission policy semantics');
+    }
+}
+function rank(value, values, label) {
+    const result = values.indexOf(value);
+    if (result < 0)
+        throw new Error(`${label} is not in the frozen Wave 9 priority`);
+    return result;
+}
+function validateCandidateIdentity(id, eventTime, symbol, strategy, direction) {
+    const eventMs = Date.parse(eventTime);
+    if (!Number.isFinite(eventMs) || new Date(eventMs).toISOString() !== eventTime) {
+        throw new Error('candidate eventTime must be a canonical ISO timestamp');
+    }
+    const expectedId = `${eventTime}|${symbol}|${strategy}|${direction}`;
+    if (id !== expectedId) {
+        throw new Error(`candidate ID does not match its frozen identity: ${id}`);
+    }
+}
+function copyPosition(position) {
+    return { ...position };
+}
+function ledgerFor(positions, policy) {
+    const exitCostRate = (policy.feeBps + policy.slippageBps) / 10_000;
+    return positions.map((position) => ({
+        ...copyPosition(position),
+        estimatedExitCostUsd: position.markPrice * position.quantity * exitCostRate,
+    }));
+}
+function summarize(cashEquityUsd, ledger) {
+    let unrealized = 0;
+    let funding = 0;
+    let exitCosts = 0;
+    let gross = 0;
+    let risk = 0;
+    for (const row of ledger) {
+        unrealized += row.direction === 'LONG'
+            ? (row.markPrice - row.entryPrice) * row.quantity
+            : (row.entryPrice - row.markPrice) * row.quantity;
+        funding += row.accruedFundingUsd;
+        exitCosts += row.estimatedExitCostUsd;
+        gross += Math.abs(row.markPrice * row.quantity);
+        risk += row.dollarRiskUsd;
+    }
+    return { equity: cashEquityUsd + unrealized - funding - exitCosts, gross, risk };
+}
+/**
+ * Apply a same-event candidate batch in the exact frozen priority. The caller
+ * must release stops and completed-daily reversals before invoking this
+ * function, just as the chronological research engine does.
+ */
+export function applyWave9AdmissionBatch(inputState, rawCandidates, policy = WAVE9_ADMISSION_POLICY) {
+    validatePolicy(policy);
+    if (!Number.isFinite(inputState.cashEquityUsd)) {
+        throw new Error('cashEquityUsd must be finite');
+    }
+    const positions = inputState.positions.map(copyPosition);
+    const ids = new Set();
+    for (const position of positions) {
+        if (ids.has(position.candidateId))
+            throw new Error('open candidate IDs must be unique');
+        ids.add(position.candidateId);
+        rank(position.symbol, WAVE9_SYMBOL_PRIORITY, 'open-position symbol');
+        rank(position.strategy, WAVE9_STRATEGY_PRIORITY, 'open-position strategy');
+        const identity = position.candidateId.split('|');
+        if (identity.length !== 4) {
+            throw new Error(`open-position candidate ID is malformed: ${position.candidateId}`);
+        }
+        validateCandidateIdentity(position.candidateId, identity[0], position.symbol, position.strategy, position.direction);
+        if (!finitePositive(position.entryPrice)
+            || !finitePositive(position.quantity)
+            || !finitePositive(position.markPrice)
+            || !finitePositive(position.initialStop)
+            || !Number.isFinite(position.dollarRiskUsd)
+            || position.dollarRiskUsd < 0
+            || !Number.isFinite(position.accruedFundingUsd)) {
+            throw new Error(`invalid open position ${position.candidateId}`);
+        }
+        const expectedDirection = position.strategy === WAVE9_LONG_STRATEGY ? 'LONG' : 'SHORT';
+        const geometryValid = position.direction === expectedDirection
+            && (position.direction === 'LONG'
+                ? position.initialStop < position.entryPrice
+                : position.initialStop > position.entryPrice);
+        if (!geometryValid) {
+            throw new Error(`invalid open-position geometry ${position.candidateId}`);
+        }
+        const expectedRisk = Math.abs(position.entryPrice - position.initialStop)
+            * position.quantity;
+        if (!nearlyEqual(position.dollarRiskUsd, expectedRisk)) {
+            throw new Error(`open-position risk mismatch ${position.candidateId}`);
+        }
+    }
+    if (new Set(positions.map((position) => position.symbol)).size !== positions.length) {
+        throw new Error('Wave 9 allows at most one open position per symbol');
+    }
+    const candidates = rawCandidates.map((candidate) => ({ ...candidate }));
+    const candidateIds = new Set();
+    let batchEventTime;
+    for (const candidate of candidates) {
+        if (candidateIds.has(candidate.id))
+            throw new Error('candidate IDs must be unique');
+        candidateIds.add(candidate.id);
+        validateCandidateIdentity(candidate.id, candidate.eventTime, candidate.symbol, candidate.strategy, candidate.direction);
+        if (batchEventTime === undefined)
+            batchEventTime = candidate.eventTime;
+        if (candidate.eventTime !== batchEventTime) {
+            throw new Error('a Wave 9 admission batch must contain exactly one eventTime');
+        }
+        rank(candidate.symbol, WAVE9_SYMBOL_PRIORITY, 'candidate symbol');
+        rank(candidate.strategy, WAVE9_STRATEGY_PRIORITY, 'candidate strategy');
+    }
+    candidates.sort((left, right) => rank(left.symbol, WAVE9_SYMBOL_PRIORITY, 'candidate symbol')
+        - rank(right.symbol, WAVE9_SYMBOL_PRIORITY, 'candidate symbol')
+        || rank(left.strategy, WAVE9_STRATEGY_PRIORITY, 'candidate strategy')
+            - rank(right.strategy, WAVE9_STRATEGY_PRIORITY, 'candidate strategy')
+        || left.id.localeCompare(right.id));
+    let cashEquityUsd = inputState.cashEquityUsd;
+    const decisions = [];
+    const feeRate = policy.feeBps / 10_000;
+    const slippageRate = policy.slippageBps / 10_000;
+    for (const candidate of candidates) {
+        const decision = {
+            ...candidate,
+            accepted: false,
+            reason: 'invalidSizing',
+        };
+        const expectedDirection = candidate.strategy === WAVE9_LONG_STRATEGY ? 'LONG' : 'SHORT';
+        if (candidate.direction !== expectedDirection
+            || !finitePositive(candidate.referencePrice)
+            || !finitePositive(candidate.stopPrice)) {
+            decision.reason = 'invalidGeometry';
+            decisions.push(decision);
+            continue;
+        }
+        const entryPrice = candidate.direction === 'LONG'
+            ? candidate.referencePrice * (1 + slippageRate)
+            : candidate.referencePrice * (1 - slippageRate);
+        decision.entryPrice = entryPrice;
+        if ((candidate.direction === 'LONG' && candidate.stopPrice >= entryPrice)
+            || (candidate.direction === 'SHORT' && candidate.stopPrice <= entryPrice)) {
+            decision.reason = 'invalidGeometry';
+            decisions.push(decision);
+            continue;
+        }
+        if (positions.some((position) => position.symbol === candidate.symbol)) {
+            decision.reason = 'symbolAlreadyOpen';
+            decisions.push(decision);
+            continue;
+        }
+        if (positions.length >= policy.maxPositions) {
+            decision.reason = 'maxPositions';
+            decisions.push(decision);
+            continue;
+        }
+        const current = summarize(cashEquityUsd, ledgerFor(positions, policy));
+        const riskPerUnit = Math.abs(entryPrice - candidate.stopPrice);
+        const riskBudget = current.equity * policy.riskPct / 100;
+        const quantity = Math.min(riskBudget / riskPerUnit, policy.maxPositionUsd / entryPrice);
+        const notionalUsd = quantity * entryPrice;
+        const riskUsd = quantity * riskPerUnit;
+        Object.assign(decision, { quantity, notionalUsd, riskUsd });
+        if (!finitePositive(quantity) || current.equity <= 0) {
+            decision.reason = 'invalidSizing';
+            decisions.push(decision);
+            continue;
+        }
+        const position = {
+            candidateId: candidate.id,
+            symbol: candidate.symbol,
+            strategy: candidate.strategy,
+            direction: candidate.direction,
+            entryPrice,
+            quantity,
+            markPrice: candidate.referencePrice,
+            initialStop: candidate.stopPrice,
+            dollarRiskUsd: riskUsd,
+            accruedFundingUsd: 0,
+        };
+        const projectedPositions = [...positions, position];
+        const projectedCash = cashEquityUsd - notionalUsd * feeRate;
+        const projectedLedger = ledgerFor(projectedPositions, policy);
+        const projected = summarize(projectedCash, projectedLedger);
+        Object.assign(decision, {
+            projectedCashEquityUsd: projectedCash,
+            projectedLiquidationEquityUsd: projected.equity,
+            projectedGrossExposureUsd: projected.gross,
+            projectedOpenRiskUsd: projected.risk,
+            projectedOpenPositions: projectedPositions.length,
+            projectedPositionLedger: projectedLedger,
+        });
+        if (projected.equity <= 0) {
+            decision.reason = 'invalidSizing';
+        }
+        else if (projected.gross
+            > projected.equity * policy.maxGrossExposureMultiple + 1e-9) {
+            decision.reason = 'maxGrossExposure';
+        }
+        else if (projected.risk
+            > projected.equity * policy.maxOpenRiskPct / 100 + 1e-9) {
+            decision.reason = 'maxOpenRisk';
+        }
+        else {
+            decision.accepted = true;
+            decision.reason = 'accepted';
+            cashEquityUsd = projectedCash;
+            positions.push(position);
+        }
+        decisions.push(decision);
+    }
+    return {
+        decisions,
+        state: { cashEquityUsd, positions: positions.map(copyPosition) },
+    };
+}

package/assets/shared/portfolio/wave9-policy.d.ts

@@ -0,0 +1,36 @@
+import type { Direction, OhlcvBar } from '../signals/types.js';
+export declare const DAY_MS: number;
+export declare const WAVE9_LOOKBACK_DAYS = 28;
+export declare const WAVE9_ATR_PERIOD = 14;
+export declare const WAVE9_ATR_MULTIPLE = 3;
+export declare const WAVE9_CONTEXT_BARS = 250;
+export declare const WAVE9_LONG_STRATEGY = "tsmom_28d_long_flat_reversal_1d";
+export declare const WAVE9_SHORT_STRATEGY = "tsmom_28d_short_flat_reversal_1d";
+export type Wave9StrategyName = typeof WAVE9_LONG_STRATEGY | typeof WAVE9_SHORT_STRATEGY;
+export declare const WAVE9_SYMBOL_PRIORITY: readonly ["BTCUSDT", "ETHUSDT", "SOLUSDT", "BNBUSDT", "XRPUSDT", "DOGEUSDT", "ADAUSDT", "LINKUSDT"];
+export declare const WAVE9_STRATEGY_PRIORITY: readonly ["tsmom_28d_long_flat_reversal_1d", "tsmom_28d_short_flat_reversal_1d"];
+export interface Wave9EntrySignal {
+    strategy: Wave9StrategyName;
+    direction: Direction;
+    stopPrice: number;
+}
+export interface Wave9DailyDecision {
+    eventTime: string;
+    completedDailyOpen: string;
+    currentReturn: number;
+    previousReturn: number;
+    atr14: number;
+    referencePrice: number;
+    entries: Wave9EntrySignal[];
+    exitLong: boolean;
+    exitShort: boolean;
+    sourceBarCount: number;
+}
+/**
+ * Return the exact completed-daily context visible at a UTC daily boundary.
+ * The function is intentionally fail-closed: unordered, duplicated, gapped,
+ * non-UTC, or stale candles are rejected rather than silently repaired.
+ */
+export declare function completedDailyContext(rawBars: readonly OhlcvBar[], eventTime: Date): OhlcvBar[];
+/** Evaluate the exact Wave 9 entry-transition and signal-reversal semantics. */
+export declare function evaluateWave9Daily(rawBars: readonly OhlcvBar[], eventTime: Date): Wave9DailyDecision;