@senpi/trading-runtime 1.0.0

package/dist/scanners/implementations/momentum.js

@@ -0,0 +1,128 @@
+import { Type } from "@sinclair/typebox";
+import { consumeSharedArtifact, prescreenedArtifact, } from "../artifacts.js";
+import { createScanner } from "../create-scanner.js";
+import { providerInput } from "../input-descriptors.js";
+import { clamp01 } from "../score-utils.js";
+import { PersistencePolicy, RetentionPolicy } from "../scanner-definition.js";
+const momentumConfigSchema = Type.Object({
+    timeframe: Type.String({ default: "1h" }),
+    minMovePct: Type.Number({ minimum: 0, default: 1.5 }),
+    maxCandidates: Type.Number({ minimum: 1, default: 20 }),
+    minDayVolume: Type.Number({ minimum: 0, default: 1_000_000 }),
+    minSignalScore: Type.Number({ minimum: 0, maximum: 1, default: 0.2 }),
+    requirePrescreened: Type.Boolean({ default: true }),
+});
+const defaultConfig = {
+    timeframe: "1h",
+    minMovePct: 1.5,
+    maxCandidates: 20,
+    minDayVolume: 1_000_000,
+    minSignalScore: 0.2,
+    requirePrescreened: true,
+};
+/** Signal scanner that emits momentum breakout signals from candle price delta. */
+export function momentumScanner() {
+    return createScanner({
+        id: "momentum",
+        signalType: "MOMENTUM_BREAKOUT",
+        description: "Emits directional momentum signals using latest candle move.",
+        intervalSeconds: 60,
+        retention: RetentionPolicy.ROLLING_WINDOW,
+        retentionMaxRuns: 200,
+        persistence: PersistencePolicy.ACTIONABLE_ONLY,
+        inputs: [
+            providerInput.instruments(),
+            providerInput.candles({ preferredAssetsFrom: prescreenedArtifact }),
+            consumeSharedArtifact(prescreenedArtifact),
+        ],
+        configSchema: momentumConfigSchema,
+        defaultConfig,
+        scan: async (ctx) => {
+            const now = ctx.now();
+            const instruments = ctx.inputs.instruments ?? [];
+            const candles = ctx.inputs.candles ?? {};
+            const prescreenedAssets = readPrescreenedAssetSet(ctx.inputs.artifacts.prescreened);
+            const candidates = resolveCandidateAssets(prescreenedAssets, instruments, ctx.config);
+            const signals = [];
+            for (const asset of candidates) {
+                const candleSeries = readSeries(candles, asset, ctx.config.timeframe);
+                if (!candleSeries) {
+                    continue;
+                }
+                const prev = candleSeries[candleSeries.length - 2]?.close ?? 0;
+                const last = candleSeries[candleSeries.length - 1]?.close ?? 0;
+                if (prev <= 0 || !Number.isFinite(prev) || !Number.isFinite(last)) {
+                    continue;
+                }
+                const changePct = ((last - prev) / prev) * 100;
+                if (Math.abs(changePct) < ctx.config.minMovePct) {
+                    continue;
+                }
+                const score = clamp01(Math.abs(changePct) / (ctx.config.minMovePct * 2));
+                if (score < ctx.config.minSignalScore) {
+                    continue;
+                }
+                signals.push({
+                    address: ctx.address,
+                    scannerId: ctx.scannerId,
+                    signalType: ctx.definition.signalType,
+                    asset,
+                    direction: changePct > 0 ? "LONG" : "SHORT",
+                    score,
+                    timestamp: now,
+                    factors: {
+                        move_threshold: true,
+                        prescreened: prescreenedAssets.has(asset),
+                    },
+                    meta: {
+                        timeframe: ctx.config.timeframe,
+                        changePct,
+                        lastClose: last,
+                        prevClose: prev,
+                    },
+                });
+            }
+            return {
+                timestamp: now,
+                scannedCount: candidates.length,
+                signals,
+                summary: {
+                    candidates: candidates.length,
+                    signals: signals.length,
+                },
+            };
+        },
+    });
+}
+function resolveCandidateAssets(prescreenedAssets, instruments, config) {
+    const fromPrescreener = [...prescreenedAssets].slice(0, config.maxCandidates);
+    if (fromPrescreener.length > 0) {
+        return fromPrescreener;
+    }
+    if (config.requirePrescreened) {
+        return [];
+    }
+    return instruments
+        .filter((instrument) => instrument.context.dayNtlVlm >= config.minDayVolume)
+        .sort((a, b) => b.context.dayNtlVlm - a.context.dayNtlVlm)
+        .slice(0, config.maxCandidates)
+        .map((instrument) => instrument.name);
+}
+function readPrescreenedAssetSet(artifact) {
+    if (!artifact) {
+        return new Set();
+    }
+    const assets = artifact.candidates
+        .map((candidate) => candidate.name)
+        .filter((asset) => asset !== null);
+    return new Set(assets);
+}
+function readSeries(candles, asset, timeframe) {
+    const perAsset = candles[asset];
+    const series = perAsset?.candles?.[timeframe];
+    if (!Array.isArray(series) || series.length < 2) {
+        return null;
+    }
+    return series;
+}
+//# sourceMappingURL=momentum.js.map

package/dist/scanners/implementations/momentum.js.map

@@ -0,0 +1 @@
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package/dist/scanners/implementations/oi-tracker.d.ts

@@ -0,0 +1,13 @@
+import { type Static } from "@sinclair/typebox";
+declare const oiTrackerConfigSchema: import("@sinclair/typebox").TObject<{
+    minDayVolume: import("@sinclair/typebox").TNumber;
+    maxHistory: import("@sinclair/typebox").TNumber;
+}>;
+export type OiTrackerConfig = Static<typeof oiTrackerConfigSchema>;
+export type { OiHistoryArtifact } from "../artifacts.js";
+/** Infrastructure scanner that samples open-interest and writes the `oi-history` artifact. */
+export declare function oiTrackerScanner(): import("../index.js").Scanner<{
+    minDayVolume: number;
+    maxHistory: number;
+}, Record<string, never>>;
+//# sourceMappingURL=oi-tracker.d.ts.map

package/dist/scanners/implementations/oi-tracker.d.ts.map

@@ -0,0 +1 @@
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package/dist/scanners/implementations/oi-tracker.js

@@ -0,0 +1,67 @@
+import { Type } from "@sinclair/typebox";
+import { createScanner } from "../create-scanner.js";
+import { consumeSharedArtifact, oiHistoryArtifact, } from "../artifacts.js";
+import { PersistencePolicy, RetentionPolicy } from "../scanner-definition.js";
+import { providerInput } from "../input-descriptors.js";
+const oiTrackerConfigSchema = Type.Object({
+    minDayVolume: Type.Number({ minimum: 0, default: 1_000_000 }),
+    maxHistory: Type.Number({ minimum: 1, default: 60 }),
+});
+const defaultConfig = {
+    minDayVolume: 1_000_000,
+    maxHistory: 60,
+};
+/** Infrastructure scanner that samples open-interest and writes the `oi-history` artifact. */
+export function oiTrackerScanner() {
+    return createScanner({
+        id: "oi-tracker",
+        signalType: "OI_TRACKER",
+        description: "Collects OI snapshots for liquid instruments.",
+        intervalSeconds: 60,
+        retention: RetentionPolicy.LAST_ONLY,
+        persistence: PersistencePolicy.ALWAYS,
+        inputs: [
+            providerInput.instruments(),
+            consumeSharedArtifact(oiHistoryArtifact),
+        ],
+        artifacts: {
+            produces: [oiHistoryArtifact],
+        },
+        configSchema: oiTrackerConfigSchema,
+        defaultConfig,
+        scan: async (ctx) => {
+            const now = ctx.now();
+            const instruments = ctx.inputs.instruments ?? [];
+            const current = ctx.inputs.artifacts["oi-history"] ?? {};
+            const nextHistory = Object.fromEntries(Object.entries(current).map(([asset, history]) => [asset, [...history]]));
+            let tracked = 0;
+            for (const instrument of instruments) {
+                if (instrument.isDelisted) {
+                    continue;
+                }
+                if (instrument.context.dayNtlVlm < ctx.config.minDayVolume) {
+                    continue;
+                }
+                const snapshot = {
+                    oi: instrument.context.openInterest,
+                    price: instrument.context.markPx,
+                    timestamp: now,
+                };
+                const history = [...(nextHistory[instrument.name] ?? []), snapshot];
+                nextHistory[instrument.name] = history.slice(-ctx.config.maxHistory);
+                tracked += 1;
+            }
+            await ctx.saveSharedArtifact(oiHistoryArtifact, nextHistory);
+            return {
+                timestamp: now,
+                scannedCount: tracked,
+                signals: [],
+                summary: {
+                    instrumentCount: instruments.length,
+                    trackedCount: tracked,
+                },
+            };
+        },
+    });
+}
+//# sourceMappingURL=oi-tracker.js.map

package/dist/scanners/implementations/oi-tracker.js.map

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package/dist/scanners/implementations/opportunity.d.ts

@@ -0,0 +1,104 @@
+import { type Static } from "@sinclair/typebox";
+import { type MarketRegimeArtifact } from "../artifacts.js";
+import type { Candle, SmMarket } from "../types.js";
+declare const opportunityConfigSchema: import("@sinclair/typebox").TObject<{
+    minCompositeScore: import("@sinclair/typebox").TOptional<import("@sinclair/typebox").TNumber>;
+    pillarWeights: import("@sinclair/typebox").TOptional<import("@sinclair/typebox").TObject<{
+        smartMoney: import("@sinclair/typebox").TOptional<import("@sinclair/typebox").TNumber>;
+        marketStructure: import("@sinclair/typebox").TOptional<import("@sinclair/typebox").TNumber>;
+        technicals: import("@sinclair/typebox").TOptional<import("@sinclair/typebox").TNumber>;
+        funding: import("@sinclair/typebox").TOptional<import("@sinclair/typebox").TNumber>;
+    }>>;
+    rsiPeriod: import("@sinclair/typebox").TOptional<import("@sinclair/typebox").TNumber>;
+    emaFast: import("@sinclair/typebox").TOptional<import("@sinclair/typebox").TNumber>;
+    emaSlow: import("@sinclair/typebox").TOptional<import("@sinclair/typebox").TNumber>;
+    maxCandidates: import("@sinclair/typebox").TOptional<import("@sinclair/typebox").TNumber>;
+    minDayVolume: import("@sinclair/typebox").TOptional<import("@sinclair/typebox").TNumber>;
+    hardDisqualifiers: import("@sinclair/typebox").TOptional<import("@sinclair/typebox").TObject<{
+        counterTrendStrengthThreshold: import("@sinclair/typebox").TOptional<import("@sinclair/typebox").TNumber>;
+        extremeRsiBounds: import("@sinclair/typebox").TOptional<import("@sinclair/typebox").TTuple<[import("@sinclair/typebox").TNumber, import("@sinclair/typebox").TNumber]>>;
+        volumeDyingMultiplier: import("@sinclair/typebox").TOptional<import("@sinclair/typebox").TNumber>;
+        heavyFundingAnnualizedPct: import("@sinclair/typebox").TOptional<import("@sinclair/typebox").TNumber>;
+        btcHeadwindThreshold: import("@sinclair/typebox").TOptional<import("@sinclair/typebox").TNumber>;
+    }>>;
+}>;
+export type OpportunityConfig = Static<typeof opportunityConfigSchema>;
+interface ResolvedHardDisqualifiers {
+    counterTrendStrengthThreshold: number;
+    extremeRsiBounds: [number, number];
+    volumeDyingMultiplier: number;
+    heavyFundingAnnualizedPct: number;
+    btcHeadwindThreshold: number;
+}
+export interface OpportunityState {
+    previousScores: Record<string, number>;
+    scanCount: number;
+}
+/** Annualizes a Hyperliquid hourly funding rate to a percentage. */
+export declare function annualizeFunding(rate: number): number;
+/** Determines if funding direction is favorable for the given position side. */
+export declare function isFundingFavorable(direction: "LONG" | "SHORT", fundingRate: number): boolean;
+/**
+ * Scores the funding pillar (0-100).
+ * Ported from Fox's opportunity-scan-v6.py `score_funding()`.
+ */
+export declare function scoreFunding(fundingRate: number, direction: "LONG" | "SHORT"): number;
+/**
+ * Scores the smart-money pillar (0-100).
+ *
+ * Factors: trader count concentration + contribution conviction.
+ */
+export declare function scoreSmartMoney(sm: SmMarket | undefined): number;
+/**
+ * Scores the market structure pillar (0-100).
+ *
+ * Uses swing pattern detection on highs/lows for the given direction.
+ */
+export declare function scoreMarketStructure(candles: Candle[], direction: "LONG" | "SHORT"): number;
+/**
+ * Scores the technicals pillar (0-100).
+ *
+ * Uses RSI + EMA crossover for trend alignment with direction.
+ */
+export declare function scoreTechnicals(candles: Candle[], direction: "LONG" | "SHORT", rsiPeriod: number, emaFast: number, emaSlow: number): number;
+export interface DisqualifyResult {
+    disqualified: boolean;
+    reason?: string;
+}
+/**
+ * Checks hard disqualifiers. Returns the first matching reason or null.
+ */
+export declare function checkDisqualifiers(candles: Candle[], direction: "LONG" | "SHORT", fundingRate: number, regimeArtifact: MarketRegimeArtifact | undefined, cfg: ResolvedHardDisqualifiers, emaFast: number, emaSlow: number, rsiPeriod: number): DisqualifyResult;
+/**
+ * Creates the opportunity scanner.
+ *
+ * Deep technical scan across prescreened candidates with 4-pillar scoring:
+ * Smart Money (25%), Market Structure (25%), Technicals (25%), Funding (25%).
+ *
+ * Hard disqualifiers are applied before pillar scoring to eliminate noise.
+ * Depends on the prescreener artifact (required) and market-regime artifact
+ * (optional) for macro context.
+ */
+export declare function opportunityScanner(): import("../index.js").Scanner<{
+    maxCandidates?: number | undefined;
+    minDayVolume?: number | undefined;
+    emaFast?: number | undefined;
+    emaSlow?: number | undefined;
+    minCompositeScore?: number | undefined;
+    pillarWeights?: {
+        funding?: number | undefined;
+        smartMoney?: number | undefined;
+        marketStructure?: number | undefined;
+        technicals?: number | undefined;
+    } | undefined;
+    rsiPeriod?: number | undefined;
+    hardDisqualifiers?: {
+        counterTrendStrengthThreshold?: number | undefined;
+        extremeRsiBounds?: [number, number] | undefined;
+        volumeDyingMultiplier?: number | undefined;
+        heavyFundingAnnualizedPct?: number | undefined;
+        btcHeadwindThreshold?: number | undefined;
+    } | undefined;
+}, OpportunityState>;
+export {};
+//# sourceMappingURL=opportunity.d.ts.map

package/dist/scanners/implementations/opportunity.d.ts.map

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