@senpi/trading-runtime 1.0.0

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Files changed (535) hide show
  1. package/README.md +117 -0
  2. package/dist/actions/decision-engine.d.ts +28 -0
  3. package/dist/actions/decision-engine.d.ts.map +1 -0
  4. package/dist/actions/decision-engine.js +65 -0
  5. package/dist/actions/decision-engine.js.map +1 -0
  6. package/dist/actions/llm-decision/anthropic-llm-decision.d.ts +12 -0
  7. package/dist/actions/llm-decision/anthropic-llm-decision.d.ts.map +1 -0
  8. package/dist/actions/llm-decision/anthropic-llm-decision.js +74 -0
  9. package/dist/actions/llm-decision/anthropic-llm-decision.js.map +1 -0
  10. package/dist/actions/llm-decision/factory.d.ts +17 -0
  11. package/dist/actions/llm-decision/factory.d.ts.map +1 -0
  12. package/dist/actions/llm-decision/factory.js +29 -0
  13. package/dist/actions/llm-decision/factory.js.map +1 -0
  14. package/dist/actions/llm-decision/index.d.ts +8 -0
  15. package/dist/actions/llm-decision/index.d.ts.map +1 -0
  16. package/dist/actions/llm-decision/index.js +5 -0
  17. package/dist/actions/llm-decision/index.js.map +1 -0
  18. package/dist/actions/llm-decision/openclaw-llm-decision.d.ts +14 -0
  19. package/dist/actions/llm-decision/openclaw-llm-decision.d.ts.map +1 -0
  20. package/dist/actions/llm-decision/openclaw-llm-decision.js +58 -0
  21. package/dist/actions/llm-decision/openclaw-llm-decision.js.map +1 -0
  22. package/dist/actions/llm-decision/shared.d.ts +41 -0
  23. package/dist/actions/llm-decision/shared.d.ts.map +1 -0
  24. package/dist/actions/llm-decision/shared.js +117 -0
  25. package/dist/actions/llm-decision/shared.js.map +1 -0
  26. package/dist/actions/open-position/open-position.action.d.ts +15 -0
  27. package/dist/actions/open-position/open-position.action.d.ts.map +1 -0
  28. package/dist/actions/open-position/open-position.action.js +302 -0
  29. package/dist/actions/open-position/open-position.action.js.map +1 -0
  30. package/dist/actions/types.d.ts +123 -0
  31. package/dist/actions/types.d.ts.map +1 -0
  32. package/dist/actions/types.js +3 -0
  33. package/dist/actions/types.js.map +1 -0
  34. package/dist/cli/guide-commands.d.ts +26 -0
  35. package/dist/cli/guide-commands.d.ts.map +1 -0
  36. package/dist/cli/guide-commands.js +332 -0
  37. package/dist/cli/guide-commands.js.map +1 -0
  38. package/dist/cli/senpi-commands.d.ts +22 -0
  39. package/dist/cli/senpi-commands.d.ts.map +1 -0
  40. package/dist/cli/senpi-commands.js +138 -0
  41. package/dist/cli/senpi-commands.js.map +1 -0
  42. package/dist/constants/dsl/index.d.ts +39 -0
  43. package/dist/constants/dsl/index.d.ts.map +1 -0
  44. package/dist/constants/dsl/index.js +39 -0
  45. package/dist/constants/dsl/index.js.map +1 -0
  46. package/dist/context/context-builder.d.ts +14 -0
  47. package/dist/context/context-builder.d.ts.map +1 -0
  48. package/dist/context/context-builder.js +36 -0
  49. package/dist/context/context-builder.js.map +1 -0
  50. package/dist/context/index.d.ts +5 -0
  51. package/dist/context/index.d.ts.map +1 -0
  52. package/dist/context/index.js +5 -0
  53. package/dist/context/index.js.map +1 -0
  54. package/dist/context/interpolate.d.ts +6 -0
  55. package/dist/context/interpolate.d.ts.map +1 -0
  56. package/dist/context/interpolate.js +15 -0
  57. package/dist/context/interpolate.js.map +1 -0
  58. package/dist/context/providers/asset-trend.provider.d.ts +42 -0
  59. package/dist/context/providers/asset-trend.provider.d.ts.map +1 -0
  60. package/dist/context/providers/asset-trend.provider.js +94 -0
  61. package/dist/context/providers/asset-trend.provider.js.map +1 -0
  62. package/dist/context/providers/index.d.ts +5 -0
  63. package/dist/context/providers/index.d.ts.map +1 -0
  64. package/dist/context/providers/index.js +5 -0
  65. package/dist/context/providers/index.js.map +1 -0
  66. package/dist/context/providers/regime.provider.d.ts +14 -0
  67. package/dist/context/providers/regime.provider.d.ts.map +1 -0
  68. package/dist/context/providers/regime.provider.js +29 -0
  69. package/dist/context/providers/regime.provider.js.map +1 -0
  70. package/dist/context/providers/signal.provider.d.ts +11 -0
  71. package/dist/context/providers/signal.provider.d.ts.map +1 -0
  72. package/dist/context/providers/signal.provider.js +27 -0
  73. package/dist/context/providers/signal.provider.js.map +1 -0
  74. package/dist/context/providers/strategy.provider.d.ts +14 -0
  75. package/dist/context/providers/strategy.provider.d.ts.map +1 -0
  76. package/dist/context/providers/strategy.provider.js +68 -0
  77. package/dist/context/providers/strategy.provider.js.map +1 -0
  78. package/dist/context/types.d.ts +30 -0
  79. package/dist/context/types.d.ts.map +1 -0
  80. package/dist/context/types.js +2 -0
  81. package/dist/context/types.js.map +1 -0
  82. package/dist/dsl/config/index.d.ts +43 -0
  83. package/dist/dsl/config/index.d.ts.map +1 -0
  84. package/dist/dsl/config/index.js +108 -0
  85. package/dist/dsl/config/index.js.map +1 -0
  86. package/dist/dsl/constants/index.d.ts +3 -0
  87. package/dist/dsl/constants/index.d.ts.map +1 -0
  88. package/dist/dsl/constants/index.js +3 -0
  89. package/dist/dsl/constants/index.js.map +1 -0
  90. package/dist/dsl/engine/index.d.ts +7 -0
  91. package/dist/dsl/engine/index.d.ts.map +1 -0
  92. package/dist/dsl/engine/index.js +123 -0
  93. package/dist/dsl/engine/index.js.map +1 -0
  94. package/dist/dsl/events/bus-types.d.ts +7 -0
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  96. package/dist/dsl/events/bus-types.js +6 -0
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  98. package/dist/dsl/events/guards.d.ts +17 -0
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  100. package/dist/dsl/events/guards.js +94 -0
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  102. package/dist/dsl/events/handlers.d.ts +15 -0
  103. package/dist/dsl/events/handlers.d.ts.map +1 -0
  104. package/dist/dsl/events/handlers.js +229 -0
  105. package/dist/dsl/events/handlers.js.map +1 -0
  106. package/dist/dsl/events/index.d.ts +4 -0
  107. package/dist/dsl/events/index.d.ts.map +1 -0
  108. package/dist/dsl/events/index.js +4 -0
  109. package/dist/dsl/events/index.js.map +1 -0
  110. package/dist/dsl/index.d.ts +13 -0
  111. package/dist/dsl/index.d.ts.map +1 -0
  112. package/dist/dsl/index.js +35 -0
  113. package/dist/dsl/index.js.map +1 -0
  114. package/dist/dsl/monitor/index.d.ts +18 -0
  115. package/dist/dsl/monitor/index.d.ts.map +1 -0
  116. package/dist/dsl/monitor/index.js +296 -0
  117. package/dist/dsl/monitor/index.js.map +1 -0
  118. package/dist/dsl/plugin/index.d.ts +29 -0
  119. package/dist/dsl/plugin/index.d.ts.map +1 -0
  120. package/dist/dsl/plugin/index.js +85 -0
  121. package/dist/dsl/plugin/index.js.map +1 -0
  122. package/dist/dsl/types/index.d.ts +3 -0
  123. package/dist/dsl/types/index.d.ts.map +1 -0
  124. package/dist/dsl/types/index.js +3 -0
  125. package/dist/dsl/types/index.js.map +1 -0
  126. package/dist/health/index.d.ts +9 -0
  127. package/dist/health/index.d.ts.map +1 -0
  128. package/dist/health/index.js +9 -0
  129. package/dist/health/index.js.map +1 -0
  130. package/dist/index.d.ts +94 -0
  131. package/dist/index.d.ts.map +1 -0
  132. package/dist/index.js +218 -0
  133. package/dist/index.js.map +1 -0
  134. package/dist/risk/index.d.ts +9 -0
  135. package/dist/risk/index.d.ts.map +1 -0
  136. package/dist/risk/index.js +9 -0
  137. package/dist/risk/index.js.map +1 -0
  138. package/dist/runtime/action-registry.d.ts +12 -0
  139. package/dist/runtime/action-registry.d.ts.map +1 -0
  140. package/dist/runtime/action-registry.js +18 -0
  141. package/dist/runtime/action-registry.js.map +1 -0
  142. package/dist/runtime/build-action-scan-payload.d.ts +20 -0
  143. package/dist/runtime/build-action-scan-payload.d.ts.map +1 -0
  144. package/dist/runtime/build-action-scan-payload.js +52 -0
  145. package/dist/runtime/build-action-scan-payload.js.map +1 -0
  146. package/dist/runtime/bus.d.ts +6 -0
  147. package/dist/runtime/bus.d.ts.map +1 -0
  148. package/dist/runtime/bus.js +19 -0
  149. package/dist/runtime/bus.js.map +1 -0
  150. package/dist/runtime/create-action-context.d.ts +34 -0
  151. package/dist/runtime/create-action-context.d.ts.map +1 -0
  152. package/dist/runtime/create-action-context.js +22 -0
  153. package/dist/runtime/create-action-context.js.map +1 -0
  154. package/dist/runtime/create-actions.d.ts +30 -0
  155. package/dist/runtime/create-actions.d.ts.map +1 -0
  156. package/dist/runtime/create-actions.js +78 -0
  157. package/dist/runtime/create-actions.js.map +1 -0
  158. package/dist/runtime/create-runtime-context.d.ts +33 -0
  159. package/dist/runtime/create-runtime-context.d.ts.map +1 -0
  160. package/dist/runtime/create-runtime-context.js +32 -0
  161. package/dist/runtime/create-runtime-context.js.map +1 -0
  162. package/dist/runtime/create-scanner-module.d.ts +14 -0
  163. package/dist/runtime/create-scanner-module.d.ts.map +1 -0
  164. package/dist/runtime/create-scanner-module.js +26 -0
  165. package/dist/runtime/create-scanner-module.js.map +1 -0
  166. package/dist/runtime/create-scanner-providers-for-run.d.ts +20 -0
  167. package/dist/runtime/create-scanner-providers-for-run.d.ts.map +1 -0
  168. package/dist/runtime/create-scanner-providers-for-run.js +34 -0
  169. package/dist/runtime/create-scanner-providers-for-run.js.map +1 -0
  170. package/dist/runtime/default-state-dir.d.ts +10 -0
  171. package/dist/runtime/default-state-dir.d.ts.map +1 -0
  172. package/dist/runtime/default-state-dir.js +22 -0
  173. package/dist/runtime/default-state-dir.js.map +1 -0
  174. package/dist/runtime/env-resolve.d.ts +17 -0
  175. package/dist/runtime/env-resolve.d.ts.map +1 -0
  176. package/dist/runtime/env-resolve.js +45 -0
  177. package/dist/runtime/env-resolve.js.map +1 -0
  178. package/dist/runtime/hook-system.d.ts +7 -0
  179. package/dist/runtime/hook-system.d.ts.map +1 -0
  180. package/dist/runtime/hook-system.js +16 -0
  181. package/dist/runtime/hook-system.js.map +1 -0
  182. package/dist/runtime/index.d.ts +37 -0
  183. package/dist/runtime/index.d.ts.map +1 -0
  184. package/dist/runtime/index.js +26 -0
  185. package/dist/runtime/index.js.map +1 -0
  186. package/dist/runtime/load-trading-strategy.d.ts +18 -0
  187. package/dist/runtime/load-trading-strategy.d.ts.map +1 -0
  188. package/dist/runtime/load-trading-strategy.js +51 -0
  189. package/dist/runtime/load-trading-strategy.js.map +1 -0
  190. package/dist/runtime/map-exit-config.d.ts +12 -0
  191. package/dist/runtime/map-exit-config.d.ts.map +1 -0
  192. package/dist/runtime/map-exit-config.js +89 -0
  193. package/dist/runtime/map-exit-config.js.map +1 -0
  194. package/dist/runtime/map-strategies-registration.d.ts +12 -0
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  198. package/dist/runtime/map-strategies.d.ts +12 -0
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  200. package/dist/runtime/map-strategies.js +46 -0
  201. package/dist/runtime/map-strategies.js.map +1 -0
  202. package/dist/runtime/notifications.d.ts +10 -0
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  204. package/dist/runtime/notifications.js +14 -0
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  206. package/dist/runtime/parse-interval.d.ts +11 -0
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  210. package/dist/runtime/reconcile-state.d.ts +25 -0
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  214. package/dist/runtime/risk-guard.d.ts +6 -0
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  218. package/dist/runtime/run.d.ts +21 -0
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  220. package/dist/runtime/run.js +43 -0
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  222. package/dist/runtime/runtime.d.ts +40 -0
  223. package/dist/runtime/runtime.d.ts.map +1 -0
  224. package/dist/runtime/runtime.js +249 -0
  225. package/dist/runtime/runtime.js.map +1 -0
  226. package/dist/runtime/scanner-registry.d.ts +22 -0
  227. package/dist/runtime/scanner-registry.d.ts.map +1 -0
  228. package/dist/runtime/scanner-registry.js +72 -0
  229. package/dist/runtime/scanner-registry.js.map +1 -0
  230. package/dist/runtime/strategy-registry.d.ts +49 -0
  231. package/dist/runtime/strategy-registry.d.ts.map +1 -0
  232. package/dist/runtime/strategy-registry.js +150 -0
  233. package/dist/runtime/strategy-registry.js.map +1 -0
  234. package/dist/runtime/trading-strategy-config.d.ts +6 -0
  235. package/dist/runtime/trading-strategy-config.d.ts.map +1 -0
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  238. package/dist/runtime/trading-strategy-schema.d.ts +19757 -0
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  242. package/dist/scanners/__tests__/fixtures/index.d.ts +3 -0
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  250. package/dist/scanners/__tests__/fixtures/signals.d.ts +18 -0
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  258. package/dist/scanners/artifacts.d.ts +119 -0
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  260. package/dist/scanners/artifacts.js +72 -0
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  262. package/dist/scanners/create-scanner.d.ts +13 -0
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  266. package/dist/scanners/engine/config-validator.d.ts +7 -0
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  270. package/dist/scanners/engine/data-providers.d.ts +43 -0
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  274. package/dist/scanners/engine/engine.d.ts +76 -0
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  278. package/dist/scanners/engine/index.d.ts +9 -0
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  286. package/dist/scanners/engine/lifecycle.d.ts +21 -0
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  294. package/dist/scanners/engine/strategy-registry.d.ts +45 -0
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  314. package/dist/scanners/implementations/market-regime.d.ts +52 -0
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  318. package/dist/scanners/implementations/momentum.d.ts +21 -0
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@@ -0,0 +1,441 @@
1
+ import { Type } from "@sinclair/typebox";
2
+ import { consumeSharedArtifact, prescreenedArtifact, marketRegimeArtifact, MarketRegime, } from "../artifacts.js";
3
+ import { createScanner } from "../create-scanner.js";
4
+ import { providerInput } from "../input-descriptors.js";
5
+ import { clamp01 } from "../score-utils.js";
6
+ import { PersistencePolicy, RetentionPolicy } from "../scanner-definition.js";
7
+ import { computeEma, computeRsi, detectSwingPattern, volumeRatio } from "./indicators.js";
8
+ // ─── Config ─────────────────────────────────────────────────────────────────
9
+ const pillarWeightsSchema = Type.Object({
10
+ smartMoney: Type.Optional(Type.Number({ minimum: 0, maximum: 1, default: 0.25 })),
11
+ marketStructure: Type.Optional(Type.Number({ minimum: 0, maximum: 1, default: 0.25 })),
12
+ technicals: Type.Optional(Type.Number({ minimum: 0, maximum: 1, default: 0.25 })),
13
+ funding: Type.Optional(Type.Number({ minimum: 0, maximum: 1, default: 0.25 })),
14
+ });
15
+ const hardDisqualifiersSchema = Type.Object({
16
+ counterTrendStrengthThreshold: Type.Optional(Type.Number({ default: 50 })),
17
+ extremeRsiBounds: Type.Optional(Type.Tuple([Type.Number(), Type.Number()], { default: [20, 80] })),
18
+ volumeDyingMultiplier: Type.Optional(Type.Number({ default: 0.5 })),
19
+ heavyFundingAnnualizedPct: Type.Optional(Type.Number({ default: 50 })),
20
+ btcHeadwindThreshold: Type.Optional(Type.Number({ default: 30 })),
21
+ });
22
+ const opportunityConfigSchema = Type.Object({
23
+ minCompositeScore: Type.Optional(Type.Number({ minimum: 0, maximum: 100, default: 60 })),
24
+ pillarWeights: Type.Optional(pillarWeightsSchema),
25
+ rsiPeriod: Type.Optional(Type.Number({ minimum: 1, default: 14 })),
26
+ emaFast: Type.Optional(Type.Number({ minimum: 1, default: 8 })),
27
+ emaSlow: Type.Optional(Type.Number({ minimum: 1, default: 21 })),
28
+ maxCandidates: Type.Optional(Type.Number({ minimum: 1, default: 30 })),
29
+ minDayVolume: Type.Optional(Type.Number({ minimum: 0, default: 500_000 })),
30
+ hardDisqualifiers: Type.Optional(hardDisqualifiersSchema),
31
+ });
32
+ const DEFAULT_WEIGHTS = {
33
+ smartMoney: 0.25,
34
+ marketStructure: 0.25,
35
+ technicals: 0.25,
36
+ funding: 0.25,
37
+ };
38
+ const DEFAULT_DISQUALIFIERS = {
39
+ counterTrendStrengthThreshold: 50,
40
+ extremeRsiBounds: [20, 80],
41
+ volumeDyingMultiplier: 0.5,
42
+ heavyFundingAnnualizedPct: 50,
43
+ btcHeadwindThreshold: 30,
44
+ };
45
+ const defaultConfig = {};
46
+ function resolveConfig(config) {
47
+ return {
48
+ minCompositeScore: config.minCompositeScore ?? 60,
49
+ pillarWeights: { ...DEFAULT_WEIGHTS, ...config.pillarWeights },
50
+ rsiPeriod: config.rsiPeriod ?? 14,
51
+ emaFast: config.emaFast ?? 8,
52
+ emaSlow: config.emaSlow ?? 21,
53
+ maxCandidates: config.maxCandidates ?? 30,
54
+ minDayVolume: config.minDayVolume ?? 500_000,
55
+ hardDisqualifiers: { ...DEFAULT_DISQUALIFIERS, ...config.hardDisqualifiers },
56
+ };
57
+ }
58
+ const opportunityStateSchema = Type.Object({
59
+ previousScores: Type.Record(Type.String(), Type.Number()),
60
+ scanCount: Type.Number({ minimum: 0 }),
61
+ });
62
+ const defaultState = {
63
+ previousScores: {},
64
+ scanCount: 0,
65
+ };
66
+ // ─── Funding helpers ────────────────────────────────────────────────────────
67
+ /** Annualizes a Hyperliquid hourly funding rate to a percentage. */
68
+ export function annualizeFunding(rate) {
69
+ return Math.abs(rate * 24 * 365 * 100);
70
+ }
71
+ /** Determines if funding direction is favorable for the given position side. */
72
+ export function isFundingFavorable(direction, fundingRate) {
73
+ return ((direction === "LONG" && fundingRate <= 0) ||
74
+ (direction === "SHORT" && fundingRate >= 0));
75
+ }
76
+ /**
77
+ * Scores the funding pillar (0-100).
78
+ * Ported from Fox's opportunity-scan-v6.py `score_funding()`.
79
+ */
80
+ export function scoreFunding(fundingRate, direction) {
81
+ const annRate = annualizeFunding(fundingRate);
82
+ const favorable = isFundingFavorable(direction, fundingRate);
83
+ let score = 0;
84
+ if (annRate < 5)
85
+ score += 40;
86
+ else if (annRate < 15)
87
+ score += favorable ? 25 : 15;
88
+ if (favorable) {
89
+ if (annRate > 50)
90
+ score += 35;
91
+ else if (annRate > 15)
92
+ score += 25;
93
+ else if (annRate > 5)
94
+ score += 15;
95
+ }
96
+ else {
97
+ if (annRate > 50)
98
+ score -= 20;
99
+ else if (annRate > 15)
100
+ score -= 10;
101
+ }
102
+ return Math.max(0, Math.min(100, score));
103
+ }
104
+ // ─── Smart Money scoring ────────────────────────────────────────────────────
105
+ /**
106
+ * Scores the smart-money pillar (0-100).
107
+ *
108
+ * Factors: trader count concentration + contribution conviction.
109
+ */
110
+ export function scoreSmartMoney(sm) {
111
+ if (!sm)
112
+ return 0;
113
+ let score = 0;
114
+ // Trader count
115
+ if (sm.traderCount >= 5)
116
+ score += 40;
117
+ else if (sm.traderCount >= 3)
118
+ score += 25;
119
+ else if (sm.traderCount >= 1)
120
+ score += 10;
121
+ // Contribution conviction
122
+ if (sm.pctOfTopTradersGain > 0.05)
123
+ score += 50;
124
+ else if (sm.pctOfTopTradersGain > 0.02)
125
+ score += 30;
126
+ else if (sm.pctOfTopTradersGain > 0)
127
+ score += 15;
128
+ return Math.min(100, score);
129
+ }
130
+ // ─── Market Structure scoring ───────────────────────────────────────────────
131
+ /**
132
+ * Scores the market structure pillar (0-100).
133
+ *
134
+ * Uses swing pattern detection on highs/lows for the given direction.
135
+ */
136
+ export function scoreMarketStructure(candles, direction) {
137
+ if (candles.length < 5)
138
+ return 0;
139
+ const highs = candles.map((c) => c.high);
140
+ const lows = candles.map((c) => c.low);
141
+ const swingScore = detectSwingPattern(highs, lows);
142
+ // Align swing direction with signal direction
143
+ const aligned = direction === "LONG" ? swingScore : -swingScore;
144
+ // Map [-1, 1] to [0, 100]
145
+ return Math.max(0, Math.min(100, Math.round((aligned + 1) * 50)));
146
+ }
147
+ // ─── Technicals scoring ─────────────────────────────────────────────────────
148
+ /**
149
+ * Scores the technicals pillar (0-100).
150
+ *
151
+ * Uses RSI + EMA crossover for trend alignment with direction.
152
+ */
153
+ export function scoreTechnicals(candles, direction, rsiPeriod, emaFast, emaSlow) {
154
+ if (candles.length < emaSlow + 1)
155
+ return 0;
156
+ const closes = candles.map((c) => c.close);
157
+ let score = 0;
158
+ // RSI component (0-50)
159
+ const rsi = computeRsi(closes, rsiPeriod);
160
+ if (rsi !== null) {
161
+ if (direction === "LONG") {
162
+ // RSI 50-70 is healthy bullish, >70 may be overextended but still strong
163
+ if (rsi > 50 && rsi <= 70)
164
+ score += 40;
165
+ else if (rsi > 70)
166
+ score += 25;
167
+ else if (rsi > 40)
168
+ score += 15;
169
+ }
170
+ else {
171
+ // RSI 30-50 is healthy bearish, <30 may be oversold but still strong
172
+ if (rsi < 50 && rsi >= 30)
173
+ score += 40;
174
+ else if (rsi < 30)
175
+ score += 25;
176
+ else if (rsi < 60)
177
+ score += 15;
178
+ }
179
+ }
180
+ // EMA crossover component (0-50)
181
+ const fast = computeEma(closes, emaFast);
182
+ const slow = computeEma(closes, emaSlow);
183
+ const lastFast = fast[fast.length - 1];
184
+ const lastSlow = slow[slow.length - 1];
185
+ if (direction === "LONG") {
186
+ if (lastFast > lastSlow)
187
+ score += 40;
188
+ else
189
+ score += 10;
190
+ }
191
+ else {
192
+ if (lastFast < lastSlow)
193
+ score += 40;
194
+ else
195
+ score += 10;
196
+ }
197
+ return Math.min(100, score);
198
+ }
199
+ /**
200
+ * Checks hard disqualifiers. Returns the first matching reason or null.
201
+ */
202
+ export function checkDisqualifiers(candles, direction, fundingRate, regimeArtifact, cfg, emaFast, emaSlow, rsiPeriod) {
203
+ if (candles.length < emaSlow + 1) {
204
+ return { disqualified: false };
205
+ }
206
+ const closes = candles.map((c) => c.close);
207
+ // 1. Counter-trend check
208
+ const fast = computeEma(closes, emaFast);
209
+ const slow = computeEma(closes, emaSlow);
210
+ const lastFast = fast[fast.length - 1];
211
+ const lastSlow = slow[slow.length - 1];
212
+ const spread = lastSlow > 0 ? Math.abs(lastFast - lastSlow) / lastSlow * 100 : 0;
213
+ const isCounterTrend = (direction === "LONG" && lastFast < lastSlow) ||
214
+ (direction === "SHORT" && lastFast > lastSlow);
215
+ if (isCounterTrend && spread > cfg.counterTrendStrengthThreshold / 100) {
216
+ return {
217
+ disqualified: true,
218
+ reason: `Counter-trend: EMA spread ${spread.toFixed(2)}% against ${direction}`,
219
+ };
220
+ }
221
+ // 2. Extreme RSI
222
+ const rsi = computeRsi(closes, rsiPeriod);
223
+ if (rsi !== null) {
224
+ const [rsiBound0, rsiBound1] = cfg.extremeRsiBounds;
225
+ if (direction === "SHORT" && rsi < rsiBound0) {
226
+ return {
227
+ disqualified: true,
228
+ reason: `Extreme RSI ${rsi.toFixed(1)} too low for SHORT`,
229
+ };
230
+ }
231
+ if (direction === "LONG" && rsi > rsiBound1) {
232
+ return {
233
+ disqualified: true,
234
+ reason: `Extreme RSI ${rsi.toFixed(1)} too high for LONG`,
235
+ };
236
+ }
237
+ }
238
+ // 3. Volume dying
239
+ const volumes = candles.map((c) => c.volume);
240
+ const volRatio = volumeRatio(volumes);
241
+ if (volRatio > 0 && volRatio < cfg.volumeDyingMultiplier) {
242
+ return {
243
+ disqualified: true,
244
+ reason: `Volume dying: ratio ${volRatio.toFixed(2)}x vs ${cfg.volumeDyingMultiplier}x threshold`,
245
+ };
246
+ }
247
+ // 4. Heavy unfavorable funding
248
+ const annRate = annualizeFunding(fundingRate);
249
+ const favorable = isFundingFavorable(direction, fundingRate);
250
+ if (!favorable && annRate > cfg.heavyFundingAnnualizedPct) {
251
+ return {
252
+ disqualified: true,
253
+ reason: `Heavy unfavorable funding: ${annRate.toFixed(0)}% annualized against ${direction}`,
254
+ };
255
+ }
256
+ // 5. BTC macro headwind
257
+ if (regimeArtifact) {
258
+ const headwind = (direction === "LONG" && regimeArtifact.regime === MarketRegime.BEARISH) ||
259
+ (direction === "SHORT" && regimeArtifact.regime === MarketRegime.BULLISH);
260
+ if (headwind && regimeArtifact.confidence * 100 > cfg.btcHeadwindThreshold) {
261
+ return {
262
+ disqualified: true,
263
+ reason: `BTC macro headwind: regime ${regimeArtifact.regime} with ${(regimeArtifact.confidence * 100).toFixed(0)}% confidence against ${direction}`,
264
+ };
265
+ }
266
+ }
267
+ return { disqualified: false };
268
+ }
269
+ // ─── Direction determination ────────────────────────────────────────────────
270
+ function determineDirection(candles, sm, emaFast, emaSlow) {
271
+ // Prefer SM direction when available
272
+ if (sm) {
273
+ const smDir = sm.direction.toLowerCase();
274
+ if (smDir === "short" || smDir === "down")
275
+ return "SHORT";
276
+ return "LONG";
277
+ }
278
+ // Fall back to EMA crossover
279
+ if (candles.length < emaSlow + 1)
280
+ return "LONG";
281
+ const closes = candles.map((c) => c.close);
282
+ const fast = computeEma(closes, emaFast);
283
+ const slow = computeEma(closes, emaSlow);
284
+ return fast[fast.length - 1] > slow[slow.length - 1] ? "LONG" : "SHORT";
285
+ }
286
+ // ─── Scanner factory ────────────────────────────────────────────────────────
287
+ /**
288
+ * Creates the opportunity scanner.
289
+ *
290
+ * Deep technical scan across prescreened candidates with 4-pillar scoring:
291
+ * Smart Money (25%), Market Structure (25%), Technicals (25%), Funding (25%).
292
+ *
293
+ * Hard disqualifiers are applied before pillar scoring to eliminate noise.
294
+ * Depends on the prescreener artifact (required) and market-regime artifact
295
+ * (optional) for macro context.
296
+ */
297
+ export function opportunityScanner() {
298
+ return createScanner({
299
+ id: "opportunity",
300
+ signalType: "OPPORTUNITY",
301
+ description: "Deep technical scan with 4-pillar scoring: SM, structure, technicals, funding.",
302
+ intervalSeconds: 900,
303
+ retention: RetentionPolicy.ROLLING_WINDOW,
304
+ retentionMaxRuns: 100,
305
+ persistence: PersistencePolicy.ACTIONABLE_ONLY,
306
+ inputs: [
307
+ providerInput.instruments(),
308
+ providerInput.candles({ preferredAssetsFrom: "prescreened" }),
309
+ providerInput.smData(),
310
+ consumeSharedArtifact(prescreenedArtifact, {
311
+ required: true,
312
+ maxAgeMs: 1_800_000,
313
+ }),
314
+ consumeSharedArtifact(marketRegimeArtifact, {
315
+ required: false,
316
+ maxAgeMs: 7_200_000,
317
+ }),
318
+ ],
319
+ configSchema: opportunityConfigSchema,
320
+ defaultConfig,
321
+ stateSchema: opportunityStateSchema,
322
+ defaultState,
323
+ scan: async (ctx) => {
324
+ const now = ctx.now();
325
+ const cfg = resolveConfig(ctx.config);
326
+ const candles = ctx.inputs.candles ?? {};
327
+ const instruments = ctx.inputs.instruments ?? [];
328
+ const smData = ctx.inputs.smData ?? [];
329
+ const prescreened = ctx.inputs.artifacts?.prescreened;
330
+ const regimeArtifact = ctx.inputs.artifacts?.["market-regime"];
331
+ // Build lookup maps
332
+ const smByToken = new Map();
333
+ for (const sm of smData)
334
+ smByToken.set(sm.token, sm);
335
+ const instrumentByName = new Map();
336
+ for (const inst of instruments)
337
+ instrumentByName.set(inst.name, inst);
338
+ // Resolve candidate list from prescreened artifact
339
+ const candidates = (prescreened?.candidates ?? [])
340
+ .filter((c) => {
341
+ const inst = instrumentByName.get(c.name);
342
+ return inst && c.context.dayNtlVlm >= cfg.minDayVolume;
343
+ })
344
+ .slice(0, cfg.maxCandidates);
345
+ const signals = [];
346
+ const nextScores = {};
347
+ let disqualifiedCount = 0;
348
+ for (const candidate of candidates) {
349
+ const asset = candidate.name;
350
+ const inst = instrumentByName.get(asset);
351
+ if (!inst)
352
+ continue;
353
+ const sm = smByToken.get(asset);
354
+ const fundingRate = inst.context.funding ?? 0;
355
+ // Get candle data — prefer 1h, fall back to first available
356
+ const assetCandles = candles[asset];
357
+ const timeframes = assetCandles?.candles ?? {};
358
+ const candleData = timeframes["1h"] ?? Object.values(timeframes)[0] ?? [];
359
+ // Determine direction from SM + EMA
360
+ const direction = determineDirection(candleData, sm, cfg.emaFast, cfg.emaSlow);
361
+ // Hard disqualifiers
362
+ const dq = checkDisqualifiers(candleData, direction, fundingRate, regimeArtifact, cfg.hardDisqualifiers, cfg.emaFast, cfg.emaSlow, cfg.rsiPeriod);
363
+ if (dq.disqualified) {
364
+ disqualifiedCount++;
365
+ continue;
366
+ }
367
+ // 4-pillar scoring
368
+ const w = cfg.pillarWeights;
369
+ const smScore = scoreSmartMoney(sm);
370
+ const structureScore = scoreMarketStructure(candleData, direction);
371
+ const techScore = scoreTechnicals(candleData, direction, cfg.rsiPeriod, cfg.emaFast, cfg.emaSlow);
372
+ const fundScore = scoreFunding(fundingRate, direction);
373
+ const composite = Math.round(smScore * w.smartMoney +
374
+ structureScore * w.marketStructure +
375
+ techScore * w.technicals +
376
+ fundScore * w.funding);
377
+ nextScores[asset] = composite;
378
+ if (composite < cfg.minCompositeScore)
379
+ continue;
380
+ const prevScore = ctx.state.previousScores[asset];
381
+ signals.push({
382
+ address: ctx.address,
383
+ scannerId: ctx.scannerId,
384
+ signalType: "OPPORTUNITY",
385
+ asset,
386
+ direction,
387
+ score: clamp01(composite / 100),
388
+ timestamp: now,
389
+ factors: {
390
+ sm_present: sm !== undefined,
391
+ high_composite: composite >= 80,
392
+ improving: prevScore !== undefined && composite > prevScore,
393
+ regime_aligned: regimeArtifact !== undefined &&
394
+ ((direction === "LONG" &&
395
+ regimeArtifact.regime !== MarketRegime.BEARISH) ||
396
+ (direction === "SHORT" &&
397
+ regimeArtifact.regime !== MarketRegime.BULLISH)),
398
+ },
399
+ meta: {
400
+ composite,
401
+ pillarScores: {
402
+ smartMoney: smScore,
403
+ marketStructure: structureScore,
404
+ technicals: techScore,
405
+ funding: fundScore,
406
+ },
407
+ direction,
408
+ fundingRate,
409
+ annualizedFunding: annualizeFunding(fundingRate),
410
+ fundingFavorable: isFundingFavorable(direction, fundingRate),
411
+ previousScore: prevScore ?? null,
412
+ marketRegime: regimeArtifact?.regime ?? "UNKNOWN",
413
+ },
414
+ });
415
+ }
416
+ // Sort by composite score descending
417
+ signals.sort((a, b) => {
418
+ const ca = a.meta.composite ?? 0;
419
+ const cb = b.meta.composite ?? 0;
420
+ return cb - ca;
421
+ });
422
+ await ctx.setState({
423
+ previousScores: nextScores,
424
+ scanCount: ctx.state.scanCount + 1,
425
+ });
426
+ return {
427
+ timestamp: now,
428
+ scannedCount: candidates.length,
429
+ signals,
430
+ summary: {
431
+ candidatesEvaluated: candidates.length,
432
+ disqualified: disqualifiedCount,
433
+ signalsEmitted: signals.length,
434
+ scanCount: ctx.state.scanCount + 1,
435
+ regime: regimeArtifact?.regime ?? "UNKNOWN",
436
+ },
437
+ };
438
+ },
439
+ });
440
+ }
441
+ //# sourceMappingURL=opportunity.js.map
@@ -0,0 +1 @@
1
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@@ -0,0 +1,20 @@
1
+ import { type Static } from "@sinclair/typebox";
2
+ declare const prescreenerConfigSchema: import("@sinclair/typebox").TObject<{
3
+ topN: import("@sinclair/typebox").TNumber;
4
+ minDayVolume: import("@sinclair/typebox").TNumber;
5
+ minLeverage: import("@sinclair/typebox").TNumber;
6
+ minOpenInterest: import("@sinclair/typebox").TNumber;
7
+ }>;
8
+ export type PrescreenerConfig = Static<typeof prescreenerConfigSchema>;
9
+ export type { PrescreenedArtifact, PrescreenedCandidate } from "../artifacts.js";
10
+ /**
11
+ * Infrastructure scanner that ranks liquid instruments and publishes candidates
12
+ * into the `prescreened` shared artifact for downstream scanners.
13
+ */
14
+ export declare function prescreenerScanner(): import("../index.js").Scanner<{
15
+ topN: number;
16
+ minLeverage: number;
17
+ minDayVolume: number;
18
+ minOpenInterest: number;
19
+ }, Record<string, never>>;
20
+ //# sourceMappingURL=prescreener.d.ts.map
@@ -0,0 +1 @@
1
+ {"version":3,"file":"prescreener.d.ts","sourceRoot":"","sources":["../../../src/scanners/implementations/prescreener.ts"],"names":[],"mappings":"AAAA,OAAO,EAAQ,KAAK,MAAM,EAAE,MAAM,mBAAmB,CAAC;AAYtD,QAAA,MAAM,uBAAuB;;;;;EAK3B,CAAC;AAEH,MAAM,MAAM,iBAAiB,GAAG,MAAM,CAAC,OAAO,uBAAuB,CAAC,CAAC;AAEvE,YAAY,EAAE,mBAAmB,EAAE,oBAAoB,EAAE,MAAM,iBAAiB,CAAC;AASjF;;;GAGG;AACH,wBAAgB,kBAAkB;;;;;0BAyCjC"}
@@ -0,0 +1,97 @@
1
+ import { Type } from "@sinclair/typebox";
2
+ import { prescreenedArtifact, } from "../artifacts.js";
3
+ import { createScanner } from "../create-scanner.js";
4
+ import { providerInput } from "../input-descriptors.js";
5
+ import { clamp01, normalizeRange } from "../score-utils.js";
6
+ import { PersistencePolicy, RetentionPolicy } from "../scanner-definition.js";
7
+ const prescreenerConfigSchema = Type.Object({
8
+ topN: Type.Number({ minimum: 1, default: 30 }),
9
+ minDayVolume: Type.Number({ minimum: 0, default: 1_000_000 }),
10
+ minLeverage: Type.Number({ minimum: 1, default: 2 }),
11
+ minOpenInterest: Type.Number({ minimum: 0, default: 0 }),
12
+ });
13
+ const defaultConfig = {
14
+ topN: 30,
15
+ minDayVolume: 1_000_000,
16
+ minLeverage: 2,
17
+ minOpenInterest: 0,
18
+ };
19
+ /**
20
+ * Infrastructure scanner that ranks liquid instruments and publishes candidates
21
+ * into the `prescreened` shared artifact for downstream scanners.
22
+ */
23
+ export function prescreenerScanner() {
24
+ return createScanner({
25
+ id: "prescreener",
26
+ signalType: "PRESCREENER",
27
+ description: "Pre-scan ranking of liquid instruments by momentum/liquidity/OI.",
28
+ intervalSeconds: 60,
29
+ retention: RetentionPolicy.LAST_ONLY,
30
+ persistence: PersistencePolicy.ALWAYS,
31
+ inputs: [providerInput.instruments()],
32
+ artifacts: {
33
+ produces: [prescreenedArtifact],
34
+ },
35
+ configSchema: prescreenerConfigSchema,
36
+ defaultConfig,
37
+ scan: async (ctx) => {
38
+ const inputs = ctx.inputs.instruments ?? [];
39
+ const filtered = inputs.filter((instrument) => shouldIncludeInstrument(instrument, ctx.config));
40
+ const ranked = filtered
41
+ .map((instrument) => toCandidate(instrument))
42
+ .sort((a, b) => b.score - a.score)
43
+ .slice(0, ctx.config.topN);
44
+ const artifact = {
45
+ timestamp: ctx.now(),
46
+ candidates: ranked,
47
+ };
48
+ await ctx.saveSharedArtifact(prescreenedArtifact, artifact);
49
+ return {
50
+ timestamp: ctx.now(),
51
+ scannedCount: filtered.length,
52
+ signals: [],
53
+ summary: {
54
+ inputCount: inputs.length,
55
+ candidateCount: ranked.length,
56
+ },
57
+ };
58
+ },
59
+ });
60
+ }
61
+ function shouldIncludeInstrument(instrument, config) {
62
+ if (instrument.isDelisted) {
63
+ return false;
64
+ }
65
+ if (instrument.maxLeverage < config.minLeverage) {
66
+ return false;
67
+ }
68
+ if (instrument.context.dayNtlVlm < config.minDayVolume) {
69
+ return false;
70
+ }
71
+ if (instrument.context.openInterest < config.minOpenInterest) {
72
+ return false;
73
+ }
74
+ return true;
75
+ }
76
+ function toCandidate(instrument) {
77
+ const prevDayPx = instrument.context.prevDayPx;
78
+ const markPx = instrument.context.markPx;
79
+ const changePct = prevDayPx > 0 ? ((markPx - prevDayPx) / prevDayPx) * 100 : 0;
80
+ const volume = instrument.context.dayNtlVlm;
81
+ const oi = instrument.context.openInterest;
82
+ // Lightweight composite score for PoC ranking.
83
+ const liquidityScore = normalizeRange(volume, 0, 50_000_000);
84
+ const momentumScore = normalizeRange(Math.abs(changePct), 0, 20);
85
+ const oiScore = normalizeRange(oi, 0, 2_000_000_000);
86
+ const score = clamp01(liquidityScore * 0.5 + momentumScore * 0.3 + oiScore * 0.2);
87
+ return {
88
+ name: instrument.name,
89
+ context: instrument.context,
90
+ maxLeverage: instrument.maxLeverage,
91
+ score,
92
+ changePct,
93
+ volume,
94
+ openInterest: oi,
95
+ };
96
+ }
97
+ //# sourceMappingURL=prescreener.js.map
@@ -0,0 +1 @@
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@@ -0,0 +1,43 @@
1
+ import { type Static } from "@sinclair/typebox";
2
+ import type { SmMarket } from "../types.js";
3
+ declare const smFlipConfigSchema: import("@sinclair/typebox").TObject<{
4
+ minConviction: import("@sinclair/typebox").TOptional<import("@sinclair/typebox").TNumber>;
5
+ }>;
6
+ export type SmFlipConfig = Static<typeof smFlipConfigSchema>;
7
+ export interface SmFlipState {
8
+ /** Total number of completed scans. */
9
+ scans: number;
10
+ /** Total number of flips detected across all scans. */
11
+ totalFlips: number;
12
+ }
13
+ /**
14
+ * Scores smart-money conviction for a flip event.
15
+ *
16
+ * Based on Fox's sm-flip-check.py conviction algorithm:
17
+ * - pctOfTopTradersGain contribution (0-3 points)
18
+ * - traderCount concentration (0-3 points)
19
+ *
20
+ * Returns a score from 0 to 6. Fox uses minConviction=4 as default threshold.
21
+ */
22
+ export declare function scoreConviction(sm: SmMarket): number;
23
+ /**
24
+ * Detects whether a smart-money direction flips against a position direction.
25
+ */
26
+ export declare function isFlipped(positionDirection: string, smDirection: string): boolean;
27
+ /**
28
+ * Creates the SM Flip scanner.
29
+ *
30
+ * Monitors open positions against the smart-money leaderboard and detects
31
+ * when smart-money conviction reverses direction against a held position.
32
+ * Emits high-priority FLIP_NOW signals that should trigger immediate
33
+ * position closure.
34
+ *
35
+ * Inputs:
36
+ * - smData: smart-money leaderboard from `leaderboard_get_markets`
37
+ * - activePositions: current positions from `strategy_get_clearinghouse_state`
38
+ */
39
+ export declare function smFlipScanner(): import("../index.js").Scanner<{
40
+ minConviction?: number | undefined;
41
+ }, SmFlipState>;
42
+ export {};
43
+ //# sourceMappingURL=sm-flip.d.ts.map
@@ -0,0 +1 @@
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