aiden-shared-calculations-unified 1.0.95 → 1.0.96

package/calculations/legacy/crowd_conviction_score.js

@@ -1,261 +0,0 @@
-/**
- * @fileoverview Calculation (Pass 2) for crowd conviction.
- *
- * This metric answers: "What is the 'Crowd Conviction Score'
- * for each instrument?"
- *
- * It's based on factors like:
- * 1. Holding Duration (longer = more conviction)
- * 2. P&L % (positive = more conviction)
- * 3. Risk/Reward Ratio (higher = more conviction)
- * 4. Leverage (lower = more conviction)
- *
- * This is a *stateful* calculation that computes a 30-day
- * rolling average of these metrics to build the score.
- */
-const { loadInstrumentMappings } = require('../../utils/sector_mapping_provider');
-
-class CrowdConvictionScore {
-    constructor() {
-        // { [instrumentId]: { metrics: [], history: [] } }
-        this.assetData = new Map();
-        this.mappings = null;
-    }
-
-    /**
-     * Defines the output schema for this calculation.
-     * @returns {object} JSON Schema object
-     */
-    static getSchema() {
-        const historyItemSchema = {
-            "type": "object",
-            "properties": {
-                "avg_holding_duration": { "type": "number" },
-                "avg_pnl": { "type": "number" },
-                "avg_rr": { "type": "number" },
-                "avg_leverage": { "type": "number" }
-            },
-            "required": ["avg_holding_duration", "avg_pnl", "avg_rr", "avg_leverage"]
-        };
-
-        const tickerSchema = {
-            "type": "object",
-            "description": "Crowd conviction score and its components for a specific asset.",
-            "properties": {
-                "conviction_score": {
-                    "type": "number",
-                    "description": "Final conviction score (0-100), based on 30-day rolling averages."
-                },
-                "roll_avg_holding_duration": {
-                    "type": "number",
-                    "description": "30-day rolling average of holding duration (hours)."
-                },
-                "roll_avg_pnl": {
-                    "type": "number",
-                    "description": "30-day rolling average of P&L percentage."
-                },
-                "roll_avg_rr": {
-                    "type": "number",
-                    "description": "30-day rolling average of risk/reward ratio."
-                },
-                "roll_avg_leverage": {
-                    "type": "number",
-                    "description": "30-day rolling average of leverage."
-                },
-                "avg_holding_duration": {
-                    "type": "number",
-                    "description": "Today's average holding duration."
-                },
-                "avg_pnl": {
-                    "type": "number",
-                    "description": "Today's average P&L percentage."
-                },
-                "avg_rr": {
-                    "type": "number",
-                    "description": "Today's average risk/reward ratio."
-                },
-                "avg_leverage": {
-                    "type": "number",
-                    "description": "Today's average leverage."
-                },
-                "history": {
-                    "type": "array",
-                    "description": "30-day history of daily average metrics.",
-                    "items": historyItemSchema
-                }
-            },
-            "required": [
-                "conviction_score", "roll_avg_holding_duration", "roll_avg_pnl", 
-                "roll_avg_rr", "roll_avg_leverage", "avg_holding_duration", 
-                "avg_pnl", "avg_rr", "avg_leverage", "history"
-            ]
-        };
-
-        return {
-            "type": "object",
-            "description": "Calculates a 30-day rolling 'Crowd Conviction Score' (0-100) for each asset.",
-            "patternProperties": {
-                "^.*$": tickerSchema // Ticker
-            },
-            "additionalProperties": tickerSchema
-        };
-    }
-
-    _initAsset(instrumentId) {
-        if (!this.assetData.has(instrumentId)) {
-            // metrics: Stores *today's* raw values before averaging
-            // history: Stores *yesterday's* 30-day history
-            this.assetData.set(instrumentId, {
-                metrics: [],
-                history: []
-            });
-        }
-    }
-    
-    _getHoldingDurationHours(openDateStr) {
-        if (!openDateStr) return 0;
-        try {
-            const openDate = new Date(openDateStr);
-            const diffMs = new Date().getTime() - openDate.getTime();
-            return diffMs / (1000 * 60 * 60);
-        } catch (e) {
-            return 0;
-        }
-    }
-    
-    // Simple min-max normalization helper
-    _normalize(value, min, max) {
-        if (max === min) return 0.5; // Avoid division by zero
-        const normalized = (value - min) / (max - min);
-        return Math.max(0, Math.min(1, normalized)); // Clamp between 0 and 1
-    }
-
-    process(portfolioData, yesterdayPortfolio, userId, context) {
-        // This score is based on speculator actions
-        if (portfolioData?.context?.userType !== 'speculator') {
-            return;
-        }
-        
-        // 1. Get this metric's history from yesterday (pre-loaded)
-        if (this.assetData.size === 0) { // Only run once
-             const yHistoryData = context.yesterdaysDependencyData['crowd_conviction_score'];
-             if (yHistoryData) {
-                 if (!this.mappings) {
-                     // We need mappings to convert *yesterday's* tickers back to IDs
-                     this.mappings = context.mappings;
-                 }
-                 for (const [ticker, data] of Object.entries(yHistoryData)) {
-                     const instrumentId = this.mappings.tickerToInstrument[ticker];
-                     if (instrumentId) {
-                         this._initAsset(instrumentId);
-                         this.assetData.get(instrumentId).history = data.history || [];
-                     }
-                 }
-             }
-        }
-
-        const positions = portfolioData.PublicPositions;
-        if (!positions || !Array.isArray(positions)) {
-            return;
-        }
-
-        for (const pos of positions) {
-            const instrumentId = pos.InstrumentID;
-            if (!instrumentId) continue;
-            
-            this._initAsset(instrumentId);
-            
-            const pnl_percent = (pos.NetProfit || 0) / (pos.Amount || 1);
-            const holding_duration = this._getHoldingDurationHours(pos.OpenDateTime);
-            const leverage = pos.Leverage || 1;
-            
-            const sl_rate = pos.StopLossRate || 0;
-            const tp_rate = pos.TakeProfitRate || 0;
-            const open_rate = pos.OpenRate || 1;
-            
-            let rr_ratio = 0;
-            if (sl_rate > 0 && tp_rate > 0) {
-                const risk = Math.abs(open_rate - sl_rate);
-                const reward = Math.abs(tp_rate - open_rate);
-                if (risk > 0) {
-                    rr_ratio = reward / risk;
-                }
-            }
-            
-            this.assetData.get(instrumentId).metrics.push({
-                holding_duration,
-                pnl_percent,
-                rr_ratio,
-                leverage
-            });
-        }
-    }
-
-    async getResult() {
-        if (!this.mappings) {
-            this.mappings = await loadInstrumentMappings();
-        }
-
-        const result = {};
-        for (const [instrumentId, data] of this.assetData.entries()) {
-            const ticker = this.mappings.instrumentToTicker[instrumentId] || `id_${instrumentId}`;
-            const metrics = data.metrics;
-            const yHistory = data.history; // Yesterday's 30-day history
-
-            if (metrics.length === 0) continue;
-
-            // 1. Calculate today's averages
-            const count = metrics.length;
-            const avg_holding_duration = metrics.reduce((s, m) => s + m.holding_duration, 0) / count;
-            const avg_pnl = metrics.reduce((s, m) => s + m.pnl_percent, 0) / count;
-            const avg_rr = metrics.reduce((s, m) => s + m.rr_ratio, 0) / count;
-            const avg_leverage = metrics.reduce((s, m) => s + m.leverage, 0) / count;
-            
-            const todayMetrics = { avg_holding_duration, avg_pnl, avg_rr, avg_leverage };
-
-            // 2. Create new 30-day history
-            const newHistory = [todayMetrics, ...yHistory].slice(0, 30);
-            
-            // 3. Calculate 30-day rolling averages
-            const historyCount = newHistory.length;
-            const roll_avg_duration = newHistory.reduce((s, m) => s + m.avg_holding_duration, 0) / historyCount;
-            const roll_avg_pnl = newHistory.reduce((s, m) => s + m.avg_pnl, 0) / historyCount;
-            const roll_avg_rr = newHistory.reduce((s, m) => s + m.avg_rr, 0) / historyCount;
-            const roll_avg_leverage = newHistory.reduce((s, m) => s + m.avg_leverage, 0) / historyCount;
-            
-            // 4. Calculate Conviction Score (example normalization)
-            // (Assumes a 0-1 range for normalization, then scales to 0-100)
-            const norm_duration = this._normalize(roll_avg_duration, 0, 240); // 0-10 days
-            const norm_pnl = this._normalize(roll_avg_pnl, -0.5, 0.5);       // -50% to +50%
-            const norm_rr = this._normalize(roll_avg_rr, 0, 3);            // 0 to 3 R:R
-            const norm_leverage = 1 - this._normalize(roll_avg_leverage, 1, 10); // 1x to 10x (inverted)
-
-            // Combine scores (equal weight for this example)
-            const score_pct = (norm_duration + norm_pnl + norm_rr + norm_leverage) / 4;
-            
-            result[ticker] = {
-                conviction_score: score_pct * 100, // Final score 0-100
-                roll_avg_holding_duration,
-                roll_avg_pnl,
-                roll_avg_rr,
-                roll_avg_leverage,
-                
-                // Also include today's raw averages
-                avg_holding_duration,
-                avg_pnl,
-                avg_rr,
-                avg_leverage,
-                
-                history: newHistory
-            };
-        }
-        return result;
-    }
-
-    reset() {
-        this.assetData.clear();
-        this.mappings = null;
-    }
-}
-
-module.exports = CrowdConvictionScore;

package/calculations/legacy/crowd_sharpe_ratio_proxy.js

@@ -1,137 +0,0 @@
-/**
- * @fileoverview Calculation (Pass 2) for crowd sharpe ratio proxy.
- *
- * This metric answers: "What is the crowd's risk-adjusted return
- * (Sharpe Ratio proxy) for each asset?"
- *
- * It uses the distribution of P&L from 'pnl_distribution_per_stock'
- * to calculate variance (risk).
- *
- * --- FIX: 2025-11-12 ---
- * Refactored this file to be a "meta" calculation.
- * 1. Removed constructor, getResult, reset, and the no-op 'process'.
- * 2. Added the required `async process(dStr, deps, config, fetchedDeps)` method.
- * 3. Moved all logic into `process`.
- * 4. Updated logic to read from `fetchedDeps['pnl_distribution_per_stock']`.
- * 5. Updated data access to read from the new `data.stats` object
- * provided by the fixed dependency.
- */
-const { loadInstrumentMappings } = require('../../utils/sector_mapping_provider');
-
-class CrowdSharpeRatioProxy {
-    /**
-     * Defines the output schema for this calculation.
-     * @returns {object} JSON Schema object
-     */
-    static getSchema() {
-        const tickerSchema = {
-            "type": "object",
-            "description": "Sharpe Ratio proxy metrics for a specific asset.",
-            "properties": {
-                "sharpe_ratio_proxy": {
-                    "type": "number",
-                    "description": "Risk-adjusted return proxy (Mean P&L / StdDev P&L). Assumes risk-free rate is 0."
-                },
-                "average_pnl": { "type": "number" },
-                "std_dev_pnl": { "type": "number" },
-                "variance_pnl": { "type": "number" },
-                "position_count": { "type": "number" }
-            },
-            "required": ["sharpe_ratio_proxy", "average_pnl", "std_dev_pnl", "position_count"]
-        };
-
-        return {
-            "type": "object",
-            "description": "Calculates a risk-adjusted return (Sharpe Ratio proxy) for each asset based on P&L distribution.",
-            "patternProperties": {
-                "^.*$": tickerSchema // Matches any string key (ticker)
-            },
-            "additionalProperties": tickerSchema
-        };
-    }
-
-    /**
-     * Statically declare dependencies.
-     */
-    static getDependencies() {
-        return [
-            'pnl_distribution_per_stock' // Pass 1
-        ];
-    }
-
-    /**
-     * --- FIX: This is the new main execution method for meta-calcs ---
-     * It receives all dependencies from the orchestrator.
-     */
-    async process(dateStr, dependencies, config, fetchedDependencies) {
-        // --- FIX: Load dependency data from the argument ---
-        const pnlDistData = fetchedDependencies['pnl_distribution_per_stock'];
-        
-        if (!pnlDistData) {
-            dependencies.logger.log('WARN', `[crowd_sharpe_ratio_proxy] Missing dependency 'pnl_distribution_per_stock' for ${dateStr}. Skipping.`);
-            return {};
-        }
-        
-        // --- FIX: Load mappings inside the process method ---
-        const mappings = await loadInstrumentMappings();
-        if (!mappings || !mappings.instrumentToTicker) {
-            dependencies.logger.log('ERROR', `[crowd_sharpe_ratio_proxy] Failed to load instrument mappings.`);
-            return {};
-        }
-
-        const result = {};
-
-        for (const [ticker, data] of Object.entries(pnlDistData)) {
-            
-            // --- FIX: Read from the new 'stats' sub-object ---
-            if (!data.stats) {
-                continue; // Skip if data is malformed
-            }
-            
-            const { sum, sumSq, count } = data.stats;
-            
-            if (count < 2) {
-                continue; // Need at least 2 data points for variance
-            }
-
-            // Calculate Mean (Average P&L)
-            const mean = sum / count;
-            
-            // Calculate Variance
-            // Var(X) = E[X^2] - (E[X])^2
-            const meanSq = sumSq / count;
-            const variance = meanSq - (mean * mean);
-            
-            // Handle potential float precision errors
-            if (variance < 0) {
-                continue;
-            }
-
-            // Calculate Standard Deviation (Risk)
-            const stdDev = Math.sqrt(variance);
-
-            if (stdDev === 0) {
-                continue; // No risk, Sharpe ratio is infinite/undefined
-            }
-
-            // Calculate Sharpe Ratio Proxy (assuming risk-free rate = 0)
-            // Sharpe = Mean(Return) / StdDev(Return)
-            const sharpeProxy = mean / stdDev;
-            
-            // --- FIX: Data is already keyed by ticker, no mapping needed ---
-            // const ticker = this.mappings.instrumentToTicker[instrumentId] || `id_${instrumentId}`;
-
-            result[ticker] = {
-                sharpe_ratio_proxy: sharpeProxy,
-                average_pnl: mean,
-                std_dev_pnl: stdDev,
-                variance_pnl: variance,
-                position_count: count
-            };
-        }
-        
-        return result;
-    }
-}
-
-module.exports = CrowdSharpeRatioProxy;

package/calculations/legacy/daily_asset_activity.js

@@ -1,128 +0,0 @@
-/**
- * @fileoverview Tracks the flow of unique users opening or closing positions
- * on a per-asset basis. This measures the "focus" of the crowd's activity.
- */
-const { loadInstrumentMappings } = require('../../utils/sector_mapping_provider');
-
-class DailyAssetActivity {
-    constructor() {
-        // We will store { [instrumentId]: { new_users: Set(), closed_users: Set() } }
-        this.assetActivity = new Map();
-        this.mappings = null;
-    }
-
-    /**
-     * Defines the output schema for this calculation.
-     * @returns {object} JSON Schema object
-     */
-    static getSchema() {
-        return {
-            "type": "object",
-            "description": "Tracks the net flow of unique users opening or closing positions per asset.",
-            "patternProperties": {
-                // This matches any string key (which will be a ticker)
-                "^.*$": {
-                    "type": "object",
-                    "description": "User flow metrics for a specific asset ticker.",
-                    "properties": {
-                        "opened_by_user_count": {
-                            "type": "number",
-                            "description": "Count of unique users who opened a position in this asset."
-                        },
-                        "closed_by_user_count": {
-                            "type": "number",
-                            "description": "Count of unique users who closed their position in this asset."
-                        },
-                        "net_user_flow": {
-                            "type": "number",
-                            "description": "Net change in users (opened - closed)."
-                        }
-                    },
-                    "required": ["opened_by_user_count", "closed_by_user_count", "net_user_flow"]
-                }
-            },
-            // Use 'additionalProperties' as a fallback for patternProperties
-            "additionalProperties": {
-                "type": "object",
-                "properties": {
-                    "opened_by_user_count": { "type": "number" },
-                    "closed_by_user_count": { "type": "number" },
-                    "net_user_flow": { "type": "number" }
-                }
-            }
-        };
-    }
-
-    _initAsset(instrumentId) {
-        if (!this.assetActivity.has(instrumentId)) {
-            this.assetActivity.set(instrumentId, {
-                new_users: new Set(),
-                closed_users: new Set()
-            });
-        }
-    }
-
-    _getInstrumentIds(portfolio) {
-        const positions = portfolio?.AggregatedPositions || portfolio?.PublicPositions;
-        if (!positions || !Array.isArray(positions)) {
-            return new Set();
-        }
-        return new Set(positions.map(p => p.InstrumentID).filter(Boolean));
-    }
-
-    process(todayPortfolio, yesterdayPortfolio, userId) {
-        if (!todayPortfolio || !yesterdayPortfolio) {
-            return;
-        }
-
-        const yIds = this._getInstrumentIds(yesterdayPortfolio);
-        const tIds = this._getInstrumentIds(todayPortfolio);
-
-        // Find new positions (in today but not yesterday)
-        for (const tId of tIds) {
-            if (!yIds.has(tId)) {
-                this._initAsset(tId);
-                this.assetActivity.get(tId).new_users.add(userId);
-            }
-        }
-
-        // Find closed positions (in yesterday but not today)
-        for (const yId of yIds) {
-            if (!tIds.has(yId)) {
-                this._initAsset(yId);
-                this.assetActivity.get(yId).closed_users.add(userId);
-            }
-        }
-    }
-
-    async getResult() {
-        if (!this.mappings) {
-            this.mappings = await loadInstrumentMappings();
-        }
-
-        const result = {};
-        for (const [instrumentId, data] of this.assetActivity.entries()) {
-            const ticker = this.mappings.instrumentToTicker[instrumentId] || `id_${instrumentId}`;
-            
-            const openCount = data.new_users.size;
-            const closeCount = data.closed_users.size;
-            
-            if (openCount > 0 || closeCount > 0) {
-                result[ticker] = {
-                    opened_by_user_count: openCount,
-                    closed_by_user_count: closeCount,
-                    // "Net User Flow" - positive means more users joined than left
-                    net_user_flow: openCount - closeCount 
-                };
-            }
-        }
-        return result;
-    }
-
-    reset() {
-        this.assetActivity.clear();
-        this.mappings = null;
-    }
-}
-
-module.exports = DailyAssetActivity;