bfxsentry-agent 0.1.0

package/dist/src/risk/position-manager.js

@@ -0,0 +1,171 @@
+import { addCooldown } from './cooldown.js';
+const positions = [];
+let dailyTrades = 0;
+let dailyPnl = 0;
+let consecutiveLosses = 0;
+let lossStreakUsd = 0;
+let lastResetDate = '';
+function todayKey() {
+    return new Date().toISOString().slice(0, 10);
+}
+function resetDailyIfNeeded() {
+    const today = todayKey();
+    if (lastResetDate !== today) {
+        dailyTrades = 0;
+        dailyPnl = 0;
+        lastResetDate = today;
+    }
+}
+export function getPositions() {
+    return [...positions];
+}
+export function getOpenPositionCount() {
+    return positions.length;
+}
+export function getTotalPositionUsd() {
+    return positions.reduce((s, p) => s + p.sizeUsd, 0);
+}
+export function getSameDirectionPct(direction) {
+    const total = getTotalPositionUsd();
+    if (total === 0)
+        return 0;
+    const sameDir = positions.filter(p => p.direction === direction).reduce((s, p) => s + p.sizeUsd, 0);
+    return (sameDir / total) * 100;
+}
+export function getDailyTrades() {
+    resetDailyIfNeeded();
+    return dailyTrades;
+}
+export function getDailyPnl() {
+    resetDailyIfNeeded();
+    return dailyPnl;
+}
+export function getConsecutiveLosses() {
+    return consecutiveLosses;
+}
+export function getLossStreakUsd() {
+    return lossStreakUsd;
+}
+export function openPosition(intent, result) {
+    if (!result.success || !result.fillPrice || !result.fillSize)
+        return null;
+    resetDailyIfNeeded();
+    dailyTrades++;
+    const pos = {
+        id: intent.id,
+        strategy: intent.strategy,
+        direction: intent.direction,
+        instrument: intent.instrument,
+        entryPrice: result.fillPrice,
+        currentPrice: result.fillPrice,
+        size: result.fillSize,
+        sizeUsd: result.fillSize * result.fillPrice,
+        leverage: intent.leverage,
+        unrealizedPnl: 0,
+        unrealizedPnlPct: 0,
+        stopLoss: intent.direction === 'long'
+            ? result.fillPrice * (1 - intent.stopLossPct / 100)
+            : result.fillPrice * (1 + intent.stopLossPct / 100),
+        takeProfit: intent.direction === 'long'
+            ? result.fillPrice * (1 + intent.takeProfitPct / 100)
+            : result.fillPrice * (1 - intent.takeProfitPct / 100),
+        openedAt: Date.now(),
+        highWatermark: result.fillPrice,
+        trailingStopPct: intent.takeProfitPct,
+    };
+    positions.push(pos);
+    return pos;
+}
+export function closePosition(posId, exitPrice, reason) {
+    const idx = positions.findIndex(p => p.id === posId);
+    if (idx === -1)
+        return 0;
+    const pos = positions[idx];
+    const pnl = pos.direction === 'long'
+        ? (exitPrice - pos.entryPrice) * pos.size
+        : (pos.entryPrice - exitPrice) * pos.size;
+    resetDailyIfNeeded();
+    dailyPnl += pnl;
+    if (pnl < 0) {
+        consecutiveLosses++;
+        lossStreakUsd += Math.abs(pnl);
+        // Add cooldown on loss
+        addCooldown(pos.strategy, pos.direction, 300, `止损: ${reason}`);
+    }
+    else {
+        consecutiveLosses = 0;
+        lossStreakUsd = 0;
+    }
+    positions.splice(idx, 1);
+    return pnl;
+}
+export function updatePositionPrices(currentPrice) {
+    for (const pos of positions) {
+        pos.currentPrice = currentPrice;
+        pos.unrealizedPnl = pos.direction === 'long'
+            ? (currentPrice - pos.entryPrice) * pos.size
+            : (pos.entryPrice - currentPrice) * pos.size;
+        pos.unrealizedPnlPct = (pos.unrealizedPnl / pos.sizeUsd) * 100;
+        // Update high watermark for trailing stop
+        if (pos.direction === 'long' && currentPrice > pos.highWatermark) {
+            pos.highWatermark = currentPrice;
+        }
+        else if (pos.direction === 'short' && currentPrice < pos.highWatermark) {
+            pos.highWatermark = currentPrice;
+        }
+    }
+}
+export function checkStopLossAndTakeProfit(currentPrice) {
+    const closed = [];
+    for (const pos of [...positions]) {
+        let shouldClose = false;
+        let reason = '';
+        if (pos.direction === 'long') {
+            if (currentPrice <= pos.stopLoss) {
+                shouldClose = true;
+                reason = '触发止损';
+            }
+            if (currentPrice >= pos.takeProfit) {
+                shouldClose = true;
+                reason = '触发止盈';
+            }
+        }
+        else {
+            if (currentPrice >= pos.stopLoss) {
+                shouldClose = true;
+                reason = '触发止损';
+            }
+            if (currentPrice <= pos.takeProfit) {
+                shouldClose = true;
+                reason = '触发止盈';
+            }
+        }
+        // Trailing stop
+        if (pos.trailingStopPct && !shouldClose) {
+            const trailPrice = pos.direction === 'long'
+                ? pos.highWatermark * (1 - pos.trailingStopPct / 100)
+                : pos.highWatermark * (1 + pos.trailingStopPct / 100);
+            if (pos.direction === 'long' && currentPrice <= trailPrice) {
+                shouldClose = true;
+                reason = '移动止损';
+            }
+            else if (pos.direction === 'short' && currentPrice >= trailPrice) {
+                shouldClose = true;
+                reason = '移动止损';
+            }
+        }
+        if (shouldClose) {
+            const pnl = closePosition(pos.id, currentPrice, reason);
+            closed.push({ posId: pos.id, reason, pnl });
+        }
+    }
+    return closed;
+}
+export function closeAllPositions(currentPrice) {
+    let totalPnl = 0;
+    for (const pos of [...positions]) {
+        totalPnl += closePosition(pos.id, currentPrice, '手动全平');
+    }
+    return totalPnl;
+}
+//# sourceMappingURL=position-manager.js.map

package/dist/src/risk/position-manager.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"position-manager.js","sourceRoot":"","sources":["../../../src/risk/position-manager.ts"],"names":[],"mappings":"AACA,OAAO,EAAE,WAAW,EAAE,MAAM,eAAe,CAAA;AAE3C,MAAM,SAAS,GAAe,EAAE,CAAA;AAChC,IAAI,WAAW,GAAG,CAAC,CAAA;AACnB,IAAI,QAAQ,GAAG,CAAC,CAAA;AAChB,IAAI,iBAAiB,GAAG,CAAC,CAAA;AACzB,IAAI,aAAa,GAAG,CAAC,CAAA;AACrB,IAAI,aAAa,GAAG,EAAE,CAAA;AAEtB,SAAS,QAAQ;IACf,OAAO,IAAI,IAAI,EAAE,CAAC,WAAW,EAAE,CAAC,KAAK,CAAC,CAAC,EAAE,EAAE,CAAC,CAAA;AAC9C,CAAC;AAED,SAAS,kBAAkB;IACzB,MAAM,KAAK,GAAG,QAAQ,EAAE,CAAA;IACxB,IAAI,aAAa,KAAK,KAAK,EAAE,CAAC;QAC5B,WAAW,GAAG,CAAC,CAAA;QACf,QAAQ,GAAG,CAAC,CAAA;QACZ,aAAa,GAAG,KAAK,CAAA;IACvB,CAAC;AACH,CAAC;AAED,MAAM,UAAU,YAAY;IAC1B,OAAO,CAAC,GAAG,SAAS,CAAC,CAAA;AACvB,CAAC;AAED,MAAM,UAAU,oBAAoB;IAClC,OAAO,SAAS,CAAC,MAAM,CAAA;AACzB,CAAC;AAED,MAAM,UAAU,mBAAmB;IACjC,OAAO,SAAS,CAAC,MAAM,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,GAAG,CAAC,CAAC,OAAO,EAAE,CAAC,CAAC,CAAA;AACrD,CAAC;AAED,MAAM,UAAU,mBAAmB,CAAC,SAA2B;IAC7D,MAAM,KAAK,GAAG,mBAAmB,EAAE,CAAA;IACnC,IAAI,KAAK,KAAK,CAAC;QAAE,OAAO,CAAC,CAAA;IACzB,MAAM,OAAO,GAAG,SAAS,CAAC,MAAM,CAAC,CAAC,CAAC,EAAE,CAAC,CAAC,CAAC,SAAS,KAAK,SAAS,CAAC,CAAC,MAAM,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,GAAG,CAAC,CAAC,OAAO,EAAE,CAAC,CAAC,CAAA;IACnG,OAAO,CAAC,OAAO,GAAG,KAAK,CAAC,GAAG,GAAG,CAAA;AAChC,CAAC;AAED,MAAM,UAAU,cAAc;IAC5B,kBAAkB,EAAE,CAAA;IACpB,OAAO,WAAW,CAAA;AACpB,CAAC;AAED,MAAM,UAAU,WAAW;IACzB,kBAAkB,EAAE,CAAA;IACpB,OAAO,QAAQ,CAAA;AACjB,CAAC;AAED,MAAM,UAAU,oBAAoB;IAClC,OAAO,iBAAiB,CAAA;AAC1B,CAAC;AAED,MAAM,UAAU,gBAAgB;IAC9B,OAAO,aAAa,CAAA;AACtB,CAAC;AAED,MAAM,UAAU,YAAY,CAAC,MAAmB,EAAE,MAAuB;IACvE,IAAI,CAAC,MAAM,CAAC,OAAO,IAAI,CAAC,MAAM,CAAC,SAAS,IAAI,CAAC,MAAM,CAAC,QAAQ;QAAE,OAAO,IAAI,CAAA;IAEzE,kBAAkB,EAAE,CAAA;IACpB,WAAW,EAAE,CAAA;IAEb,MAAM,GAAG,GAAa;QACpB,EAAE,EAAE,MAAM,CAAC,EAAE;QACb,QAAQ,EAAE,MAAM,CAAC,QAAQ;QACzB,SAAS,EAAE,MAAM,CAAC,SAAS;QAC3B,UAAU,EAAE,MAAM,CAAC,UAAU;QAC7B,UAAU,EAAE,MAAM,CAAC,SAAS;QAC5B,YAAY,EAAE,MAAM,CAAC,SAAS;QAC9B,IAAI,EAAE,MAAM,CAAC,QAAQ;QACrB,OAAO,EAAE,MAAM,CAAC,QAAQ,GAAG,MAAM,CAAC,SAAS;QAC3C,QAAQ,EAAE,MAAM,CAAC,QAAQ;QACzB,aAAa,EAAE,CAAC;QAChB,gBAAgB,EAAE,CAAC;QACnB,QAAQ,EAAE,MAAM,CAAC,SAAS,KAAK,MAAM;YACnC,CAAC,CAAC,MAAM,CAAC,SAAS,GAAG,CAAC,CAAC,GAAG,MAAM,CAAC,WAAW,GAAG,GAAG,CAAC;YACnD,CAAC,CAAC,MAAM,CAAC,SAAS,GAAG,CAAC,CAAC,GAAG,MAAM,CAAC,WAAW,GAAG,GAAG,CAAC;QACrD,UAAU,EAAE,MAAM,CAAC,SAAS,KAAK,MAAM;YACrC,CAAC,CAAC,MAAM,CAAC,SAAS,GAAG,CAAC,CAAC,GAAG,MAAM,CAAC,aAAa,GAAG,GAAG,CAAC;YACrD,CAAC,CAAC,MAAM,CAAC,SAAS,GAAG,CAAC,CAAC,GAAG,MAAM,CAAC,aAAa,GAAG,GAAG,CAAC;QACvD,QAAQ,EAAE,IAAI,CAAC,GAAG,EAAE;QACpB,aAAa,EAAE,MAAM,CAAC,SAAS;QAC/B,eAAe,EAAE,MAAM,CAAC,aAAa;KACtC,CAAA;IAED,SAAS,CAAC,IAAI,CAAC,GAAG,CAAC,CAAA;IACnB,OAAO,GAAG,CAAA;AACZ,CAAC;AAED,MAAM,UAAU,aAAa,CAAC,KAAa,EAAE,SAAiB,EAAE,MAAc;IAC5E,MAAM,GAAG,GAAG,SAAS,CAAC,SAAS,CAAC,CAAC,CAAC,EAAE,CAAC,CAAC,CAAC,EAAE,KAAK,KAAK,CAAC,CAAA;IACpD,IAAI,GAAG,KAAK,CAAC,CAAC;QAAE,OAAO,CAAC,CAAA;IAExB,MAAM,GAAG,GAAG,SAAS,CAAC,GAAG,CAAC,CAAA;IAC1B,MAAM,GAAG,GAAG,GAAG,CAAC,SAAS,KAAK,MAAM;QAClC,CAAC,CAAC,CAAC,SAAS,GAAG,GAAG,CAAC,UAAU,CAAC,GAAG,GAAG,CAAC,IAAI;QACzC,CAAC,CAAC,CAAC,GAAG,CAAC,UAAU,GAAG,SAAS,CAAC,GAAG,GAAG,CAAC,IAAI,CAAA;IAE3C,kBAAkB,EAAE,CAAA;IACpB,QAAQ,IAAI,GAAG,CAAA;IAEf,IAAI,GAAG,GAAG,CAAC,EAAE,CAAC;QACZ,iBAAiB,EAAE,CAAA;QACnB,aAAa,IAAI,IAAI,CAAC,GAAG,CAAC,GAAG,CAAC,CAAA;QAC9B,uBAAuB;QACvB,WAAW,CAAC,GAAG,CAAC,QAAQ,EAAE,GAAG,CAAC,SAAS,EAAE,GAAG,EAAE,OAAO,MAAM,EAAE,CAAC,CAAA;IAChE,CAAC;SAAM,CAAC;QACN,iBAAiB,GAAG,CAAC,CAAA;QACrB,aAAa,GAAG,CAAC,CAAA;IACnB,CAAC;IAED,SAAS,CAAC,MAAM,CAAC,GAAG,EAAE,CAAC,CAAC,CAAA;IACxB,OAAO,GAAG,CAAA;AACZ,CAAC;AAED,MAAM,UAAU,oBAAoB,CAAC,YAAoB;IACvD,KAAK,MAAM,GAAG,IAAI,SAAS,EAAE,CAAC;QAC5B,GAAG,CAAC,YAAY,GAAG,YAAY,CAAA;QAC/B,GAAG,CAAC,aAAa,GAAG,GAAG,CAAC,SAAS,KAAK,MAAM;YAC1C,CAAC,CAAC,CAAC,YAAY,GAAG,GAAG,CAAC,UAAU,CAAC,GAAG,GAAG,CAAC,IAAI;YAC5C,CAAC,CAAC,CAAC,GAAG,CAAC,UAAU,GAAG,YAAY,CAAC,GAAG,GAAG,CAAC,IAAI,CAAA;QAC9C,GAAG,CAAC,gBAAgB,GAAG,CAAC,GAAG,CAAC,aAAa,GAAG,GAAG,CAAC,OAAO,CAAC,GAAG,GAAG,CAAA;QAE9D,0CAA0C;QAC1C,IAAI,GAAG,CAAC,SAAS,KAAK,MAAM,IAAI,YAAY,GAAG,GAAG,CAAC,aAAa,EAAE,CAAC;YACjE,GAAG,CAAC,aAAa,GAAG,YAAY,CAAA;QAClC,CAAC;aAAM,IAAI,GAAG,CAAC,SAAS,KAAK,OAAO,IAAI,YAAY,GAAG,GAAG,CAAC,aAAa,EAAE,CAAC;YACzE,GAAG,CAAC,aAAa,GAAG,YAAY,CAAA;QAClC,CAAC;IACH,CAAC;AACH,CAAC;AAED,MAAM,UAAU,0BAA0B,CAAC,YAAoB;IAC7D,MAAM,MAAM,GAAqD,EAAE,CAAA;IAEnE,KAAK,MAAM,GAAG,IAAI,CAAC,GAAG,SAAS,CAAC,EAAE,CAAC;QACjC,IAAI,WAAW,GAAG,KAAK,CAAA;QACvB,IAAI,MAAM,GAAG,EAAE,CAAA;QAEf,IAAI,GAAG,CAAC,SAAS,KAAK,MAAM,EAAE,CAAC;YAC7B,IAAI,YAAY,IAAI,GAAG,CAAC,QAAQ,EAAE,CAAC;gBAAC,WAAW,GAAG,IAAI,CAAC;gBAAC,MAAM,GAAG,MAAM,CAAA;YAAC,CAAC;YACzE,IAAI,YAAY,IAAI,GAAG,CAAC,UAAU,EAAE,CAAC;gBAAC,WAAW,GAAG,IAAI,CAAC;gBAAC,MAAM,GAAG,MAAM,CAAA;YAAC,CAAC;QAC7E,CAAC;aAAM,CAAC;YACN,IAAI,YAAY,IAAI,GAAG,CAAC,QAAQ,EAAE,CAAC;gBAAC,WAAW,GAAG,IAAI,CAAC;gBAAC,MAAM,GAAG,MAAM,CAAA;YAAC,CAAC;YACzE,IAAI,YAAY,IAAI,GAAG,CAAC,UAAU,EAAE,CAAC;gBAAC,WAAW,GAAG,IAAI,CAAC;gBAAC,MAAM,GAAG,MAAM,CAAA;YAAC,CAAC;QAC7E,CAAC;QAED,gBAAgB;QAChB,IAAI,GAAG,CAAC,eAAe,IAAI,CAAC,WAAW,EAAE,CAAC;YACxC,MAAM,UAAU,GAAG,GAAG,CAAC,SAAS,KAAK,MAAM;gBACzC,CAAC,CAAC,GAAG,CAAC,aAAa,GAAG,CAAC,CAAC,GAAG,GAAG,CAAC,eAAe,GAAG,GAAG,CAAC;gBACrD,CAAC,CAAC,GAAG,CAAC,aAAa,GAAG,CAAC,CAAC,GAAG,GAAG,CAAC,eAAe,GAAG,GAAG,CAAC,CAAA;YACvD,IAAI,GAAG,CAAC,SAAS,KAAK,MAAM,IAAI,YAAY,IAAI,UAAU,EAAE,CAAC;gBAC3D,WAAW,GAAG,IAAI,CAAC;gBAAC,MAAM,GAAG,MAAM,CAAA;YACrC,CAAC;iBAAM,IAAI,GAAG,CAAC,SAAS,KAAK,OAAO,IAAI,YAAY,IAAI,UAAU,EAAE,CAAC;gBACnE,WAAW,GAAG,IAAI,CAAC;gBAAC,MAAM,GAAG,MAAM,CAAA;YACrC,CAAC;QACH,CAAC;QAED,IAAI,WAAW,EAAE,CAAC;YAChB,MAAM,GAAG,GAAG,aAAa,CAAC,GAAG,CAAC,EAAE,EAAE,YAAY,EAAE,MAAM,CAAC,CAAA;YACvD,MAAM,CAAC,IAAI,CAAC,EAAE,KAAK,EAAE,GAAG,CAAC,EAAE,EAAE,MAAM,EAAE,GAAG,EAAE,CAAC,CAAA;QAC7C,CAAC;IACH,CAAC;IAED,OAAO,MAAM,CAAA;AACf,CAAC;AAED,MAAM,UAAU,iBAAiB,CAAC,YAAoB;IACpD,IAAI,QAAQ,GAAG,CAAC,CAAA;IAChB,KAAK,MAAM,GAAG,IAAI,CAAC,GAAG,SAAS,CAAC,EAAE,CAAC;QACjC,QAAQ,IAAI,aAAa,CAAC,GAAG,CAAC,EAAE,EAAE,YAAY,EAAE,MAAM,CAAC,CAAA;IACzD,CAAC;IACD,OAAO,QAAQ,CAAA;AACjB,CAAC"}

package/dist/src/risk/strategy-filter.d.ts

@@ -0,0 +1,8 @@
+import type { TradeIntent } from '../strategy/types.js';
+import type { AgentConfig } from '../core/config.js';
+export interface FilterResult {
+    passed: boolean;
+    reason?: string;
+}
+export declare function strategyFilter(intent: TradeIntent, config: AgentConfig): FilterResult;
+//# sourceMappingURL=strategy-filter.d.ts.map

package/dist/src/risk/strategy-filter.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"strategy-filter.d.ts","sourceRoot":"","sources":["../../../src/risk/strategy-filter.ts"],"names":[],"mappings":"AAAA,OAAO,KAAK,EAAE,WAAW,EAAE,MAAM,sBAAsB,CAAA;AACvD,OAAO,KAAK,EAAE,WAAW,EAAE,MAAM,mBAAmB,CAAA;AAOpD,MAAM,WAAW,YAAY;IAC3B,MAAM,EAAE,OAAO,CAAA;IACf,MAAM,CAAC,EAAE,MAAM,CAAA;CAChB;AAED,wBAAgB,cAAc,CAAC,MAAM,EAAE,WAAW,EAAE,MAAM,EAAE,WAAW,GAAG,YAAY,CA2CrF"}

package/dist/src/risk/strategy-filter.js

@@ -0,0 +1,40 @@
+import { isCoolingDown } from './cooldown.js';
+import { getOpenPositionCount, getDailyTrades, getTotalPositionUsd, getPositions } from './position-manager.js';
+import { getLogger } from '../core/logger.js';
+const log = () => getLogger();
+export function strategyFilter(intent, config) {
+    const risk = config.risk;
+    // 1. Max concurrent positions
+    if (getOpenPositionCount() >= risk.max_concurrent_positions) {
+        return { passed: false, reason: `持仓数已达上限 (${risk.max_concurrent_positions})` };
+    }
+    // 2. Max daily trades
+    if (getDailyTrades() >= risk.max_daily_trades) {
+        return { passed: false, reason: `日交易次数已达上限 (${risk.max_daily_trades})` };
+    }
+    // 3. Max total position
+    const intentUsd = intent.entryPrice * (intent.sizePct / 100) * risk.max_total_position_usd;
+    if (getTotalPositionUsd() + intentUsd > risk.max_total_position_usd) {
+        return { passed: false, reason: `总仓位将超限 ($${risk.max_total_position_usd})` };
+    }
+    // 4. Cooldown check
+    const cd = isCoolingDown(intent.strategy, intent.direction);
+    if (cd.cooling) {
+        return { passed: false, reason: `冷却中: ${cd.reason} (${cd.remainingSec}s)` };
+    }
+    // 5. Confidence threshold
+    if (intent.confidence < 30) {
+        return { passed: false, reason: `置信度过低 (${intent.confidence.toFixed(0)}% < 30%)` };
+    }
+    // 6. Conflict resolution
+    if (risk.conflict_resolution === 'conservative') {
+        const positions = getPositions();
+        const conflicting = positions.find(p => p.instrument === intent.instrument && p.direction !== intent.direction);
+        if (conflicting) {
+            return { passed: false, reason: `与现有 ${conflicting.direction} 持仓冲突 (保守模式)` };
+        }
+    }
+    log().debug({ strategy: intent.strategy, direction: intent.direction }, 'Strategy filter passed');
+    return { passed: true };
+}
+//# sourceMappingURL=strategy-filter.js.map

package/dist/src/risk/strategy-filter.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"strategy-filter.js","sourceRoot":"","sources":["../../../src/risk/strategy-filter.ts"],"names":[],"mappings":"AAEA,OAAO,EAAE,aAAa,EAAE,MAAM,eAAe,CAAA;AAC7C,OAAO,EAAE,oBAAoB,EAAE,cAAc,EAAE,mBAAmB,EAAE,YAAY,EAAE,MAAM,uBAAuB,CAAA;AAC/G,OAAO,EAAE,SAAS,EAAE,MAAM,mBAAmB,CAAA;AAE7C,MAAM,GAAG,GAAG,GAAG,EAAE,CAAC,SAAS,EAAE,CAAA;AAO7B,MAAM,UAAU,cAAc,CAAC,MAAmB,EAAE,MAAmB;IACrE,MAAM,IAAI,GAAG,MAAM,CAAC,IAAI,CAAA;IAExB,8BAA8B;IAC9B,IAAI,oBAAoB,EAAE,IAAI,IAAI,CAAC,wBAAwB,EAAE,CAAC;QAC5D,OAAO,EAAE,MAAM,EAAE,KAAK,EAAE,MAAM,EAAE,YAAY,IAAI,CAAC,wBAAwB,GAAG,EAAE,CAAA;IAChF,CAAC;IAED,sBAAsB;IACtB,IAAI,cAAc,EAAE,IAAI,IAAI,CAAC,gBAAgB,EAAE,CAAC;QAC9C,OAAO,EAAE,MAAM,EAAE,KAAK,EAAE,MAAM,EAAE,cAAc,IAAI,CAAC,gBAAgB,GAAG,EAAE,CAAA;IAC1E,CAAC;IAED,wBAAwB;IACxB,MAAM,SAAS,GAAG,MAAM,CAAC,UAAU,GAAG,CAAC,MAAM,CAAC,OAAO,GAAG,GAAG,CAAC,GAAG,IAAI,CAAC,sBAAsB,CAAA;IAC1F,IAAI,mBAAmB,EAAE,GAAG,SAAS,GAAG,IAAI,CAAC,sBAAsB,EAAE,CAAC;QACpE,OAAO,EAAE,MAAM,EAAE,KAAK,EAAE,MAAM,EAAE,YAAY,IAAI,CAAC,sBAAsB,GAAG,EAAE,CAAA;IAC9E,CAAC;IAED,oBAAoB;IACpB,MAAM,EAAE,GAAG,aAAa,CAAC,MAAM,CAAC,QAAQ,EAAE,MAAM,CAAC,SAAS,CAAC,CAAA;IAC3D,IAAI,EAAE,CAAC,OAAO,EAAE,CAAC;QACf,OAAO,EAAE,MAAM,EAAE,KAAK,EAAE,MAAM,EAAE,QAAQ,EAAE,CAAC,MAAM,KAAK,EAAE,CAAC,YAAY,IAAI,EAAE,CAAA;IAC7E,CAAC;IAED,0BAA0B;IAC1B,IAAI,MAAM,CAAC,UAAU,GAAG,EAAE,EAAE,CAAC;QAC3B,OAAO,EAAE,MAAM,EAAE,KAAK,EAAE,MAAM,EAAE,UAAU,MAAM,CAAC,UAAU,CAAC,OAAO,CAAC,CAAC,CAAC,UAAU,EAAE,CAAA;IACpF,CAAC;IAED,yBAAyB;IACzB,IAAI,IAAI,CAAC,mBAAmB,KAAK,cAAc,EAAE,CAAC;QAChD,MAAM,SAAS,GAAG,YAAY,EAAE,CAAA;QAChC,MAAM,WAAW,GAAG,SAAS,CAAC,IAAI,CAAC,CAAC,CAAC,EAAE,CACrC,CAAC,CAAC,UAAU,KAAK,MAAM,CAAC,UAAU,IAAI,CAAC,CAAC,SAAS,KAAK,MAAM,CAAC,SAAS,CACvE,CAAA;QACD,IAAI,WAAW,EAAE,CAAC;YAChB,OAAO,EAAE,MAAM,EAAE,KAAK,EAAE,MAAM,EAAE,OAAO,WAAW,CAAC,SAAS,cAAc,EAAE,CAAA;QAC9E,CAAC;IACH,CAAC;IAED,GAAG,EAAE,CAAC,KAAK,CAAC,EAAE,QAAQ,EAAE,MAAM,CAAC,QAAQ,EAAE,SAAS,EAAE,MAAM,CAAC,SAAS,EAAE,EAAE,wBAAwB,CAAC,CAAA;IACjG,OAAO,EAAE,MAAM,EAAE,IAAI,EAAE,CAAA;AACzB,CAAC"}

package/dist/src/risk/var-calculator.d.ts

@@ -0,0 +1,10 @@
+export declare function addReturn(returnPct: number): void;
+export declare function calculateVaR(confidence?: number): number;
+export declare function wouldExceedVaR(additionalUsd: number, maxVarPct: number, totalCapital: number): boolean;
+export declare function getVarStats(): {
+    var95: number;
+    returnsCount: number;
+    worstReturn: number;
+    avgReturn: number;
+};
+//# sourceMappingURL=var-calculator.d.ts.map

package/dist/src/risk/var-calculator.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"var-calculator.d.ts","sourceRoot":"","sources":["../../../src/risk/var-calculator.ts"],"names":[],"mappings":"AASA,wBAAgB,SAAS,CAAC,SAAS,EAAE,MAAM,QAG1C;AAED,wBAAgB,YAAY,CAAC,UAAU,GAAE,MAAa,GAAG,MAAM,CAU9D;AAED,wBAAgB,cAAc,CAAC,aAAa,EAAE,MAAM,EAAE,SAAS,EAAE,MAAM,EAAE,YAAY,EAAE,MAAM,GAAG,OAAO,CAWtG;AAED,wBAAgB,WAAW,IAAI;IAAE,KAAK,EAAE,MAAM,CAAC;IAAC,YAAY,EAAE,MAAM,CAAC;IAAC,WAAW,EAAE,MAAM,CAAC;IAAC,SAAS,EAAE,MAAM,CAAA;CAAE,CAM7G"}

package/dist/src/risk/var-calculator.js

@@ -0,0 +1,38 @@
+// Simplified VaR calculator based on historical BTC returns
+// Uses position sizing to estimate portfolio VaR
+import { getTotalPositionUsd } from './position-manager.js';
+// Rolling window of hourly BTC returns
+const returnsHistory = [];
+const MAX_RETURNS = 168; // 7 days of hourly data
+export function addReturn(returnPct) {
+    returnsHistory.push(returnPct);
+    if (returnsHistory.length > MAX_RETURNS)
+        returnsHistory.shift();
+}
+export function calculateVaR(confidence = 0.95) {
+    if (returnsHistory.length < 24)
+        return 0; // need at least 24h
+    const sorted = [...returnsHistory].sort((a, b) => a - b);
+    const idx = Math.floor((1 - confidence) * sorted.length);
+    const tailReturn = sorted[idx] || sorted[0];
+    const totalUsd = getTotalPositionUsd();
+    // VaR = position * worst-case return at confidence level
+    return Math.abs(tailReturn * totalUsd);
+}
+export function wouldExceedVaR(additionalUsd, maxVarPct, totalCapital) {
+    if (returnsHistory.length < 24)
+        return false; // not enough data to judge
+    const sorted = [...returnsHistory].sort((a, b) => a - b);
+    const tailReturn = sorted[Math.floor(0.05 * sorted.length)] || sorted[0];
+    const currentUsd = getTotalPositionUsd();
+    const projectedVar = Math.abs(tailReturn * (currentUsd + additionalUsd));
+    const maxVar = totalCapital * (maxVarPct / 100);
+    return projectedVar > maxVar;
+}
+export function getVarStats() {
+    const var95 = calculateVaR(0.95);
+    const worst = returnsHistory.length > 0 ? Math.min(...returnsHistory) : 0;
+    const avg = returnsHistory.length > 0 ? returnsHistory.reduce((a, b) => a + b, 0) / returnsHistory.length : 0;
+    return { var95, returnsCount: returnsHistory.length, worstReturn: worst, avgReturn: avg };
+}
+//# sourceMappingURL=var-calculator.js.map

package/dist/src/risk/var-calculator.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"var-calculator.js","sourceRoot":"","sources":["../../../src/risk/var-calculator.ts"],"names":[],"mappings":"AAAA,4DAA4D;AAC5D,iDAAiD;AAEjD,OAAO,EAAE,mBAAmB,EAAgB,MAAM,uBAAuB,CAAA;AAEzE,uCAAuC;AACvC,MAAM,cAAc,GAAa,EAAE,CAAA;AACnC,MAAM,WAAW,GAAG,GAAG,CAAA,CAAC,wBAAwB;AAEhD,MAAM,UAAU,SAAS,CAAC,SAAiB;IACzC,cAAc,CAAC,IAAI,CAAC,SAAS,CAAC,CAAA;IAC9B,IAAI,cAAc,CAAC,MAAM,GAAG,WAAW;QAAE,cAAc,CAAC,KAAK,EAAE,CAAA;AACjE,CAAC;AAED,MAAM,UAAU,YAAY,CAAC,aAAqB,IAAI;IACpD,IAAI,cAAc,CAAC,MAAM,GAAG,EAAE;QAAE,OAAO,CAAC,CAAA,CAAC,oBAAoB;IAE7D,MAAM,MAAM,GAAG,CAAC,GAAG,cAAc,CAAC,CAAC,IAAI,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,GAAG,CAAC,CAAC,CAAA;IACxD,MAAM,GAAG,GAAG,IAAI,CAAC,KAAK,CAAC,CAAC,CAAC,GAAG,UAAU,CAAC,GAAG,MAAM,CAAC,MAAM,CAAC,CAAA;IACxD,MAAM,UAAU,GAAG,MAAM,CAAC,GAAG,CAAC,IAAI,MAAM,CAAC,CAAC,CAAC,CAAA;IAE3C,MAAM,QAAQ,GAAG,mBAAmB,EAAE,CAAA;IACtC,yDAAyD;IACzD,OAAO,IAAI,CAAC,GAAG,CAAC,UAAU,GAAG,QAAQ,CAAC,CAAA;AACxC,CAAC;AAED,MAAM,UAAU,cAAc,CAAC,aAAqB,EAAE,SAAiB,EAAE,YAAoB;IAC3F,IAAI,cAAc,CAAC,MAAM,GAAG,EAAE;QAAE,OAAO,KAAK,CAAA,CAAC,2BAA2B;IAExE,MAAM,MAAM,GAAG,CAAC,GAAG,cAAc,CAAC,CAAC,IAAI,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,GAAG,CAAC,CAAC,CAAA;IACxD,MAAM,UAAU,GAAG,MAAM,CAAC,IAAI,CAAC,KAAK,CAAC,IAAI,GAAG,MAAM,CAAC,MAAM,CAAC,CAAC,IAAI,MAAM,CAAC,CAAC,CAAC,CAAA;IAExE,MAAM,UAAU,GAAG,mBAAmB,EAAE,CAAA;IACxC,MAAM,YAAY,GAAG,IAAI,CAAC,GAAG,CAAC,UAAU,GAAG,CAAC,UAAU,GAAG,aAAa,CAAC,CAAC,CAAA;IACxE,MAAM,MAAM,GAAG,YAAY,GAAG,CAAC,SAAS,GAAG,GAAG,CAAC,CAAA;IAE/C,OAAO,YAAY,GAAG,MAAM,CAAA;AAC9B,CAAC;AAED,MAAM,UAAU,WAAW;IACzB,MAAM,KAAK,GAAG,YAAY,CAAC,IAAI,CAAC,CAAA;IAChC,MAAM,KAAK,GAAG,cAAc,CAAC,MAAM,GAAG,CAAC,CAAC,CAAC,CAAC,IAAI,CAAC,GAAG,CAAC,GAAG,cAAc,CAAC,CAAC,CAAC,CAAC,CAAC,CAAA;IACzE,MAAM,GAAG,GAAG,cAAc,CAAC,MAAM,GAAG,CAAC,CAAC,CAAC,CAAC,cAAc,CAAC,MAAM,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,GAAG,CAAC,EAAE,CAAC,CAAC,GAAG,cAAc,CAAC,MAAM,CAAC,CAAC,CAAC,CAAC,CAAA;IAE7G,OAAO,EAAE,KAAK,EAAE,YAAY,EAAE,cAAc,CAAC,MAAM,EAAE,WAAW,EAAE,KAAK,EAAE,SAAS,EAAE,GAAG,EAAE,CAAA;AAC3F,CAAC"}

package/dist/src/signal/funding-radar.d.ts

@@ -0,0 +1,4 @@
+import type { MarketSnapshot } from '../collector/types.js';
+import type { Signal } from './types.js';
+export declare function generateFundingSignals(snapshot: MarketSnapshot): Signal[];
+//# sourceMappingURL=funding-radar.d.ts.map

package/dist/src/signal/funding-radar.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"funding-radar.d.ts","sourceRoot":"","sources":["../../../src/signal/funding-radar.ts"],"names":[],"mappings":"AAAA,OAAO,KAAK,EAAE,cAAc,EAAE,MAAM,uBAAuB,CAAA;AAC3D,OAAO,KAAK,EAAE,MAAM,EAAE,MAAM,YAAY,CAAA;AAExC,wBAAgB,sBAAsB,CAAC,QAAQ,EAAE,cAAc,GAAG,MAAM,EAAE,CA8FzE"}

package/dist/src/signal/funding-radar.js

@@ -0,0 +1,92 @@
+export function generateFundingSignals(snapshot) {
+    const { funding, fundingCurrent, deriv } = snapshot;
+    const now = snapshot.timestamp;
+    const signals = [];
+    if (!fundingCurrent || funding.length < 10)
+        return signals;
+    const frr = fundingCurrent.frr;
+    const utilization = fundingCurrent.utilization;
+    const spareCapacity = 1 - utilization;
+    // Calculate percentiles
+    const allFrr = funding.map(f => f.frr).sort((a, b) => a - b);
+    const frrPct = percentile(frr, allFrr);
+    // 1h rate change
+    const prev1h = funding.find(f => f.timestamp <= now - 3600_000);
+    const rateChange1h = prev1h && prev1h.frr !== 0 ? (frr - prev1h.frr) / Math.abs(prev1h.frr) : 0;
+    // 24h supply delta
+    const prev24h = funding.find(f => f.timestamp <= now - 86400_000);
+    const supplyDelta24h = prev24h && prev24h.totalAmount > 0
+        ? (fundingCurrent.totalAmount - prev24h.totalAmount) / prev24h.totalAmount
+        : 0;
+    const annualizedRate = frr * 365 * 100;
+    const derivAnnualized = deriv ? deriv.fundingRate * 3 * 365 * 100 : 0;
+    // S1: 适合放贷
+    if (frrPct >= 0.75 && utilization >= 0.80 && spareCapacity < 0.15) {
+        const conf = frrPct >= 0.90 ? 85 : 70;
+        signals.push({
+            id: 'FR-S1',
+            module: 'funding',
+            direction: 'neutral',
+            confidence: conf,
+            level: 'yellow',
+            title: '适合放贷',
+            summary: `FRR P${(frrPct * 100).toFixed(0)}, 利用率 ${(utilization * 100).toFixed(1)}%, 年化 ${annualizedRate.toFixed(1)}%`,
+            details: {
+                frr, frrPct, utilization, spareCapacity,
+                annualizedRate, suggestedPeriod: frrPct >= 0.90 ? 30 : 7,
+            },
+            timestamp: now,
+        });
+    }
+    // S2: 不适合借杠杆
+    if (frrPct >= 0.90 && utilization >= 0.90) {
+        signals.push({
+            id: 'FR-S2',
+            module: 'funding',
+            direction: 'neutral',
+            confidence: 80,
+            level: 'red',
+            title: '不适合借杠杆',
+            summary: `FRR P${(frrPct * 100).toFixed(0)}, 利用率 ${(utilization * 100).toFixed(1)}%, 费率飙升 ${(rateChange1h * 100).toFixed(1)}%/h`,
+            details: { frr, frrPct, utilization, rateChange1h, derivAnnualized },
+            timestamp: now,
+        });
+    }
+    // S3: 利率即将回落
+    const utilChange1h = prev1h ? utilization - prev1h.utilization : 0;
+    if (supplyDelta24h > 0.02 && utilChange1h < 0) {
+        signals.push({
+            id: 'FR-S3',
+            module: 'funding',
+            direction: 'neutral',
+            confidence: 60,
+            level: 'yellow',
+            title: '利率即将回落',
+            summary: `供给恢复 ${(supplyDelta24h * 100).toFixed(1)}%, 利用率下降中`,
+            details: { supplyDelta24h, utilChange1h, frr },
+            timestamp: now,
+        });
+    }
+    // S4: 正常 (no special condition)
+    if (signals.length === 0) {
+        signals.push({
+            id: 'FR-S4',
+            module: 'funding',
+            direction: 'neutral',
+            confidence: 30,
+            level: 'green',
+            title: '融资市场正常',
+            summary: `FRR P${(frrPct * 100).toFixed(0)}, 利用率 ${(utilization * 100).toFixed(1)}%`,
+            details: { frr, frrPct, utilization, annualizedRate },
+            timestamp: now,
+        });
+    }
+    return signals;
+}
+function percentile(value, sorted) {
+    if (sorted.length === 0)
+        return 0;
+    const idx = sorted.findIndex(v => v >= value);
+    return idx >= 0 ? idx / sorted.length : 1;
+}
+//# sourceMappingURL=funding-radar.js.map

package/dist/src/signal/funding-radar.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"funding-radar.js","sourceRoot":"","sources":["../../../src/signal/funding-radar.ts"],"names":[],"mappings":"AAGA,MAAM,UAAU,sBAAsB,CAAC,QAAwB;IAC7D,MAAM,EAAE,OAAO,EAAE,cAAc,EAAE,KAAK,EAAE,GAAG,QAAQ,CAAA;IACnD,MAAM,GAAG,GAAG,QAAQ,CAAC,SAAS,CAAA;IAC9B,MAAM,OAAO,GAAa,EAAE,CAAA;IAE5B,IAAI,CAAC,cAAc,IAAI,OAAO,CAAC,MAAM,GAAG,EAAE;QAAE,OAAO,OAAO,CAAA;IAE1D,MAAM,GAAG,GAAG,cAAc,CAAC,GAAG,CAAA;IAC9B,MAAM,WAAW,GAAG,cAAc,CAAC,WAAW,CAAA;IAC9C,MAAM,aAAa,GAAG,CAAC,GAAG,WAAW,CAAA;IAErC,wBAAwB;IACxB,MAAM,MAAM,GAAG,OAAO,CAAC,GAAG,CAAC,CAAC,CAAC,EAAE,CAAC,CAAC,CAAC,GAAG,CAAC,CAAC,IAAI,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,GAAG,CAAC,CAAC,CAAA;IAC5D,MAAM,MAAM,GAAG,UAAU,CAAC,GAAG,EAAE,MAAM,CAAC,CAAA;IAEtC,iBAAiB;IACjB,MAAM,MAAM,GAAG,OAAO,CAAC,IAAI,CAAC,CAAC,CAAC,EAAE,CAAC,CAAC,CAAC,SAAS,IAAI,GAAG,GAAG,QAAQ,CAAC,CAAA;IAC/D,MAAM,YAAY,GAAG,MAAM,IAAI,MAAM,CAAC,GAAG,KAAK,CAAC,CAAC,CAAC,CAAC,CAAC,GAAG,GAAG,MAAM,CAAC,GAAG,CAAC,GAAG,IAAI,CAAC,GAAG,CAAC,MAAM,CAAC,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC,CAAA;IAE/F,mBAAmB;IACnB,MAAM,OAAO,GAAG,OAAO,CAAC,IAAI,CAAC,CAAC,CAAC,EAAE,CAAC,CAAC,CAAC,SAAS,IAAI,GAAG,GAAG,SAAS,CAAC,CAAA;IACjE,MAAM,cAAc,GAAG,OAAO,IAAI,OAAO,CAAC,WAAW,GAAG,CAAC;QACvD,CAAC,CAAC,CAAC,cAAc,CAAC,WAAW,GAAG,OAAO,CAAC,WAAW,CAAC,GAAG,OAAO,CAAC,WAAW;QAC1E,CAAC,CAAC,CAAC,CAAA;IAEL,MAAM,cAAc,GAAG,GAAG,GAAG,GAAG,GAAG,GAAG,CAAA;IACtC,MAAM,eAAe,GAAG,KAAK,CAAC,CAAC,CAAC,KAAK,CAAC,WAAW,GAAG,CAAC,GAAG,GAAG,GAAG,GAAG,CAAC,CAAC,CAAC,CAAC,CAAA;IAErE,WAAW;IACX,IAAI,MAAM,IAAI,IAAI,IAAI,WAAW,IAAI,IAAI,IAAI,aAAa,GAAG,IAAI,EAAE,CAAC;QAClE,MAAM,IAAI,GAAG,MAAM,IAAI,IAAI,CAAC,CAAC,CAAC,EAAE,CAAC,CAAC,CAAC,EAAE,CAAA;QACrC,OAAO,CAAC,IAAI,CAAC;YACX,EAAE,EAAE,OAAO;YACX,MAAM,EAAE,SAAS;YACjB,SAAS,EAAE,SAAS;YACpB,UAAU,EAAE,IAAI;YAChB,KAAK,EAAE,QAAQ;YACf,KAAK,EAAE,MAAM;YACb,OAAO,EAAE,QAAQ,CAAC,MAAM,GAAG,GAAG,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,SAAS,CAAC,WAAW,GAAG,GAAG,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,SAAS,cAAc,CAAC,OAAO,CAAC,CAAC,CAAC,GAAG;YACtH,OAAO,EAAE;gBACP,GAAG,EAAE,MAAM,EAAE,WAAW,EAAE,aAAa;gBACvC,cAAc,EAAE,eAAe,EAAE,MAAM,IAAI,IAAI,CAAC,CAAC,CAAC,EAAE,CAAC,CAAC,CAAC,CAAC;aACzD;YACD,SAAS,EAAE,GAAG;SACf,CAAC,CAAA;IACJ,CAAC;IAED,aAAa;IACb,IAAI,MAAM,IAAI,IAAI,IAAI,WAAW,IAAI,IAAI,EAAE,CAAC;QAC1C,OAAO,CAAC,IAAI,CAAC;YACX,EAAE,EAAE,OAAO;YACX,MAAM,EAAE,SAAS;YACjB,SAAS,EAAE,SAAS;YACpB,UAAU,EAAE,EAAE;YACd,KAAK,EAAE,KAAK;YACZ,KAAK,EAAE,QAAQ;YACf,OAAO,EAAE,QAAQ,CAAC,MAAM,GAAG,GAAG,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,SAAS,CAAC,WAAW,GAAG,GAAG,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,WAAW,CAAC,YAAY,GAAG,GAAG,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,KAAK;YAChI,OAAO,EAAE,EAAE,GAAG,EAAE,MAAM,EAAE,WAAW,EAAE,YAAY,EAAE,eAAe,EAAE;YACpE,SAAS,EAAE,GAAG;SACf,CAAC,CAAA;IACJ,CAAC;IAED,aAAa;IACb,MAAM,YAAY,GAAG,MAAM,CAAC,CAAC,CAAC,WAAW,GAAG,MAAM,CAAC,WAAW,CAAC,CAAC,CAAC,CAAC,CAAA;IAClE,IAAI,cAAc,GAAG,IAAI,IAAI,YAAY,GAAG,CAAC,EAAE,CAAC;QAC9C,OAAO,CAAC,IAAI,CAAC;YACX,EAAE,EAAE,OAAO;YACX,MAAM,EAAE,SAAS;YACjB,SAAS,EAAE,SAAS;YACpB,UAAU,EAAE,EAAE;YACd,KAAK,EAAE,QAAQ;YACf,KAAK,EAAE,QAAQ;YACf,OAAO,EAAE,QAAQ,CAAC,cAAc,GAAG,GAAG,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,WAAW;YAC7D,OAAO,EAAE,EAAE,cAAc,EAAE,YAAY,EAAE,GAAG,EAAE;YAC9C,SAAS,EAAE,GAAG;SACf,CAAC,CAAA;IACJ,CAAC;IAED,gCAAgC;IAChC,IAAI,OAAO,CAAC,MAAM,KAAK,CAAC,EAAE,CAAC;QACzB,OAAO,CAAC,IAAI,CAAC;YACX,EAAE,EAAE,OAAO;YACX,MAAM,EAAE,SAAS;YACjB,SAAS,EAAE,SAAS;YACpB,UAAU,EAAE,EAAE;YACd,KAAK,EAAE,OAAO;YACd,KAAK,EAAE,QAAQ;YACf,OAAO,EAAE,QAAQ,CAAC,MAAM,GAAG,GAAG,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,SAAS,CAAC,WAAW,GAAG,GAAG,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,GAAG;YACpF,OAAO,EAAE,EAAE,GAAG,EAAE,MAAM,EAAE,WAAW,EAAE,cAAc,EAAE;YACrD,SAAS,EAAE,GAAG;SACf,CAAC,CAAA;IACJ,CAAC;IAED,OAAO,OAAO,CAAA;AAChB,CAAC;AAED,SAAS,UAAU,CAAC,KAAa,EAAE,MAAgB;IACjD,IAAI,MAAM,CAAC,MAAM,KAAK,CAAC;QAAE,OAAO,CAAC,CAAA;IACjC,MAAM,GAAG,GAAG,MAAM,CAAC,SAAS,CAAC,CAAC,CAAC,EAAE,CAAC,CAAC,IAAI,KAAK,CAAC,CAAA;IAC7C,OAAO,GAAG,IAAI,CAAC,CAAC,CAAC,CAAC,GAAG,GAAG,MAAM,CAAC,MAAM,CAAC,CAAC,CAAC,CAAC,CAAA;AAC3C,CAAC"}

package/dist/src/signal/index.d.ts

@@ -0,0 +1,12 @@
+import type { MarketSnapshot } from '../collector/types.js';
+import type { Signal } from './types.js';
+export type { Signal } from './types.js';
+export declare function generateAllSignals(snapshot: MarketSnapshot): Signal[];
+export declare function signalSummary(signals: Signal[]): {
+    direction: 'long' | 'short' | 'neutral';
+    confidence: number;
+    bullish: number;
+    bearish: number;
+    neutral: number;
+};
+//# sourceMappingURL=index.d.ts.map

package/dist/src/signal/index.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"index.d.ts","sourceRoot":"","sources":["../../../src/signal/index.ts"],"names":[],"mappings":"AAAA,OAAO,KAAK,EAAE,cAAc,EAAE,MAAM,uBAAuB,CAAA;AAC3D,OAAO,KAAK,EAAE,MAAM,EAAE,MAAM,YAAY,CAAA;AAMxC,YAAY,EAAE,MAAM,EAAE,MAAM,YAAY,CAAA;AAExC,wBAAgB,kBAAkB,CAAC,QAAQ,EAAE,cAAc,GAAG,MAAM,EAAE,CAOrE;AAED,wBAAgB,aAAa,CAAC,OAAO,EAAE,MAAM,EAAE,GAAG;IAChD,SAAS,EAAE,MAAM,GAAG,OAAO,GAAG,SAAS,CAAA;IACvC,UAAU,EAAE,MAAM,CAAA;IAClB,OAAO,EAAE,MAAM,CAAA;IACf,OAAO,EAAE,MAAM,CAAA;IACf,OAAO,EAAE,MAAM,CAAA;CAChB,CAwBA"}

package/dist/src/signal/index.js

@@ -0,0 +1,37 @@
+import { generateSmartMoneySignals } from './smart-money.js';
+import { generateFundingSignals } from './funding-radar.js';
+import { generateLiquidationSignals } from './liquidation.js';
+import { generateOrderbookSignals } from './orderbook.js';
+export function generateAllSignals(snapshot) {
+    return [
+        ...generateSmartMoneySignals(snapshot),
+        ...generateFundingSignals(snapshot),
+        ...generateLiquidationSignals(snapshot),
+        ...generateOrderbookSignals(snapshot),
+    ];
+}
+export function signalSummary(signals) {
+    let bullish = 0;
+    let bearish = 0;
+    let neutral = 0;
+    let bullWeight = 0;
+    let bearWeight = 0;
+    for (const s of signals) {
+        if (s.direction === 'long') {
+            bullish++;
+            bullWeight += s.confidence;
+        }
+        else if (s.direction === 'short') {
+            bearish++;
+            bearWeight += s.confidence;
+        }
+        else {
+            neutral++;
+        }
+    }
+    const total = bullWeight + bearWeight;
+    const direction = total === 0 ? 'neutral' : bullWeight > bearWeight ? 'long' : bullWeight < bearWeight ? 'short' : 'neutral';
+    const confidence = total > 0 ? Math.abs(bullWeight - bearWeight) / total * 100 : 0;
+    return { direction, confidence, bullish, bearish, neutral };
+}
+//# sourceMappingURL=index.js.map

package/dist/src/signal/index.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"index.js","sourceRoot":"","sources":["../../../src/signal/index.ts"],"names":[],"mappings":"AAEA,OAAO,EAAE,yBAAyB,EAAE,MAAM,kBAAkB,CAAA;AAC5D,OAAO,EAAE,sBAAsB,EAAE,MAAM,oBAAoB,CAAA;AAC3D,OAAO,EAAE,0BAA0B,EAAE,MAAM,kBAAkB,CAAA;AAC7D,OAAO,EAAE,wBAAwB,EAAE,MAAM,gBAAgB,CAAA;AAIzD,MAAM,UAAU,kBAAkB,CAAC,QAAwB;IACzD,OAAO;QACL,GAAG,yBAAyB,CAAC,QAAQ,CAAC;QACtC,GAAG,sBAAsB,CAAC,QAAQ,CAAC;QACnC,GAAG,0BAA0B,CAAC,QAAQ,CAAC;QACvC,GAAG,wBAAwB,CAAC,QAAQ,CAAC;KACtC,CAAA;AACH,CAAC;AAED,MAAM,UAAU,aAAa,CAAC,OAAiB;IAO7C,IAAI,OAAO,GAAG,CAAC,CAAA;IACf,IAAI,OAAO,GAAG,CAAC,CAAA;IACf,IAAI,OAAO,GAAG,CAAC,CAAA;IACf,IAAI,UAAU,GAAG,CAAC,CAAA;IAClB,IAAI,UAAU,GAAG,CAAC,CAAA;IAElB,KAAK,MAAM,CAAC,IAAI,OAAO,EAAE,CAAC;QACxB,IAAI,CAAC,CAAC,SAAS,KAAK,MAAM,EAAE,CAAC;YAC3B,OAAO,EAAE,CAAA;YACT,UAAU,IAAI,CAAC,CAAC,UAAU,CAAA;QAC5B,CAAC;aAAM,IAAI,CAAC,CAAC,SAAS,KAAK,OAAO,EAAE,CAAC;YACnC,OAAO,EAAE,CAAA;YACT,UAAU,IAAI,CAAC,CAAC,UAAU,CAAA;QAC5B,CAAC;aAAM,CAAC;YACN,OAAO,EAAE,CAAA;QACX,CAAC;IACH,CAAC;IAED,MAAM,KAAK,GAAG,UAAU,GAAG,UAAU,CAAA;IACrC,MAAM,SAAS,GAAG,KAAK,KAAK,CAAC,CAAC,CAAC,CAAC,SAAS,CAAC,CAAC,CAAC,UAAU,GAAG,UAAU,CAAC,CAAC,CAAC,MAAM,CAAC,CAAC,CAAC,UAAU,GAAG,UAAU,CAAC,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,SAAS,CAAA;IAC5H,MAAM,UAAU,GAAG,KAAK,GAAG,CAAC,CAAC,CAAC,CAAC,IAAI,CAAC,GAAG,CAAC,UAAU,GAAG,UAAU,CAAC,GAAG,KAAK,GAAG,GAAG,CAAC,CAAC,CAAC,CAAC,CAAA;IAElF,OAAO,EAAE,SAAS,EAAE,UAAU,EAAE,OAAO,EAAE,OAAO,EAAE,OAAO,EAAE,CAAA;AAC7D,CAAC"}

package/dist/src/signal/liquidation.d.ts

@@ -0,0 +1,4 @@
+import type { MarketSnapshot } from '../collector/types.js';
+import type { Signal } from './types.js';
+export declare function generateLiquidationSignals(snapshot: MarketSnapshot): Signal[];
+//# sourceMappingURL=liquidation.d.ts.map

package/dist/src/signal/liquidation.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"liquidation.d.ts","sourceRoot":"","sources":["../../../src/signal/liquidation.ts"],"names":[],"mappings":"AAAA,OAAO,KAAK,EAAE,cAAc,EAAE,MAAM,uBAAuB,CAAA;AAC3D,OAAO,KAAK,EAAE,MAAM,EAAE,MAAM,YAAY,CAAA;AAExC,wBAAgB,0BAA0B,CAAC,QAAQ,EAAE,cAAc,GAAG,MAAM,EAAE,CAkF7E"}

package/dist/src/signal/liquidation.js

@@ -0,0 +1,83 @@
+export function generateLiquidationSignals(snapshot) {
+    const { liqAgg, liqIntensityPct, trades, ticker } = snapshot;
+    const now = snapshot.timestamp;
+    const signals = [];
+    const { w5m } = liqAgg;
+    const liq5mTotal = w5m.longUsd + w5m.shortUsd;
+    const dominance = liq5mTotal > 0 ? Math.max(w5m.longUsd, w5m.shortUsd) / liq5mTotal : 0;
+    const dominanceSide = w5m.longUsd >= w5m.shortUsd ? 'long' : 'short';
+    // Price change in 3 min window
+    const recentTrades = trades.filter(t => t.timestamp >= now - 180_000);
+    const oldest = recentTrades.length > 0 ? recentTrades[recentTrades.length - 1].price : ticker.lastPrice;
+    const priceChange3m = oldest > 0 ? (ticker.lastPrice - oldest) / oldest : 0;
+    const pct = liqIntensityPct;
+    // LQ1/LQ2: 顺势追击
+    if (pct >= 0.85 && dominance > 0.70 && Math.abs(priceChange3m) > 0.003) {
+        const isLongLiq = dominanceSide === 'long'; // longs getting liquidated → price dropping → short
+        const dir = isLongLiq ? 'short' : 'long';
+        const conf = Math.min(85, 55 + (pct - 0.85) * 200);
+        signals.push({
+            id: isLongLiq ? 'LQ-1' : 'LQ-2',
+            module: 'liquidation',
+            direction: dir,
+            confidence: conf,
+            level: 'red',
+            title: `顺势追击 ${dir === 'long' ? '做多' : '做空'}`,
+            summary: `爆仓强度 P${(pct * 100).toFixed(0)}, ${dominanceSide === 'long' ? '多' : '空'}头主导 ${(dominance * 100).toFixed(0)}%, 价格 ${(priceChange3m * 100).toFixed(2)}%`,
+            details: {
+                intensity: pct,
+                dominance,
+                dominanceSide,
+                priceChange3m,
+                liq5m: { longUsd: w5m.longUsd, shortUsd: w5m.shortUsd },
+            },
+            timestamp: now,
+        });
+    }
+    // LQ3: 反转博弈
+    if (pct >= 0.95 && Math.abs(priceChange3m) < 0.001) {
+        const dir = dominanceSide === 'long' ? 'long' : 'short'; // reversal: opposite of liquidation side
+        signals.push({
+            id: 'LQ-3',
+            module: 'liquidation',
+            direction: dir,
+            confidence: 55,
+            level: 'yellow',
+            title: '反转博弈',
+            summary: `极端爆仓 P${(pct * 100).toFixed(0)} 但价格停滞, 需盘口确认`,
+            details: {
+                intensity: pct,
+                priceChange3m,
+                requiresObConfirm: true,
+            },
+            timestamp: now,
+        });
+    }
+    // LQ4: 观望
+    if (signals.length === 0) {
+        signals.push({
+            id: 'LQ-4',
+            module: 'liquidation',
+            direction: 'neutral',
+            confidence: 25,
+            level: 'green',
+            title: '爆仓市场平稳',
+            summary: `强度 P${(pct * 100).toFixed(0)}, 24h 爆仓 $${fmtUsd(liqAgg.w24h.total)}`,
+            details: {
+                intensity: pct,
+                w24h: liqAgg.w24h,
+                w1h: liqAgg.w1h,
+            },
+            timestamp: now,
+        });
+    }
+    return signals;
+}
+function fmtUsd(n) {
+    if (n >= 1e6)
+        return `${(n / 1e6).toFixed(1)}M`;
+    if (n >= 1e3)
+        return `${(n / 1e3).toFixed(0)}K`;
+    return n.toFixed(0);
+}
+//# sourceMappingURL=liquidation.js.map

package/dist/src/signal/liquidation.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"liquidation.js","sourceRoot":"","sources":["../../../src/signal/liquidation.ts"],"names":[],"mappings":"AAGA,MAAM,UAAU,0BAA0B,CAAC,QAAwB;IACjE,MAAM,EAAE,MAAM,EAAE,eAAe,EAAE,MAAM,EAAE,MAAM,EAAE,GAAG,QAAQ,CAAA;IAC5D,MAAM,GAAG,GAAG,QAAQ,CAAC,SAAS,CAAA;IAC9B,MAAM,OAAO,GAAa,EAAE,CAAA;IAE5B,MAAM,EAAE,GAAG,EAAE,GAAG,MAAM,CAAA;IACtB,MAAM,UAAU,GAAG,GAAG,CAAC,OAAO,GAAG,GAAG,CAAC,QAAQ,CAAA;IAC7C,MAAM,SAAS,GAAG,UAAU,GAAG,CAAC,CAAC,CAAC,CAAC,IAAI,CAAC,GAAG,CAAC,GAAG,CAAC,OAAO,EAAE,GAAG,CAAC,QAAQ,CAAC,GAAG,UAAU,CAAC,CAAC,CAAC,CAAC,CAAA;IACvF,MAAM,aAAa,GAAG,GAAG,CAAC,OAAO,IAAI,GAAG,CAAC,QAAQ,CAAC,CAAC,CAAC,MAAM,CAAC,CAAC,CAAC,OAAO,CAAA;IAEpE,+BAA+B;IAC/B,MAAM,YAAY,GAAG,MAAM,CAAC,MAAM,CAAC,CAAC,CAAC,EAAE,CAAC,CAAC,CAAC,SAAS,IAAI,GAAG,GAAG,OAAO,CAAC,CAAA;IACrE,MAAM,MAAM,GAAG,YAAY,CAAC,MAAM,GAAG,CAAC,CAAC,CAAC,CAAC,YAAY,CAAC,YAAY,CAAC,MAAM,GAAG,CAAC,CAAC,CAAC,KAAK,CAAC,CAAC,CAAC,MAAM,CAAC,SAAS,CAAA;IACvG,MAAM,aAAa,GAAG,MAAM,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC,MAAM,CAAC,SAAS,GAAG,MAAM,CAAC,GAAG,MAAM,CAAC,CAAC,CAAC,CAAC,CAAA;IAE3E,MAAM,GAAG,GAAG,eAAe,CAAA;IAE3B,gBAAgB;IAChB,IAAI,GAAG,IAAI,IAAI,IAAI,SAAS,GAAG,IAAI,IAAI,IAAI,CAAC,GAAG,CAAC,aAAa,CAAC,GAAG,KAAK,EAAE,CAAC;QACvE,MAAM,SAAS,GAAG,aAAa,KAAK,MAAM,CAAA,CAAC,oDAAoD;QAC/F,MAAM,GAAG,GAAG,SAAS,CAAC,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,MAAM,CAAA;QACxC,MAAM,IAAI,GAAG,IAAI,CAAC,GAAG,CAAC,EAAE,EAAE,EAAE,GAAG,CAAC,GAAG,GAAG,IAAI,CAAC,GAAG,GAAG,CAAC,CAAA;QAElD,OAAO,CAAC,IAAI,CAAC;YACX,EAAE,EAAE,SAAS,CAAC,CAAC,CAAC,MAAM,CAAC,CAAC,CAAC,MAAM;YAC/B,MAAM,EAAE,aAAa;YACrB,SAAS,EAAE,GAAG;YACd,UAAU,EAAE,IAAI;YAChB,KAAK,EAAE,KAAK;YACZ,KAAK,EAAE,QAAQ,GAAG,KAAK,MAAM,CAAC,CAAC,CAAC,IAAI,CAAC,CAAC,CAAC,IAAI,EAAE;YAC7C,OAAO,EAAE,SAAS,CAAC,GAAG,GAAG,GAAG,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,KAAK,aAAa,KAAK,MAAM,CAAC,CAAC,CAAC,GAAG,CAAC,CAAC,CAAC,GAAG,OAAO,CAAC,SAAS,GAAG,GAAG,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,SAAS,CAAC,aAAa,GAAG,GAAG,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,GAAG;YAChK,OAAO,EAAE;gBACP,SAAS,EAAE,GAAG;gBACd,SAAS;gBACT,aAAa;gBACb,aAAa;gBACb,KAAK,EAAE,EAAE,OAAO,EAAE,GAAG,CAAC,OAAO,EAAE,QAAQ,EAAE,GAAG,CAAC,QAAQ,EAAE;aACxD;YACD,SAAS,EAAE,GAAG;SACf,CAAC,CAAA;IACJ,CAAC;IAED,YAAY;IACZ,IAAI,GAAG,IAAI,IAAI,IAAI,IAAI,CAAC,GAAG,CAAC,aAAa,CAAC,GAAG,KAAK,EAAE,CAAC;QACnD,MAAM,GAAG,GAAG,aAAa,KAAK,MAAM,CAAC,CAAC,CAAC,MAAM,CAAC,CAAC,CAAC,OAAO,CAAA,CAAC,yCAAyC;QACjG,OAAO,CAAC,IAAI,CAAC;YACX,EAAE,EAAE,MAAM;YACV,MAAM,EAAE,aAAa;YACrB,SAAS,EAAE,GAAG;YACd,UAAU,EAAE,EAAE;YACd,KAAK,EAAE,QAAQ;YACf,KAAK,EAAE,MAAM;YACb,OAAO,EAAE,SAAS,CAAC,GAAG,GAAG,GAAG,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,eAAe;YACvD,OAAO,EAAE;gBACP,SAAS,EAAE,GAAG;gBACd,aAAa;gBACb,iBAAiB,EAAE,IAAI;aACxB;YACD,SAAS,EAAE,GAAG;SACf,CAAC,CAAA;IACJ,CAAC;IAED,UAAU;IACV,IAAI,OAAO,CAAC,MAAM,KAAK,CAAC,EAAE,CAAC;QACzB,OAAO,CAAC,IAAI,CAAC;YACX,EAAE,EAAE,MAAM;YACV,MAAM,EAAE,aAAa;YACrB,SAAS,EAAE,SAAS;YACpB,UAAU,EAAE,EAAE;YACd,KAAK,EAAE,OAAO;YACd,KAAK,EAAE,QAAQ;YACf,OAAO,EAAE,OAAO,CAAC,GAAG,GAAG,GAAG,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,aAAa,MAAM,CAAC,MAAM,CAAC,IAAI,CAAC,KAAK,CAAC,EAAE;YAC9E,OAAO,EAAE;gBACP,SAAS,EAAE,GAAG;gBACd,IAAI,EAAE,MAAM,CAAC,IAAI;gBACjB,GAAG,EAAE,MAAM,CAAC,GAAG;aAChB;YACD,SAAS,EAAE,GAAG;SACf,CAAC,CAAA;IACJ,CAAC;IAED,OAAO,OAAO,CAAA;AAChB,CAAC;AAED,SAAS,MAAM,CAAC,CAAS;IACvB,IAAI,CAAC,IAAI,GAAG;QAAE,OAAO,GAAG,CAAC,CAAC,GAAG,GAAG,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,GAAG,CAAA;IAC/C,IAAI,CAAC,IAAI,GAAG;QAAE,OAAO,GAAG,CAAC,CAAC,GAAG,GAAG,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,GAAG,CAAA;IAC/C,OAAO,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,CAAA;AACrB,CAAC"}

package/dist/src/signal/orderbook.d.ts

@@ -0,0 +1,4 @@
+import type { MarketSnapshot } from '../collector/types.js';
+import type { Signal } from './types.js';
+export declare function generateOrderbookSignals(snapshot: MarketSnapshot): Signal[];
+//# sourceMappingURL=orderbook.d.ts.map

package/dist/src/signal/orderbook.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"orderbook.d.ts","sourceRoot":"","sources":["../../../src/signal/orderbook.ts"],"names":[],"mappings":"AAAA,OAAO,KAAK,EAAE,cAAc,EAAE,MAAM,uBAAuB,CAAA;AAC3D,OAAO,KAAK,EAAE,MAAM,EAAE,MAAM,YAAY,CAAA;AAExC,wBAAgB,wBAAwB,CAAC,QAAQ,EAAE,cAAc,GAAG,MAAM,EAAE,CA0G3E"}