clodds 1.1.0

package/dist/execution/smart-router.js

@@ -0,0 +1,323 @@
+"use strict";
+/**
+ * Smart Order Router
+ *
+ * Routes orders to the best platform based on:
+ * - Price (best bid/ask)
+ * - Liquidity (available size at price)
+ * - Fees (maker/taker)
+ * - Speed (execution latency)
+ *
+ * Supports:
+ * - Polymarket
+ * - Kalshi
+ * - EVM DEXes (Uniswap, 1inch)
+ * - Solana DEXes (Jupiter, Raydium)
+ */
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.EXECUTION_TIMES = exports.PLATFORM_FEES = void 0;
+exports.createSmartRouter = createSmartRouter;
+exports.quickPriceCompare = quickPriceCompare;
+const eventemitter3_1 = require("eventemitter3");
+const logger_1 = require("../utils/logger");
+const feature_engineering_1 = require("../services/feature-engineering");
+// =============================================================================
+// CONSTANTS
+// =============================================================================
+const DEFAULT_CONFIG = {
+    mode: 'balanced',
+    enabledPlatforms: ['polymarket', 'kalshi'],
+    maxSlippage: 1,
+    preferMaker: true,
+    allowSplitting: false,
+    maxSplitPlatforms: 3,
+    minSplitImprovement: 0.5,
+    useFeatureScoring: true,
+    liquidityWeight: 0.2,
+};
+// Platform fee structures (in basis points)
+// NOTE: These are defaults/estimates. Actual fees vary:
+// - Polymarket: 0 fees on most markets; 15-min crypto markets have dynamic fees (up to ~315bps at 50/50 odds)
+// - Kalshi: Formula-based fees 0.07*C*P*(1-P), averaging ~120bps, capped at ~200bps
+const PLATFORM_FEES = {
+    polymarket: { takerBps: 0, makerBps: 0 }, // Zero fees on most markets (15-min crypto markets have dynamic fees)
+    kalshi: { takerBps: 120, makerBps: 17 }, // Average ~1.2% taker, ~0.17% maker (formula-based, varies by price)
+    manifold: { takerBps: 0, makerBps: 0 }, // No fees
+    metaculus: { takerBps: 0, makerBps: 0 }, // No fees
+    predictit: { takerBps: 500, makerBps: 500 }, // 5% on profits (10% total on winning trades)
+    drift: { takerBps: 100, makerBps: -25 }, // Estimated
+    betfair: { takerBps: 200, makerBps: 0 }, // Varies by market (2-5% commission on net winnings)
+    smarkets: { takerBps: 200, makerBps: 0 }, // 2% commission
+};
+exports.PLATFORM_FEES = PLATFORM_FEES;
+// Average execution times (ms)
+const EXECUTION_TIMES = {
+    polymarket: 500,
+    kalshi: 800,
+    manifold: 300,
+    metaculus: 300,
+    predictit: 2000,
+    drift: 400,
+    betfair: 600,
+    smarkets: 700,
+};
+exports.EXECUTION_TIMES = EXECUTION_TIMES;
+// =============================================================================
+// IMPLEMENTATION
+// =============================================================================
+function createSmartRouter(feeds, config = {}) {
+    const emitter = new eventemitter3_1.EventEmitter();
+    let cfg = { ...DEFAULT_CONFIG, ...config };
+    // ==========================================================================
+    // PRICE FETCHING
+    // ==========================================================================
+    async function fetchOrderbook(platform, marketId) {
+        try {
+            return await feeds.getOrderbook(platform, marketId);
+        }
+        catch (error) {
+            logger_1.logger.debug({ platform, marketId, error }, 'Failed to fetch orderbook');
+            return null;
+        }
+    }
+    async function fetchPrice(platform, marketId) {
+        try {
+            return await feeds.getPrice(platform, marketId);
+        }
+        catch (error) {
+            logger_1.logger.debug({ platform, marketId, error }, 'Failed to fetch price');
+            return null;
+        }
+    }
+    // ==========================================================================
+    // FEE CALCULATION
+    // ==========================================================================
+    function calculateFees(platform, size, isMaker) {
+        const fees = PLATFORM_FEES[platform] || { takerBps: 100, makerBps: 0 };
+        const bps = isMaker ? fees.makerBps : fees.takerBps;
+        return (size * bps) / 10000;
+    }
+    // ==========================================================================
+    // SLIPPAGE CALCULATION
+    // ==========================================================================
+    function calculateSlippage(orderbook, side, size, limitPrice) {
+        if (!orderbook) {
+            return { fillPrice: limitPrice || 0.5, slippage: 0, availableSize: 0 };
+        }
+        // Orderbook levels are [price, size] tuples
+        const levels = side === 'buy' ? orderbook.asks : orderbook.bids;
+        if (levels.length === 0) {
+            return { fillPrice: limitPrice || 0.5, slippage: 0, availableSize: 0 };
+        }
+        let remainingSize = size;
+        let totalCost = 0;
+        let filledSize = 0;
+        for (const [price, levelSize] of levels) {
+            const fillAmount = Math.min(remainingSize, levelSize);
+            totalCost += fillAmount * price;
+            filledSize += fillAmount;
+            remainingSize -= fillAmount;
+            if (remainingSize <= 0)
+                break;
+        }
+        const fillPrice = filledSize > 0 ? totalCost / filledSize : levels[0][0];
+        const bestBid = orderbook.bids[0]?.[0] || 0;
+        const bestAsk = orderbook.asks[0]?.[0] || 1;
+        const midPrice = (bestBid + bestAsk) / 2 || fillPrice;
+        const slippage = Math.abs(fillPrice - midPrice) / midPrice * 100;
+        return { fillPrice, slippage, availableSize: filledSize };
+    }
+    // ==========================================================================
+    // QUOTE GENERATION
+    // ==========================================================================
+    async function getQuoteForPlatform(platform, params) {
+        const marketId = params.alternativeIds?.[platform] || params.marketId;
+        // Fetch orderbook for slippage calculation
+        const orderbook = await fetchOrderbook(platform, marketId);
+        const { fillPrice, slippage, availableSize } = calculateSlippage(orderbook, params.side, params.size, params.limitPrice);
+        // Skip if no liquidity
+        if (availableSize === 0 && !params.limitPrice) {
+            return null;
+        }
+        // Determine if we can be a maker
+        const canBeMaker = cfg.preferMaker && params.limitPrice !== undefined &&
+            ((params.side === 'buy' && params.limitPrice < fillPrice) ||
+                (params.side === 'sell' && params.limitPrice > fillPrice));
+        const isMaker = canBeMaker;
+        const fees = calculateFees(platform, params.size, isMaker);
+        const price = canBeMaker ? params.limitPrice : fillPrice;
+        const netPrice = params.side === 'buy' ? price + fees / params.size : price - fees / params.size;
+        return {
+            platform,
+            price,
+            availableSize: Math.max(availableSize, params.size), // If we have limit, assume we can fill
+            estimatedFees: fees,
+            netPrice,
+            slippage,
+            executionTimeMs: EXECUTION_TIMES[platform] || 1000,
+            isMaker,
+        };
+    }
+    // ==========================================================================
+    // ROUTE SELECTION
+    // ==========================================================================
+    function selectBestRoute(quotes, side, params) {
+        const sorted = [...quotes].sort((a, b) => {
+            switch (cfg.mode) {
+                case 'best_price':
+                    return side === 'buy' ? a.netPrice - b.netPrice : b.netPrice - a.netPrice;
+                case 'best_liquidity':
+                    return b.availableSize - a.availableSize;
+                case 'lowest_fee':
+                    return a.estimatedFees - b.estimatedFees;
+                case 'balanced':
+                default: {
+                    // Weighted score: 50% price, 30% liquidity (from orderbook), 20% fees
+                    let scoreA = (side === 'buy' ? -a.netPrice : a.netPrice) * 0.5 +
+                        a.availableSize / 10000 * 0.3 +
+                        -a.estimatedFees / 100 * 0.2;
+                    let scoreB = (side === 'buy' ? -b.netPrice : b.netPrice) * 0.5 +
+                        b.availableSize / 10000 * 0.3 +
+                        -b.estimatedFees / 100 * 0.2;
+                    // Add feature-based liquidity scoring (if enabled)
+                    if (cfg.useFeatureScoring) {
+                        const marketIdA = params.alternativeIds?.[a.platform] || params.marketId;
+                        const marketIdB = params.alternativeIds?.[b.platform] || params.marketId;
+                        const featuresA = (0, feature_engineering_1.getMarketFeatures)(a.platform, marketIdA);
+                        const featuresB = (0, feature_engineering_1.getMarketFeatures)(b.platform, marketIdB);
+                        // Boost score for markets with better liquidity scores
+                        const liquidityScoreA = (0, feature_engineering_1.getLiquidityScore)(featuresA) ?? 0.5;
+                        const liquidityScoreB = (0, feature_engineering_1.getLiquidityScore)(featuresB) ?? 0.5;
+                        scoreA += liquidityScoreA * cfg.liquidityWeight;
+                        scoreB += liquidityScoreB * cfg.liquidityWeight;
+                        // Penalize wide spreads
+                        const spreadA = (0, feature_engineering_1.getSpreadPct)(featuresA) ?? 0;
+                        const spreadB = (0, feature_engineering_1.getSpreadPct)(featuresB) ?? 0;
+                        scoreA -= spreadA * 0.05; // Slight penalty for spread
+                        scoreB -= spreadB * 0.05;
+                    }
+                    return scoreB - scoreA;
+                }
+            }
+        });
+        return sorted[0];
+    }
+    function calculateSplitRoutes(quotes, params) {
+        if (!cfg.allowSplitting || quotes.length < 2) {
+            return undefined;
+        }
+        // Sort by net price
+        const sorted = [...quotes].sort((a, b) => params.side === 'buy' ? a.netPrice - b.netPrice : b.netPrice - a.netPrice);
+        // Calculate if splitting is beneficial
+        const splits = [];
+        let remainingSize = params.size;
+        for (let i = 0; i < Math.min(sorted.length, cfg.maxSplitPlatforms); i++) {
+            if (remainingSize <= 0)
+                break;
+            const quote = sorted[i];
+            const fillSize = Math.min(remainingSize, quote.availableSize);
+            if (fillSize > 0) {
+                splits.push({
+                    ...quote,
+                    availableSize: fillSize,
+                    estimatedFees: calculateFees(quote.platform, fillSize, quote.isMaker),
+                });
+                remainingSize -= fillSize;
+            }
+        }
+        // Check if split is better than single route
+        if (splits.length <= 1) {
+            return undefined;
+        }
+        const singleCost = sorted[0].netPrice * params.size;
+        const splitCost = splits.reduce((sum, s) => sum + s.netPrice * s.availableSize, 0);
+        const improvement = (singleCost - splitCost) / singleCost * 100;
+        if (improvement < cfg.minSplitImprovement) {
+            return undefined;
+        }
+        return splits;
+    }
+    // ==========================================================================
+    // PUBLIC API
+    // ==========================================================================
+    Object.assign(emitter, {
+        async findBestRoute(params) {
+            const quotes = await emitter.getQuotes(params);
+            if (quotes.length === 0) {
+                const error = new Error('No routes available');
+                emitter.emit('routingFailed', error, params);
+                throw error;
+            }
+            const bestRoute = selectBestRoute(quotes, params.side, params);
+            const splitRoutes = calculateSplitRoutes(quotes, params);
+            // Calculate savings compared to worst route
+            const worstPrice = params.side === 'buy'
+                ? Math.max(...quotes.map((q) => q.netPrice))
+                : Math.min(...quotes.map((q) => q.netPrice));
+            const totalSavings = Math.abs(bestRoute.netPrice - worstPrice) * params.size;
+            const result = {
+                bestRoute,
+                allRoutes: quotes,
+                splitRoutes,
+                totalSavings,
+                recommendation: splitRoutes
+                    ? `Split across ${splitRoutes.length} platforms for ${cfg.minSplitImprovement}%+ improvement`
+                    : `Route to ${bestRoute.platform} (${bestRoute.isMaker ? 'maker' : 'taker'})`,
+            };
+            logger_1.logger.info({
+                marketId: params.marketId,
+                side: params.side,
+                size: params.size,
+                bestPlatform: bestRoute.platform,
+                netPrice: bestRoute.netPrice,
+                savings: totalSavings,
+            }, 'Route found');
+            emitter.emit('routeFound', result);
+            return result;
+        },
+        async getQuotes(params) {
+            const quotes = [];
+            const quotePromises = cfg.enabledPlatforms.map(async (platform) => {
+                try {
+                    const quote = await getQuoteForPlatform(platform, params);
+                    if (quote && quote.slippage <= cfg.maxSlippage) {
+                        quotes.push(quote);
+                        emitter.emit('priceUpdate', platform, quote.price);
+                    }
+                }
+                catch (error) {
+                    logger_1.logger.debug({ platform, error }, 'Quote failed');
+                }
+            });
+            await Promise.all(quotePromises);
+            return quotes;
+        },
+        async compareRoutes(params) {
+            return emitter.findBestRoute(params);
+        },
+        updateConfig(newConfig) {
+            cfg = { ...cfg, ...newConfig };
+            logger_1.logger.info({ config: cfg }, 'Router config updated');
+        },
+    });
+    return emitter;
+}
+// =============================================================================
+// HELPER FUNCTIONS
+// =============================================================================
+/**
+ * Quick comparison of prices across platforms
+ */
+async function quickPriceCompare(feeds, marketId, platforms = ['polymarket', 'kalshi']) {
+    const prices = {};
+    await Promise.all(platforms.map(async (platform) => {
+        try {
+            prices[platform] = await feeds.getPrice(platform, marketId);
+        }
+        catch {
+            prices[platform] = null;
+        }
+    }));
+    return prices;
+}
+//# sourceMappingURL=smart-router.js.map

package/dist/execution/smart-router.js.map

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package/dist/execution/trigger-orders.d.ts

@@ -0,0 +1,81 @@
+/**
+ * Sniper / Trigger Orders - Execute when price or condition thresholds are met
+ *
+ * Features:
+ * - Monitor real-time price feeds for trigger conditions
+ * - Condition types: price_above, price_below, price_cross, spread_below
+ * - Executes via ExecutionService when triggered
+ * - Supports expiry and one-shot triggers
+ * - Cancellable individual triggers
+ */
+import { EventEmitter } from 'eventemitter3';
+import type { ExecutionService, OrderResult, OrderType } from './index';
+import type { PriceUpdate } from '../types';
+export type TriggerCondition = {
+    type: 'price_above';
+    price: number;
+} | {
+    type: 'price_below';
+    price: number;
+} | {
+    type: 'price_cross';
+    price: number;
+    direction: 'up' | 'down';
+} | {
+    type: 'spread_below';
+    maxSpread: number;
+};
+export interface TriggerOrderConfig {
+    /** Platform */
+    platform: 'polymarket' | 'kalshi';
+    /** Market to monitor */
+    marketId: string;
+    /** Token ID (Polymarket) */
+    tokenId?: string;
+    /** Outcome (Kalshi) */
+    outcome?: string;
+    /** Condition that triggers execution */
+    condition: TriggerCondition;
+    /** Order to execute when triggered */
+    order: {
+        side: 'buy' | 'sell';
+        size: number;
+        /** If omitted, executes as market order (FOK) */
+        price?: number;
+        orderType?: OrderType;
+    };
+    /** NegRisk flag for Polymarket */
+    negRisk?: boolean;
+    /** Expiry time for the trigger (optional) */
+    expiresAt?: Date;
+    /** Only trigger once (default: true) */
+    oneShot?: boolean;
+}
+export interface TriggerInfo {
+    id: string;
+    config: TriggerOrderConfig;
+    status: 'active' | 'triggered' | 'expired' | 'cancelled';
+    createdAt: Date;
+    triggeredAt?: Date;
+    orderResult?: OrderResult;
+}
+export interface TriggerOrderManager extends EventEmitter {
+    /** Add a trigger order, returns trigger ID */
+    addTrigger(config: TriggerOrderConfig): string;
+    /** Cancel a trigger */
+    cancelTrigger(triggerId: string): void;
+    /** Get all triggers */
+    getTriggers(): TriggerInfo[];
+    /** Get a specific trigger */
+    getTrigger(triggerId: string): TriggerInfo | undefined;
+    /** Start monitoring */
+    start(): void;
+    /** Stop monitoring */
+    stop(): void;
+}
+/** Feed manager must provide subscribePrice */
+interface FeedManager {
+    subscribePrice: (platform: string, marketId: string, callback: (update: PriceUpdate) => void) => () => void;
+}
+export declare function createTriggerOrderManager(executionService: ExecutionService, feedManager: FeedManager): TriggerOrderManager;
+export {};