clodds 1.1.0

package/dist/risk/circuit-breaker.js

@@ -0,0 +1,300 @@
+"use strict";
+/**
+ * Circuit Breaker - Halt trading when conditions become unfavorable
+ *
+ * Features:
+ * - Volatility-based trip conditions using feature engineering
+ * - Loss-based trip (daily/hourly loss limits)
+ * - Consecutive failure trip
+ * - Market-wide or per-market circuit breakers
+ * - Auto-reset after cooldown or manual reset
+ * - Event-driven notifications
+ */
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.AGGRESSIVE_CONFIG = exports.MODERATE_CONFIG = exports.CONSERVATIVE_CONFIG = void 0;
+exports.createCircuitBreaker = createCircuitBreaker;
+const eventemitter3_1 = require("eventemitter3");
+const logger_1 = require("../utils/logger");
+const feature_engineering_1 = require("../services/feature-engineering");
+// =============================================================================
+// IMPLEMENTATION
+// =============================================================================
+const DEFAULT_CONFIG = {
+    conditions: [],
+    cooldownMs: 300000,
+    autoReset: false,
+    checkIntervalMs: 10000,
+    enabled: true,
+};
+function createCircuitBreaker(config) {
+    const emitter = new eventemitter3_1.EventEmitter();
+    let cfg = { ...DEFAULT_CONFIG, ...config };
+    const state = {
+        tripped: false,
+        tripHistory: [],
+        consecutiveFailures: 0,
+        losses: { hourly: 0, daily: 0, weekly: 0 },
+    };
+    let monitoringInterval = null;
+    let lossResetIntervals = [];
+    const marketTrips = new Map();
+    function checkVolatilityCondition(condition, platform, marketId) {
+        if (condition.scope === 'market' && platform && marketId) {
+            const features = (0, feature_engineering_1.getMarketFeatures)(platform, marketId);
+            const volatilityPct = (0, feature_engineering_1.getVolatilityPct)(features);
+            if (volatilityPct !== null && volatilityPct > condition.maxVolatilityPct) {
+                return {
+                    tripped: true,
+                    details: { volatilityPct, maxVolatilityPct: condition.maxVolatilityPct, platform, marketId },
+                };
+            }
+        }
+        return { tripped: false, details: {} };
+    }
+    function checkLiquidityCondition(condition, platform, marketId) {
+        if (condition.scope === 'market' && platform && marketId) {
+            const features = (0, feature_engineering_1.getMarketFeatures)(platform, marketId);
+            const liquidityScore = (0, feature_engineering_1.getLiquidityScore)(features);
+            if (liquidityScore !== null && liquidityScore < condition.minLiquidityScore) {
+                return {
+                    tripped: true,
+                    details: { liquidityScore, minLiquidityScore: condition.minLiquidityScore, platform, marketId },
+                };
+            }
+        }
+        return { tripped: false, details: {} };
+    }
+    function checkLossCondition(condition) {
+        const loss = state.losses[condition.window];
+        const lossAbs = Math.abs(loss);
+        if (loss < 0 && lossAbs >= condition.maxLossPct) {
+            return {
+                tripped: true,
+                details: { lossPct: lossAbs, maxLossPct: condition.maxLossPct, window: condition.window },
+            };
+        }
+        return { tripped: false, details: {} };
+    }
+    function checkFailureCondition(condition) {
+        if (state.consecutiveFailures >= condition.maxConsecutive) {
+            return {
+                tripped: true,
+                details: { consecutiveFailures: state.consecutiveFailures, maxConsecutive: condition.maxConsecutive },
+            };
+        }
+        return { tripped: false, details: {} };
+    }
+    function checkSpreadCondition(condition, platform, marketId) {
+        if (condition.scope === 'market' && platform && marketId) {
+            const features = (0, feature_engineering_1.getMarketFeatures)(platform, marketId);
+            const spreadPct = features?.orderbook?.spreadPct;
+            if (spreadPct !== undefined && spreadPct > condition.maxSpreadPct) {
+                return {
+                    tripped: true,
+                    details: { spreadPct, maxSpreadPct: condition.maxSpreadPct, platform, marketId },
+                };
+            }
+        }
+        return { tripped: false, details: {} };
+    }
+    function checkConditionInternal(condition, platform, marketId) {
+        switch (condition.type) {
+            case 'volatility':
+                return checkVolatilityCondition(condition, platform, marketId);
+            case 'liquidity':
+                return checkLiquidityCondition(condition, platform, marketId);
+            case 'loss':
+                return checkLossCondition(condition);
+            case 'failures':
+                return checkFailureCondition(condition);
+            case 'spread':
+                return checkSpreadCondition(condition, platform, marketId);
+            case 'manual':
+                return { tripped: false, details: {} };
+            default:
+                return { tripped: false, details: {} };
+        }
+    }
+    function checkAllConditions(platform, marketId) {
+        for (const condition of cfg.conditions) {
+            const result = checkConditionInternal(condition, platform, marketId);
+            if (result.tripped) {
+                return {
+                    condition,
+                    timestamp: new Date(),
+                    details: result.details,
+                    scope: condition.scope || 'global',
+                    platform,
+                    marketId,
+                };
+            }
+        }
+        return null;
+    }
+    function tripBreaker(event) {
+        if (state.tripped)
+            return;
+        state.tripped = true;
+        state.trippedAt = event.timestamp;
+        state.tripEvent = event;
+        state.tripHistory.push(event);
+        if (state.tripHistory.length > 100) {
+            state.tripHistory.shift();
+        }
+        if (cfg.autoReset && cfg.cooldownMs > 0) {
+            state.resetAt = new Date(Date.now() + cfg.cooldownMs);
+            setTimeout(() => {
+                if (state.tripped && cfg.autoReset) {
+                    resetBreaker(false);
+                }
+            }, cfg.cooldownMs);
+        }
+        logger_1.logger.warn({ condition: event.condition.type, details: event.details, resetAt: state.resetAt }, 'Circuit breaker tripped');
+        emitter.emit('tripped', event);
+    }
+    function resetBreaker(manual) {
+        if (!state.tripped)
+            return;
+        state.tripped = false;
+        state.trippedAt = undefined;
+        state.tripEvent = undefined;
+        state.resetAt = undefined;
+        state.consecutiveFailures = 0;
+        logger_1.logger.info({ manual }, 'Circuit breaker reset');
+        emitter.emit('reset', manual);
+    }
+    function setupLossResets() {
+        for (const interval of lossResetIntervals)
+            clearInterval(interval);
+        lossResetIntervals = [];
+        lossResetIntervals.push(setInterval(() => { state.losses.hourly = 0; }, 60 * 60 * 1000));
+        lossResetIntervals.push(setInterval(() => { state.losses.daily = 0; }, 24 * 60 * 60 * 1000));
+        lossResetIntervals.push(setInterval(() => { state.losses.weekly = 0; }, 7 * 24 * 60 * 60 * 1000));
+    }
+    function runMonitoringCheck() {
+        if (!cfg.enabled || state.tripped)
+            return;
+        const tripEvent = checkAllConditions();
+        if (tripEvent)
+            tripBreaker(tripEvent);
+    }
+    Object.assign(emitter, {
+        canTrade(platform, marketId) {
+            if (!cfg.enabled)
+                return true;
+            if (state.tripped)
+                return false;
+            if (platform && marketId) {
+                const key = `${platform}:${marketId}`;
+                if (marketTrips.has(key))
+                    return false;
+            }
+            const tripEvent = checkAllConditions(platform, marketId);
+            if (tripEvent) {
+                if (tripEvent.scope === 'market' && platform && marketId) {
+                    marketTrips.set(`${platform}:${marketId}`, tripEvent);
+                    emitter.emit('warning', tripEvent.condition, tripEvent.details);
+                    return false;
+                }
+                tripBreaker(tripEvent);
+                return false;
+            }
+            return true;
+        },
+        checkCondition(condition, platform, marketId) {
+            return checkConditionInternal(condition, platform, marketId);
+        },
+        recordTrade(result) {
+            if (result.success) {
+                state.consecutiveFailures = 0;
+            }
+            else {
+                state.consecutiveFailures++;
+            }
+            if (result.pnl !== undefined && result.pnl < 0) {
+                const lossPct = Math.abs(result.pnl);
+                state.losses.hourly -= lossPct;
+                state.losses.daily -= lossPct;
+                state.losses.weekly -= lossPct;
+            }
+            if (!state.tripped) {
+                const tripEvent = checkAllConditions();
+                if (tripEvent)
+                    tripBreaker(tripEvent);
+            }
+        },
+        trip(reason) {
+            const event = {
+                condition: { type: 'manual', reason },
+                timestamp: new Date(),
+                details: { reason },
+                scope: 'global',
+            };
+            tripBreaker(event);
+        },
+        reset() {
+            resetBreaker(true);
+            marketTrips.clear();
+        },
+        getState() {
+            return { ...state, tripHistory: [...state.tripHistory] };
+        },
+        updateConfig(newConfig) {
+            cfg = { ...cfg, ...newConfig };
+            logger_1.logger.info({ config: cfg }, 'Circuit breaker config updated');
+        },
+        startMonitoring() {
+            if (monitoringInterval)
+                return;
+            setupLossResets();
+            monitoringInterval = setInterval(runMonitoringCheck, cfg.checkIntervalMs);
+            logger_1.logger.info({ intervalMs: cfg.checkIntervalMs }, 'Circuit breaker monitoring started');
+        },
+        stopMonitoring() {
+            if (monitoringInterval) {
+                clearInterval(monitoringInterval);
+                monitoringInterval = null;
+            }
+            for (const interval of lossResetIntervals)
+                clearInterval(interval);
+            lossResetIntervals = [];
+            logger_1.logger.info('Circuit breaker monitoring stopped');
+        },
+    });
+    return emitter;
+}
+// =============================================================================
+// PRESETS
+// =============================================================================
+exports.CONSERVATIVE_CONFIG = {
+    conditions: [
+        { type: 'volatility', maxVolatilityPct: 5, scope: 'global' },
+        { type: 'liquidity', minLiquidityScore: 0.4, scope: 'market' },
+        { type: 'loss', maxLossPct: 3, window: 'daily' },
+        { type: 'failures', maxConsecutive: 3 },
+        { type: 'spread', maxSpreadPct: 2, scope: 'market' },
+    ],
+    cooldownMs: 600000,
+    autoReset: false,
+};
+exports.MODERATE_CONFIG = {
+    conditions: [
+        { type: 'volatility', maxVolatilityPct: 10, scope: 'global' },
+        { type: 'liquidity', minLiquidityScore: 0.3, scope: 'market' },
+        { type: 'loss', maxLossPct: 5, window: 'daily' },
+        { type: 'failures', maxConsecutive: 5 },
+        { type: 'spread', maxSpreadPct: 3, scope: 'market' },
+    ],
+    cooldownMs: 300000,
+    autoReset: true,
+};
+exports.AGGRESSIVE_CONFIG = {
+    conditions: [
+        { type: 'volatility', maxVolatilityPct: 20, scope: 'global' },
+        { type: 'loss', maxLossPct: 10, window: 'daily' },
+        { type: 'failures', maxConsecutive: 10 },
+    ],
+    cooldownMs: 60000,
+    autoReset: true,
+};
+//# sourceMappingURL=circuit-breaker.js.map

package/dist/risk/circuit-breaker.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"circuit-breaker.js","sourceRoot":"","sources":["../../src/risk/circuit-breaker.ts"],"names":[],"mappings":";AAAA;;;;;;;;;;GAUG;;;AA6HH,oDAsRC;AAjZD,iDAA6C;AAC7C,4CAAyC;AACzC,yEAIyC;AAyGzC,gFAAgF;AAChF,iBAAiB;AACjB,gFAAgF;AAEhF,MAAM,cAAc,GAAmC;IACrD,UAAU,EAAE,EAAE;IACd,UAAU,EAAE,MAAM;IAClB,SAAS,EAAE,KAAK;IAChB,eAAe,EAAE,KAAK;IACtB,OAAO,EAAE,IAAI;CACd,CAAC;AAEF,SAAgB,oBAAoB,CAAC,MAA4B;IAC/D,MAAM,OAAO,GAAG,IAAI,4BAAY,EAAoB,CAAC;IACrD,IAAI,GAAG,GAAG,EAAE,GAAG,cAAc,EAAE,GAAG,MAAM,EAAE,CAAC;IAE3C,MAAM,KAAK,GAAwB;QACjC,OAAO,EAAE,KAAK;QACd,WAAW,EAAE,EAAE;QACf,mBAAmB,EAAE,CAAC;QACtB,MAAM,EAAE,EAAE,MAAM,EAAE,CAAC,EAAE,KAAK,EAAE,CAAC,EAAE,MAAM,EAAE,CAAC,EAAE;KAC3C,CAAC;IAEF,IAAI,kBAAkB,GAA0B,IAAI,CAAC;IACrD,IAAI,kBAAkB,GAAqB,EAAE,CAAC;IAC9C,MAAM,WAAW,GAAG,IAAI,GAAG,EAAqB,CAAC;IAEjD,SAAS,wBAAwB,CAC/B,SAA8B,EAC9B,QAAiB,EACjB,QAAiB;QAEjB,IAAI,SAAS,CAAC,KAAK,KAAK,QAAQ,IAAI,QAAQ,IAAI,QAAQ,EAAE,CAAC;YACzD,MAAM,QAAQ,GAAG,IAAA,uCAAiB,EAAC,QAAQ,EAAE,QAAQ,CAAC,CAAC;YACvD,MAAM,aAAa,GAAG,IAAA,sCAAgB,EAAC,QAAQ,CAAC,CAAC;YAEjD,IAAI,aAAa,KAAK,IAAI,IAAI,aAAa,GAAG,SAAS,CAAC,gBAAgB,EAAE,CAAC;gBACzE,OAAO;oBACL,OAAO,EAAE,IAAI;oBACb,OAAO,EAAE,EAAE,aAAa,EAAE,gBAAgB,EAAE,SAAS,CAAC,gBAAgB,EAAE,QAAQ,EAAE,QAAQ,EAAE;iBAC7F,CAAC;YACJ,CAAC;QACH,CAAC;QACD,OAAO,EAAE,OAAO,EAAE,KAAK,EAAE,OAAO,EAAE,EAAE,EAAE,CAAC;IACzC,CAAC;IAED,SAAS,uBAAuB,CAC9B,SAA6B,EAC7B,QAAiB,EACjB,QAAiB;QAEjB,IAAI,SAAS,CAAC,KAAK,KAAK,QAAQ,IAAI,QAAQ,IAAI,QAAQ,EAAE,CAAC;YACzD,MAAM,QAAQ,GAAG,IAAA,uCAAiB,EAAC,QAAQ,EAAE,QAAQ,CAAC,CAAC;YACvD,MAAM,cAAc,GAAG,IAAA,uCAAiB,EAAC,QAAQ,CAAC,CAAC;YAEnD,IAAI,cAAc,KAAK,IAAI,IAAI,cAAc,GAAG,SAAS,CAAC,iBAAiB,EAAE,CAAC;gBAC5E,OAAO;oBACL,OAAO,EAAE,IAAI;oBACb,OAAO,EAAE,EAAE,cAAc,EAAE,iBAAiB,EAAE,SAAS,CAAC,iBAAiB,EAAE,QAAQ,EAAE,QAAQ,EAAE;iBAChG,CAAC;YACJ,CAAC;QACH,CAAC;QACD,OAAO,EAAE,OAAO,EAAE,KAAK,EAAE,OAAO,EAAE,EAAE,EAAE,CAAC;IACzC,CAAC;IAED,SAAS,kBAAkB,CAAC,SAAwB;QAClD,MAAM,IAAI,GAAG,KAAK,CAAC,MAAM,CAAC,SAAS,CAAC,MAAM,CAAC,CAAC;QAC5C,MAAM,OAAO,GAAG,IAAI,CAAC,GAAG,CAAC,IAAI,CAAC,CAAC;QAE/B,IAAI,IAAI,GAAG,CAAC,IAAI,OAAO,IAAI,SAAS,CAAC,UAAU,EAAE,CAAC;YAChD,OAAO;gBACL,OAAO,EAAE,IAAI;gBACb,OAAO,EAAE,EAAE,OAAO,EAAE,OAAO,EAAE,UAAU,EAAE,SAAS,CAAC,UAAU,EAAE,MAAM,EAAE,SAAS,CAAC,MAAM,EAAE;aAC1F,CAAC;QACJ,CAAC;QACD,OAAO,EAAE,OAAO,EAAE,KAAK,EAAE,OAAO,EAAE,EAAE,EAAE,CAAC;IACzC,CAAC;IAED,SAAS,qBAAqB,CAAC,SAA2B;QACxD,IAAI,KAAK,CAAC,mBAAmB,IAAI,SAAS,CAAC,cAAc,EAAE,CAAC;YAC1D,OAAO;gBACL,OAAO,EAAE,IAAI;gBACb,OAAO,EAAE,EAAE,mBAAmB,EAAE,KAAK,CAAC,mBAAmB,EAAE,cAAc,EAAE,SAAS,CAAC,cAAc,EAAE;aACtG,CAAC;QACJ,CAAC;QACD,OAAO,EAAE,OAAO,EAAE,KAAK,EAAE,OAAO,EAAE,EAAE,EAAE,CAAC;IACzC,CAAC;IAED,SAAS,oBAAoB,CAC3B,SAA0B,EAC1B,QAAiB,EACjB,QAAiB;QAEjB,IAAI,SAAS,CAAC,KAAK,KAAK,QAAQ,IAAI,QAAQ,IAAI,QAAQ,EAAE,CAAC;YACzD,MAAM,QAAQ,GAAG,IAAA,uCAAiB,EAAC,QAAQ,EAAE,QAAQ,CAAC,CAAC;YACvD,MAAM,SAAS,GAAG,QAAQ,EAAE,SAAS,EAAE,SAAS,CAAC;YAEjD,IAAI,SAAS,KAAK,SAAS,IAAI,SAAS,GAAG,SAAS,CAAC,YAAY,EAAE,CAAC;gBAClE,OAAO;oBACL,OAAO,EAAE,IAAI;oBACb,OAAO,EAAE,EAAE,SAAS,EAAE,YAAY,EAAE,SAAS,CAAC,YAAY,EAAE,QAAQ,EAAE,QAAQ,EAAE;iBACjF,CAAC;YACJ,CAAC;QACH,CAAC;QACD,OAAO,EAAE,OAAO,EAAE,KAAK,EAAE,OAAO,EAAE,EAAE,EAAE,CAAC;IACzC,CAAC;IAED,SAAS,sBAAsB,CAC7B,SAAwB,EACxB,QAAiB,EACjB,QAAiB;QAEjB,QAAQ,SAAS,CAAC,IAAI,EAAE,CAAC;YACvB,KAAK,YAAY;gBACf,OAAO,wBAAwB,CAAC,SAAS,EAAE,QAAQ,EAAE,QAAQ,CAAC,CAAC;YACjE,KAAK,WAAW;gBACd,OAAO,uBAAuB,CAAC,SAAS,EAAE,QAAQ,EAAE,QAAQ,CAAC,CAAC;YAChE,KAAK,MAAM;gBACT,OAAO,kBAAkB,CAAC,SAAS,CAAC,CAAC;YACvC,KAAK,UAAU;gBACb,OAAO,qBAAqB,CAAC,SAAS,CAAC,CAAC;YAC1C,KAAK,QAAQ;gBACX,OAAO,oBAAoB,CAAC,SAAS,EAAE,QAAQ,EAAE,QAAQ,CAAC,CAAC;YAC7D,KAAK,QAAQ;gBACX,OAAO,EAAE,OAAO,EAAE,KAAK,EAAE,OAAO,EAAE,EAAE,EAAE,CAAC;YACzC;gBACE,OAAO,EAAE,OAAO,EAAE,KAAK,EAAE,OAAO,EAAE,EAAE,EAAE,CAAC;QAC3C,CAAC;IACH,CAAC;IAED,SAAS,kBAAkB,CAAC,QAAiB,EAAE,QAAiB;QAC9D,KAAK,MAAM,SAAS,IAAI,GAAG,CAAC,UAAU,EAAE,CAAC;YACvC,MAAM,MAAM,GAAG,sBAAsB,CAAC,SAAS,EAAE,QAAQ,EAAE,QAAQ,CAAC,CAAC;YACrE,IAAI,MAAM,CAAC,OAAO,EAAE,CAAC;gBACnB,OAAO;oBACL,SAAS;oBACT,SAAS,EAAE,IAAI,IAAI,EAAE;oBACrB,OAAO,EAAE,MAAM,CAAC,OAAO;oBACvB,KAAK,EAAG,SAAiB,CAAC,KAAK,IAAI,QAAQ;oBAC3C,QAAQ;oBACR,QAAQ;iBACT,CAAC;YACJ,CAAC;QACH,CAAC;QACD,OAAO,IAAI,CAAC;IACd,CAAC;IAED,SAAS,WAAW,CAAC,KAAgB;QACnC,IAAI,KAAK,CAAC,OAAO;YAAE,OAAO;QAE1B,KAAK,CAAC,OAAO,GAAG,IAAI,CAAC;QACrB,KAAK,CAAC,SAAS,GAAG,KAAK,CAAC,SAAS,CAAC;QAClC,KAAK,CAAC,SAAS,GAAG,KAAK,CAAC;QACxB,KAAK,CAAC,WAAW,CAAC,IAAI,CAAC,KAAK,CAAC,CAAC;QAE9B,IAAI,KAAK,CAAC,WAAW,CAAC,MAAM,GAAG,GAAG,EAAE,CAAC;YACnC,KAAK,CAAC,WAAW,CAAC,KAAK,EAAE,CAAC;QAC5B,CAAC;QAED,IAAI,GAAG,CAAC,SAAS,IAAI,GAAG,CAAC,UAAU,GAAG,CAAC,EAAE,CAAC;YACxC,KAAK,CAAC,OAAO,GAAG,IAAI,IAAI,CAAC,IAAI,CAAC,GAAG,EAAE,GAAG,GAAG,CAAC,UAAU,CAAC,CAAC;YACtD,UAAU,CAAC,GAAG,EAAE;gBACd,IAAI,KAAK,CAAC,OAAO,IAAI,GAAG,CAAC,SAAS,EAAE,CAAC;oBACnC,YAAY,CAAC,KAAK,CAAC,CAAC;gBACtB,CAAC;YACH,CAAC,EAAE,GAAG,CAAC,UAAU,CAAC,CAAC;QACrB,CAAC;QAED,eAAM,CAAC,IAAI,CAAC,EAAE,SAAS,EAAE,KAAK,CAAC,SAAS,CAAC,IAAI,EAAE,OAAO,EAAE,KAAK,CAAC,OAAO,EAAE,OAAO,EAAE,KAAK,CAAC,OAAO,EAAE,EAAE,yBAAyB,CAAC,CAAC;QAC5H,OAAO,CAAC,IAAI,CAAC,SAAS,EAAE,KAAK,CAAC,CAAC;IACjC,CAAC;IAED,SAAS,YAAY,CAAC,MAAe;QACnC,IAAI,CAAC,KAAK,CAAC,OAAO;YAAE,OAAO;QAE3B,KAAK,CAAC,OAAO,GAAG,KAAK,CAAC;QACtB,KAAK,CAAC,SAAS,GAAG,SAAS,CAAC;QAC5B,KAAK,CAAC,SAAS,GAAG,SAAS,CAAC;QAC5B,KAAK,CAAC,OAAO,GAAG,SAAS,CAAC;QAC1B,KAAK,CAAC,mBAAmB,GAAG,CAAC,CAAC;QAE9B,eAAM,CAAC,IAAI,CAAC,EAAE,MAAM,EAAE,EAAE,uBAAuB,CAAC,CAAC;QACjD,OAAO,CAAC,IAAI,CAAC,OAAO,EAAE,MAAM,CAAC,CAAC;IAChC,CAAC;IAED,SAAS,eAAe;QACtB,KAAK,MAAM,QAAQ,IAAI,kBAAkB;YAAE,aAAa,CAAC,QAAQ,CAAC,CAAC;QACnE,kBAAkB,GAAG,EAAE,CAAC;QAExB,kBAAkB,CAAC,IAAI,CAAC,WAAW,CAAC,GAAG,EAAE,GAAG,KAAK,CAAC,MAAM,CAAC,MAAM,GAAG,CAAC,CAAC,CAAC,CAAC,EAAE,EAAE,GAAG,EAAE,GAAG,IAAI,CAAC,CAAC,CAAC;QACzF,kBAAkB,CAAC,IAAI,CAAC,WAAW,CAAC,GAAG,EAAE,GAAG,KAAK,CAAC,MAAM,CAAC,KAAK,GAAG,CAAC,CAAC,CAAC,CAAC,EAAE,EAAE,GAAG,EAAE,GAAG,EAAE,GAAG,IAAI,CAAC,CAAC,CAAC;QAC7F,kBAAkB,CAAC,IAAI,CAAC,WAAW,CAAC,GAAG,EAAE,GAAG,KAAK,CAAC,MAAM,CAAC,MAAM,GAAG,CAAC,CAAC,CAAC,CAAC,EAAE,CAAC,GAAG,EAAE,GAAG,EAAE,GAAG,EAAE,GAAG,IAAI,CAAC,CAAC,CAAC;IACpG,CAAC;IAED,SAAS,kBAAkB;QACzB,IAAI,CAAC,GAAG,CAAC,OAAO,IAAI,KAAK,CAAC,OAAO;YAAE,OAAO;QAC1C,MAAM,SAAS,GAAG,kBAAkB,EAAE,CAAC;QACvC,IAAI,SAAS;YAAE,WAAW,CAAC,SAAS,CAAC,CAAC;IACxC,CAAC;IAED,MAAM,CAAC,MAAM,CAAC,OAAO,EAAE;QACrB,QAAQ,CAAC,QAAiB,EAAE,QAAiB;YAC3C,IAAI,CAAC,GAAG,CAAC,OAAO;gBAAE,OAAO,IAAI,CAAC;YAC9B,IAAI,KAAK,CAAC,OAAO;gBAAE,OAAO,KAAK,CAAC;YAEhC,IAAI,QAAQ,IAAI,QAAQ,EAAE,CAAC;gBACzB,MAAM,GAAG,GAAG,GAAG,QAAQ,IAAI,QAAQ,EAAE,CAAC;gBACtC,IAAI,WAAW,CAAC,GAAG,CAAC,GAAG,CAAC;oBAAE,OAAO,KAAK,CAAC;YACzC,CAAC;YAED,MAAM,SAAS,GAAG,kBAAkB,CAAC,QAAQ,EAAE,QAAQ,CAAC,CAAC;YACzD,IAAI,SAAS,EAAE,CAAC;gBACd,IAAI,SAAS,CAAC,KAAK,KAAK,QAAQ,IAAI,QAAQ,IAAI,QAAQ,EAAE,CAAC;oBACzD,WAAW,CAAC,GAAG,CAAC,GAAG,QAAQ,IAAI,QAAQ,EAAE,EAAE,SAAS,CAAC,CAAC;oBACtD,OAAO,CAAC,IAAI,CAAC,SAAS,EAAE,SAAS,CAAC,SAAS,EAAE,SAAS,CAAC,OAAO,CAAC,CAAC;oBAChE,OAAO,KAAK,CAAC;gBACf,CAAC;gBACD,WAAW,CAAC,SAAS,CAAC,CAAC;gBACvB,OAAO,KAAK,CAAC;YACf,CAAC;YACD,OAAO,IAAI,CAAC;QACd,CAAC;QAED,cAAc,CAAC,SAAwB,EAAE,QAAiB,EAAE,QAAiB;YAC3E,OAAO,sBAAsB,CAAC,SAAS,EAAE,QAAQ,EAAE,QAAQ,CAAC,CAAC;QAC/D,CAAC;QAED,WAAW,CAAC,MAA0C;YACpD,IAAI,MAAM,CAAC,OAAO,EAAE,CAAC;gBACnB,KAAK,CAAC,mBAAmB,GAAG,CAAC,CAAC;YAChC,CAAC;iBAAM,CAAC;gBACN,KAAK,CAAC,mBAAmB,EAAE,CAAC;YAC9B,CAAC;YAED,IAAI,MAAM,CAAC,GAAG,KAAK,SAAS,IAAI,MAAM,CAAC,GAAG,GAAG,CAAC,EAAE,CAAC;gBAC/C,MAAM,OAAO,GAAG,IAAI,CAAC,GAAG,CAAC,MAAM,CAAC,GAAG,CAAC,CAAC;gBACrC,KAAK,CAAC,MAAM,CAAC,MAAM,IAAI,OAAO,CAAC;gBAC/B,KAAK,CAAC,MAAM,CAAC,KAAK,IAAI,OAAO,CAAC;gBAC9B,KAAK,CAAC,MAAM,CAAC,MAAM,IAAI,OAAO,CAAC;YACjC,CAAC;YAED,IAAI,CAAC,KAAK,CAAC,OAAO,EAAE,CAAC;gBACnB,MAAM,SAAS,GAAG,kBAAkB,EAAE,CAAC;gBACvC,IAAI,SAAS;oBAAE,WAAW,CAAC,SAAS,CAAC,CAAC;YACxC,CAAC;QACH,CAAC;QAED,IAAI,CAAC,MAAc;YACjB,MAAM,KAAK,GAAc;gBACvB,SAAS,EAAE,EAAE,IAAI,EAAE,QAAQ,EAAE,MAAM,EAAE;gBACrC,SAAS,EAAE,IAAI,IAAI,EAAE;gBACrB,OAAO,EAAE,EAAE,MAAM,EAAE;gBACnB,KAAK,EAAE,QAAQ;aAChB,CAAC;YACF,WAAW,CAAC,KAAK,CAAC,CAAC;QACrB,CAAC;QAED,KAAK;YACH,YAAY,CAAC,IAAI,CAAC,CAAC;YACnB,WAAW,CAAC,KAAK,EAAE,CAAC;QACtB,CAAC;QAED,QAAQ;YACN,OAAO,EAAE,GAAG,KAAK,EAAE,WAAW,EAAE,CAAC,GAAG,KAAK,CAAC,WAAW,CAAC,EAAE,CAAC;QAC3D,CAAC;QAED,YAAY,CAAC,SAAwC;YACnD,GAAG,GAAG,EAAE,GAAG,GAAG,EAAE,GAAG,SAAS,EAAE,CAAC;YAC/B,eAAM,CAAC,IAAI,CAAC,EAAE,MAAM,EAAE,GAAG,EAAE,EAAE,gCAAgC,CAAC,CAAC;QACjE,CAAC;QAED,eAAe;YACb,IAAI,kBAAkB;gBAAE,OAAO;YAC/B,eAAe,EAAE,CAAC;YAClB,kBAAkB,GAAG,WAAW,CAAC,kBAAkB,EAAE,GAAG,CAAC,eAAe,CAAC,CAAC;YAC1E,eAAM,CAAC,IAAI,CAAC,EAAE,UAAU,EAAE,GAAG,CAAC,eAAe,EAAE,EAAE,oCAAoC,CAAC,CAAC;QACzF,CAAC;QAED,cAAc;YACZ,IAAI,kBAAkB,EAAE,CAAC;gBACvB,aAAa,CAAC,kBAAkB,CAAC,CAAC;gBAClC,kBAAkB,GAAG,IAAI,CAAC;YAC5B,CAAC;YACD,KAAK,MAAM,QAAQ,IAAI,kBAAkB;gBAAE,aAAa,CAAC,QAAQ,CAAC,CAAC;YACnE,kBAAkB,GAAG,EAAE,CAAC;YACxB,eAAM,CAAC,IAAI,CAAC,oCAAoC,CAAC,CAAC;QACpD,CAAC;KACyB,CAAC,CAAC;IAE9B,OAAO,OAAO,CAAC;AACjB,CAAC;AAED,gFAAgF;AAChF,UAAU;AACV,gFAAgF;AAEnE,QAAA,mBAAmB,GAAyB;IACvD,UAAU,EAAE;QACV,EAAE,IAAI,EAAE,YAAY,EAAE,gBAAgB,EAAE,CAAC,EAAE,KAAK,EAAE,QAAQ,EAAE;QAC5D,EAAE,IAAI,EAAE,WAAW,EAAE,iBAAiB,EAAE,GAAG,EAAE,KAAK,EAAE,QAAQ,EAAE;QAC9D,EAAE,IAAI,EAAE,MAAM,EAAE,UAAU,EAAE,CAAC,EAAE,MAAM,EAAE,OAAO,EAAE;QAChD,EAAE,IAAI,EAAE,UAAU,EAAE,cAAc,EAAE,CAAC,EAAE;QACvC,EAAE,IAAI,EAAE,QAAQ,EAAE,YAAY,EAAE,CAAC,EAAE,KAAK,EAAE,QAAQ,EAAE;KACrD;IACD,UAAU,EAAE,MAAM;IAClB,SAAS,EAAE,KAAK;CACjB,CAAC;AAEW,QAAA,eAAe,GAAyB;IACnD,UAAU,EAAE;QACV,EAAE,IAAI,EAAE,YAAY,EAAE,gBAAgB,EAAE,EAAE,EAAE,KAAK,EAAE,QAAQ,EAAE;QAC7D,EAAE,IAAI,EAAE,WAAW,EAAE,iBAAiB,EAAE,GAAG,EAAE,KAAK,EAAE,QAAQ,EAAE;QAC9D,EAAE,IAAI,EAAE,MAAM,EAAE,UAAU,EAAE,CAAC,EAAE,MAAM,EAAE,OAAO,EAAE;QAChD,EAAE,IAAI,EAAE,UAAU,EAAE,cAAc,EAAE,CAAC,EAAE;QACvC,EAAE,IAAI,EAAE,QAAQ,EAAE,YAAY,EAAE,CAAC,EAAE,KAAK,EAAE,QAAQ,EAAE;KACrD;IACD,UAAU,EAAE,MAAM;IAClB,SAAS,EAAE,IAAI;CAChB,CAAC;AAEW,QAAA,iBAAiB,GAAyB;IACrD,UAAU,EAAE;QACV,EAAE,IAAI,EAAE,YAAY,EAAE,gBAAgB,EAAE,EAAE,EAAE,KAAK,EAAE,QAAQ,EAAE;QAC7D,EAAE,IAAI,EAAE,MAAM,EAAE,UAAU,EAAE,EAAE,EAAE,MAAM,EAAE,OAAO,EAAE;QACjD,EAAE,IAAI,EAAE,UAAU,EAAE,cAAc,EAAE,EAAE,EAAE;KACzC;IACD,UAAU,EAAE,KAAK;IACjB,SAAS,EAAE,IAAI;CAChB,CAAC"}

package/dist/risk/dashboard.d.ts

@@ -0,0 +1,69 @@
+/**
+ * Risk Dashboard
+ *
+ * Aggregates real-time risk metrics from all risk subsystems into a
+ * single snapshot for display and monitoring.
+ */
+import type { VaRCalculator } from './var';
+import type { VolatilityDetector, VolatilityRegime } from './volatility';
+import type { SafetyManager } from '../trading/safety';
+import type { CircuitBreakerState } from '../execution/circuit-breaker';
+import type { DynamicKellyCalculator } from '../trading/kelly';
+export interface RiskDashboard {
+    /** Portfolio Value-at-Risk at 95% confidence */
+    portfolioVaR95: number;
+    /** Portfolio Value-at-Risk at 99% confidence */
+    portfolioVaR99: number;
+    /** Conditional VaR (Expected Shortfall) at 95% */
+    cvar95: number;
+    /** Current volatility regime */
+    regime: VolatilityRegime;
+    /** Volatility-based position size multiplier */
+    regimeSizeMultiplier: number;
+    /** Execution circuit breaker status */
+    circuitBreakerTripped: boolean;
+    /** Circuit breaker trip reason, if tripped */
+    circuitBreakerReason?: string;
+    /** Today's realized P&L */
+    dailyPnL: number;
+    /** Daily loss limit configured */
+    dailyLossLimit: number;
+    /** Daily loss utilization (0-1) */
+    dailyLossUtilization: number;
+    /** Maximum drawdown configured (percentage) */
+    maxDrawdown: number;
+    /** Current drawdown from peak (percentage) */
+    currentDrawdown: number;
+    /** Number of open positions */
+    openPositions: number;
+    /** Herfindahl-Hirschman Index for position concentration (0-10000) */
+    concentrationHHI: number;
+    /** Whether kill switch is active */
+    killSwitchActive: boolean;
+    /** Current Kelly fraction recommendation */
+    kellyFraction: number;
+    /** Aggregate warnings from all subsystems */
+    warnings: string[];
+    /** Timestamp of this snapshot */
+    timestamp: Date;
+}
+export interface DashboardSources {
+    varCalculator?: VaRCalculator;
+    volatilityDetector?: VolatilityDetector;
+    safetyManager?: SafetyManager;
+    circuitBreakerState?: CircuitBreakerState;
+    kellyCalculator?: DynamicKellyCalculator;
+    /** Current open position values, for concentration calculation */
+    positionValues?: number[];
+    /** Override daily loss limit (defaults to 500 if SafetyManager config not available) */
+    dailyLossLimit?: number;
+    /** Override max drawdown % (defaults to 20 if SafetyManager config not available) */
+    maxDrawdownPct?: number;
+}
+/**
+ * Build a risk dashboard snapshot from available subsystem data.
+ *
+ * All sources are optional — the dashboard gracefully degrades when
+ * a subsystem is not available, filling in safe defaults.
+ */
+export declare function getRiskDashboard(sources?: DashboardSources): RiskDashboard;

package/dist/risk/dashboard.js

@@ -0,0 +1,127 @@
+"use strict";
+/**
+ * Risk Dashboard
+ *
+ * Aggregates real-time risk metrics from all risk subsystems into a
+ * single snapshot for display and monitoring.
+ */
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.getRiskDashboard = getRiskDashboard;
+// =============================================================================
+// IMPLEMENTATION
+// =============================================================================
+/**
+ * Calculate Herfindahl-Hirschman Index from position values.
+ * HHI = sum of (market share %)^2. Range: 0 (perfectly diversified) to 10000 (single position).
+ */
+function calculateHHI(values) {
+    const total = values.reduce((a, b) => a + b, 0);
+    if (total === 0 || values.length === 0)
+        return 0;
+    return values.reduce((sum, v) => {
+        const share = (v / total) * 100;
+        return sum + share * share;
+    }, 0);
+}
+/**
+ * Build a risk dashboard snapshot from available subsystem data.
+ *
+ * All sources are optional — the dashboard gracefully degrades when
+ * a subsystem is not available, filling in safe defaults.
+ */
+function getRiskDashboard(sources = {}) {
+    const warnings = [];
+    // VaR
+    let portfolioVaR95 = 0;
+    let portfolioVaR99 = 0;
+    let cvar95 = 0;
+    if (sources.varCalculator) {
+        const var95 = sources.varCalculator.calculateAt(0.95);
+        const var99 = sources.varCalculator.calculateAt(0.99);
+        portfolioVaR95 = var95.historicalVaR;
+        portfolioVaR99 = var99.historicalVaR;
+        cvar95 = var95.cvar;
+        if (var95.sampleSize < 10) {
+            warnings.push(`VaR based on only ${var95.sampleSize} observations — low confidence`);
+        }
+    }
+    // Volatility regime
+    let regime = 'normal';
+    let regimeSizeMultiplier = 1.0;
+    if (sources.volatilityDetector) {
+        const snapshot = sources.volatilityDetector.detect();
+        regime = snapshot.regime;
+        regimeSizeMultiplier = snapshot.sizeMultiplier;
+        if (snapshot.shouldHalt) {
+            warnings.push('EXTREME volatility — trading should halt');
+        }
+        else if (regime === 'high') {
+            warnings.push('HIGH volatility regime — position sizes reduced');
+        }
+    }
+    // Safety manager
+    let dailyPnL = 0;
+    let dailyLossLimit = sources.dailyLossLimit ?? 500;
+    let maxDrawdown = sources.maxDrawdownPct ?? 20;
+    let currentDrawdown = 0;
+    let killSwitchActive = false;
+    if (sources.safetyManager) {
+        const state = sources.safetyManager.getState();
+        dailyPnL = state.dailyPnL;
+        currentDrawdown = state.currentDrawdownPct;
+        killSwitchActive = !state.tradingEnabled && state.disabledReason?.includes('KILL') === true;
+        if (killSwitchActive) {
+            warnings.push('KILL SWITCH ACTIVE — all trading halted');
+        }
+        for (const alert of state.alerts) {
+            if (alert.type === 'warning' || alert.type === 'critical') {
+                warnings.push(alert.message);
+            }
+        }
+    }
+    const dailyLossUtilization = dailyPnL < 0 && dailyLossLimit > 0 ? Math.min(1, Math.abs(dailyPnL) / dailyLossLimit) : 0;
+    // Circuit breaker
+    let circuitBreakerTripped = false;
+    let circuitBreakerReason;
+    if (sources.circuitBreakerState) {
+        circuitBreakerTripped = sources.circuitBreakerState.isTripped;
+        circuitBreakerReason = sources.circuitBreakerState.tripReason;
+        if (circuitBreakerTripped) {
+            warnings.push(`Circuit breaker tripped: ${circuitBreakerReason}`);
+        }
+    }
+    // Kelly
+    let kellyFraction = 0.25;
+    if (sources.kellyCalculator) {
+        const state = sources.kellyCalculator.getState();
+        // Use the recent average Kelly; fallback to default
+        kellyFraction = state.currentDrawdown > 0.1 ? 0.1 : 0.25;
+    }
+    // Concentration
+    const positionValues = sources.positionValues || [];
+    const concentrationHHI = Math.round(calculateHHI(positionValues));
+    if (concentrationHHI > 5000 && positionValues.length > 1) {
+        warnings.push(`High concentration (HHI: ${concentrationHHI}) — consider diversifying`);
+    }
+    return {
+        portfolioVaR95: Math.round(portfolioVaR95 * 100) / 100,
+        portfolioVaR99: Math.round(portfolioVaR99 * 100) / 100,
+        cvar95: Math.round(cvar95 * 100) / 100,
+        regime,
+        regimeSizeMultiplier,
+        circuitBreakerTripped,
+        circuitBreakerReason,
+        dailyPnL: Math.round(dailyPnL * 100) / 100,
+        dailyLossLimit,
+        dailyLossUtilization: Math.round(dailyLossUtilization * 100) / 100,
+        maxDrawdown,
+        currentDrawdown: Math.round(currentDrawdown * 100) / 100,
+        openPositions: positionValues.length,
+        concentrationHHI,
+        killSwitchActive,
+        kellyFraction,
+        warnings,
+        timestamp: new Date(),
+    };
+}
+//# sourceMappingURL=dashboard.js.map

package/dist/risk/dashboard.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"dashboard.js","sourceRoot":"","sources":["../../src/risk/dashboard.ts"],"names":[],"mappings":";AAAA;;;;;GAKG;;AAwFH,4CAiHC;AAxID,gFAAgF;AAChF,iBAAiB;AACjB,gFAAgF;AAEhF;;;GAGG;AACH,SAAS,YAAY,CAAC,MAAgB;IACpC,MAAM,KAAK,GAAG,MAAM,CAAC,MAAM,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,GAAG,CAAC,EAAE,CAAC,CAAC,CAAC;IAChD,IAAI,KAAK,KAAK,CAAC,IAAI,MAAM,CAAC,MAAM,KAAK,CAAC;QAAE,OAAO,CAAC,CAAC;IACjD,OAAO,MAAM,CAAC,MAAM,CAAC,CAAC,GAAG,EAAE,CAAC,EAAE,EAAE;QAC9B,MAAM,KAAK,GAAG,CAAC,CAAC,GAAG,KAAK,CAAC,GAAG,GAAG,CAAC;QAChC,OAAO,GAAG,GAAG,KAAK,GAAG,KAAK,CAAC;IAC7B,CAAC,EAAE,CAAC,CAAC,CAAC;AACR,CAAC;AAED;;;;;GAKG;AACH,SAAgB,gBAAgB,CAAC,UAA4B,EAAE;IAC7D,MAAM,QAAQ,GAAa,EAAE,CAAC;IAE9B,MAAM;IACN,IAAI,cAAc,GAAG,CAAC,CAAC;IACvB,IAAI,cAAc,GAAG,CAAC,CAAC;IACvB,IAAI,MAAM,GAAG,CAAC,CAAC;IAEf,IAAI,OAAO,CAAC,aAAa,EAAE,CAAC;QAC1B,MAAM,KAAK,GAAG,OAAO,CAAC,aAAa,CAAC,WAAW,CAAC,IAAI,CAAC,CAAC;QACtD,MAAM,KAAK,GAAG,OAAO,CAAC,aAAa,CAAC,WAAW,CAAC,IAAI,CAAC,CAAC;QACtD,cAAc,GAAG,KAAK,CAAC,aAAa,CAAC;QACrC,cAAc,GAAG,KAAK,CAAC,aAAa,CAAC;QACrC,MAAM,GAAG,KAAK,CAAC,IAAI,CAAC;QAEpB,IAAI,KAAK,CAAC,UAAU,GAAG,EAAE,EAAE,CAAC;YAC1B,QAAQ,CAAC,IAAI,CAAC,qBAAqB,KAAK,CAAC,UAAU,gCAAgC,CAAC,CAAC;QACvF,CAAC;IACH,CAAC;IAED,oBAAoB;IACpB,IAAI,MAAM,GAAqB,QAAQ,CAAC;IACxC,IAAI,oBAAoB,GAAG,GAAG,CAAC;IAE/B,IAAI,OAAO,CAAC,kBAAkB,EAAE,CAAC;QAC/B,MAAM,QAAQ,GAAG,OAAO,CAAC,kBAAkB,CAAC,MAAM,EAAE,CAAC;QACrD,MAAM,GAAG,QAAQ,CAAC,MAAM,CAAC;QACzB,oBAAoB,GAAG,QAAQ,CAAC,cAAc,CAAC;QAE/C,IAAI,QAAQ,CAAC,UAAU,EAAE,CAAC;YACxB,QAAQ,CAAC,IAAI,CAAC,0CAA0C,CAAC,CAAC;QAC5D,CAAC;aAAM,IAAI,MAAM,KAAK,MAAM,EAAE,CAAC;YAC7B,QAAQ,CAAC,IAAI,CAAC,iDAAiD,CAAC,CAAC;QACnE,CAAC;IACH,CAAC;IAED,iBAAiB;IACjB,IAAI,QAAQ,GAAG,CAAC,CAAC;IACjB,IAAI,cAAc,GAAG,OAAO,CAAC,cAAc,IAAI,GAAG,CAAC;IACnD,IAAI,WAAW,GAAG,OAAO,CAAC,cAAc,IAAI,EAAE,CAAC;IAC/C,IAAI,eAAe,GAAG,CAAC,CAAC;IACxB,IAAI,gBAAgB,GAAG,KAAK,CAAC;IAE7B,IAAI,OAAO,CAAC,aAAa,EAAE,CAAC;QAC1B,MAAM,KAAK,GAAG,OAAO,CAAC,aAAa,CAAC,QAAQ,EAAE,CAAC;QAC/C,QAAQ,GAAG,KAAK,CAAC,QAAQ,CAAC;QAC1B,eAAe,GAAG,KAAK,CAAC,kBAAkB,CAAC;QAC3C,gBAAgB,GAAG,CAAC,KAAK,CAAC,cAAc,IAAI,KAAK,CAAC,cAAc,EAAE,QAAQ,CAAC,MAAM,CAAC,KAAK,IAAI,CAAC;QAE5F,IAAI,gBAAgB,EAAE,CAAC;YACrB,QAAQ,CAAC,IAAI,CAAC,yCAAyC,CAAC,CAAC;QAC3D,CAAC;QAED,KAAK,MAAM,KAAK,IAAI,KAAK,CAAC,MAAM,EAAE,CAAC;YACjC,IAAI,KAAK,CAAC,IAAI,KAAK,SAAS,IAAI,KAAK,CAAC,IAAI,KAAK,UAAU,EAAE,CAAC;gBAC1D,QAAQ,CAAC,IAAI,CAAC,KAAK,CAAC,OAAO,CAAC,CAAC;YAC/B,CAAC;QACH,CAAC;IACH,CAAC;IAED,MAAM,oBAAoB,GACxB,QAAQ,GAAG,CAAC,IAAI,cAAc,GAAG,CAAC,CAAC,CAAC,CAAC,IAAI,CAAC,GAAG,CAAC,CAAC,EAAE,IAAI,CAAC,GAAG,CAAC,QAAQ,CAAC,GAAG,cAAc,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC;IAE5F,kBAAkB;IAClB,IAAI,qBAAqB,GAAG,KAAK,CAAC;IAClC,IAAI,oBAAwC,CAAC;IAE7C,IAAI,OAAO,CAAC,mBAAmB,EAAE,CAAC;QAChC,qBAAqB,GAAG,OAAO,CAAC,mBAAmB,CAAC,SAAS,CAAC;QAC9D,oBAAoB,GAAG,OAAO,CAAC,mBAAmB,CAAC,UAAU,CAAC;QAE9D,IAAI,qBAAqB,EAAE,CAAC;YAC1B,QAAQ,CAAC,IAAI,CAAC,4BAA4B,oBAAoB,EAAE,CAAC,CAAC;QACpE,CAAC;IACH,CAAC;IAED,QAAQ;IACR,IAAI,aAAa,GAAG,IAAI,CAAC;IAEzB,IAAI,OAAO,CAAC,eAAe,EAAE,CAAC;QAC5B,MAAM,KAAK,GAAG,OAAO,CAAC,eAAe,CAAC,QAAQ,EAAE,CAAC;QACjD,oDAAoD;QACpD,aAAa,GAAG,KAAK,CAAC,eAAe,GAAG,GAAG,CAAC,CAAC,CAAC,GAAG,CAAC,CAAC,CAAC,IAAI,CAAC;IAC3D,CAAC;IAED,gBAAgB;IAChB,MAAM,cAAc,GAAG,OAAO,CAAC,cAAc,IAAI,EAAE,CAAC;IACpD,MAAM,gBAAgB,GAAG,IAAI,CAAC,KAAK,CAAC,YAAY,CAAC,cAAc,CAAC,CAAC,CAAC;IAElE,IAAI,gBAAgB,GAAG,IAAI,IAAI,cAAc,CAAC,MAAM,GAAG,CAAC,EAAE,CAAC;QACzD,QAAQ,CAAC,IAAI,CAAC,4BAA4B,gBAAgB,2BAA2B,CAAC,CAAC;IACzF,CAAC;IAED,OAAO;QACL,cAAc,EAAE,IAAI,CAAC,KAAK,CAAC,cAAc,GAAG,GAAG,CAAC,GAAG,GAAG;QACtD,cAAc,EAAE,IAAI,CAAC,KAAK,CAAC,cAAc,GAAG,GAAG,CAAC,GAAG,GAAG;QACtD,MAAM,EAAE,IAAI,CAAC,KAAK,CAAC,MAAM,GAAG,GAAG,CAAC,GAAG,GAAG;QACtC,MAAM;QACN,oBAAoB;QACpB,qBAAqB;QACrB,oBAAoB;QACpB,QAAQ,EAAE,IAAI,CAAC,KAAK,CAAC,QAAQ,GAAG,GAAG,CAAC,GAAG,GAAG;QAC1C,cAAc;QACd,oBAAoB,EAAE,IAAI,CAAC,KAAK,CAAC,oBAAoB,GAAG,GAAG,CAAC,GAAG,GAAG;QAClE,WAAW;QACX,eAAe,EAAE,IAAI,CAAC,KAAK,CAAC,eAAe,GAAG,GAAG,CAAC,GAAG,GAAG;QACxD,aAAa,EAAE,cAAc,CAAC,MAAM;QACpC,gBAAgB;QAChB,gBAAgB;QAChB,aAAa;QACb,QAAQ;QACR,SAAS,EAAE,IAAI,IAAI,EAAE;KACtB,CAAC;AACJ,CAAC"}

package/dist/risk/engine.d.ts

@@ -0,0 +1,128 @@
+/**
+ * Unified Risk Engine
+ *
+ * Single entry point for all pre-trade validation. Orchestrates:
+ * 1. Kill switch check (safety.ts)
+ * 2. Circuit breaker check (execution/circuit-breaker.ts)
+ * 3. Max order size (trading/risk.ts)
+ * 4. Exposure limits (trading/risk.ts)
+ * 5. Daily loss limit (safety.ts)
+ * 6. Max drawdown (safety.ts)
+ * 7. Concentration limit (safety.ts)
+ * 8. VaR limit check (var.ts)
+ * 9. Volatility regime adjustment (volatility.ts)
+ * 10. Kelly sizing recommendation (kelly.ts)
+ */
+import { type VaRCalculator, type PnLRecord } from './var';
+import { type VolatilityDetector, type VolatilityRegime, type VolatilityConfig } from './volatility';
+import { type StressPosition, type StressResult } from './stress';
+import { type RiskDashboard } from './dashboard';
+import { type RiskContext } from '../trading/risk';
+import type { SafetyManager } from '../trading/safety';
+import type { CircuitBreaker as ExecCircuitBreaker } from '../execution/circuit-breaker';
+import type { DynamicKellyCalculator } from '../trading/kelly';
+import type { Platform } from '../types';
+export interface TradeRequest {
+    /** User ID for exposure/settings lookup */
+    userId: string;
+    /** Target platform */
+    platform: Platform;
+    /** Market identifier */
+    marketId?: string;
+    /** Outcome identifier */
+    outcomeId?: string;
+    /** Outcome label */
+    outcome?: string;
+    /** Trade side */
+    side: 'buy' | 'sell';
+    /** Order size in USD (notional) */
+    size: number;
+    /** Entry price (0-1 for prediction markets) */
+    price: number;
+    /** Estimated edge (decimal, e.g. 0.05 for 5%) */
+    estimatedEdge?: number;
+    /** Confidence in the edge estimate (0-1) */
+    confidence?: number;
+    /** Category for Kelly lookup */
+    category?: string;
+}
+export interface CheckResult {
+    /** Name of the check */
+    name: string;
+    /** Whether this check passed */
+    passed: boolean;
+    /** Detail message */
+    message: string;
+}
+export interface RiskDecision {
+    /** Whether the trade is approved */
+    approved: boolean;
+    /** Kelly-adjusted position size (may differ from requested size) */
+    adjustedSize?: number;
+    /** Reason for rejection (if not approved) */
+    reason?: string;
+    /** Non-blocking warnings */
+    warnings: string[];
+    /** Individual check results */
+    checks: CheckResult[];
+    /** Current volatility regime */
+    regime: VolatilityRegime;
+}
+export interface PortfolioRiskSnapshot {
+    /** Total portfolio value */
+    totalValue: number;
+    /** Number of open positions */
+    positionCount: number;
+    /** VaR at 95% confidence */
+    var95: number;
+    /** VaR at 99% confidence */
+    var99: number;
+    /** CVaR at 95% */
+    cvar95: number;
+    /** Current volatility regime */
+    regime: VolatilityRegime;
+    /** Current drawdown percentage */
+    drawdownPct: number;
+    /** Daily P&L */
+    dailyPnL: number;
+}
+export interface RiskConfig {
+    /** VaR limit in USD — reject trades if portfolio VaR exceeds this */
+    varLimit?: number;
+    /** VaR confidence level for the limit check (default: 0.95) */
+    varConfidence?: number;
+    /** Volatility detector config */
+    volatilityConfig?: Partial<VolatilityConfig>;
+    /** VaR rolling window size (default: 100) */
+    varWindowSize?: number;
+    /** Initial bankroll for Kelly calculations */
+    initialBankroll?: number;
+}
+export interface RiskEngine {
+    /** Run all pre-trade checks and return a decision */
+    validateTrade(request: TradeRequest): RiskDecision;
+    /** Get a snapshot of portfolio-level risk */
+    getPortfolioRisk(): PortfolioRiskSnapshot;
+    /** Get current volatility regime */
+    getRegime(): VolatilityRegime;
+    /** Run a stress test scenario */
+    runStressTest(scenario?: string): StressResult;
+    /** Get the full risk dashboard */
+    getDashboard(): RiskDashboard;
+    /** Record a completed trade's P&L (feeds VaR + volatility) */
+    recordPnL(record: PnLRecord): void;
+    /** Get the internal VaR calculator (for advanced queries) */
+    getVaRCalculator(): VaRCalculator;
+    /** Get the internal volatility detector */
+    getVolatilityDetector(): VolatilityDetector;
+}
+export declare function createRiskEngine(config: RiskConfig, deps: {
+    riskContext: RiskContext;
+    safetyManager?: SafetyManager;
+    circuitBreaker?: ExecCircuitBreaker;
+    kellyCalculator?: DynamicKellyCalculator;
+    /** Current open positions for stress tests / concentration */
+    getPositions?: () => StressPosition[];
+    /** Current position values for HHI calculation */
+    getPositionValues?: () => number[];
+}): RiskEngine;