clodds 1.1.0

package/dist/risk/engine.js

@@ -0,0 +1,311 @@
+"use strict";
+/**
+ * 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)
+ */
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.createRiskEngine = createRiskEngine;
+const logger_1 = require("../utils/logger");
+const var_1 = require("./var");
+const volatility_1 = require("./volatility");
+const stress_1 = require("./stress");
+const dashboard_1 = require("./dashboard");
+const risk_1 = require("../trading/risk");
+// =============================================================================
+// IMPLEMENTATION
+// =============================================================================
+function createRiskEngine(config, deps) {
+    // Internal subsystems
+    const varCalc = (0, var_1.createVaRCalculator)({ windowSize: config.varWindowSize ?? 100 });
+    const volDetector = (0, volatility_1.createVolatilityDetector)(config.volatilityConfig);
+    const varLimit = config.varLimit;
+    const varConfidence = config.varConfidence ?? 0.95;
+    // =========================================================================
+    // validateTrade
+    // =========================================================================
+    function validateTrade(request) {
+        const checks = [];
+        const warnings = [];
+        const regime = volDetector.getRegime();
+        // ---- 1. Kill switch (safety manager) ----
+        if (deps.safetyManager) {
+            const canTrade = deps.safetyManager.canTrade();
+            checks.push({
+                name: 'kill_switch',
+                passed: canTrade,
+                message: canTrade ? 'Trading enabled' : deps.safetyManager.getState().disabledReason || 'Trading disabled',
+            });
+            if (!canTrade) {
+                return {
+                    approved: false,
+                    reason: checks[checks.length - 1].message,
+                    warnings,
+                    checks,
+                    regime,
+                };
+            }
+        }
+        // ---- 2. Circuit breaker ----
+        if (deps.circuitBreaker) {
+            const canTrade = deps.circuitBreaker.canTrade();
+            const cbState = deps.circuitBreaker.getState();
+            checks.push({
+                name: 'circuit_breaker',
+                passed: canTrade,
+                message: canTrade
+                    ? 'Circuit breaker OK'
+                    : `Circuit breaker tripped: ${cbState.tripReason}`,
+            });
+            if (!canTrade) {
+                return {
+                    approved: false,
+                    reason: checks[checks.length - 1].message,
+                    warnings,
+                    checks,
+                    regime,
+                };
+            }
+        }
+        // ---- 3. Max order size ----
+        const orderSizeResult = (0, risk_1.enforceMaxOrderSize)(deps.riskContext, request.size, `${request.platform}:${request.marketId || 'unknown'}`);
+        const orderSizePassed = orderSizeResult === null;
+        checks.push({
+            name: 'max_order_size',
+            passed: orderSizePassed,
+            message: orderSizePassed ? 'Order size within limit' : 'Order exceeds max order size',
+        });
+        if (!orderSizePassed) {
+            return {
+                approved: false,
+                reason: 'Order exceeds max order size',
+                warnings,
+                checks,
+                regime,
+            };
+        }
+        // ---- 4. Exposure limits ----
+        const exposureResult = (0, risk_1.enforceExposureLimits)(deps.riskContext, request.userId, {
+            platform: request.platform,
+            marketId: request.marketId,
+            outcomeId: request.outcomeId,
+            notional: request.size,
+            label: `${request.side} ${request.outcome || request.outcomeId || 'unknown'}`,
+        });
+        const exposurePassed = exposureResult === null;
+        checks.push({
+            name: 'exposure_limits',
+            passed: exposurePassed,
+            message: exposurePassed ? 'Exposure within limits' : 'Exposure limit exceeded',
+        });
+        if (!exposurePassed) {
+            return {
+                approved: false,
+                reason: 'Exposure limit exceeded',
+                warnings,
+                checks,
+                regime,
+            };
+        }
+        // ---- 5 & 6 & 7. Daily loss, drawdown, concentration (safety manager) ----
+        if (deps.safetyManager) {
+            const validation = deps.safetyManager.validateTrade({
+                platform: request.platform,
+                marketId: request.marketId || '',
+                outcome: request.outcome || '',
+                side: request.side,
+                size: request.size,
+                price: request.price,
+            });
+            checks.push({
+                name: 'safety_validation',
+                passed: validation.allowed,
+                message: validation.allowed
+                    ? 'Safety checks passed (daily loss, drawdown, concentration)'
+                    : validation.reason || 'Safety validation failed',
+            });
+            if (!validation.allowed) {
+                return {
+                    approved: false,
+                    reason: validation.reason || 'Safety validation failed',
+                    warnings,
+                    checks,
+                    regime,
+                };
+            }
+        }
+        // ---- 8. VaR limit ----
+        if (varLimit !== undefined) {
+            const currentVaR = varCalc.calculateAt(varConfidence);
+            const varPassed = currentVaR.historicalVaR <= varLimit;
+            checks.push({
+                name: 'var_limit',
+                passed: varPassed,
+                message: varPassed
+                    ? `VaR $${currentVaR.historicalVaR.toFixed(2)} within limit $${varLimit}`
+                    : `VaR $${currentVaR.historicalVaR.toFixed(2)} exceeds limit $${varLimit}`,
+            });
+            if (!varPassed) {
+                return {
+                    approved: false,
+                    reason: `Portfolio VaR ($${currentVaR.historicalVaR.toFixed(2)}) exceeds limit ($${varLimit})`,
+                    warnings,
+                    checks,
+                    regime,
+                };
+            }
+            // Warning at 80% of VaR limit
+            if (currentVaR.historicalVaR > varLimit * 0.8) {
+                warnings.push(`VaR approaching limit: $${currentVaR.historicalVaR.toFixed(2)} / $${varLimit}`);
+            }
+        }
+        else {
+            checks.push({ name: 'var_limit', passed: true, message: 'No VaR limit configured' });
+        }
+        // ---- 9. Volatility regime ----
+        const volSnapshot = volDetector.detect();
+        checks.push({
+            name: 'volatility_regime',
+            passed: !volSnapshot.shouldHalt,
+            message: volSnapshot.shouldHalt
+                ? `EXTREME volatility — trading halted (stddev: ${volSnapshot.rollingStdDev})`
+                : `Regime: ${regime} (multiplier: ${volSnapshot.sizeMultiplier}x)`,
+        });
+        if (volSnapshot.shouldHalt) {
+            return {
+                approved: false,
+                reason: 'Extreme volatility — trading halted',
+                warnings,
+                checks,
+                regime,
+            };
+        }
+        if (regime === 'high') {
+            warnings.push('High volatility — position size reduced');
+        }
+        // ---- 10. Kelly sizing ----
+        let adjustedSize = request.size;
+        if (deps.kellyCalculator && request.estimatedEdge !== undefined) {
+            const kellyResult = deps.kellyCalculator.calculate(request.estimatedEdge, request.confidence ?? 0.7, { category: request.category });
+            // Apply volatility regime multiplier to Kelly-recommended size
+            const kellySize = kellyResult.positionSize * volSnapshot.sizeMultiplier;
+            // Use the smaller of requested size and Kelly recommendation
+            adjustedSize = Math.min(request.size, kellySize);
+            adjustedSize = Math.round(adjustedSize * 100) / 100;
+            checks.push({
+                name: 'kelly_sizing',
+                passed: true,
+                message: `Kelly recommends $${kellySize.toFixed(2)} (fraction: ${kellyResult.kelly}, regime: ${volSnapshot.sizeMultiplier}x)`,
+            });
+            if (adjustedSize < request.size) {
+                warnings.push(`Size reduced from $${request.size} to $${adjustedSize} (Kelly + regime adjustment)`);
+            }
+            // Pass through Kelly warnings
+            for (const w of kellyResult.warnings) {
+                warnings.push(w);
+            }
+        }
+        else {
+            // No Kelly — just apply regime multiplier
+            adjustedSize = Math.round(request.size * volSnapshot.sizeMultiplier * 100) / 100;
+            checks.push({
+                name: 'kelly_sizing',
+                passed: true,
+                message: 'No Kelly calculator — using regime-adjusted size',
+            });
+            if (adjustedSize < request.size) {
+                warnings.push(`Size reduced from $${request.size} to $${adjustedSize} (regime: ${regime})`);
+            }
+        }
+        logger_1.logger.debug({
+            trade: `${request.platform}:${request.marketId}`,
+            approved: true,
+            originalSize: request.size,
+            adjustedSize,
+            regime,
+            checksRun: checks.length,
+        }, 'Risk engine: trade approved');
+        return {
+            approved: true,
+            adjustedSize,
+            warnings,
+            checks,
+            regime,
+        };
+    }
+    // =========================================================================
+    // Portfolio risk snapshot
+    // =========================================================================
+    function getPortfolioRisk() {
+        const var95 = varCalc.calculateAt(0.95);
+        const var99 = varCalc.calculateAt(0.99);
+        const regime = volDetector.getRegime();
+        let drawdownPct = 0;
+        let dailyPnL = 0;
+        if (deps.safetyManager) {
+            const state = deps.safetyManager.getState();
+            drawdownPct = state.currentDrawdownPct;
+            dailyPnL = state.dailyPnL;
+        }
+        const positions = deps.getPositions?.() || [];
+        const totalValue = positions.reduce((sum, p) => sum + p.value, 0);
+        return {
+            totalValue: Math.round(totalValue * 100) / 100,
+            positionCount: positions.length,
+            var95: var95.historicalVaR,
+            var99: var99.historicalVaR,
+            cvar95: var95.cvar,
+            regime,
+            drawdownPct: Math.round(drawdownPct * 100) / 100,
+            dailyPnL: Math.round(dailyPnL * 100) / 100,
+        };
+    }
+    // =========================================================================
+    // Other methods
+    // =========================================================================
+    function getRegime() {
+        return volDetector.getRegime();
+    }
+    function stressTest(scenario) {
+        const positions = deps.getPositions?.() || [];
+        return (0, stress_1.runStressTest)(positions, scenario);
+    }
+    function getDashboard() {
+        const cbState = deps.circuitBreaker?.getState();
+        const positionValues = deps.getPositionValues?.() || [];
+        const sources = {
+            varCalculator: varCalc,
+            volatilityDetector: volDetector,
+            safetyManager: deps.safetyManager,
+            circuitBreakerState: cbState,
+            kellyCalculator: deps.kellyCalculator,
+            positionValues,
+        };
+        return (0, dashboard_1.getRiskDashboard)(sources);
+    }
+    function recordPnL(record) {
+        varCalc.addObservation(record);
+        volDetector.addObservation(record.pnlPct);
+    }
+    return {
+        validateTrade,
+        getPortfolioRisk,
+        getRegime,
+        runStressTest: stressTest,
+        getDashboard,
+        recordPnL,
+        getVaRCalculator: () => varCalc,
+        getVolatilityDetector: () => volDetector,
+    };
+}
+//# sourceMappingURL=engine.js.map

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package/dist/risk/index.d.ts

@@ -0,0 +1,10 @@
+/**
+ * Risk Management Module
+ */
+export { createCircuitBreaker, CONSERVATIVE_CONFIG, MODERATE_CONFIG, AGGRESSIVE_CONFIG, type CircuitBreaker, type CircuitBreakerConfig, type CircuitBreakerState, type TripCondition, type TripConditionType, type TripEvent, type TripScope, type VolatilityCondition, type LiquidityCondition, type LossCondition, type FailureCondition, type SpreadCondition, type ManualCondition, } from './circuit-breaker';
+export { createRiskEngine, type RiskEngine, type RiskConfig, type RiskDecision, type TradeRequest, type CheckResult, type PortfolioRiskSnapshot, } from './engine';
+export { createVaRCalculator, calculateVaR, calculateCVaR, type VaRCalculator, type VaRConfig, type VaRResult, type PositionVaR, type PnLRecord, } from './var';
+export { createVolatilityDetector, detectRegime, type VolatilityDetector, type VolatilityRegime, type VolatilityConfig, type VolatilitySnapshot, } from './volatility';
+export { runStressTest, runAllScenarios, getAvailableScenarios, type StressResult, type StressPosition, type StressTestConfig, type ScenarioName, } from './stress';
+export { getRiskDashboard, type RiskDashboard, type DashboardSources, } from './dashboard';
+export { createCircuitBreaker as createExecCircuitBreaker, getGlobalCircuitBreaker, initGlobalCircuitBreaker, type CircuitBreaker as ExecCircuitBreaker, type CircuitBreakerConfig as ExecCircuitBreakerConfig, type CircuitBreakerState as ExecCircuitBreakerState, type TradeResult, type TripReason, } from '../execution/circuit-breaker';

package/dist/risk/index.js

@@ -0,0 +1,38 @@
+"use strict";
+/**
+ * Risk Management Module
+ */
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.initGlobalCircuitBreaker = exports.getGlobalCircuitBreaker = exports.createExecCircuitBreaker = exports.getRiskDashboard = exports.getAvailableScenarios = exports.runAllScenarios = exports.runStressTest = exports.detectRegime = exports.createVolatilityDetector = exports.calculateCVaR = exports.calculateVaR = exports.createVaRCalculator = exports.createRiskEngine = exports.AGGRESSIVE_CONFIG = exports.MODERATE_CONFIG = exports.CONSERVATIVE_CONFIG = exports.createCircuitBreaker = void 0;
+// Feature-engineering circuit breaker (market-condition-aware)
+var circuit_breaker_1 = require("./circuit-breaker");
+Object.defineProperty(exports, "createCircuitBreaker", { enumerable: true, get: function () { return circuit_breaker_1.createCircuitBreaker; } });
+Object.defineProperty(exports, "CONSERVATIVE_CONFIG", { enumerable: true, get: function () { return circuit_breaker_1.CONSERVATIVE_CONFIG; } });
+Object.defineProperty(exports, "MODERATE_CONFIG", { enumerable: true, get: function () { return circuit_breaker_1.MODERATE_CONFIG; } });
+Object.defineProperty(exports, "AGGRESSIVE_CONFIG", { enumerable: true, get: function () { return circuit_breaker_1.AGGRESSIVE_CONFIG; } });
+// Unified risk engine
+var engine_1 = require("./engine");
+Object.defineProperty(exports, "createRiskEngine", { enumerable: true, get: function () { return engine_1.createRiskEngine; } });
+// Value-at-Risk
+var var_1 = require("./var");
+Object.defineProperty(exports, "createVaRCalculator", { enumerable: true, get: function () { return var_1.createVaRCalculator; } });
+Object.defineProperty(exports, "calculateVaR", { enumerable: true, get: function () { return var_1.calculateVaR; } });
+Object.defineProperty(exports, "calculateCVaR", { enumerable: true, get: function () { return var_1.calculateCVaR; } });
+// Volatility regime detection
+var volatility_1 = require("./volatility");
+Object.defineProperty(exports, "createVolatilityDetector", { enumerable: true, get: function () { return volatility_1.createVolatilityDetector; } });
+Object.defineProperty(exports, "detectRegime", { enumerable: true, get: function () { return volatility_1.detectRegime; } });
+// Stress testing
+var stress_1 = require("./stress");
+Object.defineProperty(exports, "runStressTest", { enumerable: true, get: function () { return stress_1.runStressTest; } });
+Object.defineProperty(exports, "runAllScenarios", { enumerable: true, get: function () { return stress_1.runAllScenarios; } });
+Object.defineProperty(exports, "getAvailableScenarios", { enumerable: true, get: function () { return stress_1.getAvailableScenarios; } });
+// Risk dashboard
+var dashboard_1 = require("./dashboard");
+Object.defineProperty(exports, "getRiskDashboard", { enumerable: true, get: function () { return dashboard_1.getRiskDashboard; } });
+// Re-export execution-level circuit breaker under a distinct name
+var circuit_breaker_2 = require("../execution/circuit-breaker");
+Object.defineProperty(exports, "createExecCircuitBreaker", { enumerable: true, get: function () { return circuit_breaker_2.createCircuitBreaker; } });
+Object.defineProperty(exports, "getGlobalCircuitBreaker", { enumerable: true, get: function () { return circuit_breaker_2.getGlobalCircuitBreaker; } });
+Object.defineProperty(exports, "initGlobalCircuitBreaker", { enumerable: true, get: function () { return circuit_breaker_2.initGlobalCircuitBreaker; } });
+//# sourceMappingURL=index.js.map

package/dist/risk/index.js.map

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package/dist/risk/stress.d.ts

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+/**
+ * Stress Testing
+ *
+ * Predefined and custom scenarios to evaluate portfolio resilience:
+ * - Flash crash: all positions lose 20% instantly
+ * - Liquidity crunch: slippage doubles, partial fills
+ * - Platform down: one platform unavailable, positions stuck
+ * - Correlation spike: all positions move together (correlation -> 1.0)
+ * - Black swan: 3-sigma move across all markets
+ */
+export type ScenarioName = 'flash_crash' | 'liquidity_crunch' | 'platform_down' | 'correlation_spike' | 'black_swan';
+export interface StressPosition {
+    /** Position ID or label */
+    id: string;
+    /** Platform hosting this position */
+    platform: string;
+    /** Current value in USD */
+    value: number;
+    /** Current P&L percentage (as decimal, e.g. 0.05 for +5%) */
+    pnlPct: number;
+    /** Side: YES/NO or long/short */
+    side: 'long' | 'short';
+}
+export interface StressResult {
+    /** Scenario that was run */
+    scenario: ScenarioName | string;
+    /** Description of the scenario */
+    description: string;
+    /** Estimated portfolio loss in USD */
+    estimatedLoss: number;
+    /** Estimated loss as percentage of portfolio */
+    estimatedLossPct: number;
+    /** Total portfolio value before stress */
+    portfolioValueBefore: number;
+    /** Estimated portfolio value after stress */
+    portfolioValueAfter: number;
+    /** Number of positions at risk of total loss */
+    positionsAtRisk: number;
+    /** Positions most affected */
+    mostAffected: Array<{
+        id: string;
+        estimatedLoss: number;
+    }>;
+    /** Recommended actions */
+    recommendations: string[];
+    /** Severity: how bad is this scenario */
+    severity: 'low' | 'medium' | 'high' | 'critical';
+}
+export interface StressTestConfig {
+    /** Custom scenario overrides */
+    scenarios?: Partial<Record<ScenarioName, {
+        lossPct: number;
+        description: string;
+    }>>;
+}
+/**
+ * Run a stress test scenario against a set of positions.
+ */
+export declare function runStressTest(positions: StressPosition[], scenario?: ScenarioName | string, config?: StressTestConfig): StressResult;
+/**
+ * Run all predefined scenarios and return results sorted by severity.
+ */
+export declare function runAllScenarios(positions: StressPosition[]): StressResult[];
+/**
+ * Get list of available scenario names.
+ */
+export declare function getAvailableScenarios(): Array<{
+    name: ScenarioName;
+    description: string;
+}>;

package/dist/risk/stress.js

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+"use strict";
+/**
+ * Stress Testing
+ *
+ * Predefined and custom scenarios to evaluate portfolio resilience:
+ * - Flash crash: all positions lose 20% instantly
+ * - Liquidity crunch: slippage doubles, partial fills
+ * - Platform down: one platform unavailable, positions stuck
+ * - Correlation spike: all positions move together (correlation -> 1.0)
+ * - Black swan: 3-sigma move across all markets
+ */
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.runStressTest = runStressTest;
+exports.runAllScenarios = runAllScenarios;
+exports.getAvailableScenarios = getAvailableScenarios;
+const SCENARIOS = {
+    flash_crash: {
+        name: 'flash_crash',
+        description: 'All positions lose 20% of value instantly',
+        lossFraction: 0.20,
+        affectsAllPlatforms: true,
+        effects: ['Rapid price decline', 'Stop losses may not execute at target', 'Liquidity dries up temporarily'],
+    },
+    liquidity_crunch: {
+        name: 'liquidity_crunch',
+        description: 'Slippage doubles, fills are partial — effective loss ~10%',
+        lossFraction: 0.10,
+        affectsAllPlatforms: true,
+        effects: ['Order book thins out', 'Market orders fill at worse prices', 'Limit orders may not fill'],
+    },
+    platform_down: {
+        name: 'platform_down',
+        description: 'Primary platform goes offline — cannot close positions',
+        lossFraction: 0.15,
+        affectsAllPlatforms: false,
+        effects: ['Cannot exit positions', 'No new hedges possible', 'Positions may expire unfavorably'],
+    },
+    correlation_spike: {
+        name: 'correlation_spike',
+        description: 'All positions move together — correlation approaches 1.0',
+        lossFraction: 0.25,
+        affectsAllPlatforms: true,
+        effects: ['Diversification benefit vanishes', 'Portfolio drawdown amplified', 'Hedges fail'],
+    },
+    black_swan: {
+        name: 'black_swan',
+        description: '3-sigma move across all markets — extreme tail event',
+        lossFraction: 0.40,
+        affectsAllPlatforms: true,
+        effects: ['Unprecedented market move', 'Models break down', 'Margin calls possible', 'Recovery uncertain'],
+    },
+};
+// =============================================================================
+// IMPLEMENTATION
+// =============================================================================
+function classifySeverity(lossPct) {
+    if (lossPct < 5)
+        return 'low';
+    if (lossPct < 15)
+        return 'medium';
+    if (lossPct < 30)
+        return 'high';
+    return 'critical';
+}
+function generateRecommendations(scenario, lossPct, positions) {
+    const recs = [];
+    if (lossPct > 20) {
+        recs.push('Reduce overall portfolio exposure immediately');
+    }
+    if (positions.length > 5) {
+        recs.push('Consider closing weakest positions to reduce exposure');
+    }
+    // Platform-specific
+    if (!scenario.affectsAllPlatforms) {
+        const platforms = [...new Set(positions.map((p) => p.platform))];
+        if (platforms.length < 2) {
+            recs.push('Diversify across multiple platforms to reduce single-platform risk');
+        }
+    }
+    // Direction concentration
+    const longCount = positions.filter((p) => p.side === 'long').length;
+    const shortCount = positions.filter((p) => p.side === 'short').length;
+    const total = positions.length;
+    if (total > 0 && (longCount / total > 0.8 || shortCount / total > 0.8)) {
+        recs.push('Portfolio is directionally concentrated — consider hedging with opposing positions');
+    }
+    // Correlation scenario
+    if (scenario.name === 'correlation_spike') {
+        recs.push('Add uncorrelated positions or explicit hedges');
+    }
+    // Generic
+    if (lossPct > 10) {
+        recs.push('Review and tighten stop-loss levels');
+        recs.push('Consider reducing position sizes via Kelly criterion');
+    }
+    if (recs.length === 0) {
+        recs.push('Portfolio appears resilient to this scenario');
+    }
+    return recs;
+}
+/**
+ * Run a stress test scenario against a set of positions.
+ */
+function runStressTest(positions, scenario = 'flash_crash', config = {}) {
+    const baseDef = SCENARIOS[scenario];
+    if (!baseDef) {
+        // Custom scenario — apply a generic 15% loss
+        return runCustomScenario(positions, scenario, 0.15);
+    }
+    // Apply config overrides if provided
+    const override = config.scenarios?.[scenario];
+    const scenarioDef = override
+        ? { ...baseDef, lossFraction: override.lossPct / 100, description: override.description }
+        : baseDef;
+    const portfolioValue = positions.reduce((sum, p) => sum + p.value, 0);
+    if (portfolioValue === 0 || positions.length === 0) {
+        return {
+            scenario,
+            description: scenarioDef.description,
+            estimatedLoss: 0,
+            estimatedLossPct: 0,
+            portfolioValueBefore: 0,
+            portfolioValueAfter: 0,
+            positionsAtRisk: 0,
+            mostAffected: [],
+            recommendations: ['No open positions — no risk exposure'],
+            severity: 'low',
+        };
+    }
+    // Pre-compute platform concentration for platform_down scenario
+    let largestPlatform;
+    if (scenarioDef.name === 'platform_down') {
+        const platformValues = new Map();
+        for (const p of positions) {
+            platformValues.set(p.platform, (platformValues.get(p.platform) || 0) + p.value);
+        }
+        largestPlatform = [...platformValues.entries()].sort((a, b) => b[1] - a[1])[0]?.[0];
+    }
+    // Calculate per-position impact
+    const impacts = [];
+    let totalLoss = 0;
+    let atRisk = 0;
+    for (const pos of positions) {
+        // Adjust loss fraction based on position characteristics
+        let effectiveLoss = scenarioDef.lossFraction;
+        // Short positions may benefit from crash scenarios
+        if (pos.side === 'short' && (scenarioDef.name === 'flash_crash' || scenarioDef.name === 'black_swan')) {
+            effectiveLoss = -effectiveLoss * 0.5; // Shorts gain partially
+        }
+        // Platform-down only affects largest platform concentration
+        if (scenarioDef.name === 'platform_down' && pos.platform !== largestPlatform) {
+            effectiveLoss = 0; // Other platforms unaffected
+        }
+        const loss = pos.value * effectiveLoss;
+        totalLoss += loss;
+        if (loss > 0) {
+            impacts.push({ id: pos.id, estimatedLoss: Math.round(loss * 100) / 100 });
+        }
+        // Position at risk if loss exceeds 50% of value
+        if (effectiveLoss > 0.5) {
+            atRisk++;
+        }
+    }
+    totalLoss = Math.max(0, totalLoss);
+    const lossPct = portfolioValue > 0 ? (totalLoss / portfolioValue) * 100 : 0;
+    return {
+        scenario,
+        description: scenarioDef.description,
+        estimatedLoss: Math.round(totalLoss * 100) / 100,
+        estimatedLossPct: Math.round(lossPct * 100) / 100,
+        portfolioValueBefore: Math.round(portfolioValue * 100) / 100,
+        portfolioValueAfter: Math.round((portfolioValue - totalLoss) * 100) / 100,
+        positionsAtRisk: atRisk,
+        mostAffected: impacts.sort((a, b) => b.estimatedLoss - a.estimatedLoss).slice(0, 5),
+        recommendations: generateRecommendations(scenarioDef, lossPct, positions),
+        severity: classifySeverity(lossPct),
+    };
+}
+function runCustomScenario(positions, scenarioName, lossFraction) {
+    const portfolioValue = positions.reduce((sum, p) => sum + p.value, 0);
+    const totalLoss = portfolioValue * lossFraction;
+    const lossPct = portfolioValue > 0 ? lossFraction * 100 : 0;
+    const impacts = positions
+        .map((p) => ({ id: p.id, estimatedLoss: Math.round(p.value * lossFraction * 100) / 100 }))
+        .sort((a, b) => b.estimatedLoss - a.estimatedLoss)
+        .slice(0, 5);
+    return {
+        scenario: scenarioName,
+        description: `Custom scenario: ${lossFraction * 100}% loss across all positions`,
+        estimatedLoss: Math.round(totalLoss * 100) / 100,
+        estimatedLossPct: Math.round(lossPct * 100) / 100,
+        portfolioValueBefore: Math.round(portfolioValue * 100) / 100,
+        portfolioValueAfter: Math.round((portfolioValue - totalLoss) * 100) / 100,
+        positionsAtRisk: 0,
+        mostAffected: impacts,
+        recommendations: lossPct > 10 ? ['Consider reducing exposure'] : ['Portfolio within tolerance'],
+        severity: classifySeverity(lossPct),
+    };
+}
+/**
+ * Run all predefined scenarios and return results sorted by severity.
+ */
+function runAllScenarios(positions) {
+    const scenarioNames = Object.keys(SCENARIOS);
+    return scenarioNames
+        .map((name) => runStressTest(positions, name))
+        .sort((a, b) => b.estimatedLossPct - a.estimatedLossPct);
+}
+/**
+ * Get list of available scenario names.
+ */
+function getAvailableScenarios() {
+    return Object.values(SCENARIOS).map((s) => ({ name: s.name, description: s.description }));
+}
+//# sourceMappingURL=stress.js.map