clodds 1.1.0

package/dist/risk/stress.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"stress.js","sourceRoot":"","sources":["../../src/risk/stress.ts"],"names":[],"mappings":";AAAA;;;;;;;;;GASG;;AA0KH,sCA4FC;AAiCD,0CAKC;AAKD,sDAEC;AA9OD,MAAM,SAAS,GAAsC;IACnD,WAAW,EAAE;QACX,IAAI,EAAE,aAAa;QACnB,WAAW,EAAE,2CAA2C;QACxD,YAAY,EAAE,IAAI;QAClB,mBAAmB,EAAE,IAAI;QACzB,OAAO,EAAE,CAAC,qBAAqB,EAAE,uCAAuC,EAAE,gCAAgC,CAAC;KAC5G;IACD,gBAAgB,EAAE;QAChB,IAAI,EAAE,kBAAkB;QACxB,WAAW,EAAE,2DAA2D;QACxE,YAAY,EAAE,IAAI;QAClB,mBAAmB,EAAE,IAAI;QACzB,OAAO,EAAE,CAAC,sBAAsB,EAAE,oCAAoC,EAAE,2BAA2B,CAAC;KACrG;IACD,aAAa,EAAE;QACb,IAAI,EAAE,eAAe;QACrB,WAAW,EAAE,wDAAwD;QACrE,YAAY,EAAE,IAAI;QAClB,mBAAmB,EAAE,KAAK;QAC1B,OAAO,EAAE,CAAC,uBAAuB,EAAE,wBAAwB,EAAE,kCAAkC,CAAC;KACjG;IACD,iBAAiB,EAAE;QACjB,IAAI,EAAE,mBAAmB;QACzB,WAAW,EAAE,0DAA0D;QACvE,YAAY,EAAE,IAAI;QAClB,mBAAmB,EAAE,IAAI;QACzB,OAAO,EAAE,CAAC,kCAAkC,EAAE,8BAA8B,EAAE,aAAa,CAAC;KAC7F;IACD,UAAU,EAAE;QACV,IAAI,EAAE,YAAY;QAClB,WAAW,EAAE,sDAAsD;QACnE,YAAY,EAAE,IAAI;QAClB,mBAAmB,EAAE,IAAI;QACzB,OAAO,EAAE,CAAC,2BAA2B,EAAE,mBAAmB,EAAE,uBAAuB,EAAE,oBAAoB,CAAC;KAC3G;CACF,CAAC;AAEF,gFAAgF;AAChF,iBAAiB;AACjB,gFAAgF;AAEhF,SAAS,gBAAgB,CAAC,OAAe;IACvC,IAAI,OAAO,GAAG,CAAC;QAAE,OAAO,KAAK,CAAC;IAC9B,IAAI,OAAO,GAAG,EAAE;QAAE,OAAO,QAAQ,CAAC;IAClC,IAAI,OAAO,GAAG,EAAE;QAAE,OAAO,MAAM,CAAC;IAChC,OAAO,UAAU,CAAC;AACpB,CAAC;AAED,SAAS,uBAAuB,CAC9B,QAAqB,EACrB,OAAe,EACf,SAA2B;IAE3B,MAAM,IAAI,GAAa,EAAE,CAAC;IAE1B,IAAI,OAAO,GAAG,EAAE,EAAE,CAAC;QACjB,IAAI,CAAC,IAAI,CAAC,+CAA+C,CAAC,CAAC;IAC7D,CAAC;IAED,IAAI,SAAS,CAAC,MAAM,GAAG,CAAC,EAAE,CAAC;QACzB,IAAI,CAAC,IAAI,CAAC,uDAAuD,CAAC,CAAC;IACrE,CAAC;IAED,oBAAoB;IACpB,IAAI,CAAC,QAAQ,CAAC,mBAAmB,EAAE,CAAC;QAClC,MAAM,SAAS,GAAG,CAAC,GAAG,IAAI,GAAG,CAAC,SAAS,CAAC,GAAG,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,CAAC,CAAC,QAAQ,CAAC,CAAC,CAAC,CAAC;QACjE,IAAI,SAAS,CAAC,MAAM,GAAG,CAAC,EAAE,CAAC;YACzB,IAAI,CAAC,IAAI,CAAC,oEAAoE,CAAC,CAAC;QAClF,CAAC;IACH,CAAC;IAED,0BAA0B;IAC1B,MAAM,SAAS,GAAG,SAAS,CAAC,MAAM,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,CAAC,CAAC,IAAI,KAAK,MAAM,CAAC,CAAC,MAAM,CAAC;IACpE,MAAM,UAAU,GAAG,SAAS,CAAC,MAAM,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,CAAC,CAAC,IAAI,KAAK,OAAO,CAAC,CAAC,MAAM,CAAC;IACtE,MAAM,KAAK,GAAG,SAAS,CAAC,MAAM,CAAC;IAC/B,IAAI,KAAK,GAAG,CAAC,IAAI,CAAC,SAAS,GAAG,KAAK,GAAG,GAAG,IAAI,UAAU,GAAG,KAAK,GAAG,GAAG,CAAC,EAAE,CAAC;QACvE,IAAI,CAAC,IAAI,CAAC,oFAAoF,CAAC,CAAC;IAClG,CAAC;IAED,uBAAuB;IACvB,IAAI,QAAQ,CAAC,IAAI,KAAK,mBAAmB,EAAE,CAAC;QAC1C,IAAI,CAAC,IAAI,CAAC,+CAA+C,CAAC,CAAC;IAC7D,CAAC;IAED,UAAU;IACV,IAAI,OAAO,GAAG,EAAE,EAAE,CAAC;QACjB,IAAI,CAAC,IAAI,CAAC,qCAAqC,CAAC,CAAC;QACjD,IAAI,CAAC,IAAI,CAAC,sDAAsD,CAAC,CAAC;IACpE,CAAC;IAED,IAAI,IAAI,CAAC,MAAM,KAAK,CAAC,EAAE,CAAC;QACtB,IAAI,CAAC,IAAI,CAAC,8CAA8C,CAAC,CAAC;IAC5D,CAAC;IAED,OAAO,IAAI,CAAC;AACd,CAAC;AAED;;GAEG;AACH,SAAgB,aAAa,CAC3B,SAA2B,EAC3B,WAAkC,aAAa,EAC/C,SAA2B,EAAE;IAE7B,MAAM,OAAO,GAAG,SAAS,CAAC,QAAwB,CAAC,CAAC;IAEpD,IAAI,CAAC,OAAO,EAAE,CAAC;QACb,6CAA6C;QAC7C,OAAO,iBAAiB,CAAC,SAAS,EAAE,QAAQ,EAAE,IAAI,CAAC,CAAC;IACtD,CAAC;IAED,qCAAqC;IACrC,MAAM,QAAQ,GAAG,MAAM,CAAC,SAAS,EAAE,CAAC,QAAwB,CAAC,CAAC;IAC9D,MAAM,WAAW,GAAgB,QAAQ;QACvC,CAAC,CAAC,EAAE,GAAG,OAAO,EAAE,YAAY,EAAE,QAAQ,CAAC,OAAO,GAAG,GAAG,EAAE,WAAW,EAAE,QAAQ,CAAC,WAAW,EAAE;QACzF,CAAC,CAAC,OAAO,CAAC;IAEZ,MAAM,cAAc,GAAG,SAAS,CAAC,MAAM,CAAC,CAAC,GAAG,EAAE,CAAC,EAAE,EAAE,CAAC,GAAG,GAAG,CAAC,CAAC,KAAK,EAAE,CAAC,CAAC,CAAC;IAEtE,IAAI,cAAc,KAAK,CAAC,IAAI,SAAS,CAAC,MAAM,KAAK,CAAC,EAAE,CAAC;QACnD,OAAO;YACL,QAAQ;YACR,WAAW,EAAE,WAAW,CAAC,WAAW;YACpC,aAAa,EAAE,CAAC;YAChB,gBAAgB,EAAE,CAAC;YACnB,oBAAoB,EAAE,CAAC;YACvB,mBAAmB,EAAE,CAAC;YACtB,eAAe,EAAE,CAAC;YAClB,YAAY,EAAE,EAAE;YAChB,eAAe,EAAE,CAAC,sCAAsC,CAAC;YACzD,QAAQ,EAAE,KAAK;SAChB,CAAC;IACJ,CAAC;IAED,gEAAgE;IAChE,IAAI,eAAmC,CAAC;IACxC,IAAI,WAAW,CAAC,IAAI,KAAK,eAAe,EAAE,CAAC;QACzC,MAAM,cAAc,GAAG,IAAI,GAAG,EAAkB,CAAC;QACjD,KAAK,MAAM,CAAC,IAAI,SAAS,EAAE,CAAC;YAC1B,cAAc,CAAC,GAAG,CAAC,CAAC,CAAC,QAAQ,EAAE,CAAC,cAAc,CAAC,GAAG,CAAC,CAAC,CAAC,QAAQ,CAAC,IAAI,CAAC,CAAC,GAAG,CAAC,CAAC,KAAK,CAAC,CAAC;QAClF,CAAC;QACD,eAAe,GAAG,CAAC,GAAG,cAAc,CAAC,OAAO,EAAE,CAAC,CAAC,IAAI,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,CAAC,CAAC,CAAC,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,EAAE,CAAC,CAAC,CAAC,CAAC;IACtF,CAAC;IAED,gCAAgC;IAChC,MAAM,OAAO,GAAiD,EAAE,CAAC;IACjE,IAAI,SAAS,GAAG,CAAC,CAAC;IAClB,IAAI,MAAM,GAAG,CAAC,CAAC;IAEf,KAAK,MAAM,GAAG,IAAI,SAAS,EAAE,CAAC;QAC5B,yDAAyD;QACzD,IAAI,aAAa,GAAG,WAAW,CAAC,YAAY,CAAC;QAE7C,mDAAmD;QACnD,IAAI,GAAG,CAAC,IAAI,KAAK,OAAO,IAAI,CAAC,WAAW,CAAC,IAAI,KAAK,aAAa,IAAI,WAAW,CAAC,IAAI,KAAK,YAAY,CAAC,EAAE,CAAC;YACtG,aAAa,GAAG,CAAC,aAAa,GAAG,GAAG,CAAC,CAAC,wBAAwB;QAChE,CAAC;QAED,4DAA4D;QAC5D,IAAI,WAAW,CAAC,IAAI,KAAK,eAAe,IAAI,GAAG,CAAC,QAAQ,KAAK,eAAe,EAAE,CAAC;YAC7E,aAAa,GAAG,CAAC,CAAC,CAAC,6BAA6B;QAClD,CAAC;QAED,MAAM,IAAI,GAAG,GAAG,CAAC,KAAK,GAAG,aAAa,CAAC;QACvC,SAAS,IAAI,IAAI,CAAC;QAElB,IAAI,IAAI,GAAG,CAAC,EAAE,CAAC;YACb,OAAO,CAAC,IAAI,CAAC,EAAE,EAAE,EAAE,GAAG,CAAC,EAAE,EAAE,aAAa,EAAE,IAAI,CAAC,KAAK,CAAC,IAAI,GAAG,GAAG,CAAC,GAAG,GAAG,EAAE,CAAC,CAAC;QAC5E,CAAC;QAED,gDAAgD;QAChD,IAAI,aAAa,GAAG,GAAG,EAAE,CAAC;YACxB,MAAM,EAAE,CAAC;QACX,CAAC;IACH,CAAC;IAED,SAAS,GAAG,IAAI,CAAC,GAAG,CAAC,CAAC,EAAE,SAAS,CAAC,CAAC;IACnC,MAAM,OAAO,GAAG,cAAc,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC,SAAS,GAAG,cAAc,CAAC,GAAG,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC;IAE5E,OAAO;QACL,QAAQ;QACR,WAAW,EAAE,WAAW,CAAC,WAAW;QACpC,aAAa,EAAE,IAAI,CAAC,KAAK,CAAC,SAAS,GAAG,GAAG,CAAC,GAAG,GAAG;QAChD,gBAAgB,EAAE,IAAI,CAAC,KAAK,CAAC,OAAO,GAAG,GAAG,CAAC,GAAG,GAAG;QACjD,oBAAoB,EAAE,IAAI,CAAC,KAAK,CAAC,cAAc,GAAG,GAAG,CAAC,GAAG,GAAG;QAC5D,mBAAmB,EAAE,IAAI,CAAC,KAAK,CAAC,CAAC,cAAc,GAAG,SAAS,CAAC,GAAG,GAAG,CAAC,GAAG,GAAG;QACzE,eAAe,EAAE,MAAM;QACvB,YAAY,EAAE,OAAO,CAAC,IAAI,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,CAAC,aAAa,GAAG,CAAC,CAAC,aAAa,CAAC,CAAC,KAAK,CAAC,CAAC,EAAE,CAAC,CAAC;QACnF,eAAe,EAAE,uBAAuB,CAAC,WAAW,EAAE,OAAO,EAAE,SAAS,CAAC;QACzE,QAAQ,EAAE,gBAAgB,CAAC,OAAO,CAAC;KACpC,CAAC;AACJ,CAAC;AAED,SAAS,iBAAiB,CACxB,SAA2B,EAC3B,YAAoB,EACpB,YAAoB;IAEpB,MAAM,cAAc,GAAG,SAAS,CAAC,MAAM,CAAC,CAAC,GAAG,EAAE,CAAC,EAAE,EAAE,CAAC,GAAG,GAAG,CAAC,CAAC,KAAK,EAAE,CAAC,CAAC,CAAC;IACtE,MAAM,SAAS,GAAG,cAAc,GAAG,YAAY,CAAC;IAChD,MAAM,OAAO,GAAG,cAAc,GAAG,CAAC,CAAC,CAAC,CAAC,YAAY,GAAG,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC;IAE5D,MAAM,OAAO,GAAG,SAAS;SACtB,GAAG,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,CAAC,EAAE,EAAE,EAAE,CAAC,CAAC,EAAE,EAAE,aAAa,EAAE,IAAI,CAAC,KAAK,CAAC,CAAC,CAAC,KAAK,GAAG,YAAY,GAAG,GAAG,CAAC,GAAG,GAAG,EAAE,CAAC,CAAC;SACzF,IAAI,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,CAAC,aAAa,GAAG,CAAC,CAAC,aAAa,CAAC;SACjD,KAAK,CAAC,CAAC,EAAE,CAAC,CAAC,CAAC;IAEf,OAAO;QACL,QAAQ,EAAE,YAAY;QACtB,WAAW,EAAE,oBAAoB,YAAY,GAAG,GAAG,6BAA6B;QAChF,aAAa,EAAE,IAAI,CAAC,KAAK,CAAC,SAAS,GAAG,GAAG,CAAC,GAAG,GAAG;QAChD,gBAAgB,EAAE,IAAI,CAAC,KAAK,CAAC,OAAO,GAAG,GAAG,CAAC,GAAG,GAAG;QACjD,oBAAoB,EAAE,IAAI,CAAC,KAAK,CAAC,cAAc,GAAG,GAAG,CAAC,GAAG,GAAG;QAC5D,mBAAmB,EAAE,IAAI,CAAC,KAAK,CAAC,CAAC,cAAc,GAAG,SAAS,CAAC,GAAG,GAAG,CAAC,GAAG,GAAG;QACzE,eAAe,EAAE,CAAC;QAClB,YAAY,EAAE,OAAO;QACrB,eAAe,EAAE,OAAO,GAAG,EAAE,CAAC,CAAC,CAAC,CAAC,4BAA4B,CAAC,CAAC,CAAC,CAAC,CAAC,4BAA4B,CAAC;QAC/F,QAAQ,EAAE,gBAAgB,CAAC,OAAO,CAAC;KACpC,CAAC;AACJ,CAAC;AAED;;GAEG;AACH,SAAgB,eAAe,CAAC,SAA2B;IACzD,MAAM,aAAa,GAAG,MAAM,CAAC,IAAI,CAAC,SAAS,CAAmB,CAAC;IAC/D,OAAO,aAAa;SACjB,GAAG,CAAC,CAAC,IAAI,EAAE,EAAE,CAAC,aAAa,CAAC,SAAS,EAAE,IAAI,CAAC,CAAC;SAC7C,IAAI,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,CAAC,gBAAgB,GAAG,CAAC,CAAC,gBAAgB,CAAC,CAAC;AAC7D,CAAC;AAED;;GAEG;AACH,SAAgB,qBAAqB;IACnC,OAAO,MAAM,CAAC,MAAM,CAAC,SAAS,CAAC,CAAC,GAAG,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,CAAC,EAAE,IAAI,EAAE,CAAC,CAAC,IAAI,EAAE,WAAW,EAAE,CAAC,CAAC,WAAW,EAAE,CAAC,CAAC,CAAC;AAC7F,CAAC"}

package/dist/risk/var.d.ts

@@ -0,0 +1,72 @@
+/**
+ * Value-at-Risk (VaR) and Conditional VaR (Expected Shortfall)
+ *
+ * Provides portfolio-level and per-position risk metrics:
+ * - Historical VaR using rolling P&L window
+ * - Parametric VaR assuming normal distribution
+ * - CVaR (average loss beyond VaR threshold)
+ * - Configurable confidence levels (95%, 99%)
+ */
+export interface VaRConfig {
+    /** Number of trades in the rolling window (default: 100) */
+    windowSize: number;
+    /** Confidence level as decimal, e.g. 0.95 (default: 0.95) */
+    confidenceLevel: number;
+}
+export interface VaRResult {
+    /** Historical VaR — the loss at the confidence percentile */
+    historicalVaR: number;
+    /** Parametric VaR assuming normal distribution */
+    parametricVaR: number;
+    /** Conditional VaR (Expected Shortfall) — average loss beyond VaR */
+    cvar: number;
+    /** Confidence level used */
+    confidenceLevel: number;
+    /** Number of observations in the window */
+    sampleSize: number;
+    /** Mean P&L in the window */
+    meanPnL: number;
+    /** Standard deviation of P&L */
+    stdDev: number;
+}
+export interface PositionVaR {
+    /** Position identifier (e.g. "polymarket:market123:YES") */
+    positionId: string;
+    /** VaR for this position */
+    var95: number;
+    /** Contribution to portfolio VaR (approximate) */
+    varContribution: number;
+}
+export interface PnLRecord {
+    /** P&L in USD */
+    pnlUsd: number;
+    /** P&L as percentage */
+    pnlPct: number;
+    /** Position identifier (optional, for per-position VaR) */
+    positionId?: string;
+    /** Timestamp */
+    timestamp: Date;
+}
+export interface VaRCalculator {
+    /** Add a P&L observation */
+    addObservation(record: PnLRecord): void;
+    /** Calculate portfolio-level VaR at default confidence */
+    calculate(): VaRResult;
+    /** Calculate VaR at a specific confidence level */
+    calculateAt(confidenceLevel: number): VaRResult;
+    /** Calculate per-position VaR */
+    positionVaR(): PositionVaR[];
+    /** Get the rolling P&L window */
+    getWindow(): PnLRecord[];
+    /** Reset all observations */
+    reset(): void;
+}
+export declare function createVaRCalculator(config?: Partial<VaRConfig>): VaRCalculator;
+/**
+ * Quick VaR calculation from an array of P&L values
+ */
+export declare function calculateVaR(pnls: number[], confidenceLevel?: number): number;
+/**
+ * Quick CVaR (Expected Shortfall) from an array of P&L values
+ */
+export declare function calculateCVaR(pnls: number[], confidenceLevel?: number): number;

package/dist/risk/var.js

@@ -0,0 +1,173 @@
+"use strict";
+/**
+ * Value-at-Risk (VaR) and Conditional VaR (Expected Shortfall)
+ *
+ * Provides portfolio-level and per-position risk metrics:
+ * - Historical VaR using rolling P&L window
+ * - Parametric VaR assuming normal distribution
+ * - CVaR (average loss beyond VaR threshold)
+ * - Configurable confidence levels (95%, 99%)
+ */
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.createVaRCalculator = createVaRCalculator;
+exports.calculateVaR = calculateVaR;
+exports.calculateCVaR = calculateCVaR;
+const DEFAULT_CONFIG = {
+    windowSize: 100,
+    confidenceLevel: 0.95,
+};
+function createVaRCalculator(config = {}) {
+    const cfg = { ...DEFAULT_CONFIG, ...config };
+    const window = [];
+    function addObservation(record) {
+        window.push(record);
+        while (window.length > cfg.windowSize) {
+            window.shift();
+        }
+    }
+    function computeStats(values) {
+        if (values.length === 0)
+            return { mean: 0, stdDev: 0 };
+        const mean = values.reduce((a, b) => a + b, 0) / values.length;
+        const variance = values.reduce((sum, v) => sum + (v - mean) ** 2, 0) / values.length;
+        return { mean, stdDev: Math.sqrt(variance) };
+    }
+    /** Normal distribution inverse CDF (Beasley-Springer-Moro approximation) */
+    function normInv(p) {
+        const a = [
+            -3.969683028665376e1, 2.209460984245205e2, -2.759285104469687e2,
+            1.383577518672690e2, -3.066479806614716e1, 2.506628277459239e0,
+        ];
+        const b = [
+            -5.447609879822406e1, 1.615858368580409e2, -1.556989798598866e2,
+            6.680131188771972e1, -1.328068155288572e1,
+        ];
+        const c = [
+            -7.784894002430293e-3, -3.223964580411365e-1, -2.400758277161838e0,
+            -2.549732539343734e0, 4.374664141464968e0, 2.938163982698783e0,
+        ];
+        const d = [
+            7.784695709041462e-3, 3.224671290700398e-1, 2.445134137142996e0,
+            3.754408661907416e0,
+        ];
+        const pLow = 0.02425;
+        const pHigh = 1 - pLow;
+        let q, r;
+        if (p < pLow) {
+            q = Math.sqrt(-2 * Math.log(p));
+            return ((((((c[0] * q + c[1]) * q + c[2]) * q + c[3]) * q + c[4]) * q + c[5]) /
+                ((((d[0] * q + d[1]) * q + d[2]) * q + d[3]) * q + 1));
+        }
+        else if (p <= pHigh) {
+            q = p - 0.5;
+            r = q * q;
+            return (((((((a[0] * r + a[1]) * r + a[2]) * r + a[3]) * r + a[4]) * r + a[5]) * q) /
+                (((((b[0] * r + b[1]) * r + b[2]) * r + b[3]) * r + b[4]) * r + 1));
+        }
+        else {
+            q = Math.sqrt(-2 * Math.log(1 - p));
+            return -((((((c[0] * q + c[1]) * q + c[2]) * q + c[3]) * q + c[4]) * q + c[5]) /
+                ((((d[0] * q + d[1]) * q + d[2]) * q + d[3]) * q + 1));
+        }
+    }
+    function calculateAt(confidenceLevel) {
+        const pnls = window.map((r) => r.pnlUsd);
+        if (pnls.length < 2) {
+            return {
+                historicalVaR: 0,
+                parametricVaR: 0,
+                cvar: 0,
+                confidenceLevel,
+                sampleSize: pnls.length,
+                meanPnL: pnls.length === 1 ? pnls[0] : 0,
+                stdDev: 0,
+            };
+        }
+        const { mean, stdDev } = computeStats(pnls);
+        // Historical VaR: sort losses and pick the percentile
+        const sorted = [...pnls].sort((a, b) => a - b);
+        const index = Math.floor((1 - confidenceLevel) * sorted.length);
+        const historicalVaR = -sorted[Math.max(0, index)];
+        // Parametric VaR: assume normal distribution
+        const zScore = normInv(confidenceLevel);
+        const parametricVaR = -(mean - zScore * stdDev);
+        // CVaR (Expected Shortfall): average of losses beyond VaR
+        const tailCount = Math.max(1, index + 1);
+        const tailLosses = sorted.slice(0, tailCount);
+        const cvar = -(tailLosses.reduce((a, b) => a + b, 0) / tailLosses.length);
+        return {
+            historicalVaR: Math.max(0, historicalVaR),
+            parametricVaR: Math.max(0, parametricVaR),
+            cvar: Math.max(0, cvar),
+            confidenceLevel,
+            sampleSize: pnls.length,
+            meanPnL: Math.round(mean * 100) / 100,
+            stdDev: Math.round(stdDev * 100) / 100,
+        };
+    }
+    function calculate() {
+        return calculateAt(cfg.confidenceLevel);
+    }
+    function positionVaR() {
+        // Group observations by positionId
+        const byPosition = new Map();
+        for (const record of window) {
+            const id = record.positionId || 'unknown';
+            const existing = byPosition.get(id) || [];
+            existing.push(record.pnlUsd);
+            byPosition.set(id, existing);
+        }
+        const portfolioVar = calculate();
+        const results = [];
+        for (const [positionId, pnls] of byPosition) {
+            if (pnls.length < 2) {
+                results.push({ positionId, var95: 0, varContribution: 0 });
+                continue;
+            }
+            const sorted = [...pnls].sort((a, b) => a - b);
+            const index = Math.max(0, Math.floor(0.05 * sorted.length));
+            const posVar = -sorted[index];
+            results.push({
+                positionId,
+                var95: Math.max(0, posVar),
+                varContribution: portfolioVar.historicalVaR > 0
+                    ? Math.max(0, posVar) / portfolioVar.historicalVaR
+                    : 0,
+            });
+        }
+        return results.sort((a, b) => b.var95 - a.var95);
+    }
+    return {
+        addObservation,
+        calculate,
+        calculateAt,
+        positionVaR,
+        getWindow: () => [...window],
+        reset: () => { window.length = 0; },
+    };
+}
+// =============================================================================
+// CONVENIENCE FUNCTIONS
+// =============================================================================
+/**
+ * Quick VaR calculation from an array of P&L values
+ */
+function calculateVaR(pnls, confidenceLevel = 0.95) {
+    if (pnls.length < 2)
+        return 0;
+    const sorted = [...pnls].sort((a, b) => a - b);
+    const index = Math.max(0, Math.floor((1 - confidenceLevel) * sorted.length));
+    return Math.max(0, -sorted[index]);
+}
+/**
+ * Quick CVaR (Expected Shortfall) from an array of P&L values
+ */
+function calculateCVaR(pnls, confidenceLevel = 0.95) {
+    if (pnls.length < 2)
+        return 0;
+    const sorted = [...pnls].sort((a, b) => a - b);
+    const tailCount = Math.max(1, Math.floor((1 - confidenceLevel) * sorted.length) + 1);
+    const tailLosses = sorted.slice(0, tailCount);
+    return Math.max(0, -(tailLosses.reduce((a, b) => a + b, 0) / tailLosses.length));
+}
+//# sourceMappingURL=var.js.map

package/dist/risk/var.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"var.js","sourceRoot":"","sources":["../../src/risk/var.ts"],"names":[],"mappings":";AAAA;;;;;;;;GAQG;;AA0EH,kDAyJC;AASD,oCAKC;AAKD,sCAMC;AA1MD,MAAM,cAAc,GAAc;IAChC,UAAU,EAAE,GAAG;IACf,eAAe,EAAE,IAAI;CACtB,CAAC;AAqBF,SAAgB,mBAAmB,CAAC,SAA6B,EAAE;IACjE,MAAM,GAAG,GAAG,EAAE,GAAG,cAAc,EAAE,GAAG,MAAM,EAAE,CAAC;IAC7C,MAAM,MAAM,GAAgB,EAAE,CAAC;IAE/B,SAAS,cAAc,CAAC,MAAiB;QACvC,MAAM,CAAC,IAAI,CAAC,MAAM,CAAC,CAAC;QACpB,OAAO,MAAM,CAAC,MAAM,GAAG,GAAG,CAAC,UAAU,EAAE,CAAC;YACtC,MAAM,CAAC,KAAK,EAAE,CAAC;QACjB,CAAC;IACH,CAAC;IAED,SAAS,YAAY,CAAC,MAAgB;QACpC,IAAI,MAAM,CAAC,MAAM,KAAK,CAAC;YAAE,OAAO,EAAE,IAAI,EAAE,CAAC,EAAE,MAAM,EAAE,CAAC,EAAE,CAAC;QACvD,MAAM,IAAI,GAAG,MAAM,CAAC,MAAM,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,GAAG,CAAC,EAAE,CAAC,CAAC,GAAG,MAAM,CAAC,MAAM,CAAC;QAC/D,MAAM,QAAQ,GAAG,MAAM,CAAC,MAAM,CAAC,CAAC,GAAG,EAAE,CAAC,EAAE,EAAE,CAAC,GAAG,GAAG,CAAC,CAAC,GAAG,IAAI,CAAC,IAAI,CAAC,EAAE,CAAC,CAAC,GAAG,MAAM,CAAC,MAAM,CAAC;QACrF,OAAO,EAAE,IAAI,EAAE,MAAM,EAAE,IAAI,CAAC,IAAI,CAAC,QAAQ,CAAC,EAAE,CAAC;IAC/C,CAAC;IAED,4EAA4E;IAC5E,SAAS,OAAO,CAAC,CAAS;QACxB,MAAM,CAAC,GAAG;YACR,CAAC,mBAAmB,EAAE,mBAAmB,EAAE,CAAC,mBAAmB;YAC/D,mBAAmB,EAAE,CAAC,mBAAmB,EAAE,mBAAmB;SAC/D,CAAC;QACF,MAAM,CAAC,GAAG;YACR,CAAC,mBAAmB,EAAE,mBAAmB,EAAE,CAAC,mBAAmB;YAC/D,mBAAmB,EAAE,CAAC,mBAAmB;SAC1C,CAAC;QACF,MAAM,CAAC,GAAG;YACR,CAAC,oBAAoB,EAAE,CAAC,oBAAoB,EAAE,CAAC,mBAAmB;YAClE,CAAC,mBAAmB,EAAE,mBAAmB,EAAE,mBAAmB;SAC/D,CAAC;QACF,MAAM,CAAC,GAAG;YACR,oBAAoB,EAAE,oBAAoB,EAAE,mBAAmB;YAC/D,mBAAmB;SACpB,CAAC;QAEF,MAAM,IAAI,GAAG,OAAO,CAAC;QACrB,MAAM,KAAK,GAAG,CAAC,GAAG,IAAI,CAAC;QAEvB,IAAI,CAAS,EAAE,CAAS,CAAC;QAEzB,IAAI,CAAC,GAAG,IAAI,EAAE,CAAC;YACb,CAAC,GAAG,IAAI,CAAC,IAAI,CAAC,CAAC,CAAC,GAAG,IAAI,CAAC,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC;YAChC,OAAO,CACL,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC;gBACrE,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC,CACtD,CAAC;QACJ,CAAC;aAAM,IAAI,CAAC,IAAI,KAAK,EAAE,CAAC;YACtB,CAAC,GAAG,CAAC,GAAG,GAAG,CAAC;YACZ,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC;YACV,OAAO,CACL,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC,GAAG,CAAC,CAAC;gBAC3E,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC,CACnE,CAAC;QACJ,CAAC;aAAM,CAAC;YACN,CAAC,GAAG,IAAI,CAAC,IAAI,CAAC,CAAC,CAAC,GAAG,IAAI,CAAC,GAAG,CAAC,CAAC,GAAG,CAAC,CAAC,CAAC,CAAC;YACpC,OAAO,CAAC,CACN,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC;gBACrE,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC,CACtD,CAAC;QACJ,CAAC;IACH,CAAC;IAED,SAAS,WAAW,CAAC,eAAuB;QAC1C,MAAM,IAAI,GAAG,MAAM,CAAC,GAAG,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,CAAC,CAAC,MAAM,CAAC,CAAC;QAEzC,IAAI,IAAI,CAAC,MAAM,GAAG,CAAC,EAAE,CAAC;YACpB,OAAO;gBACL,aAAa,EAAE,CAAC;gBAChB,aAAa,EAAE,CAAC;gBAChB,IAAI,EAAE,CAAC;gBACP,eAAe;gBACf,UAAU,EAAE,IAAI,CAAC,MAAM;gBACvB,OAAO,EAAE,IAAI,CAAC,MAAM,KAAK,CAAC,CAAC,CAAC,CAAC,IAAI,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC;gBACxC,MAAM,EAAE,CAAC;aACV,CAAC;QACJ,CAAC;QAED,MAAM,EAAE,IAAI,EAAE,MAAM,EAAE,GAAG,YAAY,CAAC,IAAI,CAAC,CAAC;QAE5C,sDAAsD;QACtD,MAAM,MAAM,GAAG,CAAC,GAAG,IAAI,CAAC,CAAC,IAAI,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,GAAG,CAAC,CAAC,CAAC;QAC/C,MAAM,KAAK,GAAG,IAAI,CAAC,KAAK,CAAC,CAAC,CAAC,GAAG,eAAe,CAAC,GAAG,MAAM,CAAC,MAAM,CAAC,CAAC;QAChE,MAAM,aAAa,GAAG,CAAC,MAAM,CAAC,IAAI,CAAC,GAAG,CAAC,CAAC,EAAE,KAAK,CAAC,CAAC,CAAC;QAElD,6CAA6C;QAC7C,MAAM,MAAM,GAAG,OAAO,CAAC,eAAe,CAAC,CAAC;QACxC,MAAM,aAAa,GAAG,CAAC,CAAC,IAAI,GAAG,MAAM,GAAG,MAAM,CAAC,CAAC;QAEhD,0DAA0D;QAC1D,MAAM,SAAS,GAAG,IAAI,CAAC,GAAG,CAAC,CAAC,EAAE,KAAK,GAAG,CAAC,CAAC,CAAC;QACzC,MAAM,UAAU,GAAG,MAAM,CAAC,KAAK,CAAC,CAAC,EAAE,SAAS,CAAC,CAAC;QAC9C,MAAM,IAAI,GAAG,CAAC,CAAC,UAAU,CAAC,MAAM,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,GAAG,CAAC,EAAE,CAAC,CAAC,GAAG,UAAU,CAAC,MAAM,CAAC,CAAC;QAE1E,OAAO;YACL,aAAa,EAAE,IAAI,CAAC,GAAG,CAAC,CAAC,EAAE,aAAa,CAAC;YACzC,aAAa,EAAE,IAAI,CAAC,GAAG,CAAC,CAAC,EAAE,aAAa,CAAC;YACzC,IAAI,EAAE,IAAI,CAAC,GAAG,CAAC,CAAC,EAAE,IAAI,CAAC;YACvB,eAAe;YACf,UAAU,EAAE,IAAI,CAAC,MAAM;YACvB,OAAO,EAAE,IAAI,CAAC,KAAK,CAAC,IAAI,GAAG,GAAG,CAAC,GAAG,GAAG;YACrC,MAAM,EAAE,IAAI,CAAC,KAAK,CAAC,MAAM,GAAG,GAAG,CAAC,GAAG,GAAG;SACvC,CAAC;IACJ,CAAC;IAED,SAAS,SAAS;QAChB,OAAO,WAAW,CAAC,GAAG,CAAC,eAAe,CAAC,CAAC;IAC1C,CAAC;IAED,SAAS,WAAW;QAClB,mCAAmC;QACnC,MAAM,UAAU,GAAG,IAAI,GAAG,EAAoB,CAAC;QAC/C,KAAK,MAAM,MAAM,IAAI,MAAM,EAAE,CAAC;YAC5B,MAAM,EAAE,GAAG,MAAM,CAAC,UAAU,IAAI,SAAS,CAAC;YAC1C,MAAM,QAAQ,GAAG,UAAU,CAAC,GAAG,CAAC,EAAE,CAAC,IAAI,EAAE,CAAC;YAC1C,QAAQ,CAAC,IAAI,CAAC,MAAM,CAAC,MAAM,CAAC,CAAC;YAC7B,UAAU,CAAC,GAAG,CAAC,EAAE,EAAE,QAAQ,CAAC,CAAC;QAC/B,CAAC;QAED,MAAM,YAAY,GAAG,SAAS,EAAE,CAAC;QACjC,MAAM,OAAO,GAAkB,EAAE,CAAC;QAElC,KAAK,MAAM,CAAC,UAAU,EAAE,IAAI,CAAC,IAAI,UAAU,EAAE,CAAC;YAC5C,IAAI,IAAI,CAAC,MAAM,GAAG,CAAC,EAAE,CAAC;gBACpB,OAAO,CAAC,IAAI,CAAC,EAAE,UAAU,EAAE,KAAK,EAAE,CAAC,EAAE,eAAe,EAAE,CAAC,EAAE,CAAC,CAAC;gBAC3D,SAAS;YACX,CAAC;YAED,MAAM,MAAM,GAAG,CAAC,GAAG,IAAI,CAAC,CAAC,IAAI,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,GAAG,CAAC,CAAC,CAAC;YAC/C,MAAM,KAAK,GAAG,IAAI,CAAC,GAAG,CAAC,CAAC,EAAE,IAAI,CAAC,KAAK,CAAC,IAAI,GAAG,MAAM,CAAC,MAAM,CAAC,CAAC,CAAC;YAC5D,MAAM,MAAM,GAAG,CAAC,MAAM,CAAC,KAAK,CAAC,CAAC;YAE9B,OAAO,CAAC,IAAI,CAAC;gBACX,UAAU;gBACV,KAAK,EAAE,IAAI,CAAC,GAAG,CAAC,CAAC,EAAE,MAAM,CAAC;gBAC1B,eAAe,EAAE,YAAY,CAAC,aAAa,GAAG,CAAC;oBAC7C,CAAC,CAAC,IAAI,CAAC,GAAG,CAAC,CAAC,EAAE,MAAM,CAAC,GAAG,YAAY,CAAC,aAAa;oBAClD,CAAC,CAAC,CAAC;aACN,CAAC,CAAC;QACL,CAAC;QAED,OAAO,OAAO,CAAC,IAAI,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,CAAC,KAAK,GAAG,CAAC,CAAC,KAAK,CAAC,CAAC;IACnD,CAAC;IAED,OAAO;QACL,cAAc;QACd,SAAS;QACT,WAAW;QACX,WAAW;QACX,SAAS,EAAE,GAAG,EAAE,CAAC,CAAC,GAAG,MAAM,CAAC;QAC5B,KAAK,EAAE,GAAG,EAAE,GAAG,MAAM,CAAC,MAAM,GAAG,CAAC,CAAC,CAAC,CAAC;KACpC,CAAC;AACJ,CAAC;AAED,gFAAgF;AAChF,wBAAwB;AACxB,gFAAgF;AAEhF;;GAEG;AACH,SAAgB,YAAY,CAAC,IAAc,EAAE,kBAA0B,IAAI;IACzE,IAAI,IAAI,CAAC,MAAM,GAAG,CAAC;QAAE,OAAO,CAAC,CAAC;IAC9B,MAAM,MAAM,GAAG,CAAC,GAAG,IAAI,CAAC,CAAC,IAAI,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,GAAG,CAAC,CAAC,CAAC;IAC/C,MAAM,KAAK,GAAG,IAAI,CAAC,GAAG,CAAC,CAAC,EAAE,IAAI,CAAC,KAAK,CAAC,CAAC,CAAC,GAAG,eAAe,CAAC,GAAG,MAAM,CAAC,MAAM,CAAC,CAAC,CAAC;IAC7E,OAAO,IAAI,CAAC,GAAG,CAAC,CAAC,EAAE,CAAC,MAAM,CAAC,KAAK,CAAC,CAAC,CAAC;AACrC,CAAC;AAED;;GAEG;AACH,SAAgB,aAAa,CAAC,IAAc,EAAE,kBAA0B,IAAI;IAC1E,IAAI,IAAI,CAAC,MAAM,GAAG,CAAC;QAAE,OAAO,CAAC,CAAC;IAC9B,MAAM,MAAM,GAAG,CAAC,GAAG,IAAI,CAAC,CAAC,IAAI,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,GAAG,CAAC,CAAC,CAAC;IAC/C,MAAM,SAAS,GAAG,IAAI,CAAC,GAAG,CAAC,CAAC,EAAE,IAAI,CAAC,KAAK,CAAC,CAAC,CAAC,GAAG,eAAe,CAAC,GAAG,MAAM,CAAC,MAAM,CAAC,GAAG,CAAC,CAAC,CAAC;IACrF,MAAM,UAAU,GAAG,MAAM,CAAC,KAAK,CAAC,CAAC,EAAE,SAAS,CAAC,CAAC;IAC9C,OAAO,IAAI,CAAC,GAAG,CAAC,CAAC,EAAE,CAAC,CAAC,UAAU,CAAC,MAAM,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,GAAG,CAAC,EAAE,CAAC,CAAC,GAAG,UAAU,CAAC,MAAM,CAAC,CAAC,CAAC;AACnF,CAAC"}

package/dist/risk/volatility.d.ts

@@ -0,0 +1,61 @@
+/**
+ * Volatility Regime Detection
+ *
+ * Classifies market conditions into regimes and adjusts position sizing:
+ * - low: calm markets, slightly larger positions (1.2x)
+ * - normal: baseline conditions (1.0x)
+ * - high: elevated volatility, half size (0.5x)
+ * - extreme: crisis conditions, quarter size or halt (0.25x)
+ *
+ * Uses rolling standard deviation and ATR-style calculations.
+ */
+export type VolatilityRegime = 'low' | 'normal' | 'high' | 'extreme';
+export interface VolatilityConfig {
+    /** Number of trades/observations to look back (default: 30) */
+    lookbackWindow: number;
+    /** Stddev threshold for low-to-normal boundary (default: 0.5) */
+    lowThreshold: number;
+    /** Stddev threshold for normal-to-high boundary (default: 1.5) */
+    highThreshold: number;
+    /** Stddev threshold for high-to-extreme boundary (default: 3.0) */
+    extremeThreshold: number;
+    /** Position size multiplier for each regime */
+    regimeMultipliers: Record<VolatilityRegime, number>;
+    /** Halt trading in extreme regime instead of reducing size (default: false) */
+    haltOnExtreme: boolean;
+}
+export interface VolatilitySnapshot {
+    /** Current regime classification */
+    regime: VolatilityRegime;
+    /** Position size multiplier for this regime */
+    sizeMultiplier: number;
+    /** Rolling standard deviation of P&L */
+    rollingStdDev: number;
+    /** Average True Range (ATR) of recent P&L */
+    atr: number;
+    /** Mean P&L in the window */
+    meanPnL: number;
+    /** Number of observations in the window */
+    sampleSize: number;
+    /** Whether trading should halt (extreme + haltOnExtreme) */
+    shouldHalt: boolean;
+}
+export interface VolatilityDetector {
+    /** Add a P&L observation */
+    addObservation(pnlPct: number): void;
+    /** Detect current volatility regime */
+    detect(): VolatilitySnapshot;
+    /** Get the position size multiplier for current regime */
+    getSizeMultiplier(): number;
+    /** Get current regime */
+    getRegime(): VolatilityRegime;
+    /** Get the rolling P&L window */
+    getWindow(): number[];
+    /** Reset observations */
+    reset(): void;
+}
+export declare function createVolatilityDetector(config?: Partial<VolatilityConfig>): VolatilityDetector;
+/**
+ * One-shot regime detection from an array of P&L percentages
+ */
+export declare function detectRegime(pnlPcts: number[], config?: Partial<VolatilityConfig>): VolatilitySnapshot;

package/dist/risk/volatility.js

@@ -0,0 +1,132 @@
+"use strict";
+/**
+ * Volatility Regime Detection
+ *
+ * Classifies market conditions into regimes and adjusts position sizing:
+ * - low: calm markets, slightly larger positions (1.2x)
+ * - normal: baseline conditions (1.0x)
+ * - high: elevated volatility, half size (0.5x)
+ * - extreme: crisis conditions, quarter size or halt (0.25x)
+ *
+ * Uses rolling standard deviation and ATR-style calculations.
+ */
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.createVolatilityDetector = createVolatilityDetector;
+exports.detectRegime = detectRegime;
+const DEFAULT_CONFIG = {
+    lookbackWindow: 30,
+    lowThreshold: 0.5,
+    highThreshold: 1.5,
+    extremeThreshold: 3.0,
+    regimeMultipliers: {
+        low: 1.2,
+        normal: 1.0,
+        high: 0.5,
+        extreme: 0.25,
+    },
+    haltOnExtreme: false,
+};
+function createVolatilityDetector(config = {}) {
+    const cfg = { ...DEFAULT_CONFIG, ...config };
+    const window = [];
+    // Baseline calibration — computed from the first full window of data.
+    // Until we have enough data, use the config thresholds directly.
+    let baselineStdDev = null;
+    function addObservation(pnlPct) {
+        window.push(pnlPct);
+        while (window.length > cfg.lookbackWindow) {
+            window.shift();
+        }
+        // Calibrate baseline from first full window
+        if (baselineStdDev === null && window.length >= cfg.lookbackWindow) {
+            baselineStdDev = computeStdDev(window);
+        }
+    }
+    function computeStdDev(values) {
+        if (values.length < 2)
+            return 0;
+        const mean = values.reduce((a, b) => a + b, 0) / values.length;
+        const variance = values.reduce((sum, v) => sum + (v - mean) ** 2, 0) / values.length;
+        return Math.sqrt(variance);
+    }
+    function computeATR(values) {
+        if (values.length < 2)
+            return 0;
+        let totalRange = 0;
+        for (let i = 1; i < values.length; i++) {
+            totalRange += Math.abs(values[i] - values[i - 1]);
+        }
+        return totalRange / (values.length - 1);
+    }
+    function classifyRegime(stdDev) {
+        // If we have a baseline, classify relative to it using z-score of volatility.
+        // Otherwise use absolute thresholds (as percentages).
+        const threshold = baselineStdDev ?? 1;
+        const ratio = threshold > 0 ? stdDev / threshold : stdDev;
+        if (ratio <= cfg.lowThreshold)
+            return 'low';
+        if (ratio <= cfg.highThreshold)
+            return 'normal';
+        if (ratio <= cfg.extremeThreshold)
+            return 'high';
+        return 'extreme';
+    }
+    function detect() {
+        if (window.length < 2) {
+            return {
+                regime: 'normal',
+                sizeMultiplier: cfg.regimeMultipliers.normal,
+                rollingStdDev: 0,
+                atr: 0,
+                meanPnL: window.length === 1 ? window[0] : 0,
+                sampleSize: window.length,
+                shouldHalt: false,
+            };
+        }
+        const mean = window.reduce((a, b) => a + b, 0) / window.length;
+        const stdDev = computeStdDev(window);
+        const atr = computeATR(window);
+        const regime = classifyRegime(stdDev);
+        const sizeMultiplier = cfg.regimeMultipliers[regime];
+        return {
+            regime,
+            sizeMultiplier,
+            rollingStdDev: Math.round(stdDev * 10000) / 10000,
+            atr: Math.round(atr * 10000) / 10000,
+            meanPnL: Math.round(mean * 10000) / 10000,
+            sampleSize: window.length,
+            shouldHalt: regime === 'extreme' && cfg.haltOnExtreme,
+        };
+    }
+    function getSizeMultiplier() {
+        return detect().sizeMultiplier;
+    }
+    function getRegime() {
+        return detect().regime;
+    }
+    return {
+        addObservation,
+        detect,
+        getSizeMultiplier,
+        getRegime,
+        getWindow: () => [...window],
+        reset: () => {
+            window.length = 0;
+            baselineStdDev = null;
+        },
+    };
+}
+// =============================================================================
+// CONVENIENCE FUNCTIONS
+// =============================================================================
+/**
+ * One-shot regime detection from an array of P&L percentages
+ */
+function detectRegime(pnlPcts, config = {}) {
+    const detector = createVolatilityDetector({ ...config, lookbackWindow: pnlPcts.length || 30 });
+    for (const pnl of pnlPcts) {
+        detector.addObservation(pnl);
+    }
+    return detector.detect();
+}
+//# sourceMappingURL=volatility.js.map

package/dist/risk/volatility.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"volatility.js","sourceRoot":"","sources":["../../src/risk/volatility.ts"],"names":[],"mappings":";AAAA;;;;;;;;;;GAUG;;AAyEH,4DAiGC;AASD,oCAMC;AAjJD,MAAM,cAAc,GAAqB;IACvC,cAAc,EAAE,EAAE;IAClB,YAAY,EAAE,GAAG;IACjB,aAAa,EAAE,GAAG;IAClB,gBAAgB,EAAE,GAAG;IACrB,iBAAiB,EAAE;QACjB,GAAG,EAAE,GAAG;QACR,MAAM,EAAE,GAAG;QACX,IAAI,EAAE,GAAG;QACT,OAAO,EAAE,IAAI;KACd;IACD,aAAa,EAAE,KAAK;CACrB,CAAC;AAqBF,SAAgB,wBAAwB,CAAC,SAAoC,EAAE;IAC7E,MAAM,GAAG,GAAG,EAAE,GAAG,cAAc,EAAE,GAAG,MAAM,EAAE,CAAC;IAC7C,MAAM,MAAM,GAAa,EAAE,CAAC;IAE5B,sEAAsE;IACtE,iEAAiE;IACjE,IAAI,cAAc,GAAkB,IAAI,CAAC;IAEzC,SAAS,cAAc,CAAC,MAAc;QACpC,MAAM,CAAC,IAAI,CAAC,MAAM,CAAC,CAAC;QACpB,OAAO,MAAM,CAAC,MAAM,GAAG,GAAG,CAAC,cAAc,EAAE,CAAC;YAC1C,MAAM,CAAC,KAAK,EAAE,CAAC;QACjB,CAAC;QAED,4CAA4C;QAC5C,IAAI,cAAc,KAAK,IAAI,IAAI,MAAM,CAAC,MAAM,IAAI,GAAG,CAAC,cAAc,EAAE,CAAC;YACnE,cAAc,GAAG,aAAa,CAAC,MAAM,CAAC,CAAC;QACzC,CAAC;IACH,CAAC;IAED,SAAS,aAAa,CAAC,MAAgB;QACrC,IAAI,MAAM,CAAC,MAAM,GAAG,CAAC;YAAE,OAAO,CAAC,CAAC;QAChC,MAAM,IAAI,GAAG,MAAM,CAAC,MAAM,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,GAAG,CAAC,EAAE,CAAC,CAAC,GAAG,MAAM,CAAC,MAAM,CAAC;QAC/D,MAAM,QAAQ,GAAG,MAAM,CAAC,MAAM,CAAC,CAAC,GAAG,EAAE,CAAC,EAAE,EAAE,CAAC,GAAG,GAAG,CAAC,CAAC,GAAG,IAAI,CAAC,IAAI,CAAC,EAAE,CAAC,CAAC,GAAG,MAAM,CAAC,MAAM,CAAC;QACrF,OAAO,IAAI,CAAC,IAAI,CAAC,QAAQ,CAAC,CAAC;IAC7B,CAAC;IAED,SAAS,UAAU,CAAC,MAAgB;QAClC,IAAI,MAAM,CAAC,MAAM,GAAG,CAAC;YAAE,OAAO,CAAC,CAAC;QAChC,IAAI,UAAU,GAAG,CAAC,CAAC;QACnB,KAAK,IAAI,CAAC,GAAG,CAAC,EAAE,CAAC,GAAG,MAAM,CAAC,MAAM,EAAE,CAAC,EAAE,EAAE,CAAC;YACvC,UAAU,IAAI,IAAI,CAAC,GAAG,CAAC,MAAM,CAAC,CAAC,CAAC,GAAG,MAAM,CAAC,CAAC,GAAG,CAAC,CAAC,CAAC,CAAC;QACpD,CAAC;QACD,OAAO,UAAU,GAAG,CAAC,MAAM,CAAC,MAAM,GAAG,CAAC,CAAC,CAAC;IAC1C,CAAC;IAED,SAAS,cAAc,CAAC,MAAc;QACpC,8EAA8E;QAC9E,sDAAsD;QACtD,MAAM,SAAS,GAAG,cAAc,IAAI,CAAC,CAAC;QACtC,MAAM,KAAK,GAAG,SAAS,GAAG,CAAC,CAAC,CAAC,CAAC,MAAM,GAAG,SAAS,CAAC,CAAC,CAAC,MAAM,CAAC;QAE1D,IAAI,KAAK,IAAI,GAAG,CAAC,YAAY;YAAE,OAAO,KAAK,CAAC;QAC5C,IAAI,KAAK,IAAI,GAAG,CAAC,aAAa;YAAE,OAAO,QAAQ,CAAC;QAChD,IAAI,KAAK,IAAI,GAAG,CAAC,gBAAgB;YAAE,OAAO,MAAM,CAAC;QACjD,OAAO,SAAS,CAAC;IACnB,CAAC;IAED,SAAS,MAAM;QACb,IAAI,MAAM,CAAC,MAAM,GAAG,CAAC,EAAE,CAAC;YACtB,OAAO;gBACL,MAAM,EAAE,QAAQ;gBAChB,cAAc,EAAE,GAAG,CAAC,iBAAiB,CAAC,MAAM;gBAC5C,aAAa,EAAE,CAAC;gBAChB,GAAG,EAAE,CAAC;gBACN,OAAO,EAAE,MAAM,CAAC,MAAM,KAAK,CAAC,CAAC,CAAC,CAAC,MAAM,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC;gBAC5C,UAAU,EAAE,MAAM,CAAC,MAAM;gBACzB,UAAU,EAAE,KAAK;aAClB,CAAC;QACJ,CAAC;QAED,MAAM,IAAI,GAAG,MAAM,CAAC,MAAM,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,GAAG,CAAC,EAAE,CAAC,CAAC,GAAG,MAAM,CAAC,MAAM,CAAC;QAC/D,MAAM,MAAM,GAAG,aAAa,CAAC,MAAM,CAAC,CAAC;QACrC,MAAM,GAAG,GAAG,UAAU,CAAC,MAAM,CAAC,CAAC;QAC/B,MAAM,MAAM,GAAG,cAAc,CAAC,MAAM,CAAC,CAAC;QACtC,MAAM,cAAc,GAAG,GAAG,CAAC,iBAAiB,CAAC,MAAM,CAAC,CAAC;QAErD,OAAO;YACL,MAAM;YACN,cAAc;YACd,aAAa,EAAE,IAAI,CAAC,KAAK,CAAC,MAAM,GAAG,KAAK,CAAC,GAAG,KAAK;YACjD,GAAG,EAAE,IAAI,CAAC,KAAK,CAAC,GAAG,GAAG,KAAK,CAAC,GAAG,KAAK;YACpC,OAAO,EAAE,IAAI,CAAC,KAAK,CAAC,IAAI,GAAG,KAAK,CAAC,GAAG,KAAK;YACzC,UAAU,EAAE,MAAM,CAAC,MAAM;YACzB,UAAU,EAAE,MAAM,KAAK,SAAS,IAAI,GAAG,CAAC,aAAa;SACtD,CAAC;IACJ,CAAC;IAED,SAAS,iBAAiB;QACxB,OAAO,MAAM,EAAE,CAAC,cAAc,CAAC;IACjC,CAAC;IAED,SAAS,SAAS;QAChB,OAAO,MAAM,EAAE,CAAC,MAAM,CAAC;IACzB,CAAC;IAED,OAAO;QACL,cAAc;QACd,MAAM;QACN,iBAAiB;QACjB,SAAS;QACT,SAAS,EAAE,GAAG,EAAE,CAAC,CAAC,GAAG,MAAM,CAAC;QAC5B,KAAK,EAAE,GAAG,EAAE;YACV,MAAM,CAAC,MAAM,GAAG,CAAC,CAAC;YAClB,cAAc,GAAG,IAAI,CAAC;QACxB,CAAC;KACF,CAAC;AACJ,CAAC;AAED,gFAAgF;AAChF,wBAAwB;AACxB,gFAAgF;AAEhF;;GAEG;AACH,SAAgB,YAAY,CAAC,OAAiB,EAAE,SAAoC,EAAE;IACpF,MAAM,QAAQ,GAAG,wBAAwB,CAAC,EAAE,GAAG,MAAM,EAAE,cAAc,EAAE,OAAO,CAAC,MAAM,IAAI,EAAE,EAAE,CAAC,CAAC;IAC/F,KAAK,MAAM,GAAG,IAAI,OAAO,EAAE,CAAC;QAC1B,QAAQ,CAAC,cAAc,CAAC,GAAG,CAAC,CAAC;IAC/B,CAAC;IACD,OAAO,QAAQ,CAAC,MAAM,EAAE,CAAC;AAC3B,CAAC"}

package/dist/routing/index.d.ts

@@ -0,0 +1,116 @@
+/**
+ * Routing Service - Clawdbot-style multi-agent routing with bindings
+ *
+ * Features:
+ * - Multiple specialized agents (main, trading, research, etc.)
+ * - Pattern-based routing (regex, keywords, commands)
+ * - Channel-specific agent bindings
+ * - Fallback to default agent
+ */
+import type { IncomingMessage, Session } from '../types';
+/** Tool policy for an agent */
+export interface ToolPolicy {
+    /** Tools that are always allowed */
+    allow?: string[];
+    /** Tools that are always denied */
+    deny?: string[];
+    /** Tool groups that are allowed (e.g., 'fs', 'web', 'runtime') */
+    allowGroups?: string[];
+    /** Tool groups that are denied */
+    denyGroups?: string[];
+    /** Whether to require confirmation for dangerous tools */
+    confirmDangerous?: boolean;
+}
+/** Tool groups for easy policy configuration */
+export declare const TOOL_GROUPS: Record<string, string[]>;
+/** Agent workspace configuration */
+export interface AgentWorkspace {
+    /** Root directory for this agent's workspace */
+    rootDir?: string;
+    /** Whether to isolate file operations to workspace */
+    isolate?: boolean;
+    /** State directory for agent-specific data */
+    stateDir?: string;
+    /** Session storage path */
+    sessionsDir?: string;
+    /** Memory storage path */
+    memoryDir?: string;
+}
+/** Agent definition */
+export interface AgentDefinition {
+    id: string;
+    name: string;
+    description: string;
+    /** System prompt override for this agent */
+    systemPrompt?: string;
+    /** Model override for this agent */
+    model?: string;
+    /** Whether this agent is enabled */
+    enabled: boolean;
+    /** Tool access policy for this agent */
+    toolPolicy?: ToolPolicy;
+    /** Workspace configuration for this agent */
+    workspace?: AgentWorkspace;
+}
+/** Binding types */
+export type BindingType = 'command' | 'keyword' | 'regex' | 'channel' | 'default';
+/** A routing binding */
+export interface Binding {
+    id: string;
+    type: BindingType;
+    pattern: string;
+    agentId: string;
+    /** Priority (higher = checked first) */
+    priority: number;
+    /** Channel filter (optional) */
+    channel?: string;
+    /** Whether this binding is enabled */
+    enabled: boolean;
+}
+/** Route result */
+export interface RouteResult {
+    agentId: string;
+    agent: AgentDefinition;
+    binding?: Binding;
+    reason: string;
+}
+/** Routing configuration */
+export interface RoutingConfig {
+    /** Available agents */
+    agents: AgentDefinition[];
+    /** Routing bindings */
+    bindings: Binding[];
+    /** Default agent ID */
+    defaultAgentId: string;
+}
+export interface RoutingService {
+    /** Route a message to an agent */
+    route(message: IncomingMessage, session: Session): RouteResult;
+    /** Get all available agents */
+    getAgents(): AgentDefinition[];
+    /** Get agent by ID */
+    getAgent(agentId: string): AgentDefinition | null;
+    /** Get all bindings */
+    getBindings(): Binding[];
+    /** Add a new agent */
+    addAgent(agent: AgentDefinition): void;
+    /** Update an agent */
+    updateAgent(agentId: string, updates: Partial<AgentDefinition>): boolean;
+    /** Remove an agent */
+    removeAgent(agentId: string): boolean;
+    /** Add a new binding */
+    addBinding(binding: Binding): void;
+    /** Update a binding */
+    updateBinding(bindingId: string, updates: Partial<Binding>): boolean;
+    /** Remove a binding */
+    removeBinding(bindingId: string): boolean;
+    /** Get default agent */
+    getDefaultAgent(): AgentDefinition;
+    /** Check if a tool is allowed for an agent */
+    isToolAllowed(agentId: string, toolName: string): boolean;
+    /** Get workspace path for an agent */
+    getWorkspacePath(agentId: string): string | null;
+    /** Get all tools allowed for an agent */
+    getAllowedTools(agentId: string): string[] | null;
+}
+export declare function createRoutingService(config?: Partial<RoutingConfig>): RoutingService;