clodds 1.1.0

package/dist/services/feature-engineering/thresholds.js

@@ -0,0 +1,280 @@
+"use strict";
+/**
+ * Feature Engineering Thresholds
+ *
+ * Helper functions for signal-based trading decisions.
+ * All functions return boolean to indicate pass/fail for trading filters.
+ */
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.DEFAULT_THRESHOLDS = void 0;
+exports.checkLiquidity = checkLiquidity;
+exports.getLiquidityScore = getLiquidityScore;
+exports.checkVolatility = checkVolatility;
+exports.isHighVolatility = isHighVolatility;
+exports.getVolatilityPct = getVolatilityPct;
+exports.checkSpread = checkSpread;
+exports.getSpreadPct = getSpreadPct;
+exports.checkTrendStrength = checkTrendStrength;
+exports.getTrendDirection = getTrendDirection;
+exports.checkBuyPressure = checkBuyPressure;
+exports.checkSellPressure = checkSellPressure;
+exports.checkImbalance = checkImbalance;
+exports.checkActivity = checkActivity;
+exports.checkMarketConditions = checkMarketConditions;
+exports.isArbitrageReady = isArbitrageReady;
+exports.favorsTrade = favorsTrade;
+exports.adaptiveStopLoss = adaptiveStopLoss;
+exports.adaptiveTakeProfit = adaptiveTakeProfit;
+exports.DEFAULT_THRESHOLDS = {
+    minLiquidityScore: 0.3,
+    maxVolatilityPct: 5.0,
+    minVolatilityPct: 0.1,
+    maxSpreadPct: 2.0,
+    minTrendStrength: 0.3,
+    minBuyPressure: 0.4,
+    minSellPressure: 0.4,
+    minImbalanceRatio: 1.5,
+    minTickIntensity: 0.1,
+};
+// =============================================================================
+// LIQUIDITY CHECKS
+// =============================================================================
+/**
+ * Check if market has sufficient liquidity
+ *
+ * @param features - Combined features for the market
+ * @param min - Minimum liquidity score (default: 0.3)
+ * @returns true if liquidity is sufficient
+ */
+function checkLiquidity(features, min = exports.DEFAULT_THRESHOLDS.minLiquidityScore) {
+    if (!features)
+        return true; // No data - don't block
+    return features.signals.liquidityScore >= min;
+}
+/**
+ * Get liquidity score or null if unavailable
+ */
+function getLiquidityScore(features) {
+    return features?.signals.liquidityScore ?? null;
+}
+// =============================================================================
+// VOLATILITY CHECKS
+// =============================================================================
+/**
+ * Check if volatility is within acceptable range
+ *
+ * @param features - Combined features for the market
+ * @param min - Minimum volatility % (default: 0.1)
+ * @param max - Maximum volatility % (default: 5.0)
+ * @returns true if volatility is within range
+ */
+function checkVolatility(features, min = exports.DEFAULT_THRESHOLDS.minVolatilityPct, max = exports.DEFAULT_THRESHOLDS.maxVolatilityPct) {
+    if (!features?.tick)
+        return true; // No data - don't block
+    const vol = features.tick.volatilityPct;
+    return vol >= min && vol <= max;
+}
+/**
+ * Check if volatility is too high for safe trading
+ */
+function isHighVolatility(features, max = exports.DEFAULT_THRESHOLDS.maxVolatilityPct) {
+    if (!features?.tick)
+        return false;
+    return features.tick.volatilityPct > max;
+}
+/**
+ * Get volatility percentage or null if unavailable
+ */
+function getVolatilityPct(features) {
+    return features?.tick?.volatilityPct ?? null;
+}
+// =============================================================================
+// SPREAD CHECKS
+// =============================================================================
+/**
+ * Check if spread is acceptable for trading
+ *
+ * @param features - Combined features for the market
+ * @param maxPct - Maximum spread % (default: 2.0)
+ * @returns true if spread is acceptable
+ */
+function checkSpread(features, maxPct = exports.DEFAULT_THRESHOLDS.maxSpreadPct) {
+    if (!features?.orderbook)
+        return true; // No data - don't block
+    return features.orderbook.spreadPct <= maxPct;
+}
+/**
+ * Get spread percentage or null if unavailable
+ */
+function getSpreadPct(features) {
+    return features?.orderbook?.spreadPct ?? null;
+}
+// =============================================================================
+// TREND / MOMENTUM CHECKS
+// =============================================================================
+/**
+ * Check if there's a strong enough trend for trend-following strategies
+ *
+ * @param features - Combined features for the market
+ * @param min - Minimum absolute trend strength (default: 0.3)
+ * @returns true if trend is strong enough
+ */
+function checkTrendStrength(features, min = exports.DEFAULT_THRESHOLDS.minTrendStrength) {
+    if (!features)
+        return false;
+    return Math.abs(features.signals.trendStrength) >= min;
+}
+/**
+ * Get trend direction: 'bullish', 'bearish', or 'neutral'
+ */
+function getTrendDirection(features, threshold = exports.DEFAULT_THRESHOLDS.minTrendStrength) {
+    if (!features)
+        return 'neutral';
+    const strength = features.signals.trendStrength;
+    if (strength >= threshold)
+        return 'bullish';
+    if (strength <= -threshold)
+        return 'bearish';
+    return 'neutral';
+}
+// =============================================================================
+// PRESSURE / IMBALANCE CHECKS
+// =============================================================================
+/**
+ * Check if buy pressure supports a buy order
+ */
+function checkBuyPressure(features, min = exports.DEFAULT_THRESHOLDS.minBuyPressure) {
+    if (!features)
+        return true;
+    return features.signals.buyPressure >= min;
+}
+/**
+ * Check if sell pressure supports a sell order
+ */
+function checkSellPressure(features, min = exports.DEFAULT_THRESHOLDS.minSellPressure) {
+    if (!features)
+        return true;
+    return features.signals.sellPressure >= min;
+}
+/**
+ * Check orderbook imbalance for directional bias
+ */
+function checkImbalance(features, minRatio = exports.DEFAULT_THRESHOLDS.minImbalanceRatio) {
+    if (!features?.orderbook) {
+        return { hasImbalance: false, direction: 'neutral' };
+    }
+    const ratio = features.orderbook.imbalanceRatio;
+    if (ratio >= minRatio) {
+        return { hasImbalance: true, direction: 'buy' };
+    }
+    if (ratio <= 1 / minRatio) {
+        return { hasImbalance: true, direction: 'sell' };
+    }
+    return { hasImbalance: false, direction: 'neutral' };
+}
+// =============================================================================
+// ACTIVITY CHECKS
+// =============================================================================
+/**
+ * Check if market has sufficient activity (tick intensity)
+ */
+function checkActivity(features, minIntensity = exports.DEFAULT_THRESHOLDS.minTickIntensity) {
+    if (!features?.tick)
+        return true;
+    return features.tick.tickIntensity >= minIntensity;
+}
+/**
+ * Comprehensive market condition check
+ *
+ * Returns a score and list of issues that may prevent trading.
+ */
+function checkMarketConditions(features, thresholds = {}) {
+    const cfg = { ...exports.DEFAULT_THRESHOLDS, ...thresholds };
+    const reasons = [];
+    let score = 100;
+    if (!features) {
+        return { tradeable: true, reasons: ['no_feature_data'], score: 50 };
+    }
+    // Liquidity check
+    if (!checkLiquidity(features, cfg.minLiquidityScore)) {
+        reasons.push(`low_liquidity (${features.signals.liquidityScore.toFixed(2)} < ${cfg.minLiquidityScore})`);
+        score -= 30;
+    }
+    // Spread check
+    if (!checkSpread(features, cfg.maxSpreadPct)) {
+        const spreadPct = features.orderbook?.spreadPct ?? 0;
+        reasons.push(`high_spread (${spreadPct.toFixed(2)}% > ${cfg.maxSpreadPct}%)`);
+        score -= 25;
+    }
+    // Volatility check
+    if (isHighVolatility(features, cfg.maxVolatilityPct)) {
+        const volPct = features.tick?.volatilityPct ?? 0;
+        reasons.push(`high_volatility (${volPct.toFixed(2)}% > ${cfg.maxVolatilityPct}%)`);
+        score -= 20;
+    }
+    // Activity check
+    if (!checkActivity(features, cfg.minTickIntensity)) {
+        reasons.push(`low_activity`);
+        score -= 10;
+    }
+    return {
+        tradeable: reasons.length === 0,
+        reasons,
+        score: Math.max(0, score),
+    };
+}
+/**
+ * Quick check if a market is suitable for arbitrage execution
+ */
+function isArbitrageReady(features, thresholds) {
+    const cfg = { ...exports.DEFAULT_THRESHOLDS, ...thresholds };
+    // Must pass liquidity and spread checks
+    return checkLiquidity(features, cfg.minLiquidityScore) &&
+        checkSpread(features, cfg.maxSpreadPct);
+}
+/**
+ * Quick check if market conditions favor a specific trade direction
+ */
+function favorsTrade(features, side, thresholds) {
+    const cfg = { ...exports.DEFAULT_THRESHOLDS, ...thresholds };
+    if (!features)
+        return true; // No data - don't block
+    if (side === 'buy') {
+        return checkBuyPressure(features, cfg.minBuyPressure);
+    }
+    else {
+        return checkSellPressure(features, cfg.minSellPressure);
+    }
+}
+/**
+ * Calculate an adaptive stop loss based on volatility
+ *
+ * @param baseStopPct - Base stop loss percentage
+ * @param features - Market features
+ * @param multiplier - Volatility multiplier (default: 1.0)
+ * @returns Adjusted stop loss percentage
+ */
+function adaptiveStopLoss(baseStopPct, features, multiplier = 1.0) {
+    if (!features?.tick?.volatilityPct)
+        return baseStopPct;
+    // Add volatility to base stop loss
+    const volAdjustment = features.tick.volatilityPct * multiplier;
+    return baseStopPct + volAdjustment;
+}
+/**
+ * Calculate an adaptive take profit based on trend and volatility
+ *
+ * @param baseTpPct - Base take profit percentage
+ * @param features - Market features
+ * @param multiplier - Adjustment multiplier (default: 1.0)
+ * @returns Adjusted take profit percentage
+ */
+function adaptiveTakeProfit(baseTpPct, features, multiplier = 1.0) {
+    if (!features?.tick?.volatilityPct)
+        return baseTpPct;
+    // In high volatility, use wider TP; in trending markets, extend TP
+    const volAdjustment = features.tick.volatilityPct * 0.5 * multiplier;
+    const trendAdjustment = Math.abs(features.signals.trendStrength) * baseTpPct * 0.3;
+    return baseTpPct + volAdjustment + trendAdjustment;
+}
+//# sourceMappingURL=thresholds.js.map

package/dist/services/feature-engineering/thresholds.js.map

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package/dist/services/feature-engineering/types.d.ts

@@ -0,0 +1,138 @@
+/**
+ * Feature Engineering Types
+ */
+export interface TickFeatures {
+    timestamp: number;
+    platform: string;
+    marketId: string;
+    outcomeId: string;
+    price: number;
+    priceChange: number;
+    priceChangePct: number;
+    momentum: number;
+    velocity: number;
+    volatility: number;
+    volatilityPct: number;
+    tickCount: number;
+    tickIntensity: number;
+    vwap: number | null;
+}
+export interface OrderbookFeatures {
+    timestamp: number;
+    platform: string;
+    marketId: string;
+    outcomeId: string;
+    spread: number;
+    spreadPct: number;
+    midPrice: number;
+    bidDepth: number;
+    askDepth: number;
+    totalDepth: number;
+    imbalance: number;
+    imbalanceRatio: number;
+    bestBid: number;
+    bestAsk: number;
+    bestBidSize: number;
+    bestAskSize: number;
+    weightedBidPrice: number;
+    weightedAskPrice: number;
+    bidDepthAt1Pct: number;
+    askDepthAt1Pct: number;
+    bidDepthAt5Pct: number;
+    askDepthAt5Pct: number;
+}
+export interface CombinedFeatures {
+    timestamp: number;
+    platform: string;
+    marketId: string;
+    outcomeId: string;
+    tick: TickFeatures | null;
+    orderbook: OrderbookFeatures | null;
+    signals: {
+        buyPressure: number;
+        sellPressure: number;
+        trendStrength: number;
+        liquidityScore: number;
+    };
+}
+export interface FeatureConfig {
+    /** Rolling window size for tick features (default: 100) */
+    tickWindowSize?: number;
+    /** Rolling window size for orderbook features (default: 50) */
+    orderbookWindowSize?: number;
+    /** Momentum lookback in ticks (default: 20) */
+    momentumLookback?: number;
+    /** Volatility lookback in ticks (default: 50) */
+    volatilityLookback?: number;
+    /** Minimum absolute momentum to emit a signal (default: 0.02) */
+    signalMomentumThreshold?: number;
+    /** Minimum volatility to emit a signal (default: 0.05) */
+    signalVolatilityThreshold?: number;
+}
+export interface FeatureSnapshot {
+    timestamp: number;
+    platform: string;
+    marketId: string;
+    outcomeId: string;
+    features: CombinedFeatures;
+}
+export interface FeatureEngineering {
+    /**
+     * Process a price tick and compute features
+     */
+    processTick(update: {
+        platform: string;
+        marketId: string;
+        outcomeId: string;
+        price: number;
+        prevPrice: number | null;
+        timestamp: number;
+    }): TickFeatures;
+    /**
+     * Process an orderbook update and compute features
+     */
+    processOrderbook(update: {
+        platform: string;
+        marketId: string;
+        outcomeId: string;
+        bids: Array<[number, number]>;
+        asks: Array<[number, number]>;
+        timestamp: number;
+    }): OrderbookFeatures;
+    /**
+     * Get combined features for a market
+     */
+    getFeatures(platform: string, marketId: string, outcomeId?: string): CombinedFeatures | null;
+    /**
+     * Get all current feature snapshots
+     */
+    getAllFeatures(): FeatureSnapshot[];
+    /**
+     * Compute features from historical tick data (batch mode)
+     */
+    computeHistoricalFeatures(ticks: Array<{
+        time: Date;
+        platform: string;
+        marketId: string;
+        outcomeId: string;
+        price: number;
+        prevPrice: number | null;
+    }>): TickFeatures[];
+    /**
+     * Clear feature state for a market
+     */
+    clearMarket(platform: string, marketId: string): void;
+    /**
+     * Attach an EventEmitter that will receive 'signal' events when thresholds
+     * are crossed during processTick().
+     */
+    setEmitter(emitter: import('events').EventEmitter): void;
+    /**
+     * Get service stats
+     */
+    getStats(): {
+        marketsTracked: number;
+        ticksProcessed: number;
+        orderbooksProcessed: number;
+    };
+}

package/dist/services/feature-engineering/types.js

@@ -0,0 +1,6 @@
+"use strict";
+/**
+ * Feature Engineering Types
+ */
+Object.defineProperty(exports, "__esModule", { value: true });
+//# sourceMappingURL=types.js.map

package/dist/services/feature-engineering/types.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"types.js","sourceRoot":"","sources":["../../../src/services/feature-engineering/types.ts"],"names":[],"mappings":";AAAA;;GAEG"}

package/dist/services/tick-recorder/index.d.ts

@@ -0,0 +1,12 @@
+/**
+ * Tick Recorder Service
+ * Records price and orderbook data to TimescaleDB for historical analysis
+ */
+import type { TickRecorder, TickRecorderConfig, TickQuery, OHLCParams, OrderbookQuery, SpreadHistoryParams, Tick, Candle, OrderbookSnapshot, SpreadCandle, RecorderStats } from './types';
+export type { TickRecorder, TickRecorderConfig, Tick, Candle, OrderbookSnapshot, SpreadCandle, TickQuery, OHLCParams, OrderbookQuery, SpreadHistoryParams, RecorderStats, };
+/**
+ * Create a tick recorder service
+ */
+export declare function createTickRecorder(config: TickRecorderConfig): TickRecorder;
+export { getSchemaStats } from './schema';
+export { checkTimescaleHealth } from './timescale';

package/dist/services/tick-recorder/index.js

@@ -0,0 +1,200 @@
+"use strict";
+/**
+ * Tick Recorder Service
+ * Records price and orderbook data to TimescaleDB for historical analysis
+ */
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.checkTimescaleHealth = exports.getSchemaStats = void 0;
+exports.createTickRecorder = createTickRecorder;
+const timescale_1 = require("./timescale");
+const schema_1 = require("./schema");
+const queries_1 = require("./queries");
+const logger_1 = require("../../utils/logger");
+/**
+ * Create a tick recorder service
+ */
+function createTickRecorder(config) {
+    const batchSize = config.batchSize ?? 100;
+    const flushIntervalMs = config.flushIntervalMs ?? 1000;
+    const retentionDays = config.retentionDays ?? 365;
+    const enabledPlatforms = config.platforms ?? null; // null = all platforms
+    let client = null;
+    let tickBuffer = [];
+    let orderbookBuffer = [];
+    let flushInterval = null;
+    let running = false;
+    let lastFlushTime = null;
+    // Stats counters
+    let ticksRecorded = 0;
+    let orderbooksRecorded = 0;
+    /**
+     * Check if a platform should be recorded
+     */
+    const shouldRecord = (platform) => {
+        if (!enabledPlatforms)
+            return true;
+        return enabledPlatforms.includes(platform);
+    };
+    /**
+     * Flush buffers to database
+     */
+    const flush = async () => {
+        if (!client || (!tickBuffer.length && !orderbookBuffer.length)) {
+            return;
+        }
+        const ticksToInsert = [...tickBuffer];
+        const orderbooksToInsert = [...orderbookBuffer];
+        tickBuffer = [];
+        orderbookBuffer = [];
+        try {
+            const [ticksInserted, orderbooksInserted] = await Promise.all([
+                ticksToInsert.length > 0 ? (0, queries_1.insertTicks)(client, ticksToInsert) : 0,
+                orderbooksToInsert.length > 0 ? (0, queries_1.insertOrderbookSnapshots)(client, orderbooksToInsert) : 0,
+            ]);
+            ticksRecorded += ticksInserted;
+            orderbooksRecorded += orderbooksInserted;
+            lastFlushTime = Date.now();
+            if (ticksInserted > 0 || orderbooksInserted > 0) {
+                logger_1.logger.debug({ ticksInserted, orderbooksInserted }, 'Flushed tick recorder buffers');
+            }
+        }
+        catch (err) {
+            // On error, put data back in buffers for retry
+            tickBuffer = [...ticksToInsert, ...tickBuffer];
+            orderbookBuffer = [...orderbooksToInsert, ...orderbookBuffer];
+            logger_1.logger.error({ err }, 'Failed to flush tick recorder buffers');
+        }
+    };
+    /**
+     * Check if buffers should be flushed based on size
+     */
+    const checkFlush = () => {
+        if (tickBuffer.length >= batchSize || orderbookBuffer.length >= batchSize) {
+            flush().catch((err) => {
+                logger_1.logger.error({ err }, 'Flush check error');
+            });
+        }
+    };
+    return {
+        async start() {
+            if (running)
+                return;
+            logger_1.logger.info({ connectionString: config.connectionString.replace(/:[^:@]+@/, ':***@') }, 'Starting tick recorder');
+            // Create database client
+            client = (0, timescale_1.createTimescaleClient)({
+                connectionString: config.connectionString,
+            });
+            // Check connection
+            const health = await (0, timescale_1.checkTimescaleHealth)(client);
+            if (!health.connected) {
+                throw new Error(`Failed to connect to TimescaleDB: ${health.error}`);
+            }
+            logger_1.logger.info({
+                pgVersion: health.version?.split(' ')[1],
+                timescaleVersion: health.timescaleVersion,
+            }, 'Connected to database');
+            // Initialize schema
+            await (0, schema_1.initializeSchema)(client, { retentionDays });
+            // Start flush interval
+            flushInterval = setInterval(() => {
+                flush().catch((err) => {
+                    logger_1.logger.error({ err }, 'Interval flush error');
+                });
+            }, flushIntervalMs);
+            running = true;
+            logger_1.logger.info({ batchSize, flushIntervalMs, retentionDays }, 'Tick recorder started');
+        },
+        async stop() {
+            if (!running)
+                return;
+            running = false;
+            // Stop flush interval
+            if (flushInterval) {
+                clearInterval(flushInterval);
+                flushInterval = null;
+            }
+            // Final flush
+            await flush();
+            // Close database connection
+            if (client) {
+                await client.close();
+                client = null;
+            }
+            logger_1.logger.info({ ticksRecorded, orderbooksRecorded }, 'Tick recorder stopped');
+        },
+        recordTick(update) {
+            if (!running || !shouldRecord(update.platform))
+                return;
+            tickBuffer.push({
+                time: new Date(update.timestamp),
+                platform: update.platform,
+                marketId: update.marketId,
+                outcomeId: update.outcomeId,
+                price: update.price,
+                prevPrice: update.previousPrice ?? null,
+            });
+            checkFlush();
+        },
+        recordOrderbook(update) {
+            if (!running || !shouldRecord(update.platform))
+                return;
+            // Calculate spread and mid price
+            const bestBid = update.bids.length > 0 ? update.bids[0][0] : null;
+            const bestAsk = update.asks.length > 0 ? update.asks[0][0] : null;
+            const spread = bestBid !== null && bestAsk !== null ? bestAsk - bestBid : null;
+            const midPrice = bestBid !== null && bestAsk !== null ? (bestBid + bestAsk) / 2 : null;
+            orderbookBuffer.push({
+                time: new Date(update.timestamp),
+                platform: update.platform,
+                marketId: update.marketId,
+                outcomeId: update.outcomeId,
+                bids: update.bids,
+                asks: update.asks,
+                spread,
+                midPrice,
+            });
+            checkFlush();
+        },
+        async getTicks(query) {
+            if (!client) {
+                throw new Error('Tick recorder not started');
+            }
+            return (0, queries_1.getTicks)(client, query);
+        },
+        async getOHLC(params) {
+            if (!client) {
+                throw new Error('Tick recorder not started');
+            }
+            return (0, queries_1.getOHLC)(client, params);
+        },
+        async getOrderbookSnapshots(params) {
+            if (!client) {
+                throw new Error('Tick recorder not started');
+            }
+            return (0, queries_1.getOrderbookSnapshots)(client, params);
+        },
+        async getSpreadHistory(params) {
+            if (!client) {
+                throw new Error('Tick recorder not started');
+            }
+            return (0, queries_1.getSpreadHistory)(client, params);
+        },
+        getStats() {
+            return {
+                ticksRecorded,
+                orderbooksRecorded,
+                ticksInBuffer: tickBuffer.length,
+                orderbooksInBuffer: orderbookBuffer.length,
+                lastFlushTime,
+                dbConnected: client?.isConnected() ?? false,
+                platforms: enabledPlatforms ?? [],
+            };
+        },
+    };
+}
+// Export schema utilities for external use
+var schema_2 = require("./schema");
+Object.defineProperty(exports, "getSchemaStats", { enumerable: true, get: function () { return schema_2.getSchemaStats; } });
+var timescale_2 = require("./timescale");
+Object.defineProperty(exports, "checkTimescaleHealth", { enumerable: true, get: function () { return timescale_2.checkTimescaleHealth; } });
+//# sourceMappingURL=index.js.map

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