clodds 1.1.0

package/dist/strategies/crypto-hft/strategies.d.ts

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+/**
+ * 4 Strategies for 15-minute Polymarket Crypto Markets
+ *
+ * Each strategy:
+ *  - Uses real orderbook data (OBI, spread, depth)
+ *  - Specifies its preferred order mode (maker/taker/fok/maker_then_taker)
+ *  - Logs features for post-trade analysis
+ *  - Has individually tunable config
+ *
+ * 1. Momentum    — Spot moved, poly lagging → maker_then_taker entry
+ * 2. Reversion   — Poly overshot on noise   → maker entry (patient, cheap)
+ * 3. Penny Clip  — Oscillating in zone, buy dips → maker entry (V4 from firstorder)
+ * 4. Expiry Fade — Near expiry, no trend    → taker entry (speed, last chance)
+ */
+import type { CryptoMarket, TradeSignal, OrderbookSnapshot } from './types.js';
+/** Rolling price buffer for oscillation detection */
+export interface PriceBuffer {
+    prices: Array<{
+        price: number;
+        ts: number;
+    }>;
+    push(price: number, ts?: number): void;
+    /** Count direction reversals in last N seconds */
+    reversals(windowSec: number, minStep: number): number;
+    /** Price range in last N seconds */
+    range(windowSec: number): number;
+    /** Mean price in last N seconds */
+    mean(windowSec: number): number;
+    /** Movement in last N seconds as pct */
+    movePct(windowSec: number): number;
+}
+export declare function createPriceBuffer(maxAgeSec?: number): PriceBuffer;
+export interface MomentumConfig {
+    /** Min spot move % to trigger (default 0.15) */
+    minSpotMovePct: number;
+    /** Max poly price staleness (seconds, default 5) */
+    maxPolyStaleSec: number;
+    /** Min lag between expected fair value and current poly price (cents, default 0.02) */
+    minLagCents: number;
+    /** Max spread to enter (pct, default 2.0) */
+    maxSpreadPct: number;
+    /** Spot move window (seconds, default 30) */
+    spotWindowSec: number;
+}
+export declare const DEFAULT_MOMENTUM: MomentumConfig;
+export declare function evaluateMomentum(market: CryptoMarket, spotMovePct: number, spotWindowSec: number, book: OrderbookSnapshot | null, polyAgeSec: number, cfg?: MomentumConfig): TradeSignal | null;
+export interface MeanReversionConfig {
+    /** Buy when token is this cheap or less (default 0.30) */
+    cheapThreshold: number;
+    /** Fade when token is this expensive (default 0.72) */
+    expensiveThreshold: number;
+    /** Min seconds into round (default 120 — spreads stabilized) */
+    minRoundAgeSec: number;
+    /** Only revert if spot is calm (max spot move %, default 0.08) */
+    maxSpotMovePct: number;
+    /** Min OBI in our favor (default -0.1 — don't fight order flow) */
+    minObi: number;
+}
+export declare const DEFAULT_MEAN_REVERSION: MeanReversionConfig;
+export declare function evaluateMeanReversion(market: CryptoMarket, spotMovePct: number, roundAgeSec: number, book: OrderbookSnapshot | null, cfg?: MeanReversionConfig): TradeSignal | null;
+export interface PennyClipperConfig {
+    /** Price zone: min (default 0.08) */
+    priceMin: number;
+    /** Price zone: max (default 0.50) */
+    priceMax: number;
+    /** Max spread to trade (cents, default 0.02) */
+    maxSpread: number;
+    /** Min oscillation range in window (cents, default 0.03) */
+    minOscRange: number;
+    /** Min reversals in window (default 3) */
+    minReversals: number;
+    /** Min step to count as reversal (cents, default 0.01) */
+    reversalMinStep: number;
+    /** Entry discount: must be this many cents below mean (default 0.01) */
+    entryDiscount: number;
+    /** Lookback window for oscillation (seconds, default 30) */
+    oscWindowSec: number;
+    /** Confirmation: spot moving toward our direction in last N sec (default 10) */
+    confirmWindowSec: number;
+}
+export declare const DEFAULT_PENNY_CLIPPER: PennyClipperConfig;
+export declare function evaluatePennyClipper(market: CryptoMarket, spotBuffer: PriceBuffer, polyBuffer: PriceBuffer, book: OrderbookSnapshot | null, cfg?: PennyClipperConfig): TradeSignal | null;
+export interface ExpiryFadeConfig {
+    /** Max seconds before expiry to trigger (default 300 = 5 min) */
+    windowSec: number;
+    /** Min seconds before expiry (default 60 — don't enter too late) */
+    minSecLeft: number;
+    /** Min distance from 0.50 to consider fading (default 0.15) */
+    minSkewFromMid: number;
+    /** Max recent spot move % (default 0.06 — only when spot is flat) */
+    maxRecentSpotMovePct: number;
+    /** Max spread to enter (default 2.5%) */
+    maxSpreadPct: number;
+}
+export declare const DEFAULT_EXPIRY_FADE: ExpiryFadeConfig;
+export declare function evaluateExpiryFade(market: CryptoMarket, spotMovePct: number, book: OrderbookSnapshot | null, cfg?: ExpiryFadeConfig): TradeSignal | null;

package/dist/strategies/crypto-hft/strategies.js

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+"use strict";
+/**
+ * 4 Strategies for 15-minute Polymarket Crypto Markets
+ *
+ * Each strategy:
+ *  - Uses real orderbook data (OBI, spread, depth)
+ *  - Specifies its preferred order mode (maker/taker/fok/maker_then_taker)
+ *  - Logs features for post-trade analysis
+ *  - Has individually tunable config
+ *
+ * 1. Momentum    — Spot moved, poly lagging → maker_then_taker entry
+ * 2. Reversion   — Poly overshot on noise   → maker entry (patient, cheap)
+ * 3. Penny Clip  — Oscillating in zone, buy dips → maker entry (V4 from firstorder)
+ * 4. Expiry Fade — Near expiry, no trend    → taker entry (speed, last chance)
+ */
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.DEFAULT_EXPIRY_FADE = exports.DEFAULT_PENNY_CLIPPER = exports.DEFAULT_MEAN_REVERSION = exports.DEFAULT_MOMENTUM = void 0;
+exports.createPriceBuffer = createPriceBuffer;
+exports.evaluateMomentum = evaluateMomentum;
+exports.evaluateMeanReversion = evaluateMeanReversion;
+exports.evaluatePennyClipper = evaluatePennyClipper;
+exports.evaluateExpiryFade = evaluateExpiryFade;
+function createPriceBuffer(maxAgeSec = 180) {
+    const prices = [];
+    function prune() {
+        const cutoff = Date.now() - maxAgeSec * 1000;
+        while (prices.length > 0 && prices[prices.length - 1].ts < cutoff) {
+            prices.pop();
+        }
+    }
+    function inWindow(windowSec) {
+        const cutoff = Date.now() - windowSec * 1000;
+        return prices.filter((p) => p.ts >= cutoff);
+    }
+    return {
+        prices,
+        push(price, ts = Date.now()) {
+            prices.unshift({ price, ts });
+            prune();
+        },
+        reversals(windowSec, minStep) {
+            const window = inWindow(windowSec);
+            if (window.length < 3)
+                return 0;
+            let count = 0;
+            let lastDir = null;
+            for (let i = 1; i < window.length; i++) {
+                const diff = window[i - 1].price - window[i].price;
+                if (Math.abs(diff) < minStep)
+                    continue;
+                const dir = diff > 0 ? 'up' : 'down';
+                if (lastDir && dir !== lastDir)
+                    count++;
+                lastDir = dir;
+            }
+            return count;
+        },
+        range(windowSec) {
+            const window = inWindow(windowSec);
+            if (window.length === 0)
+                return 0;
+            const vals = window.map((p) => p.price);
+            return Math.max(...vals) - Math.min(...vals);
+        },
+        mean(windowSec) {
+            const window = inWindow(windowSec);
+            if (window.length === 0)
+                return 0;
+            return window.reduce((s, p) => s + p.price, 0) / window.length;
+        },
+        movePct(windowSec) {
+            const window = inWindow(windowSec);
+            if (window.length < 2)
+                return 0;
+            const newest = window[0].price;
+            const oldest = window[window.length - 1].price;
+            if (oldest === 0)
+                return 0;
+            return ((newest - oldest) / oldest) * 100;
+        },
+    };
+}
+exports.DEFAULT_MOMENTUM = {
+    minSpotMovePct: 0.15,
+    maxPolyStaleSec: 5,
+    minLagCents: 0.02,
+    maxSpreadPct: 2.0,
+    spotWindowSec: 30,
+};
+function evaluateMomentum(market, spotMovePct, spotWindowSec, book, polyAgeSec, cfg = exports.DEFAULT_MOMENTUM) {
+    if (Math.abs(spotMovePct) < cfg.minSpotMovePct)
+        return null;
+    if (polyAgeSec > cfg.maxPolyStaleSec)
+        return null;
+    if (book && book.spreadPct > cfg.maxSpreadPct)
+        return null;
+    const direction = spotMovePct > 0 ? 'up' : 'down';
+    const tokenId = direction === 'up' ? market.upTokenId : market.downTokenId;
+    const price = direction === 'up' ? market.upPrice : market.downPrice;
+    // Check if poly has already priced in the move.
+    // For a 15-min binary: midpoint is ~0.50, so a 0.15% spot move
+    // should push the UP token from 0.50 toward 0.55-0.60 (a few cents).
+    // If the token already reflects the move, skip.
+    const expectedPolyPrice = 0.50 + Math.abs(spotMovePct) / 100 * 5; // rough scaling: 0.20% → 0.51
+    const lagCents = expectedPolyPrice - price; // positive = poly still lagging
+    if (lagCents < cfg.minLagCents)
+        return null; // Already priced in or overshot
+    const confidence = Math.min(1, Math.abs(spotMovePct) / 0.30);
+    const obi = book?.obi ?? 0;
+    return {
+        strategy: 'momentum',
+        asset: market.asset,
+        direction,
+        tokenId,
+        conditionId: market.conditionId,
+        price,
+        confidence,
+        reason: `Spot ${spotMovePct > 0 ? '+' : ''}${spotMovePct.toFixed(3)}% in ${spotWindowSec}s, OBI ${obi.toFixed(2)}`,
+        orderMode: 'maker_then_taker',
+        features: {
+            spotMovePct,
+            spotWindowSec,
+            polyAgeSec,
+            obi,
+            spread: book?.spreadPct ?? 0,
+            price,
+        },
+        timestamp: Date.now(),
+    };
+}
+exports.DEFAULT_MEAN_REVERSION = {
+    cheapThreshold: 0.30,
+    expensiveThreshold: 0.72,
+    minRoundAgeSec: 120,
+    maxSpotMovePct: 0.08,
+    minObi: -0.1,
+};
+function evaluateMeanReversion(market, spotMovePct, roundAgeSec, book, cfg = exports.DEFAULT_MEAN_REVERSION) {
+    if (roundAgeSec < cfg.minRoundAgeSec)
+        return null;
+    if (Math.abs(spotMovePct) > cfg.maxSpotMovePct)
+        return null;
+    let direction;
+    let tokenId;
+    let price;
+    if (market.upPrice <= cfg.cheapThreshold) {
+        direction = 'up';
+        tokenId = market.upTokenId;
+        price = market.upPrice;
+    }
+    else if (market.downPrice <= cfg.cheapThreshold) {
+        direction = 'down';
+        tokenId = market.downTokenId;
+        price = market.downPrice;
+    }
+    else if (market.upPrice >= cfg.expensiveThreshold) {
+        direction = 'down';
+        tokenId = market.downTokenId;
+        price = market.downPrice;
+    }
+    else if (market.downPrice >= cfg.expensiveThreshold) {
+        direction = 'up';
+        tokenId = market.upTokenId;
+        price = market.upPrice;
+    }
+    else {
+        return null;
+    }
+    // Don't fight order flow — check OBI
+    const obi = book?.obi ?? 0;
+    if (direction === 'up' && obi < cfg.minObi)
+        return null; // Sellers dominating, don't buy up
+    if (direction === 'down' && -obi < cfg.minObi)
+        return null;
+    const confidence = Math.min(1, (1 - price) * 1.5);
+    return {
+        strategy: 'mean_reversion',
+        asset: market.asset,
+        direction,
+        tokenId,
+        conditionId: market.conditionId,
+        price,
+        confidence,
+        reason: `${direction.toUpperCase()} at ${price.toFixed(2)}, spot calm (${spotMovePct.toFixed(3)}%), OBI ${obi.toFixed(2)}`,
+        orderMode: 'maker', // Patient — post in spread, 0% fee
+        features: {
+            spotMovePct,
+            roundAgeSec,
+            obi,
+            spread: book?.spreadPct ?? 0,
+            price,
+            upPrice: market.upPrice,
+            downPrice: market.downPrice,
+        },
+        timestamp: Date.now(),
+    };
+}
+exports.DEFAULT_PENNY_CLIPPER = {
+    priceMin: 0.08,
+    priceMax: 0.50,
+    maxSpread: 0.02,
+    minOscRange: 0.03,
+    minReversals: 3,
+    reversalMinStep: 0.01,
+    entryDiscount: 0.01,
+    oscWindowSec: 30,
+    confirmWindowSec: 10,
+};
+function evaluatePennyClipper(market, spotBuffer, polyBuffer, book, cfg = exports.DEFAULT_PENNY_CLIPPER) {
+    if (!book)
+        return null;
+    if (book.spread > cfg.maxSpread)
+        return null;
+    // Check both sides for price-zone candidates
+    const candidates = [];
+    if (market.upPrice >= cfg.priceMin && market.upPrice <= cfg.priceMax) {
+        candidates.push({ dir: 'up', tokenId: market.upTokenId, price: market.upPrice });
+    }
+    if (market.downPrice >= cfg.priceMin && market.downPrice <= cfg.priceMax) {
+        candidates.push({ dir: 'down', tokenId: market.downTokenId, price: market.downPrice });
+    }
+    if (candidates.length === 0)
+        return null;
+    // Check oscillation in poly price buffer
+    const oscRange = polyBuffer.range(cfg.oscWindowSec);
+    if (oscRange < cfg.minOscRange)
+        return null;
+    const reversals = polyBuffer.reversals(cfg.oscWindowSec, cfg.reversalMinStep);
+    if (reversals < cfg.minReversals)
+        return null;
+    // Pick the candidate with the best discount below mean
+    const mean = polyBuffer.mean(cfg.oscWindowSec);
+    let best = null;
+    let bestDiscount = 0;
+    for (const c of candidates) {
+        const discount = mean - c.price;
+        if (discount >= cfg.entryDiscount && discount > bestDiscount) {
+            best = c;
+            bestDiscount = discount;
+        }
+    }
+    if (!best)
+        return null;
+    // Confirm: spot should be moving in our direction recently
+    const spotMoveRecent = spotBuffer.movePct(cfg.confirmWindowSec);
+    const spotConfirms = best.dir === 'up' ? spotMoveRecent > 0 : spotMoveRecent < 0;
+    if (!spotConfirms)
+        return null;
+    const confidence = Math.min(1, (reversals / 5) * (oscRange / 0.05));
+    return {
+        strategy: 'penny_clipper',
+        asset: market.asset,
+        direction: best.dir,
+        tokenId: best.tokenId,
+        conditionId: market.conditionId,
+        price: best.price,
+        confidence,
+        reason: `${best.dir.toUpperCase()} at ${best.price.toFixed(2)}, ${reversals} reversals, ${(oscRange * 100).toFixed(0)}c range, ${(bestDiscount * 100).toFixed(0)}c below mean`,
+        orderMode: 'maker', // Post at best bid, 0% fee — this IS the edge
+        features: {
+            oscRange,
+            reversals,
+            discount: bestDiscount,
+            mean,
+            spotMoveRecent,
+            spread: book.spread,
+            obi: book.obi,
+            price: best.price,
+        },
+        timestamp: Date.now(),
+    };
+}
+exports.DEFAULT_EXPIRY_FADE = {
+    windowSec: 300,
+    minSecLeft: 60,
+    minSkewFromMid: 0.15,
+    maxRecentSpotMovePct: 0.06,
+    maxSpreadPct: 2.5,
+};
+function evaluateExpiryFade(market, spotMovePct, book, cfg = exports.DEFAULT_EXPIRY_FADE) {
+    const secsToExpiry = (market.expiresAt - Date.now()) / 1000;
+    if (secsToExpiry > cfg.windowSec || secsToExpiry < cfg.minSecLeft)
+        return null;
+    if (Math.abs(spotMovePct) > cfg.maxRecentSpotMovePct)
+        return null;
+    if (book && book.spreadPct > cfg.maxSpreadPct)
+        return null;
+    const upSkew = Math.abs(market.upPrice - 0.50);
+    const downSkew = Math.abs(market.downPrice - 0.50);
+    const maxSkew = Math.max(upSkew, downSkew);
+    if (maxSkew < cfg.minSkewFromMid)
+        return null;
+    // Buy the cheap (underpriced) side
+    let direction;
+    let tokenId;
+    let price;
+    if (market.upPrice < market.downPrice) {
+        direction = 'up';
+        tokenId = market.upTokenId;
+        price = market.upPrice;
+    }
+    else {
+        direction = 'down';
+        tokenId = market.downTokenId;
+        price = market.downPrice;
+    }
+    const minsLeft = (secsToExpiry / 60).toFixed(1);
+    const confidence = Math.min(1, maxSkew * 3);
+    return {
+        strategy: 'expiry_fade',
+        asset: market.asset,
+        direction,
+        tokenId,
+        conditionId: market.conditionId,
+        price,
+        confidence,
+        reason: `${minsLeft}min left, ${direction.toUpperCase()} at ${price.toFixed(2)}, skew ${(maxSkew * 100).toFixed(0)}c`,
+        orderMode: 'taker', // Speed — limited time to get filled
+        features: {
+            secsToExpiry,
+            skew: maxSkew,
+            spotMovePct,
+            obi: book?.obi ?? 0,
+            spread: book?.spreadPct ?? 0,
+            price,
+        },
+        timestamp: Date.now(),
+    };
+}
+//# sourceMappingURL=strategies.js.map

package/dist/strategies/crypto-hft/strategies.js.map

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package/dist/strategies/crypto-hft/types.d.ts

@@ -0,0 +1,196 @@
+/**
+ * Crypto HFT — Types for 15-minute Polymarket crypto market trading
+ *
+ * Ported from firstorder.rs with all real thresholds and execution patterns.
+ */
+/** How to execute an entry or exit order */
+export type OrderMode = 'maker' | 'taker' | 'fok' | 'maker_then_taker';
+export interface OrderExecution {
+    mode: OrderMode;
+    /** Maker timeout before escalating to taker (ms). Only for maker_then_taker. */
+    makerTimeoutMs: number;
+    /** Price buffer for taker orders: +/- this many cents (default 0.01) */
+    takerBufferCents: number;
+    /** For maker exits: buffer below ask to post in spread */
+    makerExitBufferCents: number;
+}
+/** fee_per_share = 0.125 * (price * (1 - price))^2 */
+export declare function takerFee(price: number): number;
+export declare function takerFeePct(price: number): number;
+export interface CryptoHftConfig {
+    /** Assets to trade */
+    assets: string[];
+    sizeUsd: number;
+    /** Min shares to survive taker fee round-trip */
+    minShares: number;
+    maxShares: number;
+    maxPositionUsd: number;
+    maxPositions: number;
+    roundDurationSec: number;
+    /** Don't enter if fewer than this many seconds left */
+    minTimeLeftSec: number;
+    /** Don't enter in the first N seconds (spreads unstable) */
+    minRoundAgeSec: number;
+    /** Force exit at this many seconds before expiry */
+    forceExitSec: number;
+    /** Warmup: don't trade for N seconds after engine start */
+    warmupSec: number;
+    entryOrder: OrderExecution;
+    /** Max orderbook staleness before skipping entry (ms) */
+    maxOrderbookStaleMs: number;
+    exitOrder: OrderExecution;
+    /** Use maker exits only for TP and TIME exits (not SL — speed matters) */
+    makerExitsForTpOnly: boolean;
+    /** Cooldown between sell attempts (ms) */
+    sellCooldownMs: number;
+    /** Share buffer subtracted from exit size for rounding (e.g. 0.02) */
+    exitShareBuffer: number;
+    takeProfitPct: number;
+    stopLossPct: number;
+    ratchetEnabled: boolean;
+    /** Number of consecutive ticks near high to confirm HWM */
+    ratchetConfirmTicks: number;
+    /** Tolerance % for HWM confirmation (within this % of high = "near") */
+    ratchetConfirmTolerancePct: number;
+    trailingEnabled: boolean;
+    trailingLatePct: number;
+    trailingMidPct: number;
+    trailingWidePct: number;
+    /** Exit if up >= this % and bid unchanged for staleSeconds */
+    staleProfitPct: number;
+    staleProfitBidUnchangedSec: number;
+    /** Exit if at +N% for M seconds without progress */
+    stagnantProfitPct: number;
+    stagnantDurationSec: number;
+    /** Exit on depth collapse: depth dropped this % while price dropping */
+    depthCollapseThresholdPct: number;
+    maxDailyLossUsd: number;
+    /** Cooldown after stop loss hit (seconds) */
+    stopLossCooldownSec: number;
+    /** Cooldown after any exit before re-entering same coin+direction (seconds) */
+    exitCooldownSec: number;
+    negRisk: boolean;
+    dryRun: boolean;
+}
+export interface OrderbookSnapshot {
+    tokenId: string;
+    bids: Array<[number, number]>;
+    asks: Array<[number, number]>;
+    bidDepth: number;
+    askDepth: number;
+    obi: number;
+    spread: number;
+    spreadPct: number;
+    bestBid: number;
+    bestAsk: number;
+    midPrice: number;
+    timestamp: number;
+}
+export type ObiCategory = 'bid_heavy' | 'bid_lean' | 'balanced' | 'ask_lean' | 'ask_heavy';
+export declare function categorizeObi(obi: number): ObiCategory;
+export interface CryptoMarket {
+    asset: string;
+    conditionId: string;
+    questionId: string;
+    upTokenId: string;
+    downTokenId: string;
+    upPrice: number;
+    downPrice: number;
+    expiresAt: number;
+    /** Current round slot (expiresAt / roundDuration) */
+    roundSlot: number;
+    negRisk: boolean;
+    question: string;
+}
+export interface RoundState {
+    slot: number;
+    expiresAt: number;
+    markets: CryptoMarket[];
+    /** Seconds since round started */
+    ageSec: number;
+    /** Seconds until round expires */
+    timeLeftSec: number;
+}
+export type SignalDirection = 'up' | 'down';
+export interface TradeSignal {
+    strategy: string;
+    asset: string;
+    direction: SignalDirection;
+    tokenId: string;
+    conditionId: string;
+    price: number;
+    confidence: number;
+    reason: string;
+    /** Which order mode this strategy recommends */
+    orderMode: OrderMode;
+    /** Features that triggered the signal (for logging/analysis) */
+    features: Record<string, number>;
+    timestamp: number;
+}
+export interface OpenPosition {
+    id: string;
+    strategy: string;
+    asset: string;
+    direction: SignalDirection;
+    tokenId: string;
+    conditionId: string;
+    entryPrice: number;
+    currentPrice: number;
+    shares: number;
+    costUsd: number;
+    wasMakerEntry: boolean;
+    entryFeePct: number;
+    highWaterMark: number;
+    /** Consecutive ticks near HWM for confirmation */
+    hwmConfirmCount: number;
+    confirmedHigh: number;
+    enteredAt: number;
+    expiresAt: number;
+    lastBidPrice: number;
+    bidUnchangedSince: number;
+    lastProgressAt: number;
+    lastProgressPct: number;
+    initialDepth: number;
+    highPnlPct: number;
+    lowPnlPct: number;
+    wasEverPositive: boolean;
+}
+export type ExitReason = 'take_profit' | 'stop_loss' | 'ratchet_floor' | 'trailing_stop' | 'depth_collapse' | 'stale_profit' | 'stagnant_profit' | 'time_exit' | 'force_exit' | 'manual';
+export interface ClosedPosition extends OpenPosition {
+    exitPrice: number;
+    exitReason: ExitReason;
+    exitedAt: number;
+    wasMakerExit: boolean;
+    exitFeePct: number;
+    pnlUsd: number;
+    pnlPct: number;
+    /** Net PnL after fees */
+    netPnlUsd: number;
+    netPnlPct: number;
+    holdTimeSec: number;
+}
+export interface HftStats {
+    totalTrades: number;
+    wins: number;
+    losses: number;
+    winRate: number;
+    grossPnlUsd: number;
+    feesUsd: number;
+    netPnlUsd: number;
+    dailyPnlUsd: number;
+    openPositions: number;
+    bestTradePct: number;
+    worstTradePct: number;
+    avgHoldTimeSec: number;
+    makerEntryRate: number;
+    makerExitRate: number;
+    exitReasons: Record<string, number>;
+}
+export interface StrategyPreset {
+    name: string;
+    description: string;
+    config: Partial<CryptoHftConfig>;
+    /** Which strategies to enable */
+    strategies: Record<string, boolean>;
+    createdAt: number;
+}

package/dist/strategies/crypto-hft/types.js

@@ -0,0 +1,32 @@
+"use strict";
+/**
+ * Crypto HFT — Types for 15-minute Polymarket crypto market trading
+ *
+ * Ported from firstorder.rs with all real thresholds and execution patterns.
+ */
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.takerFee = takerFee;
+exports.takerFeePct = takerFeePct;
+exports.categorizeObi = categorizeObi;
+// ── Taker Fee (Polymarket formula) ──────────────────────────────────────────
+/** fee_per_share = 0.125 * (price * (1 - price))^2 */
+function takerFee(price) {
+    return 0.125 * Math.pow(price * (1 - price), 2);
+}
+function takerFeePct(price) {
+    if (price === 0)
+        return 0;
+    return (takerFee(price) / price) * 100;
+}
+function categorizeObi(obi) {
+    if (obi > 0.3)
+        return 'bid_heavy';
+    if (obi > 0)
+        return 'bid_lean';
+    if (obi > -0.3)
+        return 'balanced';
+    if (obi > -0.6)
+        return 'ask_lean';
+    return 'ask_heavy';
+}
+//# sourceMappingURL=types.js.map

package/dist/strategies/crypto-hft/types.js.map

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