clodds 1.1.0

package/dist/trading/index.js

@@ -0,0 +1,310 @@
+"use strict";
+/**
+ * Trading Module - Complete trading infrastructure
+ *
+ * Features:
+ * - Auto-logging all trades to SQLite database
+ * - Execution service (Polymarket, Kalshi)
+ * - Trading bot framework with built-in strategies
+ * - Risk management
+ * - Performance tracking and analytics
+ *
+ * Usage:
+ * ```typescript
+ * import { createTradingSystem } from './trading';
+ *
+ * const trading = createTradingSystem(db, config);
+ *
+ * // Execute trades (auto-logged)
+ * await trading.execution.buyLimit({ platform: 'polymarket', tokenId: '...', price: 0.5, size: 100 });
+ *
+ * // Register and run bots
+ * trading.bots.registerStrategy(createMeanReversionStrategy());
+ * await trading.bots.startBot('mean-reversion');
+ *
+ * // View stats
+ * const stats = trading.logger.getStats();
+ * ```
+ */
+var __createBinding = (this && this.__createBinding) || (Object.create ? (function(o, m, k, k2) {
+    if (k2 === undefined) k2 = k;
+    var desc = Object.getOwnPropertyDescriptor(m, k);
+    if (!desc || ("get" in desc ? !m.__esModule : desc.writable || desc.configurable)) {
+      desc = { enumerable: true, get: function() { return m[k]; } };
+    }
+    Object.defineProperty(o, k2, desc);
+}) : (function(o, m, k, k2) {
+    if (k2 === undefined) k2 = k;
+    o[k2] = m[k];
+}));
+var __exportStar = (this && this.__exportStar) || function(m, exports) {
+    for (var p in m) if (p !== "default" && !Object.prototype.hasOwnProperty.call(exports, p)) __createBinding(exports, m, p);
+};
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.createArbitrageStrategy = exports.createMomentumStrategy = exports.createMeanReversionStrategy = exports.createPositionCloseCallback = exports.createPositionBridge = exports.createTradingOrchestrator = exports.createDivergenceAdapter = exports.createCryptoHftAdapter = exports.createTradingBridge = exports.createBacktestEngine = exports.createExecutionService = void 0;
+exports.createTradingSystem = createTradingSystem;
+const eventemitter3_1 = require("eventemitter3");
+const logger_1 = require("../utils/logger");
+// Re-export sub-modules (avoiding duplicate exports)
+__exportStar(require("./logger"), exports);
+__exportStar(require("./bots/index"), exports);
+var index_1 = require("../execution/index");
+Object.defineProperty(exports, "createExecutionService", { enumerable: true, get: function () { return index_1.createExecutionService; } });
+__exportStar(require("./risk"), exports);
+__exportStar(require("./state"), exports);
+__exportStar(require("./stream"), exports);
+__exportStar(require("./builder"), exports);
+__exportStar(require("./accounts"), exports);
+__exportStar(require("./safety"), exports);
+__exportStar(require("./resilience"), exports);
+__exportStar(require("./secrets"), exports);
+var backtest_1 = require("./backtest");
+Object.defineProperty(exports, "createBacktestEngine", { enumerable: true, get: function () { return backtest_1.createBacktestEngine; } });
+__exportStar(require("./tracking"), exports);
+__exportStar(require("./devtools"), exports);
+__exportStar(require("./copy-trading"), exports);
+__exportStar(require("./kelly"), exports);
+__exportStar(require("./ml-signals"), exports);
+__exportStar(require("./market-making/index"), exports);
+var bridge_1 = require("./bridge");
+Object.defineProperty(exports, "createTradingBridge", { enumerable: true, get: function () { return bridge_1.createTradingBridge; } });
+var index_2 = require("./adapters/index");
+Object.defineProperty(exports, "createCryptoHftAdapter", { enumerable: true, get: function () { return index_2.createCryptoHftAdapter; } });
+Object.defineProperty(exports, "createDivergenceAdapter", { enumerable: true, get: function () { return index_2.createDivergenceAdapter; } });
+var orchestrator_1 = require("./orchestrator");
+Object.defineProperty(exports, "createTradingOrchestrator", { enumerable: true, get: function () { return orchestrator_1.createTradingOrchestrator; } });
+var position_bridge_1 = require("./position-bridge");
+Object.defineProperty(exports, "createPositionBridge", { enumerable: true, get: function () { return position_bridge_1.createPositionBridge; } });
+Object.defineProperty(exports, "createPositionCloseCallback", { enumerable: true, get: function () { return position_bridge_1.createPositionCloseCallback; } });
+const logger_2 = require("./logger");
+const index_3 = require("./bots/index");
+Object.defineProperty(exports, "createMeanReversionStrategy", { enumerable: true, get: function () { return index_3.createMeanReversionStrategy; } });
+Object.defineProperty(exports, "createMomentumStrategy", { enumerable: true, get: function () { return index_3.createMomentumStrategy; } });
+Object.defineProperty(exports, "createArbitrageStrategy", { enumerable: true, get: function () { return index_3.createArbitrageStrategy; } });
+const index_4 = require("../execution/index");
+// =============================================================================
+// IMPLEMENTATION
+// =============================================================================
+function createTradingSystem(db, config = {}) {
+    const emitter = new eventemitter3_1.EventEmitter();
+    // Create trade logger
+    const tradeLogger = (0, logger_2.createTradeLogger)(db);
+    // Create raw execution service
+    const rawExecution = config.execution
+        ? (0, index_4.createExecutionService)(config.execution)
+        : (0, index_4.createExecutionService)({ dryRun: true });
+    // Wrap execution with auto-logging
+    const execution = wrapExecutionWithLogging(rawExecution, tradeLogger, config.autoLog !== false);
+    // Create bot manager with execute handler
+    const botManagerConfig = {
+        defaultIntervalMs: config.botIntervalMs || 60000,
+        executeOrder: async (signal, strategyId) => {
+            const strategy = emitter.bots.getStrategies().find((s) => s.id === strategyId);
+            const strategyName = strategy?.name || strategyId;
+            // Convert signal to order request
+            const orderRequest = {
+                platform: signal.platform,
+                marketId: signal.marketId,
+                tokenId: signal.meta?.tokenId,
+                outcome: signal.outcome,
+                side: signal.type === 'buy' ? 'buy' : 'sell',
+                price: signal.price || 0.5,
+                size: signal.size || signal.sizePct
+                    ? Math.floor((config.portfolioValue || 10000) * (signal.sizePct || 5) / 100 / (signal.price || 0.5))
+                    : 100,
+                orderType: signal.price ? 'GTC' : 'FOK',
+            };
+            const result = signal.type === 'buy'
+                ? await execution.buyLimit(orderRequest)
+                : await execution.sellLimit(orderRequest);
+            if (result.success) {
+                // Trade is already logged by wrapped execution
+                // Just return the logged trade
+                const trades = tradeLogger.getTrades({ limit: 1 });
+                return trades[0] || null;
+            }
+            return null;
+        },
+        getPortfolio: async () => {
+            const portfolio = await emitter.getPortfolio();
+            return {
+                value: portfolio.value,
+                balance: portfolio.balance,
+                positions: portfolio.positions.map((p) => ({
+                    platform: p.platform,
+                    marketId: p.marketId,
+                    outcome: p.outcome,
+                    shares: p.shares,
+                    avgPrice: p.avgPrice,
+                    currentPrice: p.currentPrice,
+                })),
+            };
+        },
+    };
+    const bots = (0, index_3.createBotManager)(db, botManagerConfig);
+    // Forward events
+    tradeLogger.on('trade', (trade) => emitter.emit('trade', trade));
+    tradeLogger.on('tradeFilled', (trade) => emitter.emit('tradeFilled', trade));
+    tradeLogger.on('tradeCancelled', (trade) => emitter.emit('tradeCancelled', trade));
+    bots.on('signals', (data) => emitter.emit('signals', data));
+    bots.on('botStarted', (id) => emitter.emit('botStarted', id));
+    bots.on('botStopped', (id) => emitter.emit('botStopped', id));
+    // Attach components
+    Object.assign(emitter, {
+        logger: tradeLogger,
+        execution,
+        bots,
+        async getPortfolio() {
+            // Get positions from recent trades
+            const positions = new Map();
+            const trades = tradeLogger.getTrades({ status: 'filled' });
+            for (const trade of trades) {
+                const key = `${trade.platform}:${trade.marketId}:${trade.outcome}`;
+                const pos = positions.get(key) || {
+                    platform: trade.platform,
+                    marketId: trade.marketId,
+                    outcome: trade.outcome,
+                    shares: 0,
+                    totalCost: 0,
+                    avgPrice: 0,
+                };
+                if (trade.side === 'buy') {
+                    pos.shares += trade.filled;
+                    pos.totalCost += trade.cost;
+                }
+                else {
+                    pos.shares -= trade.filled;
+                    pos.totalCost -= trade.filled * pos.avgPrice;
+                }
+                if (pos.shares > 0) {
+                    pos.avgPrice = pos.totalCost / pos.shares;
+                    positions.set(key, pos);
+                }
+                else {
+                    positions.delete(key);
+                }
+            }
+            // Calculate portfolio value (simplified - would need current prices)
+            const openPositions = Array.from(positions.values())
+                .filter((p) => p.shares > 0)
+                .map((p) => ({
+                ...p,
+                currentPrice: p.avgPrice, // Would need to fetch current price
+                pnl: 0,
+                pnlPct: 0,
+            }));
+            const positionsValue = openPositions.reduce((sum, p) => sum + p.shares * p.currentPrice, 0);
+            return {
+                value: (config.portfolioValue || 10000) + positionsValue,
+                balance: (config.portfolioValue || 10000) - positionsValue,
+                positions: openPositions,
+            };
+        },
+        getStats(filter) {
+            return tradeLogger.getStats(filter);
+        },
+        getDailyPnL(days = 30) {
+            return tradeLogger.getDailyPnL(days);
+        },
+        exportTrades(filter) {
+            return tradeLogger.exportCsv(filter);
+        },
+        async shutdown() {
+            const statuses = bots.getAllBotStatuses();
+            for (const status of statuses) {
+                if (status.status === 'running' || status.status === 'paused') {
+                    await bots.stopBot(status.id);
+                }
+            }
+            logger_1.logger.info('Trading system shutdown complete');
+        },
+    });
+    logger_1.logger.info('Trading system initialized');
+    return emitter;
+}
+// =============================================================================
+// EXECUTION WRAPPER WITH AUTO-LOGGING
+// =============================================================================
+function wrapExecutionWithLogging(execution, tradeLogger, autoLog) {
+    if (!autoLog)
+        return execution;
+    const wrapMethod = (method, side, orderType) => {
+        return (async (...args) => {
+            const request = args[0];
+            const result = await method.apply(execution, args);
+            // Log the trade
+            if (result.success || result.orderId) {
+                tradeLogger.logTrade({
+                    platform: request.platform,
+                    marketId: request.marketId,
+                    outcome: request.outcome || request.tokenId || 'unknown',
+                    side,
+                    orderType,
+                    price: request.price || 0.5,
+                    size: request.size,
+                    filled: result.filledSize || 0,
+                    cost: (request.price || 0.5) * request.size,
+                    orderId: result.orderId,
+                    status: result.status === 'filled' ? 'filled'
+                        : result.status === 'open' ? 'pending'
+                            : result.status === 'cancelled' ? 'cancelled'
+                                : result.status === 'expired' || result.status === 'rejected' ? 'failed'
+                                    : 'pending',
+                    meta: {
+                        transactionHash: result.transactionHash,
+                        avgFillPrice: result.avgFillPrice,
+                    },
+                });
+            }
+            return result;
+        });
+    };
+    return {
+        buyLimit: wrapMethod(execution.buyLimit.bind(execution), 'buy', 'limit'),
+        sellLimit: wrapMethod(execution.sellLimit.bind(execution), 'sell', 'limit'),
+        marketBuy: wrapMethod(execution.marketBuy.bind(execution), 'buy', 'market'),
+        marketSell: wrapMethod(execution.marketSell.bind(execution), 'sell', 'market'),
+        makerBuy: wrapMethod(execution.makerBuy.bind(execution), 'buy', 'maker'),
+        makerSell: wrapMethod(execution.makerSell.bind(execution), 'sell', 'maker'),
+        cancelOrder: execution.cancelOrder.bind(execution),
+        cancelAllOrders: execution.cancelAllOrders.bind(execution),
+        getOpenOrders: execution.getOpenOrders.bind(execution),
+        getOrder: execution.getOrder.bind(execution),
+        estimateFill: execution.estimateFill.bind(execution),
+        protectedBuy: wrapMethod(execution.protectedBuy.bind(execution), 'buy', 'protected'),
+        protectedSell: wrapMethod(execution.protectedSell.bind(execution), 'sell', 'protected'),
+        estimateSlippage: execution.estimateSlippage.bind(execution),
+        placeOrdersBatch: execution.placeOrdersBatch.bind(execution),
+        cancelOrdersBatch: execution.cancelOrdersBatch.bind(execution),
+        // Fill WebSocket methods (pass through directly)
+        connectFillsWebSocket: execution.connectFillsWebSocket.bind(execution),
+        disconnectFillsWebSocket: execution.disconnectFillsWebSocket.bind(execution),
+        isFillsWebSocketConnected: execution.isFillsWebSocketConnected.bind(execution),
+        onFill: execution.onFill.bind(execution),
+        onOrder: execution.onOrder.bind(execution),
+        getTrackedFills: execution.getTrackedFills.bind(execution),
+        getTrackedFill: execution.getTrackedFill.bind(execution),
+        clearOldFills: execution.clearOldFills.bind(execution),
+        waitForFill: execution.waitForFill.bind(execution),
+        // Heartbeat methods (Polymarket - orders cancelled if no heartbeat)
+        startHeartbeat: execution.startHeartbeat.bind(execution),
+        sendHeartbeat: execution.sendHeartbeat.bind(execution),
+        stopHeartbeat: execution.stopHeartbeat.bind(execution),
+        isHeartbeatActive: execution.isHeartbeatActive.bind(execution),
+        // Settlement methods (Polymarket)
+        getPendingSettlements: execution.getPendingSettlements.bind(execution),
+        // Collateral approval methods (Polymarket)
+        approveUSDC: execution.approveUSDC.bind(execution),
+        getUSDCAllowance: execution.getUSDCAllowance.bind(execution),
+        // Batch orderbook fetching
+        getOrderbooksBatch: execution.getOrderbooksBatch.bind(execution),
+        // Circuit breaker integration
+        setCircuitBreaker: execution.setCircuitBreaker.bind(execution),
+        getCircuitBreakerState: execution.getCircuitBreakerState.bind(execution),
+    };
+}
+// Re-export types (only those not already exported via export *)
+// Note: Trade, TradeFilter, TradeStats, TradeLogger are from ./logger
+// Strategy, StrategyConfig, Signal, BotManager are from ./bots/index
+// OpenOrder, OrderRequest, OrderResult are from ../execution/index (explicitly exported above)
+//# sourceMappingURL=index.js.map

package/dist/trading/index.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"index.js","sourceRoot":"","sources":["../../src/trading/index.ts"],"names":[],"mappings":";AAAA;;;;;;;;;;;;;;;;;;;;;;;;;;GA0BG;;;;;;;;;;;;;;;;;AAoIH,kDAqKC;AAvSD,iDAA6C;AAE7C,4CAAyC;AAGzC,qDAAqD;AACrD,2CAAyB;AACzB,+CAA6B;AAC7B,4CAO4B;AAN1B,+GAAA,sBAAsB,OAAA;AAOxB,yCAAuB;AACvB,0CAAwB;AACxB,2CAAyB;AACzB,4CAA0B;AAC1B,6CAA2B;AAC3B,2CAAyB;AACzB,+CAA6B;AAC7B,4CAA0B;AAC1B,uCAOoB;AANlB,gHAAA,oBAAoB,OAAA;AAOtB,6CAA2B;AAC3B,6CAA2B;AAC3B,iDAA+B;AAC/B,0CAAwB;AACxB,+CAA6B;AAC7B,wDAAsC;AACtC,mCAA2F;AAAlF,6GAAA,mBAAmB,OAAA;AAC5B,0CAAmF;AAA1E,+GAAA,sBAAsB,OAAA;AAAE,gHAAA,uBAAuB,OAAA;AACxD,+CAAsI;AAA7H,yHAAA,yBAAyB,OAAA;AAClC,qDAA+J;AAAtJ,uHAAA,oBAAoB,OAAA;AAAE,8HAAA,2BAA2B,OAAA;AAE1D,qCAMkB;AAElB,wCAUsB;AA+UpB,4GAlVA,mCAA2B,OAkVA;AAC3B,uGAlVA,8BAAsB,OAkVA;AACtB,wGAlVA,+BAAuB,OAkVA;AA/UzB,8CAO4B;AAwD5B,gFAAgF;AAChF,iBAAiB;AACjB,gFAAgF;AAEhF,SAAgB,mBAAmB,CAAC,EAAY,EAAE,SAA8B,EAAE;IAChF,MAAM,OAAO,GAAG,IAAI,4BAAY,EAAmB,CAAC;IAEpD,sBAAsB;IACtB,MAAM,WAAW,GAAG,IAAA,0BAAiB,EAAC,EAAE,CAAC,CAAC;IAE1C,+BAA+B;IAC/B,MAAM,YAAY,GAAG,MAAM,CAAC,SAAS;QACnC,CAAC,CAAC,IAAA,8BAAsB,EAAC,MAAM,CAAC,SAAS,CAAC;QAC1C,CAAC,CAAC,IAAA,8BAAsB,EAAC,EAAE,MAAM,EAAE,IAAI,EAAE,CAAC,CAAC;IAE7C,mCAAmC;IACnC,MAAM,SAAS,GAAG,wBAAwB,CAAC,YAAY,EAAE,WAAW,EAAE,MAAM,CAAC,OAAO,KAAK,KAAK,CAAC,CAAC;IAEhG,0CAA0C;IAC1C,MAAM,gBAAgB,GAAqB;QACzC,iBAAiB,EAAE,MAAM,CAAC,aAAa,IAAI,KAAK;QAChD,YAAY,EAAE,KAAK,EAAE,MAAM,EAAE,UAAU,EAAE,EAAE;YACzC,MAAM,QAAQ,GAAG,OAAO,CAAC,IAAI,CAAC,aAAa,EAAE,CAAC,IAAI,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,CAAC,CAAC,EAAE,KAAK,UAAU,CAAC,CAAC;YAC/E,MAAM,YAAY,GAAG,QAAQ,EAAE,IAAI,IAAI,UAAU,CAAC;YAElD,kCAAkC;YAClC,MAAM,YAAY,GAAiB;gBACjC,QAAQ,EAAE,MAAM,CAAC,QAAmC;gBACpD,QAAQ,EAAE,MAAM,CAAC,QAAQ;gBACzB,OAAO,EAAE,MAAM,CAAC,IAAI,EAAE,OAAiB;gBACvC,OAAO,EAAE,MAAM,CAAC,OAAO;gBACvB,IAAI,EAAE,MAAM,CAAC,IAAI,KAAK,KAAK,CAAC,CAAC,CAAC,KAAK,CAAC,CAAC,CAAC,MAAM;gBAC5C,KAAK,EAAE,MAAM,CAAC,KAAK,IAAI,GAAG;gBAC1B,IAAI,EAAE,MAAM,CAAC,IAAI,IAAI,MAAM,CAAC,OAAO;oBACjC,CAAC,CAAC,IAAI,CAAC,KAAK,CAAC,CAAC,MAAM,CAAC,cAAc,IAAI,KAAK,CAAC,GAAG,CAAC,MAAM,CAAC,OAAO,IAAI,CAAC,CAAC,GAAG,GAAG,GAAG,CAAC,MAAM,CAAC,KAAK,IAAI,GAAG,CAAC,CAAC;oBACpG,CAAC,CAAC,GAAG;gBACP,SAAS,EAAE,MAAM,CAAC,KAAK,CAAC,CAAC,CAAC,KAAK,CAAC,CAAC,CAAC,KAAK;aACxC,CAAC;YAEF,MAAM,MAAM,GAAG,MAAM,CAAC,IAAI,KAAK,KAAK;gBAClC,CAAC,CAAC,MAAM,SAAS,CAAC,QAAQ,CAAC,YAAY,CAAC;gBACxC,CAAC,CAAC,MAAM,SAAS,CAAC,SAAS,CAAC,YAAY,CAAC,CAAC;YAE5C,IAAI,MAAM,CAAC,OAAO,EAAE,CAAC;gBACnB,+CAA+C;gBAC/C,+BAA+B;gBAC/B,MAAM,MAAM,GAAG,WAAW,CAAC,SAAS,CAAC,EAAE,KAAK,EAAE,CAAC,EAAE,CAAC,CAAC;gBACnD,OAAO,MAAM,CAAC,CAAC,CAAC,IAAI,IAAI,CAAC;YAC3B,CAAC;YAED,OAAO,IAAI,CAAC;QACd,CAAC;QACD,YAAY,EAAE,KAAK,IAAI,EAAE;YACvB,MAAM,SAAS,GAAG,MAAM,OAAO,CAAC,YAAY,EAAE,CAAC;YAC/C,OAAO;gBACL,KAAK,EAAE,SAAS,CAAC,KAAK;gBACtB,OAAO,EAAE,SAAS,CAAC,OAAO;gBAC1B,SAAS,EAAE,SAAS,CAAC,SAAS,CAAC,GAAG,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,CAAC;oBACzC,QAAQ,EAAE,CAAC,CAAC,QAAQ;oBACpB,QAAQ,EAAE,CAAC,CAAC,QAAQ;oBACpB,OAAO,EAAE,CAAC,CAAC,OAAO;oBAClB,MAAM,EAAE,CAAC,CAAC,MAAM;oBAChB,QAAQ,EAAE,CAAC,CAAC,QAAQ;oBACpB,YAAY,EAAE,CAAC,CAAC,YAAY;iBAC7B,CAAC,CAAC;aACJ,CAAC;QACJ,CAAC;KACF,CAAC;IAEF,MAAM,IAAI,GAAG,IAAA,wBAAgB,EAAC,EAAE,EAAE,gBAAgB,CAAC,CAAC;IAEpD,iBAAiB;IACjB,WAAW,CAAC,EAAE,CAAC,OAAO,EAAE,CAAC,KAAK,EAAE,EAAE,CAAC,OAAO,CAAC,IAAI,CAAC,OAAO,EAAE,KAAK,CAAC,CAAC,CAAC;IACjE,WAAW,CAAC,EAAE,CAAC,aAAa,EAAE,CAAC,KAAK,EAAE,EAAE,CAAC,OAAO,CAAC,IAAI,CAAC,aAAa,EAAE,KAAK,CAAC,CAAC,CAAC;IAC7E,WAAW,CAAC,EAAE,CAAC,gBAAgB,EAAE,CAAC,KAAK,EAAE,EAAE,CAAC,OAAO,CAAC,IAAI,CAAC,gBAAgB,EAAE,KAAK,CAAC,CAAC,CAAC;IACnF,IAAI,CAAC,EAAE,CAAC,SAAS,EAAE,CAAC,IAAI,EAAE,EAAE,CAAC,OAAO,CAAC,IAAI,CAAC,SAAS,EAAE,IAAI,CAAC,CAAC,CAAC;IAC5D,IAAI,CAAC,EAAE,CAAC,YAAY,EAAE,CAAC,EAAE,EAAE,EAAE,CAAC,OAAO,CAAC,IAAI,CAAC,YAAY,EAAE,EAAE,CAAC,CAAC,CAAC;IAC9D,IAAI,CAAC,EAAE,CAAC,YAAY,EAAE,CAAC,EAAE,EAAE,EAAE,CAAC,OAAO,CAAC,IAAI,CAAC,YAAY,EAAE,EAAE,CAAC,CAAC,CAAC;IAE9D,oBAAoB;IACpB,MAAM,CAAC,MAAM,CAAC,OAAO,EAAE;QACrB,MAAM,EAAE,WAAW;QACnB,SAAS;QACT,IAAI;QAEJ,KAAK,CAAC,YAAY;YAChB,mCAAmC;YACnC,MAAM,SAAS,GAAG,IAAI,GAAG,EAOrB,CAAC;YAEL,MAAM,MAAM,GAAG,WAAW,CAAC,SAAS,CAAC,EAAE,MAAM,EAAE,QAAQ,EAAE,CAAC,CAAC;YAE3D,KAAK,MAAM,KAAK,IAAI,MAAM,EAAE,CAAC;gBAC3B,MAAM,GAAG,GAAG,GAAG,KAAK,CAAC,QAAQ,IAAI,KAAK,CAAC,QAAQ,IAAI,KAAK,CAAC,OAAO,EAAE,CAAC;gBACnE,MAAM,GAAG,GAAG,SAAS,CAAC,GAAG,CAAC,GAAG,CAAC,IAAI;oBAChC,QAAQ,EAAE,KAAK,CAAC,QAAQ;oBACxB,QAAQ,EAAE,KAAK,CAAC,QAAQ;oBACxB,OAAO,EAAE,KAAK,CAAC,OAAO;oBACtB,MAAM,EAAE,CAAC;oBACT,SAAS,EAAE,CAAC;oBACZ,QAAQ,EAAE,CAAC;iBACZ,CAAC;gBAEF,IAAI,KAAK,CAAC,IAAI,KAAK,KAAK,EAAE,CAAC;oBACzB,GAAG,CAAC,MAAM,IAAI,KAAK,CAAC,MAAM,CAAC;oBAC3B,GAAG,CAAC,SAAS,IAAI,KAAK,CAAC,IAAI,CAAC;gBAC9B,CAAC;qBAAM,CAAC;oBACN,GAAG,CAAC,MAAM,IAAI,KAAK,CAAC,MAAM,CAAC;oBAC3B,GAAG,CAAC,SAAS,IAAI,KAAK,CAAC,MAAM,GAAG,GAAG,CAAC,QAAQ,CAAC;gBAC/C,CAAC;gBAED,IAAI,GAAG,CAAC,MAAM,GAAG,CAAC,EAAE,CAAC;oBACnB,GAAG,CAAC,QAAQ,GAAG,GAAG,CAAC,SAAS,GAAG,GAAG,CAAC,MAAM,CAAC;oBAC1C,SAAS,CAAC,GAAG,CAAC,GAAG,EAAE,GAAG,CAAC,CAAC;gBAC1B,CAAC;qBAAM,CAAC;oBACN,SAAS,CAAC,MAAM,CAAC,GAAG,CAAC,CAAC;gBACxB,CAAC;YACH,CAAC;YAED,qEAAqE;YACrE,MAAM,aAAa,GAAG,KAAK,CAAC,IAAI,CAAC,SAAS,CAAC,MAAM,EAAE,CAAC;iBACjD,MAAM,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,CAAC,CAAC,MAAM,GAAG,CAAC,CAAC;iBAC3B,GAAG,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,CAAC;gBACX,GAAG,CAAC;gBACJ,YAAY,EAAE,CAAC,CAAC,QAAQ,EAAE,oCAAoC;gBAC9D,GAAG,EAAE,CAAC;gBACN,MAAM,EAAE,CAAC;aACV,CAAC,CAAC,CAAC;YAEN,MAAM,cAAc,GAAG,aAAa,CAAC,MAAM,CAAC,CAAC,GAAG,EAAE,CAAC,EAAE,EAAE,CAAC,GAAG,GAAG,CAAC,CAAC,MAAM,GAAG,CAAC,CAAC,YAAY,EAAE,CAAC,CAAC,CAAC;YAE5F,OAAO;gBACL,KAAK,EAAE,CAAC,MAAM,CAAC,cAAc,IAAI,KAAK,CAAC,GAAG,cAAc;gBACxD,OAAO,EAAE,CAAC,MAAM,CAAC,cAAc,IAAI,KAAK,CAAC,GAAG,cAAc;gBAC1D,SAAS,EAAE,aAAa;aACzB,CAAC;QACJ,CAAC;QAED,QAAQ,CAAC,MAAM;YACb,OAAO,WAAW,CAAC,QAAQ,CAAC,MAAM,CAAC,CAAC;QACtC,CAAC;QAED,WAAW,CAAC,IAAI,GAAG,EAAE;YACnB,OAAO,WAAW,CAAC,WAAW,CAAC,IAAI,CAAC,CAAC;QACvC,CAAC;QAED,YAAY,CAAC,MAAM;YACjB,OAAO,WAAW,CAAC,SAAS,CAAC,MAAM,CAAC,CAAC;QACvC,CAAC;QAED,KAAK,CAAC,QAAQ;YACZ,MAAM,QAAQ,GAAG,IAAI,CAAC,iBAAiB,EAAE,CAAC;YAC1C,KAAK,MAAM,MAAM,IAAI,QAAQ,EAAE,CAAC;gBAC9B,IAAI,MAAM,CAAC,MAAM,KAAK,SAAS,IAAI,MAAM,CAAC,MAAM,KAAK,QAAQ,EAAE,CAAC;oBAC9D,MAAM,IAAI,CAAC,OAAO,CAAC,MAAM,CAAC,EAAE,CAAC,CAAC;gBAChC,CAAC;YACH,CAAC;YACD,eAAM,CAAC,IAAI,CAAC,kCAAkC,CAAC,CAAC;QAClD,CAAC;KACwB,CAAC,CAAC;IAE7B,eAAM,CAAC,IAAI,CAAC,4BAA4B,CAAC,CAAC;IAC1C,OAAO,OAAO,CAAC;AACjB,CAAC;AAED,gFAAgF;AAChF,sCAAsC;AACtC,gFAAgF;AAEhF,SAAS,wBAAwB,CAC/B,SAA2B,EAC3B,WAAwB,EACxB,OAAgB;IAEhB,IAAI,CAAC,OAAO;QAAE,OAAO,SAAS,CAAC;IAE/B,MAAM,UAAU,GAAG,CACjB,MAAS,EACT,IAAoB,EACpB,SAAqD,EAClD,EAAE;QACL,OAAO,CAAC,KAAK,EAAE,GAAG,IAAmB,EAAE,EAAE;YACvC,MAAM,OAAO,GAAG,IAAI,CAAC,CAAC,CAAiB,CAAC;YACxC,MAAM,MAAM,GAAG,MAAM,MAAM,CAAC,KAAK,CAAC,SAAS,EAAE,IAAI,CAAC,CAAC;YAEnD,gBAAgB;YAChB,IAAI,MAAM,CAAC,OAAO,IAAI,MAAM,CAAC,OAAO,EAAE,CAAC;gBACrC,WAAW,CAAC,QAAQ,CAAC;oBACnB,QAAQ,EAAE,OAAO,CAAC,QAAQ;oBAC1B,QAAQ,EAAE,OAAO,CAAC,QAAQ;oBAC1B,OAAO,EAAE,OAAO,CAAC,OAAO,IAAI,OAAO,CAAC,OAAO,IAAI,SAAS;oBACxD,IAAI;oBACJ,SAAS;oBACT,KAAK,EAAE,OAAO,CAAC,KAAK,IAAI,GAAG;oBAC3B,IAAI,EAAE,OAAO,CAAC,IAAI;oBAClB,MAAM,EAAE,MAAM,CAAC,UAAU,IAAI,CAAC;oBAC9B,IAAI,EAAE,CAAC,OAAO,CAAC,KAAK,IAAI,GAAG,CAAC,GAAG,OAAO,CAAC,IAAI;oBAC3C,OAAO,EAAE,MAAM,CAAC,OAAO;oBACvB,MAAM,EAAE,MAAM,CAAC,MAAM,KAAK,QAAQ,CAAC,CAAC,CAAC,QAAQ;wBAC3C,CAAC,CAAC,MAAM,CAAC,MAAM,KAAK,MAAM,CAAC,CAAC,CAAC,SAAS;4BACtC,CAAC,CAAC,MAAM,CAAC,MAAM,KAAK,WAAW,CAAC,CAAC,CAAC,WAAW;gCAC7C,CAAC,CAAC,MAAM,CAAC,MAAM,KAAK,SAAS,IAAI,MAAM,CAAC,MAAM,KAAK,UAAU,CAAC,CAAC,CAAC,QAAQ;oCACxE,CAAC,CAAC,SAAS;oBACb,IAAI,EAAE;wBACJ,eAAe,EAAE,MAAM,CAAC,eAAe;wBACvC,YAAY,EAAE,MAAM,CAAC,YAAY;qBAClC;iBACF,CAAC,CAAC;YACL,CAAC;YAED,OAAO,MAAM,CAAC;QAChB,CAAC,CAAM,CAAC;IACV,CAAC,CAAC;IAEF,OAAO;QACL,QAAQ,EAAE,UAAU,CAAC,SAAS,CAAC,QAAQ,CAAC,IAAI,CAAC,SAAS,CAAC,EAAE,KAAK,EAAE,OAAO,CAAC;QACxE,SAAS,EAAE,UAAU,CAAC,SAAS,CAAC,SAAS,CAAC,IAAI,CAAC,SAAS,CAAC,EAAE,MAAM,EAAE,OAAO,CAAC;QAC3E,SAAS,EAAE,UAAU,CAAC,SAAS,CAAC,SAAS,CAAC,IAAI,CAAC,SAAS,CAAC,EAAE,KAAK,EAAE,QAAQ,CAAC;QAC3E,UAAU,EAAE,UAAU,CAAC,SAAS,CAAC,UAAU,CAAC,IAAI,CAAC,SAAS,CAAC,EAAE,MAAM,EAAE,QAAQ,CAAC;QAC9E,QAAQ,EAAE,UAAU,CAAC,SAAS,CAAC,QAAQ,CAAC,IAAI,CAAC,SAAS,CAAC,EAAE,KAAK,EAAE,OAAO,CAAC;QACxE,SAAS,EAAE,UAAU,CAAC,SAAS,CAAC,SAAS,CAAC,IAAI,CAAC,SAAS,CAAC,EAAE,MAAM,EAAE,OAAO,CAAC;QAC3E,WAAW,EAAE,SAAS,CAAC,WAAW,CAAC,IAAI,CAAC,SAAS,CAAC;QAClD,eAAe,EAAE,SAAS,CAAC,eAAe,CAAC,IAAI,CAAC,SAAS,CAAC;QAC1D,aAAa,EAAE,SAAS,CAAC,aAAa,CAAC,IAAI,CAAC,SAAS,CAAC;QACtD,QAAQ,EAAE,SAAS,CAAC,QAAQ,CAAC,IAAI,CAAC,SAAS,CAAC;QAC5C,YAAY,EAAE,SAAS,CAAC,YAAY,CAAC,IAAI,CAAC,SAAS,CAAC;QACpD,YAAY,EAAE,UAAU,CAAC,SAAS,CAAC,YAAY,CAAC,IAAI,CAAC,SAAS,CAAC,EAAE,KAAK,EAAE,WAAW,CAAC;QACpF,aAAa,EAAE,UAAU,CAAC,SAAS,CAAC,aAAa,CAAC,IAAI,CAAC,SAAS,CAAC,EAAE,MAAM,EAAE,WAAW,CAAC;QACvF,gBAAgB,EAAE,SAAS,CAAC,gBAAgB,CAAC,IAAI,CAAC,SAAS,CAAC;QAC5D,gBAAgB,EAAE,SAAS,CAAC,gBAAgB,CAAC,IAAI,CAAC,SAAS,CAAC;QAC5D,iBAAiB,EAAE,SAAS,CAAC,iBAAiB,CAAC,IAAI,CAAC,SAAS,CAAC;QAC9D,iDAAiD;QACjD,qBAAqB,EAAE,SAAS,CAAC,qBAAqB,CAAC,IAAI,CAAC,SAAS,CAAC;QACtE,wBAAwB,EAAE,SAAS,CAAC,wBAAwB,CAAC,IAAI,CAAC,SAAS,CAAC;QAC5E,yBAAyB,EAAE,SAAS,CAAC,yBAAyB,CAAC,IAAI,CAAC,SAAS,CAAC;QAC9E,MAAM,EAAE,SAAS,CAAC,MAAM,CAAC,IAAI,CAAC,SAAS,CAAC;QACxC,OAAO,EAAE,SAAS,CAAC,OAAO,CAAC,IAAI,CAAC,SAAS,CAAC;QAC1C,eAAe,EAAE,SAAS,CAAC,eAAe,CAAC,IAAI,CAAC,SAAS,CAAC;QAC1D,cAAc,EAAE,SAAS,CAAC,cAAc,CAAC,IAAI,CAAC,SAAS,CAAC;QACxD,aAAa,EAAE,SAAS,CAAC,aAAa,CAAC,IAAI,CAAC,SAAS,CAAC;QACtD,WAAW,EAAE,SAAS,CAAC,WAAW,CAAC,IAAI,CAAC,SAAS,CAAC;QAClD,oEAAoE;QACpE,cAAc,EAAE,SAAS,CAAC,cAAc,CAAC,IAAI,CAAC,SAAS,CAAC;QACxD,aAAa,EAAE,SAAS,CAAC,aAAa,CAAC,IAAI,CAAC,SAAS,CAAC;QACtD,aAAa,EAAE,SAAS,CAAC,aAAa,CAAC,IAAI,CAAC,SAAS,CAAC;QACtD,iBAAiB,EAAE,SAAS,CAAC,iBAAiB,CAAC,IAAI,CAAC,SAAS,CAAC;QAC9D,kCAAkC;QAClC,qBAAqB,EAAE,SAAS,CAAC,qBAAqB,CAAC,IAAI,CAAC,SAAS,CAAC;QACtE,2CAA2C;QAC3C,WAAW,EAAE,SAAS,CAAC,WAAW,CAAC,IAAI,CAAC,SAAS,CAAC;QAClD,gBAAgB,EAAE,SAAS,CAAC,gBAAgB,CAAC,IAAI,CAAC,SAAS,CAAC;QAC5D,2BAA2B;QAC3B,kBAAkB,EAAE,SAAS,CAAC,kBAAkB,CAAC,IAAI,CAAC,SAAS,CAAC;QAChE,8BAA8B;QAC9B,iBAAiB,EAAE,SAAS,CAAC,iBAAiB,CAAC,IAAI,CAAC,SAAS,CAAC;QAC9D,sBAAsB,EAAE,SAAS,CAAC,sBAAsB,CAAC,IAAI,CAAC,SAAS,CAAC;KACzE,CAAC;AACJ,CAAC;AAYD,iEAAiE;AACjE,sEAAsE;AACtE,qEAAqE;AACrE,+FAA+F"}

package/dist/trading/kelly.d.ts

@@ -0,0 +1,137 @@
+/**
+ * Dynamic Kelly Criterion Position Sizing
+ *
+ * Features:
+ * - Adaptive Kelly based on recent performance
+ * - Drawdown-adjusted sizing
+ * - Volatility-based Kelly scaling
+ * - Category-specific Kelly multipliers
+ * - Anti-martingale scaling (reduce after losses, increase after wins)
+ */
+export interface KellyConfig {
+    /** Base Kelly multiplier (default: 0.25 = quarter Kelly) */
+    baseMultiplier?: number;
+    /** Maximum Kelly fraction allowed (default: 0.25) */
+    maxKelly?: number;
+    /** Minimum Kelly fraction (default: 0.01) */
+    minKelly?: number;
+    /** Number of trades to consider for recent performance (default: 20) */
+    lookbackTrades?: number;
+    /** Maximum drawdown before reducing size (default: 0.15 = 15%) */
+    maxDrawdown?: number;
+    /** Reduce Kelly by this factor when in drawdown (default: 0.5) */
+    drawdownReduction?: number;
+    /** Increase Kelly by this factor when on winning streak (default: 1.25) */
+    winStreakBoost?: number;
+    /** Number of consecutive wins to trigger boost (default: 3) */
+    winStreakThreshold?: number;
+    /** Enable volatility-based scaling (default: true) */
+    volatilityScaling?: boolean;
+    /** Target volatility for returns (default: 0.10 = 10%) */
+    targetVolatility?: number;
+}
+export interface TradeRecord {
+    /** Trade ID */
+    id: string;
+    /** Profit/loss as decimal (e.g., 0.05 = 5% profit) */
+    pnlPct: number;
+    /** Whether trade was a win */
+    won: boolean;
+    /** Category (optional, for category-specific Kelly) */
+    category?: string;
+    /** Timestamp */
+    timestamp: Date;
+    /** Edge estimate at entry */
+    estimatedEdge?: number;
+    /** Actual realized edge */
+    realizedEdge?: number;
+}
+export interface KellyState {
+    /** Current bankroll */
+    bankroll: number;
+    /** Peak bankroll (for drawdown calculation) */
+    peakBankroll: number;
+    /** Current drawdown as decimal */
+    currentDrawdown: number;
+    /** Recent trades for lookback */
+    recentTrades: TradeRecord[];
+    /** Win rate over lookback period */
+    recentWinRate: number;
+    /** Average return over lookback period */
+    recentAvgReturn: number;
+    /** Volatility of recent returns */
+    recentVolatility: number;
+    /** Current win streak */
+    winStreak: number;
+    /** Current loss streak */
+    lossStreak: number;
+    /** Category-specific win rates */
+    categoryWinRates: Map<string, {
+        wins: number;
+        total: number;
+        winRate: number;
+    }>;
+}
+export interface DynamicKellyResult {
+    /** Final recommended Kelly fraction */
+    kelly: number;
+    /** Base Kelly before adjustments */
+    baseKelly: number;
+    /** Recommended position size in currency */
+    positionSize: number;
+    /** Adjustments applied */
+    adjustments: KellyAdjustment[];
+    /** Risk metrics */
+    risk: {
+        /** Current drawdown */
+        drawdown: number;
+        /** Recent win rate */
+        recentWinRate: number;
+        /** Volatility */
+        volatility: number;
+        /** Win streak */
+        winStreak: number;
+    };
+    /** Confidence in sizing */
+    confidence: number;
+    /** Warning messages */
+    warnings: string[];
+}
+export interface KellyAdjustment {
+    /** Adjustment type */
+    type: 'confidence' | 'drawdown' | 'win_streak' | 'volatility' | 'category' | 'sample_size';
+    /** Multiplier applied */
+    multiplier: number;
+    /** Reason for adjustment */
+    reason: string;
+}
+export interface DynamicKellyCalculator {
+    /** Calculate Kelly for an opportunity */
+    calculate(edge: number, confidence: number, options?: {
+        category?: string;
+        odds?: number;
+        winRate?: number;
+    }): DynamicKellyResult;
+    /** Record a trade outcome */
+    recordTrade(trade: TradeRecord): void;
+    /** Update bankroll */
+    updateBankroll(newBankroll: number): void;
+    /** Get current state */
+    getState(): KellyState;
+    /** Reset state */
+    reset(): void;
+    /** Get category-specific Kelly recommendation */
+    getCategoryKelly(category: string, baseEdge: number): number;
+}
+export declare function createDynamicKellyCalculator(initialBankroll: number, config?: KellyConfig): DynamicKellyCalculator;
+/**
+ * Simple Kelly calculation for quick estimates
+ */
+export declare function simpleKelly(edge: number, confidence?: number, multiplier?: number): number;
+/**
+ * Calculate optimal bet size for a series of bets
+ */
+export declare function optimalBetSize(bankroll: number, opportunities: Array<{
+    edge: number;
+    confidence: number;
+}>, correlationFactor?: number): number;