clodds 1.1.0

package/dist/trading/kelly.js

@@ -0,0 +1,328 @@
+"use strict";
+/**
+ * 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)
+ */
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.createDynamicKellyCalculator = createDynamicKellyCalculator;
+exports.simpleKelly = simpleKelly;
+exports.optimalBetSize = optimalBetSize;
+const logger_1 = require("../utils/logger");
+// =============================================================================
+// CONSTANTS
+// =============================================================================
+const DEFAULT_CONFIG = {
+    baseMultiplier: 0.25,
+    maxKelly: 0.25,
+    minKelly: 0.01,
+    lookbackTrades: 20,
+    maxDrawdown: 0.15,
+    drawdownReduction: 0.5,
+    winStreakBoost: 1.25,
+    winStreakThreshold: 3,
+    volatilityScaling: true,
+    targetVolatility: 0.10,
+};
+// =============================================================================
+// IMPLEMENTATION
+// =============================================================================
+function createDynamicKellyCalculator(initialBankroll, config = {}) {
+    const cfg = { ...DEFAULT_CONFIG, ...config };
+    // State
+    let bankroll = initialBankroll;
+    let peakBankroll = initialBankroll;
+    const recentTrades = [];
+    let winStreak = 0;
+    let lossStreak = 0;
+    const categoryStats = new Map();
+    // ==========================================================================
+    // HELPERS
+    // ==========================================================================
+    function getCurrentDrawdown() {
+        if (peakBankroll <= 0)
+            return 0;
+        return Math.max(0, (peakBankroll - bankroll) / peakBankroll);
+    }
+    function getRecentWinRate() {
+        if (recentTrades.length === 0)
+            return 0.5;
+        const wins = recentTrades.filter(t => t.won).length;
+        return wins / recentTrades.length;
+    }
+    function getRecentAvgReturn() {
+        if (recentTrades.length === 0)
+            return 0;
+        const sum = recentTrades.reduce((acc, t) => acc + t.pnlPct, 0);
+        return sum / recentTrades.length;
+    }
+    function getRecentVolatility() {
+        if (recentTrades.length < 2)
+            return cfg.targetVolatility;
+        const returns = recentTrades.map(t => t.pnlPct);
+        const mean = returns.reduce((a, b) => a + b, 0) / returns.length;
+        const variance = returns.reduce((sum, r) => sum + Math.pow(r - mean, 2), 0) / returns.length;
+        return Math.sqrt(variance);
+    }
+    function getBaseKelly(edge, odds, winRate) {
+        // Full Kelly formula: f = (bp - q) / b
+        // where b = odds, p = win probability, q = 1 - p
+        // If win rate provided, use it directly
+        // Otherwise, estimate from edge
+        const p = winRate || Math.min(0.95, Math.max(0.05, 0.5 + edge / 2));
+        const q = 1 - p;
+        // For binary markets, odds are typically 1:1 (b = 1)
+        // For other odds, calculate accordingly
+        const fullKelly = (odds * p - q) / odds;
+        return Math.max(0, fullKelly);
+    }
+    // ==========================================================================
+    // MAIN CALCULATION
+    // ==========================================================================
+    function calculate(edge, confidence, options = {}) {
+        const { category, odds = 1, winRate } = options;
+        const adjustments = [];
+        const warnings = [];
+        // 1. Calculate base Kelly
+        const fullKelly = getBaseKelly(edge, odds, winRate);
+        let kelly = fullKelly * cfg.baseMultiplier;
+        adjustments.push({
+            type: 'confidence',
+            multiplier: cfg.baseMultiplier,
+            reason: `Base ${(cfg.baseMultiplier * 100).toFixed(0)}% Kelly`,
+        });
+        // 2. Apply confidence adjustment
+        if (confidence < 1) {
+            kelly *= confidence;
+            adjustments.push({
+                type: 'confidence',
+                multiplier: confidence,
+                reason: `Confidence adjustment: ${(confidence * 100).toFixed(0)}%`,
+            });
+        }
+        // 3. Apply drawdown adjustment
+        const drawdown = getCurrentDrawdown();
+        if (drawdown > 0.05) { // Start reducing at 5% drawdown
+            const drawdownFactor = drawdown >= cfg.maxDrawdown
+                ? cfg.drawdownReduction
+                : 1 - (drawdown / cfg.maxDrawdown) * (1 - cfg.drawdownReduction);
+            kelly *= drawdownFactor;
+            adjustments.push({
+                type: 'drawdown',
+                multiplier: drawdownFactor,
+                reason: `Drawdown ${(drawdown * 100).toFixed(1)}%: reducing size`,
+            });
+            if (drawdown >= cfg.maxDrawdown) {
+                warnings.push(`At max drawdown (${(cfg.maxDrawdown * 100).toFixed(0)}%) - size significantly reduced`);
+            }
+        }
+        // 4. Apply win streak boost
+        if (winStreak >= cfg.winStreakThreshold) {
+            const boostFactor = Math.min(cfg.winStreakBoost, 1 + (winStreak - cfg.winStreakThreshold + 1) * 0.05);
+            kelly *= boostFactor;
+            adjustments.push({
+                type: 'win_streak',
+                multiplier: boostFactor,
+                reason: `Win streak (${winStreak}): boosting size`,
+            });
+        }
+        // 5. Apply loss streak reduction
+        if (lossStreak >= 2) {
+            const reductionFactor = Math.max(0.5, 1 - lossStreak * 0.1);
+            kelly *= reductionFactor;
+            adjustments.push({
+                type: 'win_streak',
+                multiplier: reductionFactor,
+                reason: `Loss streak (${lossStreak}): reducing size`,
+            });
+            warnings.push(`On losing streak - size reduced for risk management`);
+        }
+        // 6. Apply volatility scaling
+        if (cfg.volatilityScaling) {
+            const recentVol = getRecentVolatility();
+            if (recentVol > 0) {
+                const volRatio = cfg.targetVolatility / recentVol;
+                const volFactor = Math.max(0.5, Math.min(1.5, volRatio));
+                kelly *= volFactor;
+                adjustments.push({
+                    type: 'volatility',
+                    multiplier: volFactor,
+                    reason: `Volatility adjustment: ${(recentVol * 100).toFixed(1)}% vs target ${(cfg.targetVolatility * 100).toFixed(0)}%`,
+                });
+            }
+        }
+        // 7. Apply category-specific adjustment
+        if (category) {
+            const catStats = categoryStats.get(category);
+            if (catStats && catStats.total >= 5) {
+                // Adjust based on category performance
+                const catWinRate = catStats.winRate;
+                const overallWinRate = getRecentWinRate();
+                if (catWinRate > overallWinRate + 0.1) {
+                    // Category performing well - slight boost
+                    const catBoost = Math.min(1.2, 1 + (catWinRate - overallWinRate));
+                    kelly *= catBoost;
+                    adjustments.push({
+                        type: 'category',
+                        multiplier: catBoost,
+                        reason: `Category "${category}" outperforming: ${(catWinRate * 100).toFixed(0)}% win rate`,
+                    });
+                }
+                else if (catWinRate < overallWinRate - 0.1) {
+                    // Category underperforming - reduce
+                    const catReduction = Math.max(0.7, 1 - (overallWinRate - catWinRate));
+                    kelly *= catReduction;
+                    adjustments.push({
+                        type: 'category',
+                        multiplier: catReduction,
+                        reason: `Category "${category}" underperforming: ${(catWinRate * 100).toFixed(0)}% win rate`,
+                    });
+                }
+            }
+        }
+        // 8. Apply sample size adjustment (less confident with few trades)
+        if (recentTrades.length < 10) {
+            const sampleFactor = 0.5 + (recentTrades.length / 10) * 0.5;
+            kelly *= sampleFactor;
+            adjustments.push({
+                type: 'sample_size',
+                multiplier: sampleFactor,
+                reason: `Small sample (${recentTrades.length} trades): conservative sizing`,
+            });
+        }
+        // 9. Apply bounds
+        kelly = Math.max(cfg.minKelly, Math.min(cfg.maxKelly, kelly));
+        // Calculate position size
+        const positionSize = Math.round(bankroll * kelly * 100) / 100;
+        // Calculate confidence in sizing
+        const recentWinRate = getRecentWinRate();
+        const vol = getRecentVolatility();
+        const sizeConfidence = 0.4 * Math.min(1, recentTrades.length / cfg.lookbackTrades) + // Sample size
+            0.3 * (recentWinRate >= 0.5 ? 1 : recentWinRate * 2) + // Performance
+            0.3 * (1 - Math.min(1, drawdown / cfg.maxDrawdown)); // Drawdown
+        return {
+            kelly: Math.round(kelly * 10000) / 10000,
+            baseKelly: Math.round(fullKelly * cfg.baseMultiplier * 10000) / 10000,
+            positionSize,
+            adjustments,
+            risk: {
+                drawdown,
+                recentWinRate,
+                volatility: vol,
+                winStreak,
+            },
+            confidence: Math.round(sizeConfidence * 100) / 100,
+            warnings,
+        };
+    }
+    // ==========================================================================
+    // STATE MANAGEMENT
+    // ==========================================================================
+    function recordTrade(trade) {
+        // Add to recent trades
+        recentTrades.push(trade);
+        // Trim to lookback window
+        while (recentTrades.length > cfg.lookbackTrades) {
+            recentTrades.shift();
+        }
+        // Update win/loss streak
+        if (trade.won) {
+            winStreak++;
+            lossStreak = 0;
+        }
+        else {
+            lossStreak++;
+            winStreak = 0;
+        }
+        // Update category stats
+        if (trade.category) {
+            const existing = categoryStats.get(trade.category) || { wins: 0, total: 0, winRate: 0 };
+            existing.total++;
+            if (trade.won)
+                existing.wins++;
+            existing.winRate = existing.wins / existing.total;
+            categoryStats.set(trade.category, existing);
+        }
+        logger_1.logger.debug({ trade: trade.id, won: trade.won, winStreak, lossStreak }, 'Kelly: trade recorded');
+    }
+    function updateBankroll(newBankroll) {
+        bankroll = newBankroll;
+        if (newBankroll > peakBankroll) {
+            peakBankroll = newBankroll;
+        }
+        logger_1.logger.debug({ bankroll, peakBankroll, drawdown: getCurrentDrawdown() }, 'Kelly: bankroll updated');
+    }
+    function getState() {
+        return {
+            bankroll,
+            peakBankroll,
+            currentDrawdown: getCurrentDrawdown(),
+            recentTrades: [...recentTrades],
+            recentWinRate: getRecentWinRate(),
+            recentAvgReturn: getRecentAvgReturn(),
+            recentVolatility: getRecentVolatility(),
+            winStreak,
+            lossStreak,
+            categoryWinRates: new Map(categoryStats),
+        };
+    }
+    function reset() {
+        bankroll = initialBankroll;
+        peakBankroll = initialBankroll;
+        recentTrades.length = 0;
+        winStreak = 0;
+        lossStreak = 0;
+        categoryStats.clear();
+        logger_1.logger.info('Kelly: state reset');
+    }
+    function getCategoryKelly(category, baseEdge) {
+        const catStats = categoryStats.get(category);
+        if (!catStats || catStats.total < 3) {
+            // Not enough data - use conservative estimate
+            return calculate(baseEdge, 0.6, { category }).kelly;
+        }
+        // Use category-specific win rate
+        return calculate(baseEdge, 1, { category, winRate: catStats.winRate }).kelly;
+    }
+    return {
+        calculate,
+        recordTrade,
+        updateBankroll,
+        getState,
+        reset,
+        getCategoryKelly,
+    };
+}
+// =============================================================================
+// UTILITY FUNCTIONS
+// =============================================================================
+/**
+ * Simple Kelly calculation for quick estimates
+ */
+function simpleKelly(edge, confidence = 1, multiplier = 0.25) {
+    // f = edge * confidence * multiplier
+    const kelly = edge * confidence * multiplier;
+    return Math.max(0, Math.min(0.25, kelly));
+}
+/**
+ * Calculate optimal bet size for a series of bets
+ */
+function optimalBetSize(bankroll, opportunities, correlationFactor = 1 // 1 = uncorrelated, <1 = correlated
+) {
+    if (opportunities.length === 0)
+        return 0;
+    // For correlated bets, we need to reduce size
+    // Use the geometric mean of edges for uncorrelated, arithmetic for correlated
+    const totalEdge = opportunities.reduce((sum, o) => sum + o.edge * o.confidence, 0);
+    const avgEdge = totalEdge / opportunities.length;
+    // Adjusted Kelly for multiple bets
+    const adjustedKelly = simpleKelly(avgEdge, 1, 0.25 * correlationFactor);
+    // Total across all bets
+    return Math.round(bankroll * adjustedKelly * 100) / 100;
+}
+//# sourceMappingURL=kelly.js.map

package/dist/trading/kelly.js.map

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package/dist/trading/logger.d.ts

@@ -0,0 +1,163 @@
+/**
+ * Trade Logger - Automatic trade capture and persistence
+ *
+ * Features:
+ * - Auto-capture all trades from execution service
+ * - Persistent SQLite storage
+ * - Real-time trade events
+ * - Performance metrics calculation
+ */
+import { EventEmitter } from 'eventemitter3';
+import { Database } from '../db/index';
+import type { Platform } from '../types';
+export interface Trade {
+    id: string;
+    platform: Platform;
+    marketId: string;
+    marketQuestion?: string;
+    outcome: string;
+    side: 'buy' | 'sell';
+    orderType: 'limit' | 'market' | 'maker' | 'protected';
+    price: number;
+    size: number;
+    filled: number;
+    cost: number;
+    /** Fees paid (positive) or rebates earned (negative) */
+    fees?: number;
+    /** Whether this was a maker order (earned rebate) */
+    isMaker?: boolean;
+    /** Maker rebate earned (positive number, subset of fees) */
+    makerRebate?: number;
+    orderId?: string;
+    status: 'pending' | 'partial' | 'filled' | 'cancelled' | 'failed';
+    /** Strategy/bot that placed this trade */
+    strategyId?: string;
+    strategyName?: string;
+    /** Tags for filtering */
+    tags?: string[];
+    /** Exit trade ID (if this is an entry) */
+    exitTradeId?: string;
+    /** Entry trade ID (if this is an exit) */
+    entryTradeId?: string;
+    /** Realized PnL (calculated on exit) */
+    realizedPnL?: number;
+    realizedPnLPct?: number;
+    /** Timestamps */
+    createdAt: Date;
+    filledAt?: Date;
+    /** Metadata */
+    meta?: Record<string, unknown>;
+}
+export interface TradeFilter {
+    platform?: Platform;
+    marketId?: string;
+    strategyId?: string;
+    status?: Trade['status'];
+    side?: 'buy' | 'sell';
+    startDate?: Date;
+    endDate?: Date;
+    tags?: string[];
+    limit?: number;
+    offset?: number;
+}
+export interface TradeStats {
+    totalTrades: number;
+    winningTrades: number;
+    losingTrades: number;
+    winRate: number;
+    totalPnL: number;
+    avgPnL: number;
+    avgWin: number;
+    avgLoss: number;
+    largestWin: number;
+    largestLoss: number;
+    profitFactor: number;
+    totalVolume: number;
+    totalFees: number;
+    /** Total maker rebates earned */
+    totalMakerRebates: number;
+    /** Net fees (fees paid - rebates earned) */
+    netFees: number;
+    /** Number of maker vs taker trades */
+    makerTrades: number;
+    takerTrades: number;
+    byPlatform: Record<Platform, {
+        trades: number;
+        pnl: number;
+    }>;
+    byStrategy: Record<string, {
+        trades: number;
+        pnl: number;
+        winRate: number;
+    }>;
+}
+/**
+ * Fee rates by platform (in basis points)
+ *
+ * VERIFIED (Jan 2026):
+ * - Polymarket: 0% on most markets; 15-min crypto markets have dynamic fees (up to ~315 bps at 50/50)
+ * - Kalshi: Formula-based 0.07*C*P*(1-P), averaging ~120 bps, capped at ~200 bps
+ * - Betfair: 2-5% commission on net winnings (varies by market)
+ * - Smarkets: 2% commission
+ * - Manifold: Play money, no fees
+ */
+export declare const PLATFORM_FEES: {
+    readonly polymarket: {
+        readonly takerFeeBps: 0;
+        readonly makerRebateBps: 0;
+    };
+    readonly kalshi: {
+        readonly takerFeeBps: 120;
+        readonly makerRebateBps: 0;
+    };
+    readonly betfair: {
+        readonly takerFeeBps: 200;
+        readonly makerRebateBps: 0;
+    };
+    readonly smarkets: {
+        readonly takerFeeBps: 200;
+        readonly makerRebateBps: 0;
+    };
+    readonly manifold: {
+        readonly takerFeeBps: 0;
+        readonly makerRebateBps: 0;
+    };
+};
+/** Calculate fees for a trade */
+export declare function calculateTradeFees(platform: Platform, cost: number, isMaker: boolean): {
+    fees: number;
+    makerRebate: number;
+};
+export interface TradeLogger extends EventEmitter {
+    /** Log a new trade */
+    logTrade(trade: Omit<Trade, 'id' | 'createdAt'>): Trade;
+    /** Update trade status */
+    updateTrade(tradeId: string, updates: Partial<Trade>): Trade | null;
+    /** Mark trade as filled */
+    fillTrade(tradeId: string, filledPrice: number, filledSize: number, fees?: number): Trade | null;
+    /** Cancel a trade */
+    cancelTrade(tradeId: string): Trade | null;
+    /** Link entry and exit trades */
+    linkTrades(entryId: string, exitId: string, realizedPnL: number): void;
+    /** Get trade by ID */
+    getTrade(tradeId: string): Trade | null;
+    /** Query trades with filters */
+    getTrades(filter?: TradeFilter): Trade[];
+    /** Get trades for a position */
+    getTradesForPosition(platform: Platform, marketId: string, outcome: string): Trade[];
+    /** Get open trades (pending/partial) */
+    getOpenTrades(strategyId?: string): Trade[];
+    /** Calculate trade stats */
+    getStats(filter?: TradeFilter): TradeStats;
+    /** Get daily PnL */
+    getDailyPnL(days?: number): Array<{
+        date: string;
+        pnl: number;
+        trades: number;
+    }>;
+    /** Export trades to CSV */
+    exportCsv(filter?: TradeFilter): string;
+    /** Clear old trades */
+    cleanup(olderThanDays: number): number;
+}
+export declare function createTradeLogger(db: Database): TradeLogger;