clodds 1.1.0

package/dist/trading/ml-signals.js

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+"use strict";
+/**
+ * ML Signal Model for Trade Entry/Exit Decisions
+ *
+ * Features:
+ * - Statistical feature extraction from market data
+ * - Simple gradient boosting implementation (TypeScript)
+ * - External Python model integration via subprocess
+ * - Real-time signal generation
+ * - Model persistence and retraining
+ *
+ * This module provides a lightweight ML signal system that can be used
+ * without external dependencies, with optional Python integration for
+ * more sophisticated models (XGBoost, LightGBM, etc.)
+ */
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.extractFeatures = extractFeatures;
+exports.createMLSignalModel = createMLSignalModel;
+exports.createEnsembleModel = createEnsembleModel;
+const child_process_1 = require("child_process");
+const fs_1 = require("fs");
+const path_1 = require("path");
+const os_1 = require("os");
+const logger_1 = require("../utils/logger");
+// =============================================================================
+// FEATURE EXTRACTION
+// =============================================================================
+/**
+ * Extract features from raw market data
+ */
+function extractFeatures(priceHistory, orderbookSnapshot, metadata) {
+    // Need at least some price history
+    if (priceHistory.length < 2) {
+        throw new Error('Need at least 2 data points for feature extraction');
+    }
+    const current = priceHistory[priceHistory.length - 1];
+    const prices = priceHistory.map(p => p.price);
+    // Price features
+    const price1hAgo = findPriceAt(priceHistory, Date.now() - 60 * 60 * 1000);
+    const price24hAgo = findPriceAt(priceHistory, Date.now() - 24 * 60 * 60 * 1000);
+    const change1h = price1hAgo ? (current.price - price1hAgo) / price1hAgo : 0;
+    const change24h = price24hAgo ? (current.price - price24hAgo) / price24hAgo : 0;
+    const volatility24h = calculateVolatility(prices.slice(-24));
+    const rsi14 = calculateRSI(prices.slice(-15));
+    const momentum = calculateMomentum(prices.slice(-10));
+    // Volume features
+    const volumes = priceHistory.map(p => p.volume);
+    const avgVolume7d = average(volumes.slice(-168)); // 7 days * 24 hours
+    const current24hVolume = sum(volumes.slice(-24));
+    const volumeChangeVsAvg = avgVolume7d > 0 ? current24hVolume / avgVolume7d : 1;
+    // Orderbook features
+    let orderbookFeatures = {
+        bidAskRatio: 1,
+        imbalanceScore: 0,
+        spreadPct: 0.02,
+        depth10Pct: 0,
+    };
+    if (orderbookSnapshot) {
+        const totalBidVol = sum(orderbookSnapshot.bids.map(b => b[1]));
+        const totalAskVol = sum(orderbookSnapshot.asks.map(a => a[1]));
+        orderbookFeatures.bidAskRatio = totalAskVol > 0 ? totalBidVol / totalAskVol : 1;
+        orderbookFeatures.imbalanceScore = (totalBidVol - totalAskVol) / (totalBidVol + totalAskVol + 1);
+        const bestBid = orderbookSnapshot.bids[0]?.[0] || 0;
+        const bestAsk = orderbookSnapshot.asks[0]?.[0] || 1;
+        orderbookFeatures.spreadPct = (bestAsk - bestBid) / ((bestBid + bestAsk) / 2);
+        // Depth within 10%
+        const midPrice = (bestBid + bestAsk) / 2;
+        orderbookFeatures.depth10Pct = sum(orderbookSnapshot.bids
+            .filter(([p]) => p >= midPrice * 0.9)
+            .map(([, v]) => v)) + sum(orderbookSnapshot.asks
+            .filter(([p]) => p <= midPrice * 1.1)
+            .map(([, v]) => v));
+    }
+    return {
+        price: {
+            current: current.price,
+            change1h,
+            change24h,
+            volatility24h,
+            rsi14,
+            momentum,
+        },
+        volume: {
+            current24h: current24hVolume,
+            changeVsAvg: volumeChangeVsAvg,
+            buyRatio: 0.5, // Would need trade-level data
+        },
+        orderbook: orderbookFeatures,
+        market: {
+            daysToExpiry: metadata?.daysToExpiry || 30,
+            totalVolume: metadata?.totalVolume || 0,
+            marketCap: 0,
+            category: metadata?.category || 'other',
+        },
+    };
+}
+// =============================================================================
+// SIMPLE ML MODEL (NO EXTERNAL DEPS)
+// =============================================================================
+/**
+ * Create a simple ML signal model using statistical methods
+ */
+function createMLSignalModel(config) {
+    const modelDir = (0, path_1.join)((0, os_1.homedir)(), '.clodds', 'models');
+    if (!(0, fs_1.existsSync)(modelDir)) {
+        (0, fs_1.mkdirSync)(modelDir, { recursive: true });
+    }
+    // Model state
+    let weights = new Map();
+    let trainingData = [];
+    let metrics = createEmptyMetrics();
+    // Feature names for consistent ordering
+    const featureNames = [
+        'price.change1h',
+        'price.change24h',
+        'price.volatility24h',
+        'price.rsi14',
+        'price.momentum',
+        'volume.changeVsAvg',
+        'orderbook.bidAskRatio',
+        'orderbook.imbalanceScore',
+        'orderbook.spreadPct',
+        'market.daysToExpiry',
+    ];
+    // Initialize weights
+    for (const name of featureNames) {
+        weights.set(name, 0);
+    }
+    // ==========================================================================
+    // PREDICTION
+    // ==========================================================================
+    async function predict(features) {
+        // Extract feature vector
+        const vector = extractFeatureVector(features);
+        let probUp;
+        let featureImportance;
+        if (config.type === 'xgboost_python' && config.pythonModelPath) {
+            // Use Python model
+            const result = await callPythonModel(vector, config.pythonModelPath);
+            probUp = result.probUp;
+            featureImportance = result.featureImportance;
+        }
+        else {
+            // Use simple weighted linear model
+            probUp = predictSimple(vector);
+            featureImportance = featureNames.map((name, i) => ({
+                feature: name,
+                importance: Math.abs(weights.get(name) || 0) * Math.abs(vector[i]),
+            }));
+        }
+        // Determine direction based on probability
+        let direction;
+        if (probUp > 0.5 + config.minConfidence / 2) {
+            direction = 1;
+        }
+        else if (probUp < 0.5 - config.minConfidence / 2) {
+            direction = -1;
+        }
+        else {
+            direction = 0;
+        }
+        const confidence = Math.abs(probUp - 0.5) * 2;
+        // Update metrics
+        metrics.totalPredictions++;
+        return {
+            direction,
+            confidence: Math.round(confidence * 100) / 100,
+            probUp: Math.round(probUp * 1000) / 1000,
+            featureImportance: featureImportance
+                .sort((a, b) => b.importance - a.importance)
+                .slice(0, 5),
+            model: config.type,
+            timestamp: new Date(),
+            levels: direction !== 0 ? calculateLevels(features, direction) : undefined,
+        };
+    }
+    function predictSimple(vector) {
+        // Simple weighted sum with sigmoid
+        let sum = 0;
+        for (let i = 0; i < vector.length; i++) {
+            sum += (weights.get(featureNames[i]) || 0) * vector[i];
+        }
+        // Sigmoid
+        return 1 / (1 + Math.exp(-sum));
+    }
+    function extractFeatureVector(features) {
+        return [
+            features.price.change1h,
+            features.price.change24h,
+            features.price.volatility24h,
+            (features.price.rsi14 - 50) / 50, // Normalize to [-1, 1]
+            features.price.momentum,
+            features.volume.changeVsAvg - 1, // Center at 0
+            features.orderbook.bidAskRatio - 1, // Center at 0
+            features.orderbook.imbalanceScore,
+            -features.orderbook.spreadPct * 10, // Negative = wide spread is bad
+            Math.max(0, (30 - features.market.daysToExpiry) / 30), // Time pressure
+        ];
+    }
+    function calculateLevels(features, direction) {
+        const current = features.price.current;
+        const volatility = features.price.volatility24h || 0.02;
+        if (direction === 1) {
+            return {
+                entryPrice: current,
+                stopLoss: current * (1 - volatility * 2),
+                takeProfit: current * (1 + volatility * 3),
+            };
+        }
+        else {
+            return {
+                entryPrice: current,
+                stopLoss: current * (1 + volatility * 2),
+                takeProfit: current * (1 - volatility * 3),
+            };
+        }
+    }
+    // ==========================================================================
+    // TRAINING
+    // ==========================================================================
+    async function train(data) {
+        if (data.length < 10) {
+            logger_1.logger.warn('Insufficient training data (< 10 samples)');
+            return { accuracy: 0, auc: 0.5 };
+        }
+        // Add to training data
+        trainingData = [...trainingData, ...data];
+        // Simple gradient descent
+        const learningRate = config.learningRate || 0.01;
+        const epochs = 100;
+        for (let epoch = 0; epoch < epochs; epoch++) {
+            let totalLoss = 0;
+            for (const sample of data) {
+                const vector = extractFeatureVector(sample.features);
+                const target = sample.outcome.direction === 1 ? 1 : 0;
+                const predicted = predictSimple(vector);
+                // Binary cross-entropy gradient
+                const error = predicted - target;
+                totalLoss += -target * Math.log(predicted + 1e-7) - (1 - target) * Math.log(1 - predicted + 1e-7);
+                // Update weights
+                for (let i = 0; i < vector.length; i++) {
+                    const gradient = error * vector[i];
+                    const currentWeight = weights.get(featureNames[i]) || 0;
+                    weights.set(featureNames[i], currentWeight - learningRate * gradient);
+                }
+            }
+            if (epoch % 20 === 0) {
+                logger_1.logger.debug({ epoch, loss: totalLoss / data.length }, 'Training progress');
+            }
+        }
+        // Calculate accuracy
+        let correct = 0;
+        let predictions = [];
+        for (const sample of data) {
+            const vector = extractFeatureVector(sample.features);
+            const prob = predictSimple(vector);
+            const predicted = prob > 0.5 ? 1 : -1;
+            predictions.push({ prob, actual: sample.outcome.direction === 1 ? 1 : 0 });
+            if (predicted === sample.outcome.direction) {
+                correct++;
+            }
+        }
+        const accuracy = correct / data.length;
+        const auc = calculateAUC(predictions);
+        // Update metrics
+        metrics.lastRetrain = new Date();
+        metrics.trainingDataSize = trainingData.length;
+        // Update feature importance
+        for (const name of featureNames) {
+            metrics.featureImportance.set(name, Math.abs(weights.get(name) || 0));
+        }
+        logger_1.logger.info({ accuracy, auc, samples: data.length }, 'Model trained');
+        return { accuracy: Math.round(accuracy * 1000) / 1000, auc: Math.round(auc * 1000) / 1000 };
+    }
+    // ==========================================================================
+    // PERSISTENCE
+    // ==========================================================================
+    function save(path) {
+        const savePath = path || (0, path_1.join)(modelDir, `ml_signal_${config.horizon}.json`);
+        const state = {
+            config,
+            weights: Object.fromEntries(weights),
+            metrics,
+            trainingDataSize: trainingData.length,
+            savedAt: new Date().toISOString(),
+        };
+        (0, fs_1.writeFileSync)(savePath, JSON.stringify(state, null, 2));
+        logger_1.logger.info({ path: savePath }, 'Model saved');
+    }
+    function load(path) {
+        const loadPath = path || (0, path_1.join)(modelDir, `ml_signal_${config.horizon}.json`);
+        if (!(0, fs_1.existsSync)(loadPath)) {
+            logger_1.logger.warn({ path: loadPath }, 'Model file not found');
+            return false;
+        }
+        try {
+            const state = JSON.parse((0, fs_1.readFileSync)(loadPath, 'utf-8'));
+            weights = new Map(Object.entries(state.weights));
+            metrics = state.metrics;
+            logger_1.logger.info({ path: loadPath, trainingSize: state.trainingDataSize }, 'Model loaded');
+            return true;
+        }
+        catch (error) {
+            logger_1.logger.error({ error, path: loadPath }, 'Failed to load model');
+            return false;
+        }
+    }
+    // ==========================================================================
+    // UTILITIES
+    // ==========================================================================
+    function getMetrics() {
+        return { ...metrics };
+    }
+    function addTrainingData(data) {
+        trainingData.push(data);
+    }
+    async function retrain() {
+        if (trainingData.length < 20) {
+            logger_1.logger.warn('Not enough training data for retrain');
+            return;
+        }
+        await train(trainingData);
+        save();
+    }
+    return {
+        predict,
+        train,
+        save,
+        load,
+        getMetrics,
+        addTrainingData,
+        retrain,
+    };
+}
+// =============================================================================
+// PYTHON MODEL INTEGRATION
+// =============================================================================
+async function callPythonModel(features, modelPath) {
+    try {
+        // Write features to temp file
+        const tempPath = `/tmp/ml_features_${Date.now()}.json`;
+        (0, fs_1.writeFileSync)(tempPath, JSON.stringify({ features }));
+        // Call Python script
+        const result = (0, child_process_1.execSync)(`python3 -c "
+import json
+import xgboost as xgb
+import numpy as np
+
+with open('${tempPath}') as f:
+    data = json.load(f)
+
+model = xgb.XGBClassifier()
+model.load_model('${modelPath}')
+
+features = np.array([data['features']])
+prob = model.predict_proba(features)[0][1]
+
+importance = model.feature_importances_
+result = {
+    'probUp': float(prob),
+    'importance': [float(i) for i in importance]
+}
+print(json.dumps(result))
+"`, { encoding: 'utf-8', timeout: 10000 });
+        const parsed = JSON.parse(result.trim());
+        return {
+            probUp: parsed.probUp,
+            featureImportance: parsed.importance.map((imp, i) => ({
+                feature: `feature_${i}`,
+                importance: imp,
+            })),
+        };
+    }
+    catch (error) {
+        logger_1.logger.error({ error }, 'Python model call failed');
+        // Fallback to neutral prediction
+        return {
+            probUp: 0.5,
+            featureImportance: [],
+        };
+    }
+}
+// =============================================================================
+// HELPER FUNCTIONS
+// =============================================================================
+function createEmptyMetrics() {
+    return {
+        totalPredictions: 0,
+        correctPredictions: 0,
+        accuracy: 0,
+        byDirection: {
+            buy: { count: 0, correct: 0, accuracy: 0 },
+            sell: { count: 0, correct: 0, accuracy: 0 },
+            hold: { count: 0, correct: 0, accuracy: 0 },
+        },
+        featureImportance: new Map(),
+        trainingDataSize: 0,
+    };
+}
+function findPriceAt(history, targetTime) {
+    for (let i = history.length - 1; i >= 0; i--) {
+        if (history[i].timestamp.getTime() <= targetTime) {
+            return history[i].price;
+        }
+    }
+    return null;
+}
+function calculateVolatility(prices) {
+    if (prices.length < 2)
+        return 0;
+    const returns = [];
+    for (let i = 1; i < prices.length; i++) {
+        returns.push((prices[i] - prices[i - 1]) / prices[i - 1]);
+    }
+    return standardDeviation(returns);
+}
+function calculateRSI(prices, period = 14) {
+    if (prices.length < period + 1)
+        return 50;
+    let gains = 0;
+    let losses = 0;
+    for (let i = 1; i < Math.min(period + 1, prices.length); i++) {
+        const change = prices[i] - prices[i - 1];
+        if (change > 0)
+            gains += change;
+        else
+            losses += Math.abs(change);
+    }
+    const avgGain = gains / period;
+    const avgLoss = losses / period;
+    if (avgLoss === 0)
+        return 100;
+    const rs = avgGain / avgLoss;
+    return 100 - (100 / (1 + rs));
+}
+function calculateMomentum(prices) {
+    if (prices.length < 2)
+        return 0;
+    const first = prices[0];
+    const last = prices[prices.length - 1];
+    return (last - first) / first;
+}
+function calculateAUC(predictions) {
+    // Simple AUC calculation
+    const sorted = [...predictions].sort((a, b) => b.prob - a.prob);
+    let tpCount = 0;
+    let fpCount = 0;
+    let lastTp = 0;
+    let auc = 0;
+    for (const pred of sorted) {
+        if (pred.actual === 1) {
+            tpCount++;
+        }
+        else {
+            fpCount++;
+            auc += tpCount;
+        }
+    }
+    const totalPos = predictions.filter(p => p.actual === 1).length;
+    const totalNeg = predictions.length - totalPos;
+    if (totalPos === 0 || totalNeg === 0)
+        return 0.5;
+    return auc / (totalPos * totalNeg);
+}
+function sum(arr) {
+    return arr.reduce((a, b) => a + b, 0);
+}
+function average(arr) {
+    if (arr.length === 0)
+        return 0;
+    return sum(arr) / arr.length;
+}
+function standardDeviation(arr) {
+    if (arr.length < 2)
+        return 0;
+    const avg = average(arr);
+    const squareDiffs = arr.map(v => Math.pow(v - avg, 2));
+    return Math.sqrt(average(squareDiffs));
+}
+// =============================================================================
+// FACTORY FOR DIFFERENT MODEL TYPES
+// =============================================================================
+/**
+ * Create an ensemble of ML models for more robust predictions
+ */
+function createEnsembleModel(configs) {
+    const models = configs.map(config => createMLSignalModel(config));
+    return {
+        async predict(features) {
+            const predictions = await Promise.all(models.map(m => m.predict(features)));
+            // Average predictions
+            const avgProbUp = average(predictions.map(p => p.probUp));
+            const avgConfidence = average(predictions.map(p => p.confidence));
+            // Majority vote for direction
+            const directions = predictions.map(p => p.direction);
+            const directionCounts = { 1: 0, 0: 0, '-1': 0 };
+            directions.forEach(d => directionCounts[d.toString()]++);
+            let direction = 0;
+            if (directionCounts['1'] > directionCounts['-1'])
+                direction = 1;
+            else if (directionCounts['-1'] > directionCounts['1'])
+                direction = -1;
+            // Combine feature importance
+            const importanceMap = new Map();
+            for (const pred of predictions) {
+                for (const fi of pred.featureImportance) {
+                    importanceMap.set(fi.feature, (importanceMap.get(fi.feature) || 0) + fi.importance);
+                }
+            }
+            return {
+                direction,
+                confidence: Math.round(avgConfidence * 100) / 100,
+                probUp: Math.round(avgProbUp * 1000) / 1000,
+                featureImportance: Array.from(importanceMap.entries())
+                    .map(([feature, importance]) => ({ feature, importance: importance / models.length }))
+                    .sort((a, b) => b.importance - a.importance)
+                    .slice(0, 5),
+                model: 'ensemble',
+                timestamp: new Date(),
+                levels: predictions[0].levels,
+            };
+        },
+        async train(data) {
+            const results = await Promise.all(models.map(m => m.train(data)));
+            return {
+                accuracy: average(results.map(r => r.accuracy)),
+                auc: average(results.map(r => r.auc)),
+            };
+        },
+        save(path) {
+            models.forEach((m, i) => m.save(path ? `${path}_${i}` : undefined));
+        },
+        load(path) {
+            return models.every((m, i) => m.load(path ? `${path}_${i}` : undefined));
+        },
+        getMetrics() {
+            // Return first model's metrics (they should be similar)
+            return models[0].getMetrics();
+        },
+        addTrainingData(data) {
+            models.forEach(m => m.addTrainingData(data));
+        },
+        async retrain() {
+            await Promise.all(models.map(m => m.retrain()));
+        },
+    };
+}
+//# sourceMappingURL=ml-signals.js.map

package/dist/trading/ml-signals.js.map

@@ -0,0 +1 @@
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package/dist/trading/orchestrator.d.ts

@@ -0,0 +1,59 @@
+/**
+ * Trading Orchestrator — Central gatekeeper for all order submissions.
+ *
+ * Wraps the ExecutionService with pre-trade safety checks:
+ *   1. SafetyManager.canTrade() — global kill switch / drawdown checks
+ *   2. SafetyManager.validateTrade() — concentration / daily loss checks
+ *   3. CircuitBreaker.canTrade() — execution-level error rate / loss checks
+ *   4. Position lifecycle tracking — records trades for PnL monitoring
+ *
+ * All order paths (SignalRouter, BotManager, manual) should route through
+ * the orchestrator so that safety checks are never bypassed.
+ *
+ * Usage in gateway:
+ *   const orchestrator = createTradingOrchestrator({ execution, safety, db });
+ *   // Pass orchestrator.execution to SignalRouter / TradingSystem
+ *   signalRouter = createSignalRouter(orchestrator.execution, cfg);
+ */
+import { EventEmitter } from 'eventemitter3';
+import type { Database } from '../db/index.js';
+import type { ExecutionService } from '../execution/index.js';
+import type { SafetyManager } from './safety.js';
+import type { TradeLogger } from './logger.js';
+export interface OrchestratorConfig {
+    /** Reject all orders (overrides everything). */
+    paused?: boolean;
+    /** Log rejected orders for debugging. */
+    logRejections?: boolean;
+    /** Record filled trades in SafetyManager for PnL tracking. */
+    recordTradesInSafety?: boolean;
+}
+export interface OrchestratorStats {
+    ordersSubmitted: number;
+    ordersExecuted: number;
+    ordersRejected: number;
+    ordersFailed: number;
+    rejectionReasons: Record<string, number>;
+}
+export interface TradingOrchestrator extends EventEmitter {
+    /** Guarded execution service — drop-in replacement for raw ExecutionService. */
+    readonly execution: ExecutionService;
+    /** Pause all trading. */
+    pause(reason?: string): void;
+    /** Resume trading after pause. */
+    resume(): void;
+    /** Whether orchestrator is paused. */
+    readonly paused: boolean;
+    /** Get stats. */
+    getStats(): OrchestratorStats;
+    /** Reset stats. */
+    resetStats(): void;
+}
+export interface OrchestratorDeps {
+    execution: ExecutionService;
+    safety: SafetyManager | null;
+    tradeLogger?: TradeLogger | null;
+    db?: Database | null;
+    config?: OrchestratorConfig;
+}
+export declare function createTradingOrchestrator(deps: OrchestratorDeps): TradingOrchestrator;