dexbot 1.1.10

package/dist/analysis/ama_fitting/calibrate_convergence_er.js

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+#!/usr/bin/env node
+'use strict';
+Object.defineProperty(exports, "__esModule", { value: true });
+/**
+ * AMA CONVERGENCE ER CALIBRATION
+ *
+ * Computes the correct AMA_CONVERGENCE_ER_AVG from real LP candle data.
+ *
+ * The formula `(ER_avg × deltaSC + slowSC)²` suffers from Jensen's inequality:
+ * E[f(ER)] ≠ f(E[ER]) when f is convex (x²). The arithmetic mean ER
+ * underestimates the true average SC because high-ER periods contribute
+ * quadratically more to convergence.
+ *
+ * This script computes the implied ER — the value that, when plugged into
+ * the formula, reproduces the empirical arithmetic SC_avg — and prints
+ * the recommended constant for modules/constants.ts.
+ *
+ * Usage:
+ *   tsx analysis/ama_fitting/calibrate_convergence_er.ts
+ *   tsx analysis/ama_fitting/calibrate_convergence_er.ts --data <lp-file.json>
+ *   tsx analysis/ama_fitting/calibrate_convergence_er.ts --data <lp-file.json> --amas AMA3
+ */
+const fs = require('fs');
+const path = require('path');
+const { MARKET_ADAPTER } = require('../../modules/constants');
+const { readJSON } = require('../../modules/utils/fs_utils');
+const { PATHS } = require('../../modules/paths');
+const { roundTo } = require('../../modules/utils/math_utils');
+const DEFAULT_DATA = path.join(PATHS.MARKET_ADAPTER.LP_DATA_DIR, '1_3_5537_1_3_0', 'lp_pool_133_1h.json');
+const FALLBACK_ER_PERIOD = 781;
+function parseArgs() {
+    const args = process.argv.slice(2);
+    const opts = { data: DEFAULT_DATA, amas: null };
+    for (let i = 0; i < args.length; i++) {
+        if (args[i] === '--data' && args[i + 1])
+            opts.data = args[++i];
+        if (args[i] === '--amas' && args[i + 1])
+            opts.amas = args[++i].split(',');
+    }
+    return opts;
+}
+/**
+ * Compute per-bar SC values and return { scAvg, erValues, avgER }.
+ * scAvg = mean of (ER × deltaSC + slowSC)² across all bars.
+ */
+function computeSCstats(closes, erPeriod, fastPeriod, slowPeriod) {
+    const fastSC = 2 / (fastPeriod + 1);
+    const slowSC = 2 / (slowPeriod + 1);
+    const deltaSC = fastSC - slowSC;
+    let sumSC = 0;
+    const erValues = [];
+    for (let i = erPeriod; i < closes.length; i++) {
+        const dir = Math.abs(closes[i] - closes[i - erPeriod]);
+        let vol = 0;
+        for (let j = i - erPeriod + 1; j <= i; j++) {
+            vol += Math.abs(closes[j] - closes[j - 1]);
+        }
+        const er = vol === 0 ? 0 : dir / vol;
+        erValues.push(er);
+        sumSC += (er * deltaSC + slowSC) ** 2;
+    }
+    const count = erValues.length;
+    const scAvg = count > 0 ? sumSC / count : 0;
+    const avgER = count > 0 ? erValues.reduce((a, b) => a + b) / count : 0;
+    return { scAvg, erValues, avgER, count };
+}
+/**
+ * Format a column-aligned markdown table row.
+ */
+function row(cells, widths) {
+    const parts = cells.map((c, i) => {
+        const s = String(c);
+        return i < widths.length ? s.padEnd(widths[i]) : s;
+    });
+    return `| ${parts.join(' | ')} |`;
+}
+function main() {
+    const opts = parseArgs();
+    // ── Load and validate data ──────────────────────────────────────────
+    let data;
+    try {
+        data = readJSON(opts.data);
+    }
+    catch (err) {
+        if (err.code === 'ENOENT') {
+            console.error(`Data file not found: ${opts.data}`);
+            console.error('Export LP candles first, or point --data at an existing file.');
+            console.error('  tsx market_adapter/inputs/fetch_lp_data.ts --pool 133 --precA 4 --precB 5 --interval 1h --lookback 26280h');
+        }
+        else if (err instanceof SyntaxError) {
+            console.error(`Failed to parse JSON from: ${opts.data}`);
+            console.error(err.message);
+        }
+        else {
+            console.error(`Error reading data file: ${err.message}`);
+        }
+        process.exit(1);
+    }
+    const closes = (data.candles || []).map(c => Number(c[4]))
+        .filter(v => Number.isFinite(v) && v > 0);
+    if (closes.length < 100) {
+        console.error(`Not enough candles (need > 100, got ${closes.length})`);
+        process.exit(1);
+    }
+    const amas = MARKET_ADAPTER.AMAS;
+    const keys = opts.amas || Object.keys(amas);
+    const eps = MARKET_ADAPTER.AMA_CONVERGENCE_EPSILON;
+    console.log(`Data:    ${opts.data}`);
+    console.log(`Candles: ${closes.length}  |  EPSILON: ${eps}`);
+    console.log('');
+    // ── ER distribution display (using first AMA's erPeriod) ──────────
+    const refKey = keys[0];
+    const refCfg = amas[refKey];
+    const erP = refCfg?.erPeriod || FALLBACK_ER_PERIOD;
+    const { erValues, avgER: refAvgER } = computeSCstats(closes, erP, refCfg.fastPeriod, refCfg.slowPeriod);
+    erValues.sort((a, b) => a - b);
+    const n = erValues.length;
+    const p5 = erValues[Math.floor(0.05 * n)].toFixed(4);
+    const p50 = erValues[Math.floor(0.50 * n)].toFixed(4);
+    const p95 = erValues[Math.floor(0.95 * n)].toFixed(4);
+    console.log(`--- ER distribution (erPeriod=${erP}) ---`);
+    console.log(`  p5 ${p5}  p50 ${p50}  p95 ${p95}  avg ${refAvgER.toFixed(4)}`);
+    console.log('');
+    // ── Per-AMA analysis (compute once, cache results) ─────────────────
+    const results = [];
+    // Validate erPeriod / fastPeriod consistency for meaningful naiveSC comparison
+    const erPeriods = new Set();
+    const fastPeriods = new Set();
+    for (const key of keys) {
+        if (amas[key]) {
+            erPeriods.add(amas[key].erPeriod);
+            fastPeriods.add(amas[key].fastPeriod);
+        }
+    }
+    const consistentER = erPeriods.size === 1 && fastPeriods.size === 1;
+    for (const key of keys) {
+        const cfg = amas[key];
+        if (!cfg)
+            continue;
+        const { scAvg, avgER, count } = computeSCstats(closes, cfg.erPeriod, cfg.fastPeriod, cfg.slowPeriod);
+        const fastSC = 2 / (cfg.fastPeriod + 1);
+        const slowSC = 2 / (cfg.slowPeriod + 1);
+        const deltaSC = fastSC - slowSC;
+        const naiveSC = (avgER * deltaSC + slowSC) ** 2;
+        const impliedER = Math.max(0, Math.min(1, (Math.sqrt(scAvg) - slowSC) / deltaSC));
+        const convBars = Math.ceil(Math.log(eps) / Math.log(1 - scAvg));
+        results.push({ key, cfg, fastSC, slowSC, deltaSC, scAvg, avgER, naiveSC, impliedER, convBars, count });
+    }
+    // ── Print analysis table ───────────────────────────────────────────
+    console.log('--- Per-AMA SC analysis ---');
+    if (!consistentER) {
+        console.log('(note: selected AMAs have different erPeriod/fastPeriod — naiveSC column is per-AMA)');
+    }
+    const hdr = row(['AMA', 'fastSC', 'slowSC', 'emp SC_avg', 'naive SC (E[ER])', 'implied ER', 'conv bars'], [5, 8, 8, 11, 17, 11, 10]);
+    const sep = row(['-----', '--------', '--------', '-----------', '-----------------', '-----------', '----------'], [5, 8, 8, 11, 17, 11, 10]);
+    console.log(hdr);
+    console.log(sep);
+    for (const r of results) {
+        console.log(row([
+            r.key,
+            r.fastSC.toFixed(4),
+            r.slowSC.toFixed(4),
+            r.scAvg.toExponential(4),
+            r.naiveSC.toExponential(4),
+            r.impliedER.toFixed(4),
+            r.convBars,
+        ], [5, 8, 8, 11, 17, 11, 10]));
+    }
+    // ── Recommended constant ───────────────────────────────────────────
+    const avgImpliedER = results.reduce((a, r) => a + r.impliedER, 0) / results.length;
+    const recRounded = roundTo(avgImpliedER, 1000);
+    console.log('');
+    console.log('--- Recommended constant ---');
+    console.log(`  Average implied ER: ${avgImpliedER.toFixed(4)}`);
+    console.log(`  Rounded:            ${recRounded.toFixed(3)}`);
+    console.log('');
+    console.log(`  Current in constants.ts: AMA_CONVERGENCE_ER_AVG = ${MARKET_ADAPTER.AMA_CONVERGENCE_ER_AVG}`);
+    console.log(`  Suggested update:        AMA_CONVERGENCE_ER_AVG = ${recRounded.toFixed(3)}`);
+    // ── Convergence bars comparison (using cached results) ─────────────
+    console.log('');
+    console.log('--- Convergence bars comparison (current vs recommended ER) ---');
+    const cmpHdr = row(['AMA', `curr ER=${MARKET_ADAPTER.AMA_CONVERGENCE_ER_AVG}`, `rec ER=${recRounded.toFixed(3)}`, 'empirical'], [5, 14, 14, 10]);
+    const cmpSep = row(['-----', '--------------', '--------------', '----------'], [5, 14, 14, 10]);
+    console.log(cmpHdr);
+    console.log(cmpSep);
+    for (const r of results) {
+        const curSC = (MARKET_ADAPTER.AMA_CONVERGENCE_ER_AVG * r.deltaSC + r.slowSC) ** 2;
+        const curBars = Math.ceil(Math.log(eps) / Math.log(1 - curSC));
+        const recSC = (recRounded * r.deltaSC + r.slowSC) ** 2;
+        const recBars = Math.ceil(Math.log(eps) / Math.log(1 - recSC));
+        console.log(row([
+            r.key,
+            curBars + r.cfg.erPeriod,
+            recBars + r.cfg.erPeriod,
+            r.convBars + r.cfg.erPeriod,
+        ], [5, 14, 14, 10]));
+    }
+}
+main();
+//# sourceMappingURL=calibrate_convergence_er.js.map

package/dist/analysis/ama_fitting/calibrate_convergence_er.js.map

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package/dist/analysis/ama_fitting/fetch_lp_candles.d.ts

@@ -0,0 +1,3 @@
+#!/usr/bin/env node
+export {};
+//# sourceMappingURL=fetch_lp_candles.d.ts.map

package/dist/analysis/ama_fitting/fetch_lp_candles.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"fetch_lp_candles.d.ts","sourceRoot":"","sources":["../../../analysis/ama_fitting/fetch_lp_candles.ts"],"names":[],"mappings":""}

package/dist/analysis/ama_fitting/fetch_lp_candles.js

@@ -0,0 +1,212 @@
+#!/usr/bin/env node
+'use strict';
+Object.defineProperty(exports, "__esModule", { value: true });
+/**
+ * Fetch LP pool candles from Kibana for AMA optimizer input.
+ *
+ * Uses the same kibana_source as the market_adapter bootstrap, but saves
+ * the full uncut dataset (no pruning) for optimizer use.
+ *
+ * Usage:
+ *   tsx analysis/ama_fitting/fetch_lp_candles.ts \
+ *     --pool 1.19.133 \
+ *     --assetA IOB.XRP --assetAId 1.3.3926 --assetAPrecision 4 \
+ *     --assetB BTS     --assetBId 1.3.0    --assetBPrecision 5 \
+ *     [--interval 1h] [--hours 26280] [--out my_file.json]
+ *
+ * Defaults: --interval 1h  --hours 26280 (3 years)
+ * Output: market_adapter/data/lp/<assetA>_<assetB>/lp_pool_<poolShort>_<interval>.json
+ */
+const fs = require('fs');
+const path = require('path');
+const { normalizePoolId } = require('../../market_adapter/utils/chain');
+const { toIntervalLabel } = require('../../market_adapter/interval_utils');
+const { MARKET_ADAPTER } = require('../../modules/constants');
+const kibanaSource = require('../../market_adapter/inputs/kibana_source');
+const { PATHS } = require('../../modules/paths');
+const { ensureDir, writeJSON } = require('../../modules/utils/fs_utils');
+const DATA_DIR = PATHS.MARKET_ADAPTER.LP_DATA_DIR;
+const HOURS_3Y = 3 * 365 * 24; // 26280
+function slugPart(value) {
+    return String(value || '')
+        .trim()
+        .toLowerCase()
+        .replace(/[^a-z0-9]+/g, '_')
+        .replace(/^_+|_+$/g, '') || 'unknown';
+}
+function slugPairFolder(symbolA, symbolB) {
+    return `${slugPart(symbolA)}_${slugPart(symbolB)}`;
+}
+function parseArgs() {
+    const args = process.argv.slice(2);
+    const out = {
+        pool: null,
+        assetASymbol: null,
+        assetAId: null,
+        assetAPrecision: null,
+        assetBSymbol: null,
+        assetBId: null,
+        assetBPrecision: null,
+        intervalSeconds: MARKET_ADAPTER.RUNTIME_DEFAULTS.intervalSeconds,
+        hours: HOURS_3Y,
+        outFile: null,
+    };
+    const intervalMap = { '1m': 60, '5m': 300, '15m': 900, '1h': 3600, '4h': 14400, '1d': 86400 };
+    for (let i = 0; i < args.length; i++) {
+        const a = args[i];
+        const v = args[i + 1];
+        switch (a) {
+            case '--pool':
+                out.pool = v;
+                i++;
+                break;
+            case '--assetA':
+                out.assetASymbol = v;
+                i++;
+                break;
+            case '--assetAId':
+                out.assetAId = v;
+                i++;
+                break;
+            case '--assetAPrecision':
+                out.assetAPrecision = Number(v);
+                i++;
+                break;
+            case '--assetB':
+                out.assetBSymbol = v;
+                i++;
+                break;
+            case '--assetBId':
+                out.assetBId = v;
+                i++;
+                break;
+            case '--assetBPrecision':
+                out.assetBPrecision = Number(v);
+                i++;
+                break;
+            case '--interval':
+                out.intervalSeconds = intervalMap[v] ?? parseInt(v, 10);
+                i++;
+                break;
+            case '--hours':
+                out.hours = Number(v);
+                i++;
+                break;
+            case '--out':
+                out.outFile = v;
+                i++;
+                break;
+            case '--help':
+            case '-h':
+                printHelp();
+                process.exit(0);
+        }
+    }
+    return out;
+}
+function printHelp() {
+    console.log('fetch_lp_candles.ts — fetch LP pool candles from Kibana for AMA optimizer');
+    console.log('');
+    console.log('Usage:');
+    console.log('  tsx fetch_lp_candles.ts --pool 1.19.133 \\');
+    console.log('    --assetA IOB.XRP --assetAId 1.3.3926 --assetAPrecision 4 \\');
+    console.log('    --assetB BTS     --assetBId 1.3.0    --assetBPrecision 5');
+    console.log('');
+    console.log('Options:');
+    console.log('  --pool <id>              Pool ID (e.g. 1.19.133)');
+    console.log('  --assetA <symbol>        Asset A symbol (e.g. IOB.XRP)');
+    console.log('  --assetAId <id>          Asset A object ID (e.g. 1.3.3926)');
+    console.log('  --assetAPrecision <n>    Asset A precision (e.g. 8)');
+    console.log('  --assetB <symbol>        Asset B symbol (e.g. BTS)');
+    console.log('  --assetBId <id>          Asset B object ID (e.g. 1.3.0)');
+    console.log('  --assetBPrecision <n>    Asset B precision (e.g. 5)');
+    console.log('  --interval <label>       Candle interval (1m, 5m, 15m, 1h, 4h, 1d; default: 1h)');
+    console.log('  --hours <n>              Lookback hours (default: 26280 = 3 years)');
+    console.log('  --out <filename>         Output filename (default: auto-generated in market_adapter/data/lp/)');
+}
+function validateArgs(args) {
+    if (!args.pool)
+        throw new Error('--pool is required');
+    if (!args.assetAId)
+        throw new Error('--assetAId is required');
+    if (!Number.isFinite(args.assetAPrecision))
+        throw new Error('--assetAPrecision is required');
+    if (!args.assetBId)
+        throw new Error('--assetBId is required');
+    if (!Number.isFinite(args.assetBPrecision))
+        throw new Error('--assetBPrecision is required');
+    if (!Number.isFinite(args.hours) || args.hours <= 0)
+        throw new Error('--hours must be > 0');
+}
+async function main() {
+    const args = parseArgs();
+    validateArgs(args);
+    const assetA = {
+        id: args.assetAId,
+        precision: args.assetAPrecision,
+        symbol: args.assetASymbol || args.assetAId,
+    };
+    const assetB = {
+        id: args.assetBId,
+        precision: args.assetBPrecision,
+        symbol: args.assetBSymbol || args.assetBId,
+    };
+    const { intervalSeconds } = args;
+    const intervalLabel = toIntervalLabel(intervalSeconds);
+    const poolId = normalizePoolId(args.pool);
+    const lookback = Math.round(args.hours);
+    const yearsApprox = (lookback / (365 * 24)).toFixed(1);
+    console.log(`Fetching LP candles from Kibana`);
+    console.log(`  Pool:     ${poolId}`);
+    console.log(`  Pair:     ${assetA.symbol} / ${assetB.symbol}`);
+    console.log(`  Interval: ${intervalLabel}`);
+    console.log(`  Lookback: ${lookback}h (~${yearsApprox} years)`);
+    console.log('');
+    const candles = await kibanaSource.getLpCandlesForPool(poolId, assetA, assetB, {
+        intervalSeconds,
+        lookbackHours: lookback,
+        consolidateByTimestamp: true,
+        apiKey: null,
+        timeout: 60000,
+    });
+    if (!Array.isArray(candles) || candles.length === 0) {
+        throw new Error('Kibana returned no candles — check pool ID, asset IDs, and Kibana connectivity');
+    }
+    const firstTs = new Date(candles[0][0]).toISOString();
+    const lastTs = new Date(candles[candles.length - 1][0]).toISOString();
+    console.log(`  Received: ${candles.length} candles  (${firstTs} → ${lastTs})`);
+    const payload = {
+        meta: {
+            fetchedAt: new Date().toISOString(),
+            source: 'kibana',
+            pool: poolId,
+            assetA,
+            assetB,
+            intervalSeconds,
+            lookbackHours: lookback,
+            candleCount: candles.length,
+            format: '[timestamp_ms, open, high, low, close, volume_A]',
+        },
+        candles,
+    };
+    const poolShort = poolId.replace('1.19.', '');
+    const pairFolder = slugPairFolder(assetA.symbol, assetB.symbol);
+    const defaultName = `lp_pool_${poolShort}_${intervalLabel}.json`;
+    const outName = args.outFile || defaultName;
+    const outPath = args.outFile && path.isAbsolute(args.outFile)
+        ? args.outFile
+        : path.join(DATA_DIR, pairFolder, outName);
+    const outDir = path.dirname(outPath);
+    if (!fs.existsSync(outDir))
+        ensureDir(outDir);
+    writeJSON(outPath, payload);
+    console.log(`  Saved:    ${path.relative(process.cwd(), outPath)}`);
+    console.log('');
+    console.log('Run optimizer:');
+    console.log(`  npm run build && node dist/analysis/ama_fitting/optimizer_high_resolution.js --data ${path.relative(process.cwd(), outPath)}`);
+}
+main().catch((err) => {
+    console.error('Error:', err.message);
+    process.exit(1);
+});
+//# sourceMappingURL=fetch_lp_candles.js.map

package/dist/analysis/ama_fitting/fetch_lp_candles.js.map

@@ -0,0 +1 @@
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package/dist/analysis/ama_fitting/generate_unified_comparison_chart.d.ts

@@ -0,0 +1,31 @@
+declare function showHelp(): void;
+declare function parseArgs(argv: any): {
+    dataFile: any;
+    outFile: any;
+    quiet: boolean;
+    help: boolean;
+};
+declare function generateChart(options?: Record<string, any>): {
+    dataFile: any;
+    outFile: any;
+    amaResults: any[];
+    meta: any;
+    candleArrays: any[][];
+};
+declare function run(argv?: string[]): void;
+declare const _default: {
+    DEFAULT_STRATEGIES: {
+        name: any;
+        erPeriod: any;
+        fastPeriod: any;
+        slowPeriod: any;
+        color: string;
+        dash: string;
+    }[];
+    generateChart: typeof generateChart;
+    parseArgs: typeof parseArgs;
+    run: typeof run;
+    showHelp: typeof showHelp;
+};
+export = _default;
+//# sourceMappingURL=generate_unified_comparison_chart.d.ts.map

package/dist/analysis/ama_fitting/generate_unified_comparison_chart.d.ts.map

@@ -0,0 +1 @@
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