dexbot 1.3.2 → 1.4.0
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- package/dist/analysis/chart_utils.d.ts +11 -9
- package/dist/analysis/chart_utils.d.ts.map +1 -1
- package/dist/analysis/chart_utils.js +21 -16
- package/dist/analysis/chart_utils.js.map +1 -1
- package/dist/analysis/math_utils.d.ts +4 -13
- package/dist/analysis/math_utils.d.ts.map +1 -1
- package/dist/analysis/math_utils.js +16 -18
- package/dist/analysis/math_utils.js.map +1 -1
- package/dist/analysis/tradingview/tradingview_uplot_chart_generator.d.ts +3 -7
- package/dist/analysis/tradingview/tradingview_uplot_chart_generator.d.ts.map +1 -1
- package/dist/analysis/tradingview/tradingview_uplot_chart_generator.js +38 -34
- package/dist/analysis/tradingview/tradingview_uplot_chart_generator.js.map +1 -1
- package/dist/analysis/trend_detection/hurst_analyzer.d.ts +1 -4
- package/dist/analysis/trend_detection/hurst_analyzer.d.ts.map +1 -1
- package/dist/analysis/trend_detection/hurst_analyzer.js +10 -7
- package/dist/analysis/trend_detection/hurst_analyzer.js.map +1 -1
- package/dist/analysis/trend_detection/kalman_trend_analyzer.d.ts +6 -6
- package/dist/analysis/trend_detection/kalman_trend_analyzer.d.ts.map +1 -1
- package/dist/analysis/trend_detection/kalman_trend_analyzer.js +23 -15
- package/dist/analysis/trend_detection/kalman_trend_analyzer.js.map +1 -1
- package/dist/analysis/trend_detection/kalman_velocity_smoothing.d.ts +12 -13
- package/dist/analysis/trend_detection/kalman_velocity_smoothing.d.ts.map +1 -1
- package/dist/analysis/trend_detection/kalman_velocity_smoothing.js +16 -16
- package/dist/analysis/trend_detection/kalman_velocity_smoothing.js.map +1 -1
- package/dist/analysis/trend_detection/permutation_entropy_analyzer.d.ts +1 -4
- package/dist/analysis/trend_detection/permutation_entropy_analyzer.d.ts.map +1 -1
- package/dist/analysis/trend_detection/permutation_entropy_analyzer.js +10 -7
- package/dist/analysis/trend_detection/permutation_entropy_analyzer.js.map +1 -1
- package/dist/bot.d.ts.map +1 -1
- package/dist/bot.js +6 -13
- package/dist/bot.js.map +1 -1
- package/dist/credential-daemon.d.ts.map +1 -1
- package/dist/credential-daemon.js +74 -35
- package/dist/credential-daemon.js.map +1 -1
- package/dist/dexbot.d.ts.map +1 -1
- package/dist/dexbot.js +16 -15
- package/dist/dexbot.js.map +1 -1
- package/dist/market_adapter/ama_signal_runner.d.ts +1 -1
- package/dist/market_adapter/ama_signal_runner.d.ts.map +1 -1
- package/dist/market_adapter/ama_signal_runner.js +8 -20
- package/dist/market_adapter/ama_signal_runner.js.map +1 -1
- package/dist/market_adapter/candle_utils.d.ts +2 -10
- package/dist/market_adapter/candle_utils.d.ts.map +1 -1
- package/dist/market_adapter/candle_utils.js +7 -8
- package/dist/market_adapter/candle_utils.js.map +1 -1
- package/dist/market_adapter/core/asymmetric_bounds.d.ts +12 -7
- package/dist/market_adapter/core/asymmetric_bounds.d.ts.map +1 -1
- package/dist/market_adapter/core/asymmetric_bounds.js +4 -5
- package/dist/market_adapter/core/asymmetric_bounds.js.map +1 -1
- package/dist/market_adapter/core/config_normalizers.d.ts +4 -9
- package/dist/market_adapter/core/config_normalizers.d.ts.map +1 -1
- package/dist/market_adapter/core/config_normalizers.js +9 -9
- package/dist/market_adapter/core/config_normalizers.js.map +1 -1
- package/dist/market_adapter/core/kibana_candles.d.ts +16 -20
- package/dist/market_adapter/core/kibana_candles.d.ts.map +1 -1
- package/dist/market_adapter/core/kibana_candles.js +16 -15
- package/dist/market_adapter/core/kibana_candles.js.map +1 -1
- package/dist/market_adapter/core/kibana_client.d.ts +8 -11
- package/dist/market_adapter/core/kibana_client.d.ts.map +1 -1
- package/dist/market_adapter/core/kibana_client.js +13 -11
- package/dist/market_adapter/core/kibana_client.js.map +1 -1
- package/dist/market_adapter/core/kibana_market_candles.d.ts +5 -12
- package/dist/market_adapter/core/kibana_market_candles.d.ts.map +1 -1
- package/dist/market_adapter/core/kibana_market_candles.js +12 -21
- package/dist/market_adapter/core/kibana_market_candles.js.map +1 -1
- package/dist/market_adapter/core/market_adapter_service.d.ts +75 -53
- package/dist/market_adapter/core/market_adapter_service.d.ts.map +1 -1
- package/dist/market_adapter/core/market_adapter_service.js +102 -98
- package/dist/market_adapter/core/market_adapter_service.js.map +1 -1
- package/dist/market_adapter/core/strategies/ama.d.ts +21 -1
- package/dist/market_adapter/core/strategies/ama.d.ts.map +1 -1
- package/dist/market_adapter/core/strategies/ama.js +10 -10
- package/dist/market_adapter/core/strategies/ama.js.map +1 -1
- package/dist/market_adapter/core/strategies/ama_slope_model.d.ts +7 -11
- package/dist/market_adapter/core/strategies/ama_slope_model.d.ts.map +1 -1
- package/dist/market_adapter/core/strategies/ama_slope_model.js +23 -30
- package/dist/market_adapter/core/strategies/ama_slope_model.js.map +1 -1
- package/dist/market_adapter/core/strategies/atr/calculator.d.ts +5 -4
- package/dist/market_adapter/core/strategies/atr/calculator.d.ts.map +1 -1
- package/dist/market_adapter/core/strategies/atr/calculator.js +5 -3
- package/dist/market_adapter/core/strategies/atr/calculator.js.map +1 -1
- package/dist/market_adapter/core/strategies/collateral_manager.d.ts +4 -7
- package/dist/market_adapter/core/strategies/collateral_manager.d.ts.map +1 -1
- package/dist/market_adapter/core/strategies/collateral_manager.js +5 -4
- package/dist/market_adapter/core/strategies/collateral_manager.js.map +1 -1
- package/dist/market_adapter/core/strategies/regime_gate.d.ts +11 -19
- package/dist/market_adapter/core/strategies/regime_gate.d.ts.map +1 -1
- package/dist/market_adapter/core/strategies/regime_gate.js +22 -22
- package/dist/market_adapter/core/strategies/regime_gate.js.map +1 -1
- package/dist/market_adapter/index.d.ts +24 -2
- package/dist/market_adapter/index.d.ts.map +1 -1
- package/dist/market_adapter/index.js +82 -56
- package/dist/market_adapter/index.js.map +1 -1
- package/dist/market_adapter/inputs/fetch_cex_synthetic_data.js +26 -37
- package/dist/market_adapter/inputs/fetch_cex_synthetic_data.js.map +1 -1
- package/dist/market_adapter/inputs/fetch_lp_data.d.ts +4 -12
- package/dist/market_adapter/inputs/fetch_lp_data.d.ts.map +1 -1
- package/dist/market_adapter/inputs/fetch_lp_data.js +100 -66
- package/dist/market_adapter/inputs/fetch_lp_data.js.map +1 -1
- package/dist/market_adapter/inputs/kibana_source.d.ts +4 -9
- package/dist/market_adapter/inputs/kibana_source.d.ts.map +1 -1
- package/dist/market_adapter/inputs/kibana_source.js +17 -18
- package/dist/market_adapter/inputs/kibana_source.js.map +1 -1
- package/dist/market_adapter/interval_utils.d.ts +1 -4
- package/dist/market_adapter/interval_utils.d.ts.map +1 -1
- package/dist/market_adapter/interval_utils.js +2 -3
- package/dist/market_adapter/interval_utils.js.map +1 -1
- package/dist/market_adapter/log_format.d.ts +1 -9
- package/dist/market_adapter/log_format.d.ts.map +1 -1
- package/dist/market_adapter/log_format.js +7 -8
- package/dist/market_adapter/log_format.js.map +1 -1
- package/dist/market_adapter/lp_chart_core.d.ts +1 -4
- package/dist/market_adapter/lp_chart_core.d.ts.map +1 -1
- package/dist/market_adapter/lp_chart_core.js +22 -20
- package/dist/market_adapter/lp_chart_core.js.map +1 -1
- package/dist/market_adapter/lp_chart_runner.d.ts +13 -24
- package/dist/market_adapter/lp_chart_runner.d.ts.map +1 -1
- package/dist/market_adapter/lp_chart_runner.js +58 -56
- package/dist/market_adapter/lp_chart_runner.js.map +1 -1
- package/dist/market_adapter/lp_chart_strategy_loader.d.ts +4 -17
- package/dist/market_adapter/lp_chart_strategy_loader.d.ts.map +1 -1
- package/dist/market_adapter/lp_chart_strategy_loader.js +36 -36
- package/dist/market_adapter/lp_chart_strategy_loader.js.map +1 -1
- package/dist/market_adapter/market_adapter.d.ts +51 -72
- package/dist/market_adapter/market_adapter.d.ts.map +1 -1
- package/dist/market_adapter/market_adapter.js +227 -192
- package/dist/market_adapter/market_adapter.js.map +1 -1
- package/dist/market_adapter/merge_lp_data.js +17 -16
- package/dist/market_adapter/merge_lp_data.js.map +1 -1
- package/dist/market_adapter/test_helpers.d.ts +9 -13
- package/dist/market_adapter/test_helpers.d.ts.map +1 -1
- package/dist/market_adapter/test_helpers.js +14 -14
- package/dist/market_adapter/test_helpers.js.map +1 -1
- package/dist/market_adapter/utils/adapter_client.d.ts +6 -14
- package/dist/market_adapter/utils/adapter_client.d.ts.map +1 -1
- package/dist/market_adapter/utils/adapter_client.js +16 -15
- package/dist/market_adapter/utils/adapter_client.js.map +1 -1
- package/dist/market_adapter/utils/atomic_write.d.ts +2 -5
- package/dist/market_adapter/utils/atomic_write.d.ts.map +1 -1
- package/dist/market_adapter/utils/atomic_write.js +5 -5
- package/dist/market_adapter/utils/atomic_write.js.map +1 -1
- package/dist/market_adapter/utils/chain.d.ts +19 -21
- package/dist/market_adapter/utils/chain.d.ts.map +1 -1
- package/dist/market_adapter/utils/chain.js +15 -16
- package/dist/market_adapter/utils/chain.js.map +1 -1
- package/dist/market_adapter/utils/data_discovery.d.ts +1 -4
- package/dist/market_adapter/utils/data_discovery.d.ts.map +1 -1
- package/dist/market_adapter/utils/data_discovery.js +10 -10
- package/dist/market_adapter/utils/data_discovery.js.map +1 -1
- package/dist/market_adapter/utils/dynamic_grid_snapshot.d.ts +1 -6
- package/dist/market_adapter/utils/dynamic_grid_snapshot.d.ts.map +1 -1
- package/dist/market_adapter/utils/dynamic_grid_snapshot.js +14 -14
- package/dist/market_adapter/utils/dynamic_grid_snapshot.js.map +1 -1
- package/dist/market_adapter/utils/file_lock.d.ts +1 -7
- package/dist/market_adapter/utils/file_lock.d.ts.map +1 -1
- package/dist/market_adapter/utils/file_lock.js +21 -25
- package/dist/market_adapter/utils/file_lock.js.map +1 -1
- package/dist/market_adapter/utils/native_history.d.ts +12 -12
- package/dist/market_adapter/utils/native_history.d.ts.map +1 -1
- package/dist/market_adapter/utils/native_history.js +15 -15
- package/dist/market_adapter/utils/native_history.js.map +1 -1
- package/dist/market_adapter/utils/paths.d.ts +2 -4
- package/dist/market_adapter/utils/paths.d.ts.map +1 -1
- package/dist/market_adapter/utils/paths.js +6 -5
- package/dist/market_adapter/utils/paths.js.map +1 -1
- package/dist/modules/account_bots.d.ts +7 -8
- package/dist/modules/account_bots.d.ts.map +1 -1
- package/dist/modules/account_bots.js +92 -114
- package/dist/modules/account_bots.js.map +1 -1
- package/dist/modules/account_orders.d.ts +5 -9
- package/dist/modules/account_orders.d.ts.map +1 -1
- package/dist/modules/account_orders.js +69 -32
- package/dist/modules/account_orders.js.map +1 -1
- package/dist/modules/authority_resolver.d.ts +32 -1
- package/dist/modules/authority_resolver.d.ts.map +1 -1
- package/dist/modules/authority_resolver.js +18 -12
- package/dist/modules/authority_resolver.js.map +1 -1
- package/dist/modules/bitshares-native/chain_client.d.ts +3 -8
- package/dist/modules/bitshares-native/chain_client.d.ts.map +1 -1
- package/dist/modules/bitshares-native/chain_client.js +21 -16
- package/dist/modules/bitshares-native/chain_client.js.map +1 -1
- package/dist/modules/bitshares-native/crypto/ecc.browser.d.ts +21 -29
- package/dist/modules/bitshares-native/crypto/ecc.browser.d.ts.map +1 -1
- package/dist/modules/bitshares-native/crypto/ecc.browser.js +72 -38
- package/dist/modules/bitshares-native/crypto/ecc.browser.js.map +1 -1
- package/dist/modules/bitshares-native/crypto/ecc.d.ts +9 -36
- package/dist/modules/bitshares-native/crypto/ecc.d.ts.map +1 -1
- package/dist/modules/bitshares-native/crypto/ecc.js +40 -83
- package/dist/modules/bitshares-native/crypto/ecc.js.map +1 -1
- package/dist/modules/bitshares-native/crypto/ecc_selector.d.ts +14 -1
- package/dist/modules/bitshares-native/crypto/ecc_selector.d.ts.map +1 -1
- package/dist/modules/bitshares-native/crypto/ecc_selector.js +5 -3
- package/dist/modules/bitshares-native/crypto/ecc_selector.js.map +1 -1
- package/dist/modules/bitshares-native/index.d.ts +10 -2
- package/dist/modules/bitshares-native/index.d.ts.map +1 -1
- package/dist/modules/bitshares-native/index.js +68 -31
- package/dist/modules/bitshares-native/index.js.map +1 -1
- package/dist/modules/bitshares-native/lru_cache.d.ts +1 -4
- package/dist/modules/bitshares-native/lru_cache.d.ts.map +1 -1
- package/dist/modules/bitshares-native/lru_cache.js +6 -3
- package/dist/modules/bitshares-native/lru_cache.js.map +1 -1
- package/dist/modules/bitshares-native/resolvers.d.ts +3 -6
- package/dist/modules/bitshares-native/resolvers.d.ts.map +1 -1
- package/dist/modules/bitshares-native/resolvers.js +11 -9
- package/dist/modules/bitshares-native/resolvers.js.map +1 -1
- package/dist/modules/bitshares-native/serial/chain_constants.d.ts +53 -55
- package/dist/modules/bitshares-native/serial/chain_constants.d.ts.map +1 -1
- package/dist/modules/bitshares-native/serial/chain_constants.js +28 -27
- package/dist/modules/bitshares-native/serial/chain_constants.js.map +1 -1
- package/dist/modules/bitshares-native/serial/index.d.ts +5 -9
- package/dist/modules/bitshares-native/serial/index.d.ts.map +1 -1
- package/dist/modules/bitshares-native/serial/index.js +46 -12
- package/dist/modules/bitshares-native/serial/index.js.map +1 -1
- package/dist/modules/bitshares-native/serial/operations.d.ts +102 -100
- package/dist/modules/bitshares-native/serial/operations.d.ts.map +1 -1
- package/dist/modules/bitshares-native/serial/operations.js +473 -471
- package/dist/modules/bitshares-native/serial/operations.js.map +1 -1
- package/dist/modules/bitshares-native/serial/serializer.d.ts +2 -7
- package/dist/modules/bitshares-native/serial/serializer.d.ts.map +1 -1
- package/dist/modules/bitshares-native/serial/serializer.js +8 -3
- package/dist/modules/bitshares-native/serial/serializer.js.map +1 -1
- package/dist/modules/bitshares-native/serial/types.d.ts +26 -41
- package/dist/modules/bitshares-native/serial/types.d.ts.map +1 -1
- package/dist/modules/bitshares-native/serial/types.js +76 -42
- package/dist/modules/bitshares-native/serial/types.js.map +1 -1
- package/dist/modules/bitshares-native/signing_client.d.ts +1 -5
- package/dist/modules/bitshares-native/signing_client.d.ts.map +1 -1
- package/dist/modules/bitshares-native/signing_client.js +49 -11
- package/dist/modules/bitshares-native/signing_client.js.map +1 -1
- package/dist/modules/bitshares-native/subscriptions.d.ts +1 -4
- package/dist/modules/bitshares-native/subscriptions.d.ts.map +1 -1
- package/dist/modules/bitshares-native/subscriptions.js +47 -84
- package/dist/modules/bitshares-native/subscriptions.js.map +1 -1
- package/dist/modules/bitshares-native/transport.d.ts +1 -8
- package/dist/modules/bitshares-native/transport.d.ts.map +1 -1
- package/dist/modules/bitshares-native/transport.js +22 -15
- package/dist/modules/bitshares-native/transport.js.map +1 -1
- package/dist/modules/bitshares-native/tx/builder.d.ts +3 -8
- package/dist/modules/bitshares-native/tx/builder.d.ts.map +1 -1
- package/dist/modules/bitshares-native/tx/builder.js +61 -23
- package/dist/modules/bitshares-native/tx/builder.js.map +1 -1
- package/dist/modules/bitshares-native/tx/tx_cache.d.ts +1 -8
- package/dist/modules/bitshares-native/tx/tx_cache.d.ts.map +1 -1
- package/dist/modules/bitshares-native/tx/tx_cache.js +21 -17
- package/dist/modules/bitshares-native/tx/tx_cache.js.map +1 -1
- package/dist/modules/bitshares_client.d.ts +12 -23
- package/dist/modules/bitshares_client.d.ts.map +1 -1
- package/dist/modules/bitshares_client.js +109 -56
- package/dist/modules/bitshares_client.js.map +1 -1
- package/dist/modules/bot_settings.d.ts +1 -13
- package/dist/modules/bot_settings.d.ts.map +1 -1
- package/dist/modules/bot_settings.js +34 -34
- package/dist/modules/bot_settings.js.map +1 -1
- package/dist/modules/bots_file_lock.d.ts +3 -9
- package/dist/modules/bots_file_lock.d.ts.map +1 -1
- package/dist/modules/bots_file_lock.js +8 -9
- package/dist/modules/bots_file_lock.js.map +1 -1
- package/dist/modules/chain_keys.d.ts +7 -39
- package/dist/modules/chain_keys.d.ts.map +1 -1
- package/dist/modules/chain_keys.js +126 -90
- package/dist/modules/chain_keys.js.map +1 -1
- package/dist/modules/chain_orders.d.ts +46 -52
- package/dist/modules/chain_orders.d.ts.map +1 -1
- package/dist/modules/chain_orders.js +152 -104
- package/dist/modules/chain_orders.js.map +1 -1
- package/dist/modules/config.d.ts +50 -57
- package/dist/modules/config.d.ts.map +1 -1
- package/dist/modules/config.js +28 -24
- package/dist/modules/config.js.map +1 -1
- package/dist/modules/constants.d.ts +492 -492
- package/dist/modules/constants.d.ts.map +1 -1
- package/dist/modules/constants.js +79 -39
- package/dist/modules/constants.js.map +1 -1
- package/dist/modules/cr_planner.d.ts +1 -13
- package/dist/modules/cr_planner.d.ts.map +1 -1
- package/dist/modules/cr_planner.js +28 -28
- package/dist/modules/cr_planner.js.map +1 -1
- package/dist/modules/credential_policy.d.ts +18 -33
- package/dist/modules/credential_policy.d.ts.map +1 -1
- package/dist/modules/credential_policy.js +114 -87
- package/dist/modules/credential_policy.js.map +1 -1
- package/dist/modules/credential_runtime.d.ts +11 -21
- package/dist/modules/credential_runtime.d.ts.map +1 -1
- package/dist/modules/credential_runtime.js +40 -40
- package/dist/modules/credential_runtime.js.map +1 -1
- package/dist/modules/credential_session_cache.d.ts +8 -8
- package/dist/modules/credential_session_cache.d.ts.map +1 -1
- package/dist/modules/credential_session_cache.js +41 -8
- package/dist/modules/credential_session_cache.js.map +1 -1
- package/dist/modules/credit_runtime.d.ts +51 -316
- package/dist/modules/credit_runtime.d.ts.map +1 -1
- package/dist/modules/credit_runtime.js +257 -183
- package/dist/modules/credit_runtime.js.map +1 -1
- package/dist/modules/crypto/browser_provider.js +6 -6
- package/dist/modules/crypto/browser_provider.js.map +1 -1
- package/dist/modules/crypto/index.d.ts.map +1 -1
- package/dist/modules/crypto/index.js +2 -0
- package/dist/modules/crypto/index.js.map +1 -1
- package/dist/modules/crypto/sync.js +3 -3
- package/dist/modules/crypto/sync.js.map +1 -1
- package/dist/modules/dexbot_class.d.ts +124 -73
- package/dist/modules/dexbot_class.d.ts.map +1 -1
- package/dist/modules/dexbot_class.js +198 -3577
- package/dist/modules/dexbot_class.js.map +1 -1
- package/dist/modules/dexbot_cow_runtime.d.ts +322 -0
- package/dist/modules/dexbot_cow_runtime.d.ts.map +1 -0
- package/dist/modules/dexbot_cow_runtime.js +1836 -0
- package/dist/modules/dexbot_cow_runtime.js.map +1 -0
- package/dist/modules/dexbot_credential_client.d.ts +5 -11
- package/dist/modules/dexbot_credential_client.d.ts.map +1 -1
- package/dist/modules/dexbot_credential_client.js +32 -30
- package/dist/modules/dexbot_credential_client.js.map +1 -1
- package/dist/modules/dexbot_fill_runtime.d.ts +47 -15
- package/dist/modules/dexbot_fill_runtime.d.ts.map +1 -1
- package/dist/modules/dexbot_fill_runtime.js +565 -22
- package/dist/modules/dexbot_fill_runtime.js.map +1 -1
- package/dist/modules/dexbot_maintenance_runtime.d.ts +79 -10
- package/dist/modules/dexbot_maintenance_runtime.d.ts.map +1 -1
- package/dist/modules/dexbot_maintenance_runtime.js +294 -55
- package/dist/modules/dexbot_maintenance_runtime.js.map +1 -1
- package/dist/modules/dexbot_startup_runtime.d.ts +26 -0
- package/dist/modules/dexbot_startup_runtime.d.ts.map +1 -0
- package/dist/modules/dexbot_startup_runtime.js +575 -0
- package/dist/modules/dexbot_startup_runtime.js.map +1 -0
- package/dist/modules/dexbot_state_recovery.d.ts +115 -0
- package/dist/modules/dexbot_state_recovery.d.ts.map +1 -0
- package/dist/modules/dexbot_state_recovery.js +431 -0
- package/dist/modules/dexbot_state_recovery.js.map +1 -0
- package/dist/modules/fund_registry.d.ts +1 -13
- package/dist/modules/fund_registry.d.ts.map +1 -1
- package/dist/modules/fund_registry.js +23 -22
- package/dist/modules/fund_registry.js.map +1 -1
- package/dist/modules/general_settings.d.ts +3 -7
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- package/dist/analysis/derivative_chart_generator.js +0 -896
- package/dist/analysis/derivative_chart_generator.js.map +0 -1
- package/dist/analysis/price_sources.d.ts +0 -34
- package/dist/analysis/price_sources.d.ts.map +0 -1
- package/dist/analysis/price_sources.js +0 -103
- package/dist/analysis/price_sources.js.map +0 -1
- package/dist/analysis/trade_profitability.d.ts +0 -115
- package/dist/analysis/trade_profitability.d.ts.map +0 -1
- package/dist/analysis/trade_profitability.js +0 -1247
- package/dist/analysis/trade_profitability.js.map +0 -1
- package/dist/analysis/tradingview/analyze_tradingview.d.ts +0 -36
- package/dist/analysis/tradingview/analyze_tradingview.d.ts.map +0 -1
- package/dist/analysis/tradingview/analyze_tradingview.js +0 -172
- package/dist/analysis/tradingview/analyze_tradingview.js.map +0 -1
- package/dist/analysis/trend_detection/derivative_analyzer.d.ts +0 -250
- package/dist/analysis/trend_detection/derivative_analyzer.d.ts.map +0 -1
- package/dist/analysis/trend_detection/derivative_analyzer.js +0 -903
- package/dist/analysis/trend_detection/derivative_analyzer.js.map +0 -1
- package/dist/analysis/trend_detection/dynamic_weight_chart_generator.d.ts +0 -6
- package/dist/analysis/trend_detection/dynamic_weight_chart_generator.d.ts.map +0 -1
- package/dist/analysis/trend_detection/dynamic_weight_chart_generator.js +0 -1450
- package/dist/analysis/trend_detection/dynamic_weight_chart_generator.js.map +0 -1
- package/dist/analysis/trend_detection/kalman_chart_generator.d.ts +0 -6
- package/dist/analysis/trend_detection/kalman_chart_generator.d.ts.map +0 -1
- package/dist/analysis/trend_detection/kalman_chart_generator.js +0 -408
- package/dist/analysis/trend_detection/kalman_chart_generator.js.map +0 -1
- package/dist/analysis/trend_detection/regime_chart_generator.d.ts +0 -6
- package/dist/analysis/trend_detection/regime_chart_generator.d.ts.map +0 -1
- package/dist/analysis/trend_detection/regime_chart_generator.js +0 -345
- package/dist/analysis/trend_detection/regime_chart_generator.js.map +0 -1
- package/dist/analysis/trend_detection/tests/test_kalman_trend.d.ts +0 -2
- package/dist/analysis/trend_detection/tests/test_kalman_trend.d.ts.map +0 -1
- package/dist/analysis/trend_detection/tests/test_kalman_trend.js +0 -130
- package/dist/analysis/trend_detection/tests/test_kalman_trend.js.map +0 -1
- package/dist/analysis/trend_detection/tests/test_kalman_velocity_smoothing.d.ts +0 -2
- package/dist/analysis/trend_detection/tests/test_kalman_velocity_smoothing.d.ts.map +0 -1
- package/dist/analysis/trend_detection/tests/test_kalman_velocity_smoothing.js +0 -38
- package/dist/analysis/trend_detection/tests/test_kalman_velocity_smoothing.js.map +0 -1
- package/dist/analysis/trend_detection/volatility_chart_generator.d.ts +0 -6
- package/dist/analysis/trend_detection/volatility_chart_generator.d.ts.map +0 -1
- package/dist/analysis/trend_detection/volatility_chart_generator.js +0 -732
- package/dist/analysis/trend_detection/volatility_chart_generator.js.map +0 -1
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#!/usr/bin/env node
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/**
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* TRADE HEATMAP ANALYZER
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*
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* Generates an HTML heatmap showing where trade volume concentrates relative
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* to AMA deviation. Produces a 2D grid (time slices × deviation buckets) and
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* a summed volume histogram with threshold annotations.
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*
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* Usage:
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* tsx analysis/analyze_trade_heatmap.ts --data <path> [options]
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*
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* Data:
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* Expects LP candle JSON with { candles: [[ts, o, h, l, c, v], ...] }
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*
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* Requires:
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* - calculateAMA from market_adapter/core/strategies/ama
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* - MARKET_ADAPTER.AMAS presets from ../modules/constants
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*
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* Output:
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* Self-contained HTML file with inline CSS (no JS dependencies).
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*
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* Options — see --help for full list.
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*/
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'use strict';
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Object.defineProperty(exports, "__esModule", { value: true });
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const fs = require('fs');
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const path = require('path');
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const { calculateAMA } = require('../market_adapter/core/strategies/ama');
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const { MARKET_ADAPTER } = require('../modules/constants');
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/**
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* Parse CLI arguments. Unknown flags are silently ignored.
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* Supports --flag value and --flag (boolean) conventions.
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*/
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function parseArgs() {
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const args = process.argv.slice(2);
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const idx = (f) => { const i = args.indexOf(`--${f}`); return i !== -1 ? args[i + 1] : null; };
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const has = (f) => args.includes(`--${f}`);
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const rawBuckets = idx('buckets');
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const rawWarmup = idx('warmup');
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const rawBinSize = idx('bin-size');
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const rawSliceMonths = idx('slice-months');
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const rawThresholds = idx('thresholds');
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const rawMaxNeg = idx('max-neg');
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const rawMaxPos = idx('max-pos');
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return {
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data: idx('data') || (args.length > 0 && !args[0].startsWith('--') ? args[0] : null),
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ama: idx('ama') || 'AMA3',
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output: idx('output') || 'analysis/charts/trade_heatmap.html',
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buckets: rawBuckets !== null ? parseInt(rawBuckets, 10) : null,
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maxNeg: rawMaxNeg !== null ? parseFloat(rawMaxNeg) : null,
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maxPos: rawMaxPos !== null ? parseFloat(rawMaxPos) : null,
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warmup: rawWarmup !== null ? parseInt(rawWarmup, 10) : null,
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binSize: rawBinSize !== null ? parseFloat(rawBinSize) : 5,
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sliceMonths: rawSliceMonths !== null ? parseInt(rawSliceMonths, 10) : 12,
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thresholds: rawThresholds !== null ? rawThresholds.split(',').map(Number) : [1, 2, 3, 5, 10, 20],
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verbose: has('verbose'),
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};
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}
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const { calcStdDev } = require('./math_utils');
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const { ensureDir, readJSON } = require('../modules/utils/fs_utils');
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/**
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* Main entry point.
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* 1. Parse config, load candles, compute AMA
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* 2. Build deviation records with volume
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* 3. Compute distribution stats, bucket into bins
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* 4. Build time-slice heatmap grid + summed histogram
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* 5. Write self-contained HTML output
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*/
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function main() {
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const cfg = parseArgs();
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if (!cfg.data) {
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console.error('Usage: tsx analysis/analyze_trade_heatmap.ts --data <path> [options]');
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console.error('');
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console.error('Options:');
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console.error(' --data <path> Path to LP candle JSON file (required)');
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console.error(' --ama <preset> AMA preset (AMA1-AMA4, default: AMA3)');
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console.error(' --output <path> Output HTML path (default: analysis/charts/trade_heatmap.html)');
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console.error(' --bin-size <n> Percentage points per bin (default: 5)');
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console.error(' --max-neg <n> Max negative deviation % (default: derived from --buckets, or --bin-size*10)');
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console.error(' --max-pos <n> Max positive deviation % (default: derived from --buckets, or --bin-size*10)');
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console.error(' --buckets <n> Total bins (used with --bin-size for symmetric range, overrides --max-neg/--max-pos)');
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console.error(' --warmup <n> Bars to skip for AMA warmup (default: erPeriod of selected AMA)');
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console.error(' --slice-months <n> Months per time slice (default: 12)');
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console.error(' --thresholds <list> Comma-separated deviation thresholds for volume concentration table (default: 1,2,3,5,10,20)');
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console.error(' --verbose Print detailed processing info');
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process.exit(1);
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}
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if (!fs.existsSync(cfg.data)) {
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console.error(`Data file not found: ${cfg.data}`);
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process.exit(1);
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}
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const raw = readJSON(cfg.data);
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if (!raw.candles || !Array.isArray(raw.candles)) {
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console.error('Invalid data: expected "candles" array');
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process.exit(1);
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}
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const amaCfg = MARKET_ADAPTER.AMAS[cfg.ama];
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if (!amaCfg) {
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console.error(`Unknown AMA preset: ${cfg.ama}. Choose: ${Object.keys(MARKET_ADAPTER.AMAS).join(', ')}`);
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process.exit(1);
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}
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const candles = raw.candles;
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const closes = candles.map(c => Number(c[4]));
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const volumes = candles.map(c => Number(c[5]) || 0);
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const timestamps = candles.map(c => Number(c[0]));
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if (cfg.warmup === null) {
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cfg.warmup = Math.ceil(amaCfg.erPeriod);
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}
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if (cfg.verbose)
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console.log(`Computing ${cfg.ama} on ${closes.length} candles (warmup=${cfg.warmup})...`);
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const amaValues = calculateAMA(closes, amaCfg);
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const records = [];
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for (let i = cfg.warmup; i < closes.length; i++) {
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const ama = amaValues[i];
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if (!Number.isFinite(ama) || ama === 0)
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continue;
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const devPct = ((closes[i] - ama) / ama) * 100;
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const vol = volumes[i];
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if (vol <= 0)
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continue;
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records.push({ devPct, vol, ts: timestamps[i] });
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}
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if (records.length === 0) {
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console.error('No valid records after filtering');
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process.exit(1);
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}
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if (cfg.verbose)
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console.log(`${records.length} volume-bearing candles after warmup`);
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const devs = records.map(r => r.devPct);
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const vols = records.map(r => r.vol);
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const totalVol = vols.reduce((a, b) => a + b, 0);
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const meanDev = devs.reduce((a, b) => a + b, 0) / devs.length;
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const stdDev = calcStdDev(devs);
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const sortedDevs = devs.slice().sort((a, b) => a - b);
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const medianDev = sortedDevs[Math.floor(sortedDevs.length / 2)];
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let weightedSum = 0;
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for (let i = 0; i < devs.length; i++)
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weightedSum += devs[i] * vols[i];
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const volWeightedMeanDev = weightedSum / totalVol;
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const binSize = cfg.binSize;
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let leftBins, rightBins;
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if (cfg.buckets !== null) {
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const half = Math.floor(cfg.buckets / 2);
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leftBins = half;
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rightBins = half;
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}
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else {
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leftBins = Math.ceil((cfg.maxNeg !== null ? cfg.maxNeg : binSize * 10) / binSize);
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rightBins = Math.ceil((cfg.maxPos !== null ? cfg.maxPos : binSize * 10) / binSize);
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}
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const maxNegDev = leftBins * binSize;
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const maxPosDev = rightBins * binSize;
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const binLabels = [];
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for (let i = -leftBins; i <= rightBins; i++) {
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binLabels.push((i * binSize).toFixed(1));
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}
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const nBins = binLabels.length;
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const binKey = (dev) => {
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const idx = Math.round(dev / binSize) + leftBins;
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return Math.max(0, Math.min(nBins - 1, idx));
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};
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const minTs = timestamps[cfg.warmup];
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const maxTs = timestamps[timestamps.length - 1];
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const minDate = new Date(minTs);
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const maxDate = new Date(maxTs);
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const sliceMonths = cfg.sliceMonths;
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const slices = [];
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let sliceStart = new Date(minDate.getFullYear(), minDate.getMonth(), 1);
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while (sliceStart <= maxDate) {
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const sliceEnd = new Date(sliceStart);
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sliceEnd.setMonth(sliceEnd.getMonth() + sliceMonths);
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slices.push({
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label: `${sliceStart.getFullYear()}-${String(sliceStart.getMonth() + 1).padStart(2, '0')}`,
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start: sliceStart.getTime(),
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end: sliceEnd.getTime(),
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});
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sliceStart = sliceEnd;
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}
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const sliceBuckets = slices.map(() => new Array(nBins).fill(0));
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const sliceTotals = new Array(slices.length).fill(0);
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for (const r of records) {
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const si = slices.findIndex(s => r.ts >= s.start && r.ts < s.end);
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if (si === -1)
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continue;
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const bi = binKey(r.devPct);
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sliceBuckets[si][bi] += r.vol;
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sliceTotals[si] += r.vol;
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}
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while (slices.length > 0 && sliceTotals[sliceTotals.length - 1] === 0) {
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slices.pop();
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sliceBuckets.pop();
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sliceTotals.pop();
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}
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const totalBins = new Array(nBins).fill(0);
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for (const r of records) {
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totalBins[binKey(r.devPct)] += r.vol;
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}
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const maxBinVol = Math.max(...totalBins);
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const pctWithin = cfg.thresholds.map(t => {
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const volIn = records.filter(r => Math.abs(r.devPct) <= t).reduce((s, r) => s + r.vol, 0);
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return (volIn / totalVol * 100).toFixed(2);
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});
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const peakBinIdx = totalBins.indexOf(maxBinVol);
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const peakDev = binLabels[peakBinIdx];
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// Compute color cap from data: 95th percentile of slice-cell percentages
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const allCellPcts = [];
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for (let si = 0; si < slices.length; si++) {
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for (let bi = 0; bi < nBins; bi++) {
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if (sliceTotals[si] > 0) {
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allCellPcts.push((sliceBuckets[si][bi] / sliceTotals[si]) * 100);
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}
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}
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}
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allCellPcts.sort((a, b) => a - b);
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const colorCap = allCellPcts.length > 0
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? allCellPcts[Math.floor(allCellPcts.length * 0.95)]
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: 30;
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function heatColor(pct) {
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if (pct <= 0)
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return '#0d1117';
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const n = Math.min(pct / colorCap, 1);
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const r = Math.round(13 + n * (255 - 13));
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const g = Math.round(17 + n * (160 - 17));
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const b = Math.round(23 + n * (70 - 23));
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return `rgb(${r},${g},${b})`;
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}
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function histColor(pct, maxPct) {
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const n = maxPct > 0 ? pct / maxPct : 0;
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const r = Math.round(56 + n * (255 - 56));
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const g = Math.round(178 + n * (160 - 178));
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const b = Math.round(73 + n * (70 - 73));
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return `rgb(${r},${g},${b})`;
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}
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const heatRows = slices.map((sl, si) => {
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const rowPcts = sliceBuckets[si].map(v => sliceTotals[si] > 0 ? (v / sliceTotals[si]) * 100 : 0);
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const cells = rowPcts.map((p, bi) => {
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const pctStr = p > 0 ? p.toFixed(1) : '';
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return `<td class="hm-cell" style="background:${heatColor(p)}" title="dev=${binLabels[bi]}% vol=${(sliceBuckets[si][bi]).toFixed(2)} (${p.toFixed(1)}% of ${sl.label})">${pctStr}</td>`;
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239
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}).join('');
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240
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return `<tr><td class="yl">${sl.label}</td>${cells}</tr>`;
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241
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}).join('\n');
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242
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const maxBarPct = Math.max(...totalBins);
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243
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const barRows = totalBins.map((v, i) => {
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const barPct = maxBarPct > 0 ? (v / maxBarPct) * 100 : 0;
|
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245
|
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const color = histColor(v, maxBarPct);
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246
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const barH = Math.max(barPct * 0.7, 0.5);
|
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return `<div class="bar" style="height:${barH}px;background:${color}" title="Deviation: ${binLabels[i]}% Volume: ${v.toFixed(2)}"></div>`;
|
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248
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}).join('');
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249
|
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const xLabelInterval = Math.max(1, Math.floor(nBins / 11));
|
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250
|
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const xLabelsHtml = binLabels.map((l, i) => {
|
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if (i === 0 || i === nBins - 1 || i % xLabelInterval === 0) {
|
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return `<span>${l}%</span>`;
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}
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return '<span></span>';
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255
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}).join('');
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256
|
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const threshHtml = cfg.thresholds.map(t => {
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const pct = ((leftBins + t / binSize) / nBins) * 100;
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return `<div class="thresh-line" style="left:${Math.min(Math.max(pct, 0), 100)}%"><span class="thresh-label">±${t}%</span></div>`;
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}).join('');
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const html = `<!DOCTYPE html>
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<html lang="en">
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<head>
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<meta charset="UTF-8">
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<title>Trade Heatmap — ${cfg.ama} Deviation</title>
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<style>
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|
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* { box-sizing: border-box; }
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body { background: #0b0e14; color: #d1d5db; font-family: 'Segoe UI', sans-serif; margin: 0; padding: 24px; }
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h1 { color: #fff; font-size: 18px; margin: 0 0 2px 0; }
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.subtitle { color: #8b949e; font-size: 12px; margin: 0 0 16px 0; }
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.stats-grid { display: grid; grid-template-columns: repeat(auto-fill, minmax(140px, 1fr)); gap: 10px; margin-bottom: 24px; }
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.stat-card { background: #161b22; border: 1px solid #30363d; border-radius: 6px; padding: 10px 12px; }
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.stat-card .lbl { color: #8b949e; font-size: 9px; text-transform: uppercase; letter-spacing: 0.8px; }
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.stat-card .val { color: #f0f6fc; font-size: 16px; font-weight: bold; margin-top: 2px; }
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|
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.stat-card .val.green { color: #3fb950; }
|
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|
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.stat-card .val.orange { color: #f08c00; }
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276
|
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.stat-card .val.blue { color: #58a6ff; }
|
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277
|
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.hm-wrap { overflow-x: auto; margin-bottom: 28px; }
|
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278
|
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table.heatmap { border-collapse: collapse; font-size: 10px; }
|
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279
|
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table.heatmap th { color: #8b949e; font-size: 9px; font-weight: normal; padding: 2px 0; min-width: 32px; text-align: center; }
|
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280
|
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table.heatmap td.hm-cell { width: 30px; height: 22px; text-align: center; font-size: 8px; color: rgba(255,255,255,0.6); cursor: default; border: 1px solid #161b22; border-radius: 1px; }
|
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281
|
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table.heatmap td.yl { color: #8b949e; font-size: 10px; text-align: right; padding-right: 8px; white-space: nowrap; }
|
|
282
|
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.legend-row { display: flex; align-items: center; gap: 12px; font-size: 10px; color: #8b949e; margin-bottom: 20px; }
|
|
283
|
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.legend-bar { width: 160px; height: 8px; border-radius: 3px; background: linear-gradient(to right, #0d1117, #1f6f2f, #3fb950, #ffa03e, #f85149); }
|
|
284
|
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.section-title { color: #8b949e; font-size: 10px; text-transform: uppercase; letter-spacing: 1px; margin: 0 0 10px 0; border-bottom: 1px solid #30363d; padding-bottom: 4px; }
|
|
285
|
-
.hist-wrap { position: relative; margin-bottom: 36px; }
|
|
286
|
-
.hist-bar-container { display: flex; align-items: flex-end; gap: 1px; height: 180px; }
|
|
287
|
-
.hist-bar-container .bar { flex: 1; min-height: 1px; border-radius: 1px; cursor: pointer; transition: opacity 0.15s; }
|
|
288
|
-
.hist-bar-container .bar:hover { opacity: 0.8; }
|
|
289
|
-
.hist-overlay { position: absolute; top: 0; left: 0; right: 0; height: 180px; pointer-events: none; }
|
|
290
|
-
.thresh-line { position: absolute; top: 0; bottom: 0; width: 0; border-left: 1px dashed rgba(248,81,73,0.5); }
|
|
291
|
-
.thresh-label { position: absolute; top: 2px; left: 50%; transform: translateX(-50%); font-size: 8px; color: #f85149; white-space: nowrap; background: rgba(11,14,20,0.8); padding: 0 3px; line-height: 12px; }
|
|
292
|
-
.x-labels { display: flex; font-size: 9px; color: #8b949e; margin-top: 4px; }
|
|
293
|
-
.x-labels span { flex: 1; text-align: center; white-space: nowrap; }
|
|
294
|
-
.pct-table { font-size: 11px; color: #8b949e; margin-bottom: 24px; }
|
|
295
|
-
.pct-table td { padding: 3px 12px 3px 0; }
|
|
296
|
-
.pct-table td:first-child { color: #d1d5db; }
|
|
297
|
-
.pct-table .val-col { text-align: right; font-weight: bold; color: #3fb950; font-family: monospace; }
|
|
298
|
-
.bottom { display: flex; gap: 32px; align-items: flex-start; flex-wrap: wrap; margin-top: 8px; }
|
|
299
|
-
.params-table { font-size: 11px; color: #8b949e; }
|
|
300
|
-
.params-table td { padding: 2px 16px 2px 0; }
|
|
301
|
-
.params-table td:first-child { color: #555; }
|
|
302
|
-
</style>
|
|
303
|
-
</head>
|
|
304
|
-
<body>
|
|
305
|
-
<h1>Trade Heatmap — ${cfg.ama} Deviation</h1>
|
|
306
|
-
<p class="subtitle">
|
|
307
|
-
${closes.length} candles · ${records.length} with volume ·
|
|
308
|
-
${(totalVol).toFixed(1)} total volume units ·
|
|
309
|
-
${binSize}% bins ·
|
|
310
|
-
${slices.length} time slices ·
|
|
311
|
-
${raw.meta && raw.meta.pool ? raw.meta.pool : path.basename(path.dirname(cfg.data))}
|
|
312
|
-
</p>
|
|
313
|
-
<div class="stats-grid">
|
|
314
|
-
<div class="stat-card"><div class="lbl">Mean Deviation</div><div class="val">${meanDev.toFixed(2)}%</div></div>
|
|
315
|
-
<div class="stat-card"><div class="lbl">Median Deviation</div><div class="val">${medianDev.toFixed(2)}%</div></div>
|
|
316
|
-
<div class="stat-card"><div class="lbl">Std Deviation</div><div class="val blue">${stdDev.toFixed(2)}%</div></div>
|
|
317
|
-
<div class="stat-card"><div class="lbl">Vol-Weighted Mean</div><div class="val">${volWeightedMeanDev.toFixed(2)}%</div></div>
|
|
318
|
-
<div class="stat-card"><div class="lbl">Peak Bucket</div><div class="val green">${peakDev}%</div></div>
|
|
319
|
-
<div class="stat-card"><div class="lbl">Max |Dev|</div><div class="val orange">${Math.max(...devs.map(Math.abs)).toFixed(2)}%</div></div>
|
|
320
|
-
</div>
|
|
321
|
-
<div class="section-title">Volume Distribution by Time Slice — % of slice volume per deviation bucket</div>
|
|
322
|
-
<div class="hm-wrap">
|
|
323
|
-
<table class="heatmap">
|
|
324
|
-
<thead><tr><th></th>${binLabels.map(l => `<th>${l}</th>`).join('')}</tr></thead>
|
|
325
|
-
<tbody>${heatRows}</tbody>
|
|
326
|
-
</table>
|
|
327
|
-
</div>
|
|
328
|
-
<div class="legend-row">
|
|
329
|
-
<span>0%</span>
|
|
330
|
-
<div class="legend-bar"></div>
|
|
331
|
-
<span>≥${colorCap.toFixed(0)}% of slice</span>
|
|
332
|
-
</div>
|
|
333
|
-
<div class="section-title">Summed Volume Distribution — total volume per deviation bucket</div>
|
|
334
|
-
<div class="hist-wrap">
|
|
335
|
-
<div class="hist-bar-container">
|
|
336
|
-
${cfg.thresholds.length > 0 ? `<div class="hist-overlay">${threshHtml}</div>` : ''}
|
|
337
|
-
${barRows}
|
|
338
|
-
</div>
|
|
339
|
-
<div class="x-labels">${xLabelsHtml}</div>
|
|
340
|
-
</div>
|
|
341
|
-
<div class="section-title">Volume Concentration</div>
|
|
342
|
-
<table class="pct-table">
|
|
343
|
-
${cfg.thresholds.map((t, i) => `<tr><td>Within ±${t}% of AMA</td><td class="val-col">${pctWithin[i]}%</td></tr>`).join('')}
|
|
344
|
-
</table>
|
|
345
|
-
<div class="bottom">
|
|
346
|
-
<table class="params-table">
|
|
347
|
-
<tr><td>AMA Preset</td><td>${cfg.ama}</td></tr>
|
|
348
|
-
<tr><td>ER Period</td><td>${amaCfg.erPeriod}</td></tr>
|
|
349
|
-
<tr><td>Fast SC (period)</td><td>${amaCfg.fastPeriod}</td></tr>
|
|
350
|
-
<tr><td>Slow SC (period)</td><td>${amaCfg.slowPeriod}</td></tr>
|
|
351
|
-
<tr><td>Bin size</td><td>${binSize}%</td></tr>
|
|
352
|
-
<tr><td>Total bins</td><td>${nBins} (${(-maxNegDev).toFixed(0)}% to +${maxPosDev.toFixed(0)}%)</td></tr>
|
|
353
|
-
<tr><td>Warmup bars skipped</td><td>${cfg.warmup}</td></tr>
|
|
354
|
-
<tr><td>Slice months</td><td>${cfg.sliceMonths}</td></tr>
|
|
355
|
-
<tr><td>Data range</td><td>${minDate.toISOString().split('T')[0]} – ${maxDate.toISOString().split('T')[0]}</td></tr>
|
|
356
|
-
</table>
|
|
357
|
-
</div>
|
|
358
|
-
</body>
|
|
359
|
-
</html>`;
|
|
360
|
-
const outDir = path.dirname(cfg.output);
|
|
361
|
-
if (!fs.existsSync(outDir))
|
|
362
|
-
ensureDir(outDir);
|
|
363
|
-
fs.writeFileSync(cfg.output, html, 'utf8');
|
|
364
|
-
console.log(`✓ Heatmap saved to ${cfg.output}`);
|
|
365
|
-
}
|
|
366
|
-
main();
|
|
367
|
-
//# sourceMappingURL=analyze_trade_heatmap.js.map
|
|
@@ -1 +0,0 @@
|
|
|
1
|
-
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CAAC,CAAC;AACpD,CAAC;AACD,IAAI,EAAE,CAAC"}
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#!/usr/bin/env node
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/**
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* VOLATILITY / SYMMETRIC SHIFT RESEARCH TOOL
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*
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* Computes the symmetric volatility shift used by the market adapter.
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*
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* Signal path:
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* ATR(period, default 14) -> weightVariance = atr / amaPrice
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* rawSymmetricDelta = -pow(weightVariance, volatilityExponent) * volatilityScaleX
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* clampedRawDelta = clamp(rawSymmetricDelta, -DYNAMIC_WEIGHT_SYMMETRIC_SHIFT_CLAMP, 0)
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* symmetricDelta = |clampedRawDelta| < volatilityThreshold ? 0 : clampedRawDelta
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*
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* The live adapter adds this penalty to both sides after the trend term is built.
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* This runner intentionally omits the directional trend branch so the volatility
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* effect can be researched in isolation.
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*
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* Usage:
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* tsx analysis/analyze_volatility.ts \
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* --file market_adapter/data/lp/<path>/<to>/<lp-candles>.json
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*/
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export {};
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//# sourceMappingURL=analyze_volatility.d.ts.map
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{"version":3,"file":"analyze_volatility.d.ts","sourceRoot":"","sources":["../../analysis/analyze_volatility.ts"],"names":[],"mappings":";AAEA;;;;;;;;;;;;;;;;;;GAkBG"}
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#!/usr/bin/env node
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/**
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3
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-
* VOLATILITY / SYMMETRIC SHIFT RESEARCH TOOL
|
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4
|
-
*
|
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5
|
-
* Computes the symmetric volatility shift used by the market adapter.
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6
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-
*
|
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7
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-
* Signal path:
|
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8
|
-
* ATR(period, default 14) -> weightVariance = atr / amaPrice
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9
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-
* rawSymmetricDelta = -pow(weightVariance, volatilityExponent) * volatilityScaleX
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10
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* clampedRawDelta = clamp(rawSymmetricDelta, -DYNAMIC_WEIGHT_SYMMETRIC_SHIFT_CLAMP, 0)
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* symmetricDelta = |clampedRawDelta| < volatilityThreshold ? 0 : clampedRawDelta
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*
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13
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-
* The live adapter adds this penalty to both sides after the trend term is built.
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14
|
-
* This runner intentionally omits the directional trend branch so the volatility
|
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15
|
-
* effect can be researched in isolation.
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16
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-
*
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17
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-
* Usage:
|
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18
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* tsx analysis/analyze_volatility.ts \
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* --file market_adapter/data/lp/<path>/<to>/<lp-candles>.json
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*/
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'use strict';
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Object.defineProperty(exports, "__esModule", { value: true });
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const path = require('path');
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const { PATHS } = require('../modules/paths');
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-
const { createSource } = require('./price_sources');
|
|
26
|
-
const { calculateAMA } = require('../market_adapter/core/strategies/ama');
|
|
27
|
-
const { generateHTML } = require('./trend_detection/volatility_chart_generator');
|
|
28
|
-
const { MARKET_ADAPTER } = require('../modules/constants');
|
|
29
|
-
const { computeATR, getCandleClose } = require('./math_utils');
|
|
30
|
-
const { writeChartFile } = require('./chart_utils');
|
|
31
|
-
const AMA_CONFIG = MARKET_ADAPTER.AMAS.AMA3;
|
|
32
|
-
const DEFAULT_ATR_PERIOD = MARKET_ADAPTER.DYNAMIC_WEIGHT_ATR_PERIOD_DEFAULT;
|
|
33
|
-
const MIN_WEIGHT = MARKET_ADAPTER.DYNAMIC_WEIGHT_MIN_WEIGHT;
|
|
34
|
-
const MAX_WEIGHT = MARKET_ADAPTER.DYNAMIC_WEIGHT_MAX_WEIGHT;
|
|
35
|
-
const DEFAULT_THRESHOLD = MARKET_ADAPTER.DYNAMIC_WEIGHT_SYMMETRIC_SHIFT_THRESHOLD;
|
|
36
|
-
const DEFAULT_CLAMP = MARKET_ADAPTER.DYNAMIC_WEIGHT_SYMMETRIC_SHIFT_CLAMP;
|
|
37
|
-
const MIN_ATR_PERIOD = 3;
|
|
38
|
-
const MAX_ATR_PERIOD = 30;
|
|
39
|
-
const DEFAULT_CHART_DIR = path.join(__dirname, 'charts');
|
|
40
|
-
const DEFAULT_CHART_FILE = path.join(DEFAULT_CHART_DIR, 'volatility_chart.html');
|
|
41
|
-
function normalizeAtrPeriod(period) {
|
|
42
|
-
const n = Math.round(Number(period));
|
|
43
|
-
if (!Number.isFinite(n))
|
|
44
|
-
return DEFAULT_ATR_PERIOD;
|
|
45
|
-
return Math.max(MIN_ATR_PERIOD, Math.min(MAX_ATR_PERIOD, n));
|
|
46
|
-
}
|
|
47
|
-
function computeATRSeries(candles, period = DEFAULT_ATR_PERIOD) {
|
|
48
|
-
return computeATR(candles, normalizeAtrPeriod(period));
|
|
49
|
-
}
|
|
50
|
-
function parseArgs() {
|
|
51
|
-
const args = process.argv.slice(2);
|
|
52
|
-
const config = {
|
|
53
|
-
source: { type: 'market_adapter', config: { botKey: '' } },
|
|
54
|
-
chartFile: DEFAULT_CHART_FILE,
|
|
55
|
-
threshold: DEFAULT_THRESHOLD,
|
|
56
|
-
atrPeriod: DEFAULT_ATR_PERIOD,
|
|
57
|
-
exponent: MARKET_ADAPTER.DYNAMIC_WEIGHT_VOLATILITY_EXPONENT,
|
|
58
|
-
scaleX: MARKET_ADAPTER.DYNAMIC_WEIGHT_VOLATILITY_SCALE_X_DEFAULT,
|
|
59
|
-
clamp: DEFAULT_CLAMP,
|
|
60
|
-
quiet: false,
|
|
61
|
-
};
|
|
62
|
-
for (let i = 0; i < args.length; i++) {
|
|
63
|
-
const arg = args[i];
|
|
64
|
-
if (arg === '--source')
|
|
65
|
-
config.source.type = args[++i];
|
|
66
|
-
else if (arg === '--bot-key')
|
|
67
|
-
config.source.config.botKey = args[++i];
|
|
68
|
-
else if (arg === '--file') {
|
|
69
|
-
config.source.config.filePath = args[++i];
|
|
70
|
-
config.source.type = 'json';
|
|
71
|
-
}
|
|
72
|
-
else if (arg === '--chart')
|
|
73
|
-
config.chartFile = args[++i];
|
|
74
|
-
else if (arg === '--threshold')
|
|
75
|
-
config.threshold = parseFloat(args[++i]);
|
|
76
|
-
else if (arg === '--atr-period') {
|
|
77
|
-
const next = parseInt(args[++i], 10);
|
|
78
|
-
if (Number.isFinite(next))
|
|
79
|
-
config.atrPeriod = normalizeAtrPeriod(next);
|
|
80
|
-
}
|
|
81
|
-
else if (arg === '--exp')
|
|
82
|
-
config.exponent = parseFloat(args[++i]);
|
|
83
|
-
else if (arg === '--scale-x')
|
|
84
|
-
config.scaleX = parseFloat(args[++i]);
|
|
85
|
-
else if (arg === '--clamp')
|
|
86
|
-
config.clamp = parseFloat(args[++i]);
|
|
87
|
-
else if (arg === '--quiet')
|
|
88
|
-
config.quiet = true;
|
|
89
|
-
}
|
|
90
|
-
return config;
|
|
91
|
-
}
|
|
92
|
-
function computeShift(weightVariance, exponent, scaleX, threshold, clampValue) {
|
|
93
|
-
const safeVariance = Number.isFinite(weightVariance) && weightVariance > 0 ? weightVariance : 0;
|
|
94
|
-
const safeExponent = Number.isFinite(exponent) && exponent >= 0 ? exponent : MARKET_ADAPTER.DYNAMIC_WEIGHT_VOLATILITY_EXPONENT;
|
|
95
|
-
const safeScaleX = Number.isFinite(scaleX) && scaleX >= 0 ? scaleX : MARKET_ADAPTER.DYNAMIC_WEIGHT_VOLATILITY_SCALE_X_DEFAULT;
|
|
96
|
-
const safeThreshold = Number.isFinite(threshold) && threshold >= 0 ? threshold : DEFAULT_THRESHOLD;
|
|
97
|
-
const safeClamp = Number.isFinite(clampValue) && clampValue >= 0 ? clampValue : DEFAULT_CLAMP;
|
|
98
|
-
const effectiveExponent = Math.max(0.5, Math.min(1.0, safeExponent));
|
|
99
|
-
const effectiveScaleX = Math.max(1.0, Math.min(100.0, safeScaleX));
|
|
100
|
-
const rawDelta = -Math.pow(safeVariance, effectiveExponent) * effectiveScaleX;
|
|
101
|
-
const clampedRawDelta = Math.max(safeClamp * -1, Math.min(0, rawDelta));
|
|
102
|
-
const symmetricDelta = Math.abs(clampedRawDelta) < safeThreshold ? 0 : clampedRawDelta;
|
|
103
|
-
const effectiveWeight = Math.max(MIN_WEIGHT, Math.min(MAX_WEIGHT, 0.5 + symmetricDelta));
|
|
104
|
-
return {
|
|
105
|
-
rawSymmetricDelta: clampedRawDelta,
|
|
106
|
-
symmetricDelta,
|
|
107
|
-
effectiveWeight,
|
|
108
|
-
sellW: effectiveWeight,
|
|
109
|
-
buyW: effectiveWeight,
|
|
110
|
-
};
|
|
111
|
-
}
|
|
112
|
-
async function main() {
|
|
113
|
-
try {
|
|
114
|
-
const config = parseArgs();
|
|
115
|
-
const srcConfig = config.source.config;
|
|
116
|
-
if (config.source.type === 'market_adapter' && !srcConfig.stateDir) {
|
|
117
|
-
srcConfig.stateDir = PATHS.MARKET_ADAPTER.STATE_DIR;
|
|
118
|
-
}
|
|
119
|
-
const source = createSource(config.source.type, srcConfig);
|
|
120
|
-
if (!config.quiet)
|
|
121
|
-
console.log(`[Volatility] Loading candles from ${source.name}...`);
|
|
122
|
-
const candles = await source.fetchCandles();
|
|
123
|
-
if (!Array.isArray(candles) || candles.length === 0) {
|
|
124
|
-
throw new Error('No candles returned from source');
|
|
125
|
-
}
|
|
126
|
-
const closes = candles.map(c => getCandleClose(c) ?? 0);
|
|
127
|
-
const ama3Values = calculateAMA(closes, AMA_CONFIG);
|
|
128
|
-
const atrPeriod = normalizeAtrPeriod(config.atrPeriod);
|
|
129
|
-
const atrs = computeATRSeries(candles, atrPeriod);
|
|
130
|
-
const allResults = [];
|
|
131
|
-
for (let i = 0; i < candles.length; i++) {
|
|
132
|
-
const { marketPrice, timestamp } = source.extractMarketPrice(candles[i]);
|
|
133
|
-
const amaPrice = ama3Values[i] ?? null;
|
|
134
|
-
const atr = atrs[i] ?? 0;
|
|
135
|
-
const weightVariance = amaPrice > 0 ? atr / amaPrice : 0;
|
|
136
|
-
const shift = computeShift(weightVariance, config.exponent, config.scaleX, config.threshold, config.clamp);
|
|
137
|
-
allResults.push({
|
|
138
|
-
timestamp,
|
|
139
|
-
price: marketPrice,
|
|
140
|
-
ama3Price: amaPrice,
|
|
141
|
-
atr,
|
|
142
|
-
weightVariance,
|
|
143
|
-
rawSymmetricDelta: shift.rawSymmetricDelta,
|
|
144
|
-
symmetricDelta: shift.symmetricDelta,
|
|
145
|
-
effectiveWeight: shift.effectiveWeight,
|
|
146
|
-
sellW: shift.sellW,
|
|
147
|
-
buyW: shift.buyW,
|
|
148
|
-
});
|
|
149
|
-
}
|
|
150
|
-
const html = generateHTML({
|
|
151
|
-
allResults,
|
|
152
|
-
candles,
|
|
153
|
-
volatilityThreshold: config.threshold,
|
|
154
|
-
volatilityExponent: config.exponent,
|
|
155
|
-
volatilityScaleX: config.scaleX,
|
|
156
|
-
volatilityClamp: config.clamp,
|
|
157
|
-
atrPeriod,
|
|
158
|
-
minWeight: MIN_WEIGHT,
|
|
159
|
-
maxWeight: MAX_WEIGHT,
|
|
160
|
-
marketAdapter: MARKET_ADAPTER,
|
|
161
|
-
}, 'ATR Volatility Research');
|
|
162
|
-
writeChartFile(config.chartFile, html);
|
|
163
|
-
if (!config.quiet)
|
|
164
|
-
console.log(`[Volatility] ✓ Chart saved to ${config.chartFile}`);
|
|
165
|
-
}
|
|
166
|
-
catch (err) {
|
|
167
|
-
console.error(`[Volatility] Error: ${err.message}`);
|
|
168
|
-
process.exit(1);
|
|
169
|
-
}
|
|
170
|
-
}
|
|
171
|
-
main().catch(err => { console.error(err); process.exit(1); });
|
|
172
|
-
//# sourceMappingURL=analyze_volatility.js.map
|
|
@@ -1 +0,0 @@
|
|
|
1
|
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