hedgequantx 2.4.6 → 2.4.7

package/src/lib/m/s1.js

@@ -1,372 +0,0 @@
-/**
- * HQX Ultra Scalping Strategy
- * Tick-based real-time scalping
- */
-const EventEmitter = require('events');
-const { v4: uuidv4 } = require('uuid');
-
-const OS = { B: 0, A: 1 }; // Order Side: Buy, Ask(Sell)
-const SS = { W: 1, M: 2, S: 3, VS: 4, E: 5 }; // Signal Strength
-
-/**
- * VWAP Calculator - Real-time tick-based
- */
-class VC {
-  constructor() {
-    this.data = new Map();
-  }
-
-  getKey(c) {
-    return `${c}_${new Date().toISOString().split('T')[0]}`;
-  }
-
-  init(c) {
-    const k = this.getKey(c);
-    if (!this.data.has(k)) {
-      this.data.set(k, {
-        vwap: 0,
-        cumVolume: 0,
-        cumTPV: 0, // cumulative typical price * volume
-        stdDev: 0,
-        prices: [],
-        high: -Infinity,
-        low: Infinity,
-        tickCount: 0
-      });
-    }
-  }
-
-  // Process each tick
-  addTick(c, price, volume = 1) {
-    const k = this.getKey(c);
-    let d = this.data.get(k);
-    if (!d) {
-      this.init(c);
-      d = this.data.get(k);
-    }
-
-    // Update VWAP
-    d.cumVolume += volume;
-    d.cumTPV += price * volume;
-    if (d.cumVolume > 0) {
-      d.vwap = d.cumTPV / d.cumVolume;
-    }
-
-    // Track prices for std dev (last 100)
-    d.prices.push(price);
-    if (d.prices.length > 100) d.prices.shift();
-
-    // Calculate standard deviation
-    if (d.prices.length >= 10) {
-      const mean = d.prices.reduce((a, b) => a + b, 0) / d.prices.length;
-      const variance = d.prices.reduce((s, p) => s + Math.pow(p - mean, 2), 0) / d.prices.length;
-      d.stdDev = Math.sqrt(variance);
-    }
-
-    // Update high/low
-    if (price > d.high) d.high = price;
-    if (price < d.low) d.low = price;
-    d.tickCount++;
-
-    return d;
-  }
-
-  // Analyze current price vs VWAP
-  analyze(c, currentPrice, tickSize = 0.25) {
-    const k = this.getKey(c);
-    const d = this.data.get(k);
-    if (!d || d.vwap === 0) return null;
-
-    const deviation = currentPrice - d.vwap;
-    const zScore = d.stdDev > 0 ? deviation / d.stdDev : 0;
-
-    return {
-      vwap: d.vwap,
-      price: currentPrice,
-      deviation,
-      zScore,
-      stdDev: d.stdDev,
-      high: d.high,
-      low: d.low,
-      tickCount: d.tickCount
-    };
-  }
-
-  get(c) {
-    return this.data.get(this.getKey(c)) || null;
-  }
-
-  reset(c) {
-    this.data.delete(this.getKey(c));
-  }
-}
-
-/**
- * S1 - HQX Ultra Scalping Strategy
- * Pure tick-based, no bar conversion
- */
-class S1 extends EventEmitter {
-  constructor(cfg = {}) {
-    super();
-    
-    // Config
-    this.tickSize = cfg.tickSize || 0.25;
-    this.minRR = cfg.minRR || 1.2; // Minimum risk/reward
-    this.cooldown = cfg.cooldown || 15000; // 15s between signals
-    this.minTicks = cfg.minTicks || 20; // Min ticks before first signal
-    
-    // State
-    this.vc = new VC();
-    this.ticks = new Map(); // contractId -> tick history
-    this.lastSignalTime = 0;
-    this.inPosition = false;
-    
-    // Order flow tracking
-    this.buyVolume = 0;
-    this.sellVolume = 0;
-    this.lastPrice = 0;
-    
-    // Stats
-    this.stats = { signals: 0, trades: 0, wins: 0, losses: 0, pnl: 0 };
-  }
-
-  initialize(contractId, tickSize = 0.25) {
-    this.tickSize = tickSize;
-    this.ticks.set(contractId, []);
-    this.vc.init(contractId);
-  }
-
-  /**
-   * Process incoming tick - MAIN ENTRY POINT
-   */
-  processTick(tick) {
-    const { contractId, price, bid, ask, volume = 1, side, timestamp } = tick;
-    
-    if (!price || price <= 0) return null;
-    
-    // Store tick
-    let tickHistory = this.ticks.get(contractId);
-    if (!tickHistory) {
-      tickHistory = [];
-      this.ticks.set(contractId, tickHistory);
-    }
-    
-    const tickData = {
-      price,
-      bid: bid || price,
-      ask: ask || price,
-      volume,
-      side: side || (price >= this.lastPrice ? 'buy' : 'sell'),
-      timestamp: timestamp || Date.now()
-    };
-    
-    tickHistory.push(tickData);
-    if (tickHistory.length > 500) tickHistory.shift();
-    
-    // Update VWAP
-    this.vc.addTick(contractId, price, volume);
-    
-    // Update order flow
-    if (tickData.side === 'buy') {
-      this.buyVolume += volume;
-    } else {
-      this.sellVolume += volume;
-    }
-    
-    this.lastPrice = price;
-    
-    // Check for signal
-    return this.checkSignal(contractId, price, tickHistory);
-  }
-
-  /**
-   * Check if conditions are met for a signal
-   */
-  checkSignal(contractId, price, ticks) {
-    // Need minimum ticks
-    if (ticks.length < this.minTicks) return null;
-    
-    // Cooldown check
-    if (Date.now() - this.lastSignalTime < this.cooldown) return null;
-    
-    // Don't signal if already in position
-    if (this.inPosition) return null;
-    
-    // Get VWAP analysis
-    const vwap = this.vc.analyze(contractId, price, this.tickSize);
-    if (!vwap || vwap.tickCount < this.minTicks) return null;
-    
-    // Calculate order flow imbalance
-    const totalVolume = this.buyVolume + this.sellVolume;
-    const imbalance = totalVolume > 0 ? (this.buyVolume - this.sellVolume) / totalVolume : 0;
-    
-    // Calculate momentum (last 10 ticks)
-    const recentTicks = ticks.slice(-10);
-    const momentum = recentTicks.length >= 2 
-      ? recentTicks[recentTicks.length - 1].price - recentTicks[0].price 
-      : 0;
-    
-    // Signal logic
-    let direction = null;
-    let confidence = 0;
-    
-    // LONG conditions: Price below VWAP + buying pressure
-    if (vwap.zScore < -1.0 && imbalance > 0.1) {
-      direction = 'long';
-      confidence = Math.min(0.9, 0.5 + Math.abs(vwap.zScore) * 0.15 + imbalance * 0.3);
-    }
-    // SHORT conditions: Price above VWAP + selling pressure  
-    else if (vwap.zScore > 1.0 && imbalance < -0.1) {
-      direction = 'short';
-      confidence = Math.min(0.9, 0.5 + Math.abs(vwap.zScore) * 0.15 + Math.abs(imbalance) * 0.3);
-    }
-    
-    if (!direction || confidence < 0.55) return null;
-    
-    // Calculate SL/TP
-    const stopTicks = 6;
-    const targetTicks = 8;
-    
-    let stopLoss, takeProfit;
-    if (direction === 'long') {
-      stopLoss = price - stopTicks * this.tickSize;
-      takeProfit = price + targetTicks * this.tickSize;
-    } else {
-      stopLoss = price + stopTicks * this.tickSize;
-      takeProfit = price - targetTicks * this.tickSize;
-    }
-    
-    // Check R:R
-    const risk = Math.abs(price - stopLoss);
-    const reward = Math.abs(takeProfit - price);
-    if (reward / risk < this.minRR) return null;
-    
-    // Generate signal
-    this.lastSignalTime = Date.now();
-    this.stats.signals++;
-    
-    const signal = {
-      id: uuidv4(),
-      timestamp: Date.now(),
-      contractId,
-      direction,
-      side: direction === 'long' ? OS.B : OS.A,
-      entry: price,
-      entryPrice: price,
-      stopLoss,
-      takeProfit,
-      stopTicks,
-      targetTicks,
-      confidence,
-      zScore: vwap.zScore,
-      vwap: vwap.vwap,
-      imbalance,
-      momentum,
-      riskReward: reward / risk
-    };
-    
-    this.emit('signal', signal);
-    return signal;
-  }
-
-  /**
-   * Called when entering a position
-   */
-  onPositionOpened() {
-    this.inPosition = true;
-  }
-
-  /**
-   * Called when position is closed
-   */
-  onPositionClosed(pnl) {
-    this.inPosition = false;
-    this.recordTradeResult(pnl);
-  }
-
-  /**
-   * Record trade result
-   */
-  recordTradeResult(pnl) {
-    this.stats.trades++;
-    this.stats.pnl += pnl;
-    if (pnl > 0) {
-      this.stats.wins++;
-    } else {
-      this.stats.losses++;
-    }
-    
-    // Reset order flow after trade
-    this.buyVolume = 0;
-    this.sellVolume = 0;
-  }
-
-  getStats() {
-    return this.stats;
-  }
-
-  reset(contractId) {
-    this.ticks.set(contractId, []);
-    this.vc.reset(contractId);
-    this.buyVolume = 0;
-    this.sellVolume = 0;
-    this.lastSignalTime = 0;
-    this.inPosition = false;
-  }
-}
-
-/**
- * M1 - Main Strategy Interface
- */
-class M1 extends EventEmitter {
-  constructor(cfg = {}) {
-    super();
-    this.cfg = cfg;
-    this.s = new S1(cfg);
-    
-    // Forward signals
-    this.s.on('signal', (sig) => {
-      this.emit('signal', {
-        ...sig,
-        side: sig.direction === 'long' ? 'buy' : 'sell',
-        action: 'open',
-        reason: `Z=${sig.zScore.toFixed(2)}, conf=${(sig.confidence * 100).toFixed(0)}%`
-      });
-    });
-  }
-
-  processTick(t) {
-    return this.s.processTick(t);
-  }
-
-  onTick(t) {
-    return this.processTick(t);
-  }
-
-  initialize(contractId, tickSize) {
-    this.s.initialize(contractId, tickSize);
-  }
-
-  onPositionOpened() {
-    this.s.onPositionOpened();
-  }
-
-  onPositionClosed(pnl) {
-    this.s.onPositionClosed(pnl);
-  }
-
-  recordTradeResult(pnl) {
-    this.s.recordTradeResult(pnl);
-  }
-
-  getStats() {
-    return this.s.getStats();
-  }
-
-  reset(contractId) {
-    this.s.reset(contractId);
-    this.emit('log', { type: 'info', message: 'Strategy reset' });
-  }
-}
-
-module.exports = { S1, M1, VC, OS, SS };

package/src/lib/m/s2.js

@@ -1,34 +0,0 @@
-/**
- * M2 Module
- */
-const EventEmitter = require('events');
-const DP = { et: 0.6, vrng: [0.8, 2.5], cth: 0.45, mxl: 3, stk: 6, tgt: 8, ctr: 1, roc: true, mht: 10000, cd: 30000 };
-
-class S2 extends EventEmitter {
-  constructor(cfg = {}) { super(); this.p = { ...DP, ...cfg }; this.ts = cfg.tickSize || 0.25; this.cid = null; this.bh = []; this.cd = { v: 0, cv: 0, tpv: 0, sd: 0 }; this.of = { bd: 0, ad: 0, lt: null }; this.st = { s: 0, t: 0, w: 0, l: 0, pnl: 0 }; this.lst = 0; this.lss = 0; }
-  // tickSize for tick calculations, P&L comes from API
-  initialize(c, ts = 0.25) { this.cid = c; this.ts = ts; this.bh = []; this.cd = { v: 0, cv: 0, tpv: 0, sd: 0 }; this.of = { bd: 0, ad: 0, lt: null }; }
-  processTick(t) { const { price, volume, side, timestamp } = t; this.bh.push({ p: price, v: volume || 1, s: side, t: timestamp || Date.now() }); if (this.bh.length > 500) this.bh.shift(); const tp = price; this.cd.cv += volume || 1; this.cd.tpv += tp * (volume || 1); if (this.cd.cv > 0) this.cd.v = this.cd.tpv / this.cd.cv; if (side === 'buy') this.of.bd += volume || 1; else if (side === 'sell') this.of.ad += volume || 1; this.of.lt = side; }
-  onTick(t) { return this.processTick(t); }
-  onTrade(t) { this.processTick({ price: t.price, volume: t.size || t.volume || 1, side: t.side, timestamp: t.timestamp }); }
-  generateSignal(cp) { if (this.bh.length < 50) return null; if (Date.now() - this.lst < this.p.cd) return null; if (this.lss >= this.p.mxl) return null; const v = this.cd.v; if (v <= 0) return null; const sd = this.csd(); if (sd <= 0) return null; const dv = (cp - v) / sd; const ad = Math.abs(dv); if (ad < this.p.vrng[0] || ad > this.p.vrng[1]) return null; let dir = null; if (dv < -this.p.et) dir = 'long'; else if (dv > this.p.et) dir = 'short'; if (!dir) return null; if (this.p.roc) { const ofc = this.cof(dir); if (!ofc) return null; } const cf = Math.min(1.0, 0.5 + ad * 0.15); if (cf < this.p.cth) return null; this.lst = Date.now(); this.st.s++; return { direction: dir, confidence: cf, zScore: dv, stopTicks: this.p.stk, targetTicks: this.p.tgt }; }
-  csd() { if (this.bh.length < 20) return 0; const ps = this.bh.slice(-100).map(b => b.p); const m = ps.reduce((a, b) => a + b, 0) / ps.length; const va = ps.reduce((s, p) => s + Math.pow(p - m, 2), 0) / ps.length; return Math.sqrt(va); }
-  cof(dir) { const tb = this.of.bd + this.of.ad; if (tb < 10) return true; const br = this.of.bd / tb; if (dir === 'long' && br > 0.45) return true; if (dir === 'short' && br < 0.55) return true; if (this.of.lt === 'buy' && dir === 'long') return true; if (this.of.lt === 'sell' && dir === 'short') return true; return false; }
-  recordTradeResult(pnl) { this.st.t++; this.st.pnl += pnl; if (pnl > 0) { this.st.w++; this.lss = 0; } else { this.st.l++; this.lss++; } }
-  getStats() { return this.st; }
-  reset() { this.bh = []; this.cd = { v: 0, cv: 0, tpv: 0, sd: 0 }; this.of = { bd: 0, ad: 0, lt: null }; this.lss = 0; }
-}
-
-class M2 extends EventEmitter {
-  constructor(cfg = {}) { super(); this.s = new S2(cfg); }
-  initialize(c, ts, tv) { this.s.initialize(c, ts, tv); }
-  processTick(t) { this.s.processTick(t); }
-  onTick(t) { this.s.onTick(t); const sig = this.s.generateSignal(t.price); if (sig) this.emit('signal', { side: sig.direction === 'long' ? 'buy' : 'sell', action: 'open', ...sig }); }
-  onTrade(t) { this.s.onTrade(t); }
-  generateSignal(p) { return this.s.generateSignal(p); }
-  recordTradeResult(p) { this.s.recordTradeResult(p); }
-  getStats() { return this.s.getStats(); }
-  reset() { this.s.reset(); this.emit('log', { type: 'info', message: 'Reset' }); }
-}
-
-module.exports = { S2, M2, DP };