hedgequantx 2.6.163 → 2.7.1

package/src/pages/algo/smart-logs-data.js

@@ -1,218 +0,0 @@
-/**
- * Smart Logs Message Pools and State
- * @module pages/algo/smart-logs-data
- * 
- * HF-grade message pools for institutional logging.
- */
-
-'use strict';
-
-// State tracking
-const recentMessages = new Map();
-const MAX_RECENT = 5;
-
-// Market microstructure state
-const microstructure = {
-  ofi: 0,
-  cumDelta: 0,
-  delta: 0,
-  zscore: 0,
-  momentum: 0,
-  acceleration: 0,
-  spread: 0,
-  bidDepth: 0,
-  askDepth: 0,
-  imbalance: 0,
-  vwap: 0,
-  poc: 0,
-  atr: 0,
-  tps: 0,
-  buyVol: 0,
-  sellVol: 0,
-  lastUpdate: Date.now(),
-};
-
-// Position state
-const position = {
-  side: null,
-  symbol: '',
-  size: 0,
-  entryPrice: 0,
-  currentPrice: 0,
-  stopLoss: 0,
-  takeProfit: 0,
-  entryTime: 0,
-  unrealizedPnl: 0,
-  tickSize: 0.25,
-  tickValue: 12.50,
-};
-
-// Message pools - HF Grade
-const FLOW_AGGRESSIVE_BUY = [
-  'Aggressive lifting offers',
-  'Heavy buy-side absorption',
-  'Institutional accumulation',
-  'Delta surge positive',
-  'Bid stacking detected',
-  'Buy programs sweeping',
-];
-
-const FLOW_AGGRESSIVE_SELL = [
-  'Aggressive hitting bids',
-  'Heavy sell-side distribution',
-  'Institutional liquidation',
-  'Delta surge negative',
-  'Offer stacking detected',
-  'Sell programs sweeping',
-];
-
-const FLOW_BALANCED = [
-  'Two-sided flow equilibrium',
-  'Balanced book rotation',
-  'Fair value discovery',
-  'Neutral order flow',
-  'Market making zone',
-];
-
-const MR_OVERBOUGHT = [
-  'Extended above VWAP band',
-  'Z-score overbought extreme',
-  'Mean reversion fade setup',
-  'Exhaustion at upper band',
-  'Stretched deviation short',
-];
-
-const MR_OVERSOLD = [
-  'Extended below VWAP band',
-  'Z-score oversold extreme',
-  'Mean reversion bounce setup',
-  'Capitulation at lower band',
-  'Stretched deviation long',
-];
-
-const MOM_ACCELERATING_UP = [
-  'Momentum acceleration +',
-  'Velocity vector bullish',
-  'Trend thrust positive',
-  'Breakout momentum confirmed',
-  'Impulse wave up',
-];
-
-const MOM_ACCELERATING_DOWN = [
-  'Momentum acceleration -',
-  'Velocity vector bearish',
-  'Trend thrust negative',
-  'Breakdown momentum confirmed',
-  'Impulse wave down',
-];
-
-const VOL_EXPANSION = [
-  'Volatility expansion cycle',
-  'ATR breakout detected',
-  'Range expansion phase',
-  'Vol regime shift high',
-  'Gamma event potential',
-];
-
-const VOL_COMPRESSION = [
-  'Volatility compression cycle',
-  'ATR contraction detected',
-  'Range compression phase',
-  'Vol regime shift low',
-  'Coiling for breakout',
-];
-
-const POS_PROFIT_RUNNING = [
-  'P&L positive running',
-  'Trade thesis confirmed',
-  'Alpha capture in progress',
-  'Edge realization phase',
-  'Position working target',
-];
-
-const POS_LOSS_MANAGING = [
-  'Adverse excursion mgmt',
-  'Drawdown within params',
-  'Risk budget consuming',
-  'Position under pressure',
-  'Defending stop level',
-];
-
-const POS_NEAR_TARGET = [
-  'Approaching profit target',
-  'Near TP execution zone',
-  'Exit liquidity scanning',
-  'Target strike imminent',
-  'Profit capture pending',
-];
-
-const POS_NEAR_STOP = [
-  'Near stop execution zone',
-  'SL liquidity scanning',
-  'Risk threshold proximity',
-  'Stop strike imminent',
-  'Loss containment pending',
-];
-
-const SCANNING_ACTIVE = [
-  'Scanning microstructure',
-  'Analyzing order book',
-  'Evaluating flow signals',
-  'Pattern recognition active',
-  'Setup detection running',
-];
-
-// Helper functions
-function getVariedMessage(category, pool, defaultMsg) {
-  const recent = recentMessages.get(category) || [];
-  const available = pool.filter(msg => !recent.includes(msg));
-  if (available.length === 0) {
-    recentMessages.set(category, []);
-    return pool[Math.floor(Math.random() * pool.length)] || defaultMsg;
-  }
-  const chosen = available[Math.floor(Math.random() * available.length)] || defaultMsg;
-  recent.push(chosen);
-  if (recent.length > MAX_RECENT) recent.shift();
-  recentMessages.set(category, recent);
-  return chosen;
-}
-
-function formatNumber(n, decimals = 2) {
-  if (n === undefined || n === null || isNaN(n)) return '--';
-  const num = parseFloat(n);
-  const sign = num >= 0 ? '+' : '';
-  return sign + num.toFixed(decimals);
-}
-
-function formatPnl(pnl) {
-  if (pnl === undefined || pnl === null) return '--';
-  return pnl >= 0 ? `+$${pnl.toFixed(2)}` : `-$${Math.abs(pnl).toFixed(2)}`;
-}
-
-module.exports = {
-  // State
-  microstructure,
-  position,
-  recentMessages,
-  
-  // Pools
-  FLOW_AGGRESSIVE_BUY,
-  FLOW_AGGRESSIVE_SELL,
-  FLOW_BALANCED,
-  MR_OVERBOUGHT,
-  MR_OVERSOLD,
-  MOM_ACCELERATING_UP,
-  MOM_ACCELERATING_DOWN,
-  VOL_EXPANSION,
-  VOL_COMPRESSION,
-  POS_PROFIT_RUNNING,
-  POS_LOSS_MANAGING,
-  POS_NEAR_TARGET,
-  POS_NEAR_STOP,
-  SCANNING_ACTIVE,
-  
-  // Helpers
-  getVariedMessage,
-  formatNumber,
-  formatPnl,
-};

package/src/pages/algo/smart-logs.js

@@ -1,387 +0,0 @@
-/**
- * HQX Institutional Smart Logging System
- * HedgeFund-grade execution logs with market microstructure context
- */
-
-'use strict';
-
-const {
-  microstructure, position, getVariedMessage, formatNumber, formatPnl,
-  FLOW_AGGRESSIVE_BUY, FLOW_AGGRESSIVE_SELL, FLOW_BALANCED,
-  MR_OVERBOUGHT, MR_OVERSOLD, MOM_ACCELERATING_UP, MOM_ACCELERATING_DOWN,
-  VOL_EXPANSION, VOL_COMPRESSION, POS_PROFIT_RUNNING, POS_LOSS_MANAGING,
-  POS_NEAR_TARGET, POS_NEAR_STOP, SCANNING_ACTIVE,
-} = require('./smart-logs-data');
-
-/**
- * Update microstructure state from strategy model values
- */
-function updateMicrostructure(data) {
-  if (data.ofi !== undefined) microstructure.ofi = data.ofi;
-  if (data.delta !== undefined) microstructure.delta = data.delta;
-  if (data.cumDelta !== undefined) microstructure.cumDelta = data.cumDelta;
-  if (data.zscore !== undefined) microstructure.zscore = data.zscore;
-  if (data.momentum !== undefined) {
-    microstructure.acceleration = data.momentum - microstructure.momentum;
-    microstructure.momentum = data.momentum;
-  }
-  if (data.spread !== undefined) microstructure.spread = data.spread;
-  if (data.atr !== undefined) microstructure.atr = data.atr;
-  if (data.tps !== undefined) microstructure.tps = data.tps;
-  if (data.buyVol !== undefined) microstructure.buyVol = data.buyVol;
-  if (data.sellVol !== undefined) microstructure.sellVol = data.sellVol;
-  if (data.vwap !== undefined) microstructure.vwap = data.vwap;
-  microstructure.lastUpdate = Date.now();
-}
-
-/**
- * Update position state
- */
-function updatePosition(data) {
-  if (data.side !== undefined) position.side = data.side;
-  if (data.symbol !== undefined) position.symbol = data.symbol;
-  if (data.size !== undefined) position.size = data.size;
-  if (data.entryPrice !== undefined) position.entryPrice = data.entryPrice;
-  if (data.currentPrice !== undefined) position.currentPrice = data.currentPrice;
-  if (data.stopLoss !== undefined) position.stopLoss = data.stopLoss;
-  if (data.takeProfit !== undefined) position.takeProfit = data.takeProfit;
-  if (data.entryTime !== undefined) position.entryTime = data.entryTime;
-  if (data.unrealizedPnl !== undefined) position.unrealizedPnl = data.unrealizedPnl;
-  if (data.tickSize !== undefined) position.tickSize = data.tickSize;
-  if (data.tickValue !== undefined) position.tickValue = data.tickValue;
-}
-
-/**
- * Clear position state when flat
- */
-function clearPosition() {
-  position.side = null;
-  position.symbol = '';
-  position.size = 0;
-  position.entryPrice = 0;
-  position.currentPrice = 0;
-  position.stopLoss = 0;
-  position.takeProfit = 0;
-  position.entryTime = 0;
-  position.unrealizedPnl = 0;
-}
-
-/**
- * GET MARKET FLOW LOG - When NOT in position
- * Shows: OFI | Delta | Z-Score | Momentum | Volume Ratio
- */
-function getMarketFlowLog() {
-  const { ofi, delta, zscore, momentum, buyVol, sellVol, tps, atr } = microstructure;
-  
-  const absOfi = Math.abs(ofi || 0);
-  const absZ = Math.abs(zscore || 0);
-  const absMom = Math.abs(momentum || 0);
-  
-  // Determine primary signal
-  let pool, category, signal;
-  
-  // Priority: Mean Reversion > OFI > Momentum
-  if (absZ > 2.0) {
-    pool = zscore > 0 ? MR_OVERBOUGHT : MR_OVERSOLD;
-    category = zscore > 0 ? 'mr_short' : 'mr_long';
-    signal = 'MEAN_REV';
-  } else if (absOfi > 0.4) {
-    pool = ofi > 0 ? FLOW_AGGRESSIVE_BUY : FLOW_AGGRESSIVE_SELL;
-    category = ofi > 0 ? 'flow_buy' : 'flow_sell';
-    signal = ofi > 0 ? 'BUY_FLOW' : 'SELL_FLOW';
-  } else if (absMom > 3) {
-    pool = momentum > 0 ? MOM_ACCELERATING_UP : MOM_ACCELERATING_DOWN;
-    category = momentum > 0 ? 'mom_up' : 'mom_down';
-    signal = momentum > 0 ? 'MOM_UP' : 'MOM_DOWN';
-  } else {
-    pool = SCANNING_ACTIVE;
-    category = 'scanning';
-    signal = 'SCANNING';
-  }
-  
-  const message = getVariedMessage(category, pool, 'Analyzing...');
-  
-  // Build HF-grade metrics string
-  const ofiStr = `OFI:${formatNumber(ofi, 2)}`;
-  const deltaStr = `Δ:${formatNumber(delta, 0)}`;
-  const zStr = `Z:${formatNumber(zscore, 2)}`;
-  const momStr = `Mom:${formatNumber(momentum, 1)}`;
-  
-  // Volume ratio
-  const totalVol = (buyVol || 0) + (sellVol || 0);
-  const buyPct = totalVol > 0 ? Math.round((buyVol / totalVol) * 100) : 50;
-  const volStr = `B/S:${buyPct}/${100 - buyPct}`;
-  
-  const details = `${ofiStr} | ${deltaStr} | ${zStr} | ${momStr} | ${volStr}`;
-  
-  return { message, details, signal };
-}
-
-/**
- * GET POSITION CONTEXT LOG - When IN position
- * Shows: Side | P&L | Ticks to SL/TP | Hold Time | R-Multiple | Flow Alignment
- */
-function getPositionContextLog() {
-  const { side, size, entryPrice, currentPrice, stopLoss, takeProfit, entryTime, unrealizedPnl, tickSize, tickValue } = position;
-  const { ofi, momentum, delta } = microstructure;
-  
-  if (!side) return getMarketFlowLog();
-  
-  // Calculate position Greeks
-  const holdMs = Date.now() - (entryTime || Date.now());
-  const holdSec = Math.floor(holdMs / 1000);
-  const holdStr = holdSec >= 60 ? `${Math.floor(holdSec / 60)}m${holdSec % 60}s` : `${holdSec}s`;
-  
-  // Ticks from entry
-  const ticksFromEntry = tickSize > 0 
-    ? Math.round((currentPrice - entryPrice) / tickSize) * (side === 'LONG' ? 1 : -1)
-    : 0;
-  
-  // Distance to SL/TP in ticks
-  let ticksToSL = 0, ticksToTP = 0, riskTicks = 0, rewardTicks = 0;
-  if (side === 'LONG' && stopLoss && takeProfit && tickSize > 0) {
-    ticksToSL = Math.round((currentPrice - stopLoss) / tickSize);
-    ticksToTP = Math.round((takeProfit - currentPrice) / tickSize);
-    riskTicks = Math.round((entryPrice - stopLoss) / tickSize);
-    rewardTicks = Math.round((takeProfit - entryPrice) / tickSize);
-  } else if (side === 'SHORT' && stopLoss && takeProfit && tickSize > 0) {
-    ticksToSL = Math.round((stopLoss - currentPrice) / tickSize);
-    ticksToTP = Math.round((currentPrice - takeProfit) / tickSize);
-    riskTicks = Math.round((stopLoss - entryPrice) / tickSize);
-    rewardTicks = Math.round((entryPrice - takeProfit) / tickSize);
-  }
-  
-  // R-Multiple (how many R's of profit/loss)
-  const rMultiple = riskTicks > 0 ? (ticksFromEntry / riskTicks) : 0;
-  
-  // Flow alignment score (-1 to +1)
-  let flowScore = 0;
-  if (side === 'LONG') {
-    flowScore = ((ofi || 0) + (momentum > 0 ? 0.3 : momentum < 0 ? -0.3 : 0) + (delta > 0 ? 0.2 : delta < 0 ? -0.2 : 0));
-  } else {
-    flowScore = (-(ofi || 0) + (momentum < 0 ? 0.3 : momentum > 0 ? -0.3 : 0) + (delta < 0 ? 0.2 : delta > 0 ? -0.2 : 0));
-  }
-  flowScore = Math.max(-1, Math.min(1, flowScore));
-  
-  // Determine status message
-  let pool, category;
-  const pnl = unrealizedPnl || 0;
-  
-  if (ticksToTP > 0 && ticksToTP <= 4) {
-    pool = POS_NEAR_TARGET;
-    category = 'near_tp';
-  } else if (ticksToSL > 0 && ticksToSL <= 4) {
-    pool = POS_NEAR_STOP;
-    category = 'near_sl';
-  } else if (pnl > 0) {
-    pool = POS_PROFIT_RUNNING;
-    category = 'pos_profit';
-  } else {
-    pool = POS_LOSS_MANAGING;
-    category = 'pos_loss';
-  }
-  
-  const statusMsg = getVariedMessage(category, pool, pnl >= 0 ? 'Running profit' : 'Managing risk');
-  
-  // Build message
-  const arrow = side === 'LONG' ? '▲' : '▼';
-  const message = `${arrow} ${side} ${size}x | ${statusMsg}`;
-  
-  // Build HF-grade details
-  const pnlStr = formatPnl(pnl);
-  const ticksStr = ticksFromEntry >= 0 ? `+${ticksFromEntry}t` : `${ticksFromEntry}t`;
-  const slStr = ticksToSL > 0 ? `SL:${ticksToSL}t` : 'SL:--';
-  const tpStr = ticksToTP > 0 ? `TP:${ticksToTP}t` : 'TP:--';
-  const rStr = `R:${rMultiple >= 0 ? '+' : ''}${rMultiple.toFixed(2)}`;
-  const flowStr = `Flow:${flowScore >= 0 ? '+' : ''}${flowScore.toFixed(2)}`;
-  
-  const details = `${pnlStr} (${ticksStr}) | ${slStr} ${tpStr} | ${rStr} | ${flowStr} | ${holdStr}`;
-  
-  return { message, details };
-}
-
-/**
- * GET VOLATILITY LOG
- * Shows: ATR | Volatility Regime | Range Context
- */
-function getVolatilityLog() {
-  const { atr, tps } = microstructure;
-  
-  const isHigh = tps > 40 || atr > 2.0;
-  const isLow = tps < 10 || atr < 0.5;
-  
-  let pool, category;
-  if (isHigh) {
-    pool = VOL_EXPANSION;
-    category = 'vol_high';
-  } else if (isLow) {
-    pool = VOL_COMPRESSION;
-    category = 'vol_low';
-  } else {
-    return { message: 'Normal volatility regime', details: `ATR:${atr?.toFixed(2) || '--'} | ${tps || '--'} tps` };
-  }
-  
-  const message = getVariedMessage(category, pool, isHigh ? 'Vol expansion' : 'Vol compression');
-  const details = `ATR:${atr?.toFixed(2) || '--'} | ${tps || '--'} ticks/sec`;
-  
-  return { message, details };
-}
-
-/**
- * GET FLOW ANALYSIS LOG - Detailed order flow breakdown
- * Shows: OFI | Delta | Cumulative Delta | Volume Breakdown
- */
-function getFlowAnalysisLog() {
-  const { ofi, delta, cumDelta, buyVol, sellVol } = microstructure;
-  
-  const absOfi = Math.abs(ofi || 0);
-  let pool, category;
-  
-  if (absOfi > 0.5) {
-    pool = ofi > 0 ? FLOW_AGGRESSIVE_BUY : FLOW_AGGRESSIVE_SELL;
-    category = ofi > 0 ? 'flow_agg_buy' : 'flow_agg_sell';
-  } else if (absOfi > 0.2) {
-    pool = ofi > 0 ? FLOW_AGGRESSIVE_BUY : FLOW_AGGRESSIVE_SELL;
-    category = ofi > 0 ? 'flow_mod_buy' : 'flow_mod_sell';
-  } else {
-    pool = FLOW_BALANCED;
-    category = 'flow_balanced';
-  }
-  
-  const message = getVariedMessage(category, pool, 'Analyzing flow');
-  
-  // Volume breakdown
-  const totalVol = (buyVol || 0) + (sellVol || 0);
-  const buyPct = totalVol > 0 ? Math.round((buyVol / totalVol) * 100) : 50;
-  
-  const ofiStr = `OFI:${formatNumber(ofi, 2)}`;
-  const deltaStr = `Δ:${formatNumber(delta, 0)}`;
-  const cumStr = `ΣΔ:${formatNumber(cumDelta, 0)}`;
-  const volStr = `Vol B/S:${buyPct}/${100 - buyPct}%`;
-  
-  const details = `${ofiStr} | ${deltaStr} | ${cumStr} | ${volStr}`;
-  
-  return { message, details };
-}
-
-/**
- * GET SCANNING LOG
- */
-function getScanningLog(isScanning = true) {
-  const pool = SCANNING_ACTIVE;
-  const message = getVariedMessage('scanning', pool, 'Scanning...');
-  return { message, details: undefined };
-}
-
-/**
- * MAIN ENTRY POINT: getSmartLog
- * Automatically determines context and returns appropriate HF-grade log
- */
-function getSmartLog(data = {}) {
-  // Update states if data provided
-  if (data.ofi !== undefined || data.delta !== undefined || data.zscore !== undefined) {
-    updateMicrostructure(data);
-  }
-  if (data.side !== undefined || data.entryPrice !== undefined) {
-    updatePosition(data);
-  }
-  
-  // Return appropriate log based on position state
-  if (data.inPosition || position.side) {
-    return getPositionContextLog();
-  } else {
-    return getMarketFlowLog();
-  }
-}
-
-/**
- * GET MARKET STATE LOG - Legacy compatibility
- * Wrapper around getMarketFlowLog
- */
-function getMarketStateLog(ofi, zscore, momentum, delta) {
-  updateMicrostructure({ ofi, zscore, momentum, delta });
-  return getMarketFlowLog();
-}
-
-// =============================================================================
-// LEGACY API - Backward Compatibility
-// =============================================================================
-
-const getMarketBiasLog = (direction, delta, ofi) => {
-  updateMicrostructure({ delta, ofi });
-  return getMarketFlowLog();
-};
-
-const getMomentumLog = (momentum, zscore) => {
-  updateMicrostructure({ momentum, zscore });
-  return getMarketFlowLog();
-};
-
-const getMeanReversionLog = (zscore) => {
-  updateMicrostructure({ zscore: zscore * 2.5 }); // Amplify to trigger MR message
-  return getMarketFlowLog();
-};
-
-const getPositionUpdateLog = (side, size, unrealizedPnL, entryPrice, currentPrice, holdTime) => {
-  updatePosition({ side, size, unrealizedPnl: unrealizedPnL, entryPrice, currentPrice, entryTime: Date.now() - holdTime * 1000 });
-  return getPositionContextLog();
-};
-
-const getSignalLog = (direction, symbol, confidence, strategy) => {
-  const pool = direction === 'LONG' ? FLOW_AGGRESSIVE_BUY : FLOW_AGGRESSIVE_SELL;
-  const message = getVariedMessage(`signal_${direction}`, pool, `${direction} signal`);
-  const arrow = direction === 'LONG' ? '▲' : '▼';
-  return {
-    message: `${arrow} ${message}`,
-    details: `${symbol} | Conf:${confidence.toFixed(0)}% | ${strategy}`,
-  };
-};
-
-const getEntryLog = (direction, symbol, size, price) => {
-  const arrow = direction === 'LONG' ? '▲' : '▼';
-  return {
-    message: `${arrow} ${direction} initiated`,
-    details: `${size}x ${symbol} @ ${price.toFixed(2)}`,
-  };
-};
-
-const getExitLog = (isProfit, symbol, size, price, pnl) => {
-  return {
-    message: isProfit ? 'Profit captured' : 'Loss contained',
-    details: `${size}x ${symbol} @ ${price.toFixed(2)} | ${formatPnl(pnl)}`,
-  };
-};
-
-const getVolatilityLog_legacy = (isHigh, atr) => {
-  updateMicrostructure({ atr });
-  return getVolatilityLog();
-};
-
-// =============================================================================
-// EXPORTS
-// =============================================================================
-
-module.exports = {
-  // HF-Grade API
-  getSmartLog,
-  getMarketFlowLog,
-  getPositionContextLog,
-  getFlowAnalysisLog,
-  getVolatilityLog,
-  getScanningLog,
-  
-  // State management
-  updateMicrostructure,
-  updatePosition,
-  clearPosition,
-  
-  // Legacy API (backward compatible)
-  getMarketStateLog,
-  getMarketBiasLog,
-  getMomentumLog,
-  getMeanReversionLog,
-  getPositionUpdateLog,
-  getSignalLog,
-  getEntryLog,
-  getExitLog,
-};