hedgequantx 2.7.14 → 2.7.16

package/src/lib/decoder.js

@@ -1,599 +0,0 @@
-/**
- * Rithmic Manual Protobuf Decoder
- * Required because protobufjs can't handle field IDs > 100000
- */
-
-// Field IDs for LastTrade (template_id = 150)
-// From last_trade.proto - field numbers are the proto field IDs
-const LAST_TRADE_FIELDS = {
-  TEMPLATE_ID: 154467,
-  SYMBOL: 110100,
-  EXCHANGE: 110101,
-  TRADE_PRICE: 100006,
-  TRADE_SIZE: 100178,
-  AGGRESSOR: 112003,  // TransactionType enum: 1=BUY, 2=SELL
-  SSBOE: 150100,
-  USECS: 150101,
-};
-
-// Debug: log ALL fields to find aggressor
-let debugFieldsLogged = 0;
-let debugAllFieldsLogged = 0;
-
-// Field IDs for BestBidOffer (template_id = 151)
-const BBO_FIELDS = {
-  TEMPLATE_ID: 154467,
-  SYMBOL: 110100,
-  EXCHANGE: 110101,
-  BID_PRICE: 100022,
-  BID_SIZE: 100030,
-  ASK_PRICE: 100025,
-  ASK_SIZE: 100031,
-  SSBOE: 150100,
-  USECS: 150101,
-};
-
-// Field IDs for AccountPnLPositionUpdate (template_id = 450)
-const ACCOUNT_PNL_FIELDS = {
-  TEMPLATE_ID: 154467,
-  IS_SNAPSHOT: 110121,
-  FCM_ID: 154013,
-  IB_ID: 154014,
-  ACCOUNT_ID: 154008,
-  FILL_BUY_QTY: 154041,
-  FILL_SELL_QTY: 154042,
-  BUY_QTY: 154260,
-  SELL_QTY: 154261,
-  OPEN_POSITION_PNL: 156961,
-  OPEN_POSITION_QUANTITY: 156962,
-  CLOSED_POSITION_PNL: 156963,
-  CLOSED_POSITION_QUANTITY: 156964,
-  NET_QUANTITY: 156967,
-  MIN_ACCOUNT_BALANCE: 156968,
-  ACCOUNT_BALANCE: 156970,
-  CASH_ON_HAND: 156971,
-  MIN_MARGIN_BALANCE: 156976,
-  MARGIN_BALANCE: 156977,
-  AVAILABLE_BUYING_POWER: 157015,
-  USED_BUYING_POWER: 157014,
-  DAY_OPEN_PNL: 157954,
-  DAY_CLOSED_PNL: 157955,
-  DAY_PNL: 157956,
-  PERCENT_MAX_LOSS: 156965,
-  SSBOE: 150100,
-  USECS: 150101,
-};
-
-// Field IDs for InstrumentPnLPositionUpdate (template_id = 451)
-const INSTRUMENT_PNL_FIELDS = {
-  TEMPLATE_ID: 154467,
-  IS_SNAPSHOT: 110121,
-  FCM_ID: 154013,
-  IB_ID: 154014,
-  ACCOUNT_ID: 154008,
-  SYMBOL: 110100,
-  EXCHANGE: 110101,
-  PRODUCT_CODE: 100749,
-  INSTRUMENT_TYPE: 110116,
-  FILL_BUY_QTY: 154041,
-  FILL_SELL_QTY: 154042,
-  BUY_QTY: 154260,
-  SELL_QTY: 154261,
-  AVG_OPEN_FILL_PRICE: 154434,
-  OPEN_POSITION_PNL: 156961,
-  OPEN_POSITION_QUANTITY: 156962,
-  CLOSED_POSITION_PNL: 156963,
-  CLOSED_POSITION_QUANTITY: 156964,
-  NET_QUANTITY: 156967,
-  DAY_OPEN_PNL: 157954,
-  DAY_CLOSED_PNL: 157955,
-  DAY_PNL: 157956,
-  SSBOE: 150100,
-  USECS: 150101,
-};
-
-/**
- * Read a varint from buffer starting at offset
- * Uses BigInt internally to handle large field IDs correctly
- * Returns [value, newOffset]
- */
-function readVarint(buffer, offset) {
-  let result = BigInt(0);
-  let shift = BigInt(0);
-  let pos = offset;
-
-  while (pos < buffer.length) {
-    const byte = buffer[pos++];
-    result |= BigInt(byte & 0x7f) << shift;
-    if ((byte & 0x80) === 0) {
-      return [Number(result), pos];
-    }
-    shift += BigInt(7);
-    if (shift > BigInt(63)) {
-      throw new Error('Varint too large');
-    }
-  }
-
-  throw new Error('Incomplete varint');
-}
-
-/**
- * Read a length-delimited field (string/bytes)
- * Returns [string, newOffset]
- */
-function readLengthDelimited(buffer, offset) {
-  const [length, newOffset] = readVarint(buffer, offset);
-  const value = buffer.slice(newOffset, newOffset + length).toString('utf8');
-  return [value, newOffset + length];
-}
-
-/**
- * Skip a field based on wire type
- */
-function skipField(buffer, offset, wireType) {
-  switch (wireType) {
-    case 0: // Varint
-      const [, newOffset] = readVarint(buffer, offset);
-      return newOffset;
-    case 1: // 64-bit fixed
-      return offset + 8;
-    case 2: // Length-delimited
-      const [length, lenOffset] = readVarint(buffer, offset);
-      return lenOffset + length;
-    case 5: // 32-bit fixed
-      return offset + 4;
-    default:
-      throw new Error(`Unknown wire type: ${wireType}`);
-  }
-}
-
-/**
- * Get template ID from buffer (first field)
- */
-function getTemplateId(buffer) {
-  let offset = 0;
-  while (offset < buffer.length) {
-    try {
-      const [tag, newOffset] = readVarint(buffer, offset);
-      const fieldNumber = tag >>> 3;
-      const wireType = tag & 0x7;
-      offset = newOffset;
-
-      if (fieldNumber === 154467 && wireType === 0) {
-        const [templateId] = readVarint(buffer, offset);
-        return templateId;
-      }
-      offset = skipField(buffer, offset, wireType);
-    } catch {
-      return -1;
-    }
-  }
-  return -1;
-}
-
-/**
- * Decode LastTrade message (template_id = 150)
- */
-function decodeLastTrade(buffer) {
-  const result = {};
-  let offset = 0;
-  const allFields = []; // Debug: track all fields
-  
-  // Debug first few calls
-  if (debugAllFieldsLogged < 3) {
-    console.log(`[DECODER] decodeLastTrade called, buffer size: ${buffer.length}`);
-  }
-
-  while (offset < buffer.length) {
-    try {
-      const [tag, newOffset] = readVarint(buffer, offset);
-      const fieldNumber = tag >>> 3;
-      const wireType = tag & 0x7;
-      offset = newOffset;
-      
-      // Debug: log ALL fields for first few messages
-      if (debugAllFieldsLogged < 2) {
-        allFields.push({ fieldNumber, wireType });
-      }
-
-      switch (fieldNumber) {
-        case LAST_TRADE_FIELDS.TEMPLATE_ID:
-          [result.templateId, offset] = readVarint(buffer, offset);
-          break;
-        case LAST_TRADE_FIELDS.SYMBOL:
-          if (wireType === 2) {
-            [result.symbol, offset] = readLengthDelimited(buffer, offset);
-          } else {
-            offset = skipField(buffer, offset, wireType);
-          }
-          break;
-        case LAST_TRADE_FIELDS.EXCHANGE:
-          if (wireType === 2) {
-            [result.exchange, offset] = readLengthDelimited(buffer, offset);
-          } else {
-            offset = skipField(buffer, offset, wireType);
-          }
-          break;
-        case LAST_TRADE_FIELDS.TRADE_PRICE:
-          if (wireType === 1) {
-            // 64-bit double little-endian
-            result.tradePrice = buffer.readDoubleLE(offset);
-            offset += 8;
-          } else {
-            offset = skipField(buffer, offset, wireType);
-          }
-          break;
-        case LAST_TRADE_FIELDS.TRADE_SIZE:
-          if (wireType === 0) {
-            [result.tradeSize, offset] = readVarint(buffer, offset);
-          } else {
-            offset = skipField(buffer, offset, wireType);
-          }
-          break;
-        case LAST_TRADE_FIELDS.AGGRESSOR:
-          if (wireType === 0) {
-            [result.aggressor, offset] = readVarint(buffer, offset);
-            // Debug: log when aggressor is found
-            if (debugAllFieldsLogged < 5) {
-              console.log(`[DECODER] AGGRESSOR FOUND! value=${result.aggressor}`);
-            }
-          } else {
-            offset = skipField(buffer, offset, wireType);
-          }
-          break;
-        case LAST_TRADE_FIELDS.SSBOE:
-          if (wireType === 0) {
-            [result.ssboe, offset] = readVarint(buffer, offset);
-          } else {
-            offset = skipField(buffer, offset, wireType);
-          }
-          break;
-        case LAST_TRADE_FIELDS.USECS:
-          if (wireType === 0) {
-            [result.usecs, offset] = readVarint(buffer, offset);
-          } else {
-            offset = skipField(buffer, offset, wireType);
-          }
-          break;
-        default:
-          offset = skipField(buffer, offset, wireType);
-      }
-    } catch {
-      break;
-    }
-  }
-  
-  // Debug: log all fields found in first messages
-  if (debugAllFieldsLogged < 2 && result.tradePrice > 0) {
-    console.log(`[DECODER:LastTrade] ALL FIELDS: ${JSON.stringify(allFields)}`);
-    console.log(`[DECODER:LastTrade] Result: price=${result.tradePrice}, aggressor=${result.aggressor}`);
-    debugAllFieldsLogged++;
-  }
-
-  return result;
-}
-
-/**
- * Decode BestBidOffer message (template_id = 151)
- */
-function decodeBestBidOffer(buffer) {
-  const result = {};
-  let offset = 0;
-
-  while (offset < buffer.length) {
-    try {
-      const [tag, newOffset] = readVarint(buffer, offset);
-      const fieldNumber = tag >>> 3;
-      const wireType = tag & 0x7;
-      offset = newOffset;
-
-      switch (fieldNumber) {
-        case BBO_FIELDS.TEMPLATE_ID:
-          [result.templateId, offset] = readVarint(buffer, offset);
-          break;
-        case BBO_FIELDS.SYMBOL:
-          if (wireType === 2) {
-            [result.symbol, offset] = readLengthDelimited(buffer, offset);
-          } else {
-            offset = skipField(buffer, offset, wireType);
-          }
-          break;
-        case BBO_FIELDS.EXCHANGE:
-          if (wireType === 2) {
-            [result.exchange, offset] = readLengthDelimited(buffer, offset);
-          } else {
-            offset = skipField(buffer, offset, wireType);
-          }
-          break;
-        case BBO_FIELDS.BID_PRICE:
-          if (wireType === 1) {
-            result.bidPrice = buffer.readDoubleLE(offset);
-            offset += 8;
-          } else {
-            offset = skipField(buffer, offset, wireType);
-          }
-          break;
-        case BBO_FIELDS.BID_SIZE:
-          if (wireType === 0) {
-            [result.bidSize, offset] = readVarint(buffer, offset);
-          } else {
-            offset = skipField(buffer, offset, wireType);
-          }
-          break;
-        case BBO_FIELDS.ASK_PRICE:
-          if (wireType === 1) {
-            result.askPrice = buffer.readDoubleLE(offset);
-            offset += 8;
-          } else {
-            offset = skipField(buffer, offset, wireType);
-          }
-          break;
-        case BBO_FIELDS.ASK_SIZE:
-          if (wireType === 0) {
-            [result.askSize, offset] = readVarint(buffer, offset);
-          } else {
-            offset = skipField(buffer, offset, wireType);
-          }
-          break;
-        case BBO_FIELDS.SSBOE:
-          if (wireType === 0) {
-            [result.ssboe, offset] = readVarint(buffer, offset);
-          } else {
-            offset = skipField(buffer, offset, wireType);
-          }
-          break;
-        case BBO_FIELDS.USECS:
-          if (wireType === 0) {
-            [result.usecs, offset] = readVarint(buffer, offset);
-          } else {
-            offset = skipField(buffer, offset, wireType);
-          }
-          break;
-        default:
-          offset = skipField(buffer, offset, wireType);
-      }
-    } catch {
-      break;
-    }
-  }
-
-  return result;
-}
-
-/**
- * Decode AccountPnLPositionUpdate message (template_id = 450)
- */
-function decodeAccountPnL(buffer) {
-  const result = {};
-  let offset = 0;
-
-  while (offset < buffer.length) {
-    try {
-      const [tag, newOffset] = readVarint(buffer, offset);
-      const fieldNumber = tag >>> 3;
-      const wireType = tag & 0x7;
-      offset = newOffset;
-
-      switch (fieldNumber) {
-        case ACCOUNT_PNL_FIELDS.TEMPLATE_ID:
-          [result.templateId, offset] = readVarint(buffer, offset);
-          break;
-        case ACCOUNT_PNL_FIELDS.IS_SNAPSHOT:
-          const [isSnap, snapOffset] = readVarint(buffer, offset);
-          result.isSnapshot = isSnap !== 0;
-          offset = snapOffset;
-          break;
-        case ACCOUNT_PNL_FIELDS.FCM_ID:
-          [result.fcmId, offset] = readLengthDelimited(buffer, offset);
-          break;
-        case ACCOUNT_PNL_FIELDS.IB_ID:
-          [result.ibId, offset] = readLengthDelimited(buffer, offset);
-          break;
-        case ACCOUNT_PNL_FIELDS.ACCOUNT_ID:
-          [result.accountId, offset] = readLengthDelimited(buffer, offset);
-          break;
-        case ACCOUNT_PNL_FIELDS.FILL_BUY_QTY:
-          [result.fillBuyQty, offset] = readVarint(buffer, offset);
-          break;
-        case ACCOUNT_PNL_FIELDS.FILL_SELL_QTY:
-          [result.fillSellQty, offset] = readVarint(buffer, offset);
-          break;
-        case ACCOUNT_PNL_FIELDS.BUY_QTY:
-          [result.buyQty, offset] = readVarint(buffer, offset);
-          break;
-        case ACCOUNT_PNL_FIELDS.SELL_QTY:
-          [result.sellQty, offset] = readVarint(buffer, offset);
-          break;
-        case ACCOUNT_PNL_FIELDS.ACCOUNT_BALANCE:
-          [result.accountBalance, offset] = readLengthDelimited(buffer, offset);
-          break;
-        case ACCOUNT_PNL_FIELDS.CASH_ON_HAND:
-          [result.cashOnHand, offset] = readLengthDelimited(buffer, offset);
-          break;
-        case ACCOUNT_PNL_FIELDS.MARGIN_BALANCE:
-          [result.marginBalance, offset] = readLengthDelimited(buffer, offset);
-          break;
-        case ACCOUNT_PNL_FIELDS.MIN_MARGIN_BALANCE:
-          [result.minMarginBalance, offset] = readLengthDelimited(buffer, offset);
-          break;
-        case ACCOUNT_PNL_FIELDS.AVAILABLE_BUYING_POWER:
-          [result.availableBuyingPower, offset] = readLengthDelimited(buffer, offset);
-          break;
-        case ACCOUNT_PNL_FIELDS.USED_BUYING_POWER:
-          [result.usedBuyingPower, offset] = readLengthDelimited(buffer, offset);
-          break;
-        case ACCOUNT_PNL_FIELDS.OPEN_POSITION_PNL:
-          [result.openPositionPnl, offset] = readLengthDelimited(buffer, offset);
-          break;
-        case ACCOUNT_PNL_FIELDS.OPEN_POSITION_QUANTITY:
-          [result.openPositionQuantity, offset] = readVarint(buffer, offset);
-          break;
-        case ACCOUNT_PNL_FIELDS.CLOSED_POSITION_PNL:
-          [result.closedPositionPnl, offset] = readLengthDelimited(buffer, offset);
-          break;
-        case ACCOUNT_PNL_FIELDS.CLOSED_POSITION_QUANTITY:
-          [result.closedPositionQuantity, offset] = readVarint(buffer, offset);
-          break;
-        case ACCOUNT_PNL_FIELDS.NET_QUANTITY:
-          [result.netQuantity, offset] = readVarint(buffer, offset);
-          break;
-        case ACCOUNT_PNL_FIELDS.DAY_OPEN_PNL:
-          [result.dayOpenPnl, offset] = readLengthDelimited(buffer, offset);
-          break;
-        case ACCOUNT_PNL_FIELDS.DAY_CLOSED_PNL:
-          [result.dayClosedPnl, offset] = readLengthDelimited(buffer, offset);
-          break;
-        case ACCOUNT_PNL_FIELDS.DAY_PNL:
-          [result.dayPnl, offset] = readLengthDelimited(buffer, offset);
-          break;
-        case ACCOUNT_PNL_FIELDS.PERCENT_MAX_LOSS:
-          [result.percentMaxLoss, offset] = readLengthDelimited(buffer, offset);
-          break;
-        case ACCOUNT_PNL_FIELDS.SSBOE:
-          [result.ssboe, offset] = readVarint(buffer, offset);
-          break;
-        case ACCOUNT_PNL_FIELDS.USECS:
-          [result.usecs, offset] = readVarint(buffer, offset);
-          break;
-        default:
-          offset = skipField(buffer, offset, wireType);
-      }
-    } catch {
-      break;
-    }
-  }
-
-  return result;
-}
-
-/**
- * Decode InstrumentPnLPositionUpdate message (template_id = 451)
- */
-function decodeInstrumentPnL(buffer) {
-  const result = {};
-  let offset = 0;
-
-  while (offset < buffer.length) {
-    try {
-      const [tag, newOffset] = readVarint(buffer, offset);
-      const fieldNumber = tag >>> 3;
-      const wireType = tag & 0x7;
-      offset = newOffset;
-
-      switch (fieldNumber) {
-        case INSTRUMENT_PNL_FIELDS.TEMPLATE_ID:
-          [result.templateId, offset] = readVarint(buffer, offset);
-          break;
-        case INSTRUMENT_PNL_FIELDS.IS_SNAPSHOT:
-          const [isSnap, snapOffset] = readVarint(buffer, offset);
-          result.isSnapshot = isSnap !== 0;
-          offset = snapOffset;
-          break;
-        case INSTRUMENT_PNL_FIELDS.FCM_ID:
-          [result.fcmId, offset] = readLengthDelimited(buffer, offset);
-          break;
-        case INSTRUMENT_PNL_FIELDS.IB_ID:
-          [result.ibId, offset] = readLengthDelimited(buffer, offset);
-          break;
-        case INSTRUMENT_PNL_FIELDS.ACCOUNT_ID:
-          [result.accountId, offset] = readLengthDelimited(buffer, offset);
-          break;
-        case INSTRUMENT_PNL_FIELDS.SYMBOL:
-          [result.symbol, offset] = readLengthDelimited(buffer, offset);
-          break;
-        case INSTRUMENT_PNL_FIELDS.EXCHANGE:
-          [result.exchange, offset] = readLengthDelimited(buffer, offset);
-          break;
-        case INSTRUMENT_PNL_FIELDS.PRODUCT_CODE:
-          [result.productCode, offset] = readLengthDelimited(buffer, offset);
-          break;
-        case INSTRUMENT_PNL_FIELDS.INSTRUMENT_TYPE:
-          [result.instrumentType, offset] = readLengthDelimited(buffer, offset);
-          break;
-        case INSTRUMENT_PNL_FIELDS.FILL_BUY_QTY:
-          [result.fillBuyQty, offset] = readVarint(buffer, offset);
-          break;
-        case INSTRUMENT_PNL_FIELDS.FILL_SELL_QTY:
-          [result.fillSellQty, offset] = readVarint(buffer, offset);
-          break;
-        case INSTRUMENT_PNL_FIELDS.BUY_QTY:
-          [result.buyQty, offset] = readVarint(buffer, offset);
-          break;
-        case INSTRUMENT_PNL_FIELDS.SELL_QTY:
-          [result.sellQty, offset] = readVarint(buffer, offset);
-          break;
-        case INSTRUMENT_PNL_FIELDS.AVG_OPEN_FILL_PRICE:
-          if (wireType === 1) {
-            result.avgOpenFillPrice = buffer.readDoubleLE(offset);
-            offset += 8;
-          } else {
-            offset = skipField(buffer, offset, wireType);
-          }
-          break;
-        case INSTRUMENT_PNL_FIELDS.OPEN_POSITION_PNL:
-          [result.openPositionPnl, offset] = readLengthDelimited(buffer, offset);
-          break;
-        case INSTRUMENT_PNL_FIELDS.OPEN_POSITION_QUANTITY:
-          [result.openPositionQuantity, offset] = readVarint(buffer, offset);
-          break;
-        case INSTRUMENT_PNL_FIELDS.CLOSED_POSITION_PNL:
-          [result.closedPositionPnl, offset] = readLengthDelimited(buffer, offset);
-          break;
-        case INSTRUMENT_PNL_FIELDS.CLOSED_POSITION_QUANTITY:
-          [result.closedPositionQuantity, offset] = readVarint(buffer, offset);
-          break;
-        case INSTRUMENT_PNL_FIELDS.NET_QUANTITY:
-          [result.netQuantity, offset] = readVarint(buffer, offset);
-          break;
-        case INSTRUMENT_PNL_FIELDS.DAY_OPEN_PNL:
-          if (wireType === 1) {
-            result.dayOpenPnl = buffer.readDoubleLE(offset);
-            offset += 8;
-          } else {
-            offset = skipField(buffer, offset, wireType);
-          }
-          break;
-        case INSTRUMENT_PNL_FIELDS.DAY_CLOSED_PNL:
-          if (wireType === 1) {
-            result.dayClosedPnl = buffer.readDoubleLE(offset);
-            offset += 8;
-          } else {
-            offset = skipField(buffer, offset, wireType);
-          }
-          break;
-        case INSTRUMENT_PNL_FIELDS.DAY_PNL:
-          if (wireType === 1) {
-            result.dayPnl = buffer.readDoubleLE(offset);
-            offset += 8;
-          } else {
-            offset = skipField(buffer, offset, wireType);
-          }
-          break;
-        case INSTRUMENT_PNL_FIELDS.SSBOE:
-          [result.ssboe, offset] = readVarint(buffer, offset);
-          break;
-        case INSTRUMENT_PNL_FIELDS.USECS:
-          [result.usecs, offset] = readVarint(buffer, offset);
-          break;
-        default:
-          offset = skipField(buffer, offset, wireType);
-      }
-    } catch {
-      break;
-    }
-  }
-
-  return result;
-}
-
-module.exports = {
-  getTemplateId,
-  decodeLastTrade,
-  decodeBestBidOffer,
-  decodeAccountPnL,
-  decodeInstrumentPnL,
-  LAST_TRADE_FIELDS,
-  BBO_FIELDS,
-  ACCOUNT_PNL_FIELDS,
-  INSTRUMENT_PNL_FIELDS,
-};

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 };