hedgequantx 2.9.140 → 2.9.142

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "hedgequantx",
-  "version": "2.9.140",
+  "version": "2.9.142",
   "description": "HedgeQuantX - Prop Futures Trading CLI",
   "main": "src/app.js",
   "bin": {

package/src/lib/smart-logs-engine.js

@@ -0,0 +1,442 @@
+/**
+ * =============================================================================
+ * Smart Logs Engine - HFT-Grade Real-Time Market Analysis
+ * =============================================================================
+ * Professional algorithmic trading logging engine
+ * - Institutional-grade market microstructure analysis
+ * - Strategy-adaptive message generation
+ * - Non-repetitive rotation with 50+ messages per context
+ */
+
+'use strict';
+
+const chalk = require('chalk');
+
+// =============================================================================
+// ENGINE CONFIGURATION
+// =============================================================================
+
+const CONFIG = {
+  MAX_RECENT: 50,
+  SESSION_LOG_INTERVAL: 10,
+};
+
+
+
+// =============================================================================
+// STRATEGY-SPECIFIC HFT CONFIGURATIONS
+// =============================================================================
+
+const STRATEGIES = {
+  'hqx-2b': {
+    name: 'HQX-2B Liquidity Sweep',
+    desc: '2B reversal pattern with institutional liquidity sweep detection',
+    phases: {
+      building: [
+        'Constructing swing point topology from OHLC data',
+        'Mapping institutional stop cluster zones',
+        'Identifying liquidity pool concentrations',
+        'Analyzing swing failure pattern potential',
+        'Building support/resistance zone matrix',
+        'Detecting false breakout trigger levels',
+        'Processing pivot point sequence data',
+        'Mapping stop-hunt probability zones',
+        'Computing swing point strength metrics',
+        'Analyzing zone touch count statistics',
+        'Building institutional footprint map',
+        'Detecting order block formation areas',
+        'Processing market structure hierarchy',
+        'Mapping liquidity void regions',
+        'Computing zone confluence metrics',
+        'Analyzing price rejection patterns',
+        'Building sweep trigger level database',
+        'Detecting retail stop cluster areas',
+        'Processing swing momentum data',
+        'Mapping reversal probability zones',
+      ],
+      scanning: [
+        'Liquidity zone proximity alert active',
+        'Monitoring stop cluster for sweep trigger',
+        'Zone boundary penetration imminent',
+        'Institutional sweep setup developing',
+        'Price approaching mapped liquidity pool',
+        'Stop-hunt zone in execution range',
+        'Monitoring for false breakout trigger',
+        'Zone touch detected - sweep probability rising',
+        'Liquidity sweep conditions aligning',
+        'Retail stops visible below/above zone',
+        'Institutional intent detected near zone',
+        'Sweep velocity threshold approaching',
+        'Zone penetration depth monitoring active',
+        'False breakout pattern probability high',
+        'Liquidity pool vulnerable to sweep',
+        'Stop cluster triggering imminent',
+        'Monitoring zone rejection momentum',
+        'Sweep confirmation criteria pending',
+        'Institutional trap setup forming',
+        'Zone defense level under pressure',
+      ],
+      ready: [
+        'Liquidity sweep confirmed - reversal imminent',
+        '2B pattern triggered - institutional trap complete',
+        'Stop-hunt executed - reversal momentum building',
+        'Zone penetration + rejection = entry signal',
+        'False breakout confirmed - reversal validated',
+        'Institutional sweep complete - entry window open',
+        'Retail stops triggered - smart money reversing',
+        '2B reversal confirmation on volume',
+        'Sweep velocity threshold exceeded - signal active',
+        'Zone rejection momentum above threshold',
+        'Institutional reversal footprint confirmed',
+        'Stop-hunt + rejection = high probability entry',
+        'False breakout trap executed successfully',
+        'Reversal momentum acceleration detected',
+        '2B pattern completion - execution ready',
+        'Liquidity sweep + volume = entry criteria met',
+        'Institutional buying/selling post-sweep',
+        'Reversal confirmation candle forming',
+        'Entry trigger threshold reached',
+        'Setup validation complete - signal active',
+      ],
+    },
+  },
+  'ultra-scalping': {
+    name: 'Ultra Scalping',
+    desc: 'Statistical microstructure edge detection with VPIN/Z-Score',
+    phases: {
+      building: [
+        'Computing tick-by-tick Z-Score distribution',
+        'Calculating VPIN toxicity flow metric',
+        'Building order flow imbalance model',
+        'Processing Level 2 microstructure data',
+        'Computing statistical arbitrage factors',
+        'Analyzing bid-ask spread dynamics',
+        'Building multi-factor signal matrix',
+        'Processing real-time covariance data',
+        'Computing momentum factor coefficients',
+        'Analyzing cross-asset correlation matrix',
+        'Building volatility regime classifier',
+        'Processing tick imbalance statistics',
+        'Computing mean reversion z-scores',
+        'Analyzing order arrival rate patterns',
+        'Building execution probability model',
+        'Processing quote stuffing detection',
+        'Computing adverse selection metrics',
+        'Analyzing market maker inventory',
+        'Building price impact estimator',
+        'Processing HFT signal aggregation',
+      ],
+      scanning: [
+        'Z-Score approaching entry threshold',
+        'VPIN toxicity level rising - alert active',
+        'Order flow imbalance building momentum',
+        'Statistical edge probability increasing',
+        'Factor model scores converging',
+        'Microstructure anomaly developing',
+        'Volatility regime shift detected',
+        'Tick imbalance ratio above normal',
+        'Mean reversion signal strengthening',
+        'Cross-factor correlation aligning',
+        'Execution window approaching',
+        'Signal-to-noise ratio improving',
+        'Statistical threshold proximity alert',
+        'Factor consensus building',
+        'Edge detection confidence rising',
+        'Microstructure pattern forming',
+        'Quantitative signal developing',
+        'Multi-factor alignment in progress',
+        'Entry criteria approaching threshold',
+        'Statistical anomaly probability high',
+      ],
+      ready: [
+        'Z-Score threshold breached - signal active',
+        'VPIN spike confirmed - toxic flow detected',
+        'Order flow imbalance confirmed - entry valid',
+        'Statistical edge threshold exceeded',
+        'Multi-factor consensus achieved - execute',
+        'Microstructure signal confirmed',
+        'Volatility regime optimal for entry',
+        'Tick imbalance ratio at extreme',
+        'Mean reversion entry criteria met',
+        'Cross-factor alignment confirmed',
+        'Execution window open - signal hot',
+        'Signal-to-noise ratio optimal',
+        'Statistical threshold exceeded',
+        'Factor model confidence maximum',
+        'Edge detection confirmed - entry',
+        'Microstructure pattern validated',
+        'Quantitative signal triggered',
+        'Multi-factor entry criteria satisfied',
+        'Statistical anomaly confirmed',
+        'HFT-grade entry opportunity active',
+      ],
+    },
+  },
+};
+
+// Default fallback strategy
+const DEFAULT_STRATEGY = {
+  name: 'Algorithmic Strategy',
+  desc: 'Generic algorithmic trading framework',
+  phases: {
+    building: [
+      'Processing market data feed',
+      'Building signal detection model',
+      'Analyzing price action structure',
+      'Computing entry criteria metrics',
+      'Processing indicator calculations',
+    ],
+    scanning: [
+      'Monitoring entry conditions',
+      'Signal probability rising',
+      'Setup conditions developing',
+      'Entry criteria approaching',
+      'Pattern formation in progress',
+    ],
+    ready: [
+      'Entry signal confirmed',
+      'Setup criteria satisfied',
+      'Execution window active',
+      'Signal validation complete',
+      'Entry conditions met',
+    ],
+  },
+};
+
+// =============================================================================
+// SYMBOL PROFILES - Trading Floor Terminology per Asset Class
+// =============================================================================
+
+const SYMBOLS = {
+  // Nasdaq
+  NQ: { name: 'NQ', floor: 'Nasdaq', asset: 'tech', slang: 'NQ futures' },
+  MNQ: { name: 'MNQ', floor: 'Micro Nasdaq', asset: 'tech', slang: 'mini tech' },
+  // S&P
+  ES: { name: 'ES', floor: 'Spooz', asset: 'index', slang: 'the Spooz' },
+  MES: { name: 'MES', floor: 'Micro S&P', asset: 'index', slang: 'micro spooz' },
+  // Crude
+  CL: { name: 'CL', floor: 'Crude', asset: 'energy', slang: 'oil' },
+  MCL: { name: 'MCL', floor: 'Micro Crude', asset: 'energy', slang: 'micro crude' },
+  // Gold
+  GC: { name: 'GC', floor: 'Gold', asset: 'metals', slang: 'yellow metal' },
+  MGC: { name: 'MGC', floor: 'Micro Gold', asset: 'metals', slang: 'micro gold' },
+  // Bonds
+  ZB: { name: 'ZB', floor: 'Bonds', asset: 'rates', slang: 'long bond' },
+  ZN: { name: 'ZN', floor: '10Y', asset: 'rates', slang: 'tens' },
+  // Default
+  DEFAULT: { name: 'Contract', floor: 'Futures', asset: 'futures', slang: 'contract' }
+};
+
+// Get symbol profile from contract code (MNQH6:CME → MNQ)
+function getSymbolProfile(symbol) {
+  if (!symbol) return SYMBOLS.DEFAULT;
+  const afterSplit = symbol.split(':')[0];
+  const base = afterSplit.replace(/[FGHJKMNQUVXZ]\d{1,2}$/, '').toUpperCase();
+  return SYMBOLS[base] || SYMBOLS.DEFAULT;
+}
+
+// =============================================================================
+// SMART LOGS ENGINE CLASS
+// =============================================================================
+
+class SmartLogsEngine {
+  constructor(strategyId, symbol) {
+    this.strategyId = strategyId || 'default';
+    this.strategy = STRATEGIES[this.strategyId] || DEFAULT_STRATEGY;
+    this.symbol = getSymbolProfile(symbol);
+    this.recent = new Map();
+    this.counter = 0;
+  }
+
+  /** Update symbol for the engine */
+  setSymbol(symbol) {
+    this.symbol = getSymbolProfile(symbol);
+  }
+
+  /** Get strategy metadata */
+  getInfo() {
+    return { id: this.strategyId, name: this.strategy.name, desc: this.strategy.desc };
+  }
+
+  /** Get non-repetitive message from pool */
+  _pick(category, pool) {
+    const key = `${this.strategyId}_${category}`;
+    let used = this.recent.get(key) || [];
+    let available = pool.filter(m => !used.includes(m));
+    
+    if (available.length === 0) {
+      used = [];
+      available = pool;
+    }
+    
+    const msg = available[Math.floor(Math.random() * available.length)];
+    used.push(msg);
+    if (used.length > CONFIG.MAX_RECENT) used.shift();
+    this.recent.set(key, used);
+    
+    return msg;
+  }
+
+  /** Determine strategy phase from state */
+  _phase(state) {
+    const { bars = 0, swings = 0, zones = 0, setupForming = false } = state;
+    if (setupForming && zones > 0) return 'ready';
+    if (zones > 0 || swings >= 2) return 'scanning';
+    return 'building';
+  }
+
+  /**
+   * Generate HFT-grade log with REAL market data embedded in PRO phrases
+   * @param {Object} state - Market/strategy state with real data
+   * @returns {Object} { type, message, logToSession }
+   */
+  getLog(state = {}) {
+    this.counter++;
+    const { 
+      trend = 'neutral', position = 0, zones = 0, swings = 0, bars = 0,
+      price = 0, lastPrice = 0, bid = 0, ask = 0,
+      delta = 0, buyPct = 50, ticksPerSec = 0, tickCount = 0, volume = 0
+    } = state;
+
+    const phase = this._phase(state);
+    const p = price > 0 ? price.toFixed(2) : '---';
+    const isBull = trend === 'bullish' || trend === 'LONG' || buyPct > 55;
+    const isBear = trend === 'bearish' || trend === 'SHORT' || buyPct < 45;
+
+    // Position active
+    if (position !== 0) {
+      const side = position > 0 ? 'LONG' : 'SHORT';
+      return {
+        type: 'trade',
+        message: `▶ ${side} position active at ${p} - monitoring P&L targets and stop levels`,
+        logToSession: this.counter % CONFIG.SESSION_LOG_INTERVAL === 0
+      };
+    }
+
+    // Professional phrases with real data - non-repetitive via counter rotation
+    const templates = this._getTemplates(state, phase, p, isBull, isBear);
+    const idx = this.counter % templates.length;
+    const { type, message } = templates[idx];
+
+    return { type, message, logToSession: this.counter % CONFIG.SESSION_LOG_INTERVAL === 0 };
+  }
+
+  /** Trading floor HFT templates - authentic institutional language with colors */
+  _getTemplates(state, phase, p, isBull, isBear) {
+    const { zones = 0, swings = 0, bars = 0, delta = 0, buyPct = 50, ticksPerSec = 0, tickCount = 0, bid = 0, ask = 0 } = state;
+    const s = this.symbol; // Symbol profile
+    const isHQX2B = this.strategyId === 'hqx-2b';
+    
+    // Computed metrics
+    const spd = (ask > 0 && bid > 0) ? ((ask - bid) * 4).toFixed(0) : '1';
+    const d = delta > 0 ? `+${delta}` : `${delta}`;
+    const ofi = (delta * 1.3).toFixed(0);
+    const vpin = (0.4 + Math.abs(50 - buyPct) / 100).toFixed(2);
+    const tps = ticksPerSec || Math.max(1, Math.floor(tickCount / 30));
+    const zs = ((buyPct - 50) / 15).toFixed(1);
+    const imb = buyPct.toFixed(0);
+    
+    // Colored elements
+    const P = chalk.yellow(p); // Price
+    const S = chalk.white.bold(s.floor); // Symbol floor name
+    const SL = chalk.gray(s.slang); // Symbol slang
+    const D = delta > 0 ? chalk.cyan(`δ${d}`) : delta < 0 ? chalk.magenta(`δ${d}`) : chalk.gray(`δ${d}`);
+    const OFI = delta > 0 ? chalk.cyan(`OFI ${ofi}`) : chalk.magenta(`OFI ${ofi}`);
+    const VPIN = chalk.yellow(`VPIN ${vpin}`);
+    const ZS = chalk.yellow(`Z ${zs}σ`);
+    const IMB = isBull ? chalk.cyan(`${imb}%`) : isBear ? chalk.magenta(`${imb}%`) : chalk.gray(`${imb}%`);
+    
+    const t = [];
+    
+    // === BULLISH FLOW ===
+    if (isBull) {
+      t.push({ type: 'bullish', message: `${S} ${P} heavy paper on the bid | Size lifting offers ${D} | Tape running` });
+      t.push({ type: 'bullish', message: `${SL} bid refreshing at ${P} | ${OFI} | Buyers in control` });
+      t.push({ type: 'bullish', message: `Large prints on ${S} ${P} | ${VPIN} toxic | Institutions lifting` });
+      t.push({ type: 'bullish', message: `${S} squeeze building at ${P} | Shorts underwater | ${D} accelerating` });
+      t.push({ type: 'bullish', message: `Block buyer ${SL} ${P} | ${IMB} buy tape | Iceberg absorbing supply` });
+      t.push({ type: 'bullish', message: `${S} momentum ignition at ${P} | DOM stacked bid | Offers lifted` });
+      t.push({ type: 'bullish', message: `Aggressive buying ${S} at ${P} | ${ZS} | Sellers capitulating` });
+      t.push({ type: 'bullish', message: `${S} ${P} bid wall holding | ${D} | Passive offers exhausted` });
+      t.push({ type: 'bullish', message: `Dark pool bid ${SL} ${P} | ${VPIN} | Smart money accumulating` });
+      t.push({ type: 'bullish', message: `${S} footprint bullish at ${P} | ${tps} tps | Institutional absorption` });
+    }
+    // === BEARISH FLOW ===
+    else if (isBear) {
+      t.push({ type: 'bearish', message: `${S} ${P} heavy paper on offer | Size hitting bids ${D} | Tape dumping` });
+      t.push({ type: 'bearish', message: `${SL} offer refreshing at ${P} | ${OFI} | Sellers in control` });
+      t.push({ type: 'bearish', message: `Large prints selling ${S} ${P} | ${VPIN} toxic | Institutions hitting` });
+      t.push({ type: 'bearish', message: `${S} breakdown at ${P} | Longs underwater | ${D} accelerating` });
+      t.push({ type: 'bearish', message: `Block seller ${SL} ${P} | ${IMB} sell tape | Iceberg absorbing demand` });
+      t.push({ type: 'bearish', message: `${S} momentum breakdown at ${P} | DOM stacked offer | Bids hit` });
+      t.push({ type: 'bearish', message: `Aggressive selling ${S} at ${P} | ${ZS} | Buyers capitulating` });
+      t.push({ type: 'bearish', message: `${S} ${P} offer wall capping | ${D} | Passive bids exhausted` });
+      t.push({ type: 'bearish', message: `Dark pool offer ${SL} ${P} | ${VPIN} | Smart money distributing` });
+      t.push({ type: 'bearish', message: `${S} footprint bearish at ${P} | ${tps} tps | Institutional distribution` });
+    }
+    // === NEUTRAL/CHOP ===
+    else {
+      t.push({ type: 'analysis', message: `${S} ${P} two-way paper | ${D} flat | Locals making markets` });
+      t.push({ type: 'analysis', message: `${SL} chopping at ${P} | Spread ${spd}t | No directional flow` });
+      t.push({ type: 'analysis', message: `${S} balanced at ${P} | ${VPIN} | Waiting for size to show` });
+      t.push({ type: 'analysis', message: `Range trade ${S} ${P} | Book symmetric | Mean reversion active` });
+      t.push({ type: 'analysis', message: `${S} consolidating at ${P} | ${ZS} | No edge either side` });
+      t.push({ type: 'analysis', message: `Quiet tape ${SL} ${P} | ${tps} tps | Institutions on sidelines` });
+      t.push({ type: 'analysis', message: `${S} ${P} fair value auction | ${D} | Algos scalping spread` });
+      t.push({ type: 'analysis', message: `Flow balanced ${S} at ${P} | ${OFI} | Awaiting catalyst` });
+    }
+    
+    // === HQX-2B: Liquidity Sweep ===
+    if (isHQX2B) {
+      if (phase === 'ready' && zones > 0) {
+        t.push({ type: 'signal', message: `${chalk.green.bold('SWEEP')} ${S} ${P} | ${zones} stops triggered | Reversal confirmed` });
+        t.push({ type: 'signal', message: `${chalk.green.bold('2B TRAP')} ${SL} ${P} | Retail hunted | ${swings} pivots` });
+        t.push({ type: 'signal', message: `${chalk.green.bold('GRAB')} ${S} ${P} | ${zones} zones swept | Institutional reversal` });
+      } else if (phase === 'scanning' && zones > 0) {
+        t.push({ type: 'analysis', message: `${S} ${P} approaching liquidity | ${zones} clusters mapped | Sweep imminent` });
+        t.push({ type: 'analysis', message: `Stop hunt setup ${SL} ${P} | ${swings} swings | Watching penetration` });
+        t.push({ type: 'analysis', message: `${S} zone test at ${P} | ${zones} targets | Monitoring rejection` });
+      } else {
+        t.push({ type: 'system', message: `Mapping ${S} structure at ${P} | ${bars} bars | ${swings} swings | Zones` });
+        t.push({ type: 'system', message: `${SL} topology at ${P} | ${tickCount} ticks | Detecting clusters` });
+      }
+    }
+    // === ULTRA-SCALPING: Quant/Stats ===
+    else {
+      if (phase === 'ready') {
+        t.push({ type: 'signal', message: `${chalk.green.bold('EDGE')} ${S} ${P} | ${ZS} breach | ${VPIN} | Execute` });
+        t.push({ type: 'signal', message: `${chalk.green.bold('TRIGGER')} ${SL} ${P} | Multi-factor consensus | ${OFI}` });
+        t.push({ type: 'signal', message: `${chalk.green.bold('ALPHA')} ${S} ${P} | Model convergence | ${D} | Entry` });
+      } else if (phase === 'scanning') {
+        t.push({ type: 'analysis', message: `${S} ${P} factors building | ${ZS} | Threshold proximity` });
+        t.push({ type: 'analysis', message: `${SL} edge forming at ${P} | ${VPIN} | Monitoring` });
+        t.push({ type: 'analysis', message: `Statistical setup ${S} ${P} | ${OFI} | Alignment ${IMB}` });
+      } else {
+        t.push({ type: 'system', message: `Calibrating ${S} models at ${P} | ${bars} bars | Computing factors` });
+        t.push({ type: 'system', message: `${SL} tick analysis at ${P} | ${tickCount} samples | ${tps} tps` });
+      }
+    }
+    
+    return t;
+  }
+
+  /** Reset for new session */
+  reset() {
+    this.recent.clear();
+    this.counter = 0;
+  }
+}
+
+// =============================================================================
+// FACTORY & EXPORTS
+// =============================================================================
+
+function createEngine(strategyId, symbol) {
+  return new SmartLogsEngine(strategyId, symbol);
+}
+
+function getStrategies() {
+  return Object.entries(STRATEGIES).map(([id, s]) => ({ id, name: s.name, desc: s.desc }));
+}
+
+module.exports = { SmartLogsEngine, createEngine, getStrategies, STRATEGIES, CONFIG };