hedgequantx 2.9.223 → 2.9.224
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/package.json +1 -1
- package/src/lib/smart-logs-context.js +162 -162
package/package.json
CHANGED
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@@ -14,225 +14,225 @@
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// ============================================================================
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const INSTRUMENT_CONTEXT = {
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// NASDAQ (NQ/MNQ) -
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// NASDAQ (NQ/MNQ) - High volatility, momentum-driven
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NQ: {
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name: 'Nasdaq',
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traits: ['
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traits: ['high-volatility', 'momentum', 'mean-reverting'],
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bullish: [
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'Positive Z-score momentum building',
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'OFI bid imbalance detected',
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'Buyers absorbing at bid levels',
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'Momentum factor positive',
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'Upside tick pressure increasing',
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'Bid depth strengthening',
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'Volume-weighted flow bullish',
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'VWAP reclaim in progress',
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'Positive order flow divergence',
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'Cumulative delta rising',
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],
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bearish: [
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'Negative Z-score momentum building',
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'OFI offer imbalance detected',
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'Sellers pressing through bids',
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'Momentum factor negative',
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'Downside tick pressure increasing',
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'Offer depth building',
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'Volume-weighted flow bearish',
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'VWAP breakdown confirmed',
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'Negative order flow divergence',
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'Cumulative delta falling',
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],
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neutral: [
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'Z-score normalized, awaiting extremity',
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'OFI balanced, no clear flow',
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'Price discovery phase active',
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'Volatility compression detected',
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'Range-bound tick action',
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],
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},
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// S&P 500 (ES/MES) -
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// S&P 500 (ES/MES) - Balanced, institutional flow
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ES: {
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name: 'S&P 500',
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traits: ['
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traits: ['balanced', 'institutional', 'mean-reverting'],
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bullish: [
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'Positive Z-score building',
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'OFI bid imbalance confirmed',
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'Absorption at bid levels',
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'Momentum factor turning up',
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'Positive tick divergence',
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'Bid stack building',
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'Volume delta positive',
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'VWAP support holding',
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'Order flow imbalance bullish',
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'Delta accumulation detected',
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],
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bearish: [
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'Negative Z-score building',
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'OFI offer imbalance confirmed',
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'Absorption at offer levels',
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'Momentum factor turning down',
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'Negative tick divergence',
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'Offer stack building',
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'Volume delta negative',
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'VWAP resistance holding',
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'Order flow imbalance bearish',
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'Delta distribution detected',
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],
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neutral: [
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'Z-score near zero, balanced',
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'OFI neutral, no edge',
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'Tick flow balanced',
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'Volatility regime stable',
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'Awaiting statistical extremity',
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],
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},
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// Crude Oil (CL/MCL) -
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// Crude Oil (CL/MCL) - High volatility, trend-following
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CL: {
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name: 'Crude Oil',
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traits: ['
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traits: ['high-volatility', 'trending', 'momentum'],
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bullish: [
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'Positive Z-score momentum',
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'OFI bid pressure building',
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'Absorption at bid levels',
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'Momentum vector positive',
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'Upside tick acceleration',
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'Bid depth increasing',
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'Volume flow bullish',
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'Delta accumulation strong',
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'Positive tick imbalance',
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'Order flow divergence up',
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],
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bearish: [
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'Negative Z-score momentum',
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'OFI offer pressure building',
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'Absorption at offer levels',
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'Momentum vector negative',
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'Downside tick acceleration',
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'Offer depth increasing',
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'Volume flow bearish',
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'Delta distribution strong',
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'Negative tick imbalance',
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'Order flow divergence down',
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],
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neutral: [
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'Z-score near mean',
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'OFI balanced, no edge',
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'Tick flow equilibrium',
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'Volatility regime stable',
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'Awaiting directional signal',
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],
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},
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// Gold (GC/MGC) -
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// Gold (GC/MGC) - Mean-reverting, volatility sensitive
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GC: {
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name: 'Gold',
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traits: ['
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traits: ['mean-reverting', 'volatility-sensitive', 'balanced'],
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bullish: [
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'Positive Z-score deviation',
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'OFI bid imbalance',
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'Buyers absorbing offers',
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'Momentum turning positive',
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'Positive tick pressure',
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'Bid stack building',
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'Volume delta positive',
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'Cumulative flow bullish',
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'Order imbalance up',
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'Statistical edge long',
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],
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bearish: [
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'Negative Z-score deviation',
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'OFI offer imbalance',
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'Sellers absorbing bids',
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'Momentum turning negative',
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'Negative tick pressure',
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'Offer stack building',
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'Volume delta negative',
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'Cumulative flow bearish',
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'Order imbalance down',
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'Statistical edge short',
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],
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neutral: [
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'Z-score normalized',
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'OFI balanced',
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'Tick flow neutral',
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'Volatility compression',
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'No statistical edge',
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],
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},
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// Russell 2000 (RTY/M2K) -
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// Russell 2000 (RTY/M2K) - High beta, momentum-driven
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RTY: {
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name: 'Russell 2000',
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traits: ['
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traits: ['high-beta', 'momentum', 'volatile'],
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bullish: [
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'Positive Z-score momentum',
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'OFI bid imbalance strong',
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'Absorption at bid levels',
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'Momentum factor bullish',
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'Upside tick pressure',
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'Bid depth building',
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'Volume flow positive',
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'Delta accumulation',
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'Tick imbalance bullish',
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'Order flow divergence up',
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],
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bearish: [
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'Negative Z-score momentum',
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'OFI offer imbalance strong',
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'Absorption at offer levels',
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'Momentum factor bearish',
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'Downside tick pressure',
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'Offer depth building',
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'Volume flow negative',
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'Delta distribution',
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'Tick imbalance bearish',
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'Order flow divergence down',
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],
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neutral: [
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'Z-score balanced',
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'OFI neutral',
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'Tick flow even',
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'Volatility stable',
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'No statistical edge',
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],
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},
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// Dow Jones (YM/MYM) -
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// Dow Jones (YM/MYM) - Balanced, mean-reverting
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YM: {
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name: 'Dow Jones',
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traits: ['
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traits: ['balanced', 'mean-reverting', 'stable'],
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bullish: [
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'Positive Z-score building',
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'OFI bid imbalance',
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'Buyers absorbing',
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'Momentum positive',
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'Tick pressure up',
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'Bid stack strong',
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'Volume delta bullish',
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'Cumulative flow up',
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'Order imbalance long',
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'Statistical edge bullish',
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],
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bearish: [
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'Negative Z-score building',
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'OFI offer imbalance',
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'Sellers absorbing',
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'Momentum negative',
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'Tick pressure down',
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'Offer stack strong',
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'Volume delta bearish',
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'Cumulative flow down',
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'Order imbalance short',
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'Statistical edge bearish',
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],
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neutral: [
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'Z-score normalized',
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'OFI balanced',
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'Tick flow neutral',
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'Volatility compression',
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'Awaiting extremity',
|
|
236
236
|
],
|
|
237
237
|
},
|
|
238
238
|
};
|