orderflow-metrics 0.24.0

package/dist/bars.js

@@ -0,0 +1,92 @@
+/** Aggregate a non-empty slice of trades into a single bar. */
+function buildBar(trades) {
+    const first = trades[0];
+    const last = trades[trades.length - 1];
+    let high = first.price;
+    let low = first.price;
+    let volume = 0;
+    let dollar = 0;
+    let buyVolume = 0;
+    let sellVolume = 0;
+    for (const t of trades) {
+        if (t.price > high)
+            high = t.price;
+        if (t.price < low)
+            low = t.price;
+        volume += t.size;
+        dollar += t.price * t.size;
+        if (t.side === "buy")
+            buyVolume += t.size;
+        else
+            sellVolume += t.size;
+    }
+    const bar = {
+        open: first.price,
+        high,
+        low,
+        close: last.price,
+        volume,
+        dollar,
+        vwap: volume > 0 ? dollar / volume : first.price,
+        ticks: trades.length,
+        buyVolume,
+        sellVolume,
+    };
+    if (first.ts !== undefined)
+        bar.start = first.ts;
+    if (last.ts !== undefined)
+        bar.end = last.ts;
+    return bar;
+}
+/**
+ * Emit a bar every `threshold` trades (tick bars).
+ *
+ * @param threshold number of trades per bar (integer ≥ 1)
+ */
+export function tickBars(trades, threshold) {
+    const step = Math.floor(threshold);
+    if (step < 1)
+        return [];
+    const bars = [];
+    for (let i = 0; i + step <= trades.length; i += step) {
+        bars.push(buildBar(trades.slice(i, i + step)));
+    }
+    return bars;
+}
+/**
+ * Emit a bar each time cumulative size reaches `threshold` (volume bars).
+ * The trade that crosses the threshold closes the bar and is included whole.
+ *
+ * @param threshold volume per bar (> 0)
+ */
+export function volumeBars(trades, threshold) {
+    return accumulate(trades, threshold, (t) => t.size);
+}
+/**
+ * Emit a bar each time cumulative traded value (Σ price·size) reaches
+ * `threshold` (dollar bars). Dollar bars are the most robust of the three to
+ * changes in price level and are usually preferred (López de Prado, 2018).
+ *
+ * @param threshold traded value per bar (> 0)
+ */
+export function dollarBars(trades, threshold) {
+    return accumulate(trades, threshold, (t) => t.price * t.size);
+}
+/** Shared accumulator for volume / dollar bars. */
+function accumulate(trades, threshold, weight) {
+    if (!(threshold > 0))
+        return [];
+    const bars = [];
+    let start = 0;
+    let acc = 0;
+    for (let i = 0; i < trades.length; i++) {
+        acc += weight(trades[i]);
+        if (acc >= threshold) {
+            bars.push(buildBar(trades.slice(start, i + 1)));
+            start = i + 1;
+            acc = 0;
+        }
+    }
+    return bars;
+}
+//# sourceMappingURL=bars.js.map

package/dist/bars.js.map

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package/dist/classify.d.ts

@@ -0,0 +1,25 @@
+/**
+ * Trade-sign classification.
+ *
+ * Public trade prints usually don't tell you which side was the aggressor.
+ * These rules infer it, so downstream OFI / imbalance / VPIN inputs can be
+ * signed. Output is +1 (buyer-initiated), −1 (seller-initiated), 0 (unknown).
+ */
+export type Sign = 1 | -1 | 0;
+/**
+ * Tick rule: classify by the change vs the previous trade price.
+ * An unchanged ("zero tick") price carries the last non-zero sign; the first
+ * trade is unclassifiable (0).
+ */
+export declare function tickRule(prices: readonly number[]): Sign[];
+export interface PriceVsMid {
+    price: number;
+    mid: number;
+}
+/**
+ * Lee-Ready (1991): quote rule first — a print above the prevailing mid is
+ * buyer-initiated, below is seller-initiated — with the tick rule breaking
+ * at-the-mid ties.
+ */
+export declare function leeReady(obs: readonly PriceVsMid[]): Sign[];
+//# sourceMappingURL=classify.d.ts.map

package/dist/classify.d.ts.map

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package/dist/classify.js

@@ -0,0 +1,57 @@
+/**
+ * Trade-sign classification.
+ *
+ * Public trade prints usually don't tell you which side was the aggressor.
+ * These rules infer it, so downstream OFI / imbalance / VPIN inputs can be
+ * signed. Output is +1 (buyer-initiated), −1 (seller-initiated), 0 (unknown).
+ */
+/**
+ * Tick rule: classify by the change vs the previous trade price.
+ * An unchanged ("zero tick") price carries the last non-zero sign; the first
+ * trade is unclassifiable (0).
+ */
+export function tickRule(prices) {
+    const out = [];
+    let last = 0;
+    for (let i = 0; i < prices.length; i++) {
+        if (i > 0) {
+            const d = prices[i] - prices[i - 1];
+            if (d > 0)
+                last = 1;
+            else if (d < 0)
+                last = -1;
+            // d === 0 -> keep last (zero-tick)
+        }
+        out.push(last);
+    }
+    return out;
+}
+/**
+ * Lee-Ready (1991): quote rule first — a print above the prevailing mid is
+ * buyer-initiated, below is seller-initiated — with the tick rule breaking
+ * at-the-mid ties.
+ */
+export function leeReady(obs) {
+    const out = [];
+    let last = 0;
+    for (let i = 0; i < obs.length; i++) {
+        const { price, mid } = obs[i];
+        let sign;
+        if (price > mid)
+            sign = 1;
+        else if (price < mid)
+            sign = -1;
+        else if (i > 0) {
+            const d = price - obs[i - 1].price;
+            sign = d > 0 ? 1 : d < 0 ? -1 : last;
+        }
+        else {
+            sign = 0;
+        }
+        if (sign !== 0)
+            last = sign;
+        out.push(sign);
+    }
+    return out;
+}
+//# sourceMappingURL=classify.js.map

package/dist/classify.js.map

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package/dist/covariance.d.ts

@@ -0,0 +1,37 @@
+/**
+ * Realized covariance, correlation, and beta between two return series.
+ *
+ * Single-asset volatility says how much one instrument moved; trading and risk
+ * live in how instruments move *together*. Summing the products of contemporaneous
+ * returns gives the realized (co)variance — the model-free, high-frequency analogue
+ * of covariance:
+ *
+ *   realized covariance   = Σ xᵢ · yᵢ
+ *   realized correlation  = Σ xᵢyᵢ / ( √Σxᵢ² · √Σyᵢ² )   (in [−1, 1])
+ *   realized beta         = Σ aᵢ·mᵢ / Σ mᵢ²              (asset a vs market m)
+ *
+ * The two series are paired element-wise over their common length, so they must
+ * be aligned to the same sampling grid (equal length, matching timestamps).
+ * Correlation is scale-free; beta is the covariance of an asset with a market,
+ * normalized by the market's variance — the sensitivity of the asset to it.
+ */
+/**
+ * Realized covariance: Σ xᵢyᵢ over contemporaneous returns. Symmetric in its
+ * arguments; returns 0 for empty input. Series are paired over their common
+ * length, so align them to the same sampling grid first.
+ */
+export declare function realizedCovariance(x: readonly number[], y: readonly number[]): number;
+/**
+ * Realized correlation: Σ xᵢyᵢ / (√Σxᵢ² · √Σyᵢ²), in [−1, 1]. Scale-free measure
+ * of co-movement. Returns 0 when either series has zero realized variance (or is
+ * empty).
+ */
+export declare function realizedCorrelation(x: readonly number[], y: readonly number[]): number;
+/**
+ * Realized beta of an asset against a market/benchmark: Σ aᵢmᵢ / Σ mᵢ², i.e. the
+ * realized covariance of the two divided by the market's realized variance — the
+ * asset's sensitivity to the market. Returns 0 when the market has zero realized
+ * variance (or the input is empty).
+ */
+export declare function realizedBeta(asset: readonly number[], market: readonly number[]): number;
+//# sourceMappingURL=covariance.d.ts.map

package/dist/covariance.d.ts.map

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package/dist/covariance.js

@@ -0,0 +1,72 @@
+/**
+ * Realized covariance, correlation, and beta between two return series.
+ *
+ * Single-asset volatility says how much one instrument moved; trading and risk
+ * live in how instruments move *together*. Summing the products of contemporaneous
+ * returns gives the realized (co)variance — the model-free, high-frequency analogue
+ * of covariance:
+ *
+ *   realized covariance   = Σ xᵢ · yᵢ
+ *   realized correlation  = Σ xᵢyᵢ / ( √Σxᵢ² · √Σyᵢ² )   (in [−1, 1])
+ *   realized beta         = Σ aᵢ·mᵢ / Σ mᵢ²              (asset a vs market m)
+ *
+ * The two series are paired element-wise over their common length, so they must
+ * be aligned to the same sampling grid (equal length, matching timestamps).
+ * Correlation is scale-free; beta is the covariance of an asset with a market,
+ * normalized by the market's variance — the sensitivity of the asset to it.
+ */
+/** Σ xᵢyᵢ over the two series' common length. Both empty → 0. */
+function sumProduct(x, y) {
+    const n = Math.min(x.length, y.length);
+    let s = 0;
+    for (let i = 0; i < n; i++)
+        s += x[i] * y[i];
+    return s;
+}
+/**
+ * Realized covariance: Σ xᵢyᵢ over contemporaneous returns. Symmetric in its
+ * arguments; returns 0 for empty input. Series are paired over their common
+ * length, so align them to the same sampling grid first.
+ */
+export function realizedCovariance(x, y) {
+    return sumProduct(x, y);
+}
+/**
+ * Realized correlation: Σ xᵢyᵢ / (√Σxᵢ² · √Σyᵢ²), in [−1, 1]. Scale-free measure
+ * of co-movement. Returns 0 when either series has zero realized variance (or is
+ * empty).
+ */
+export function realizedCorrelation(x, y) {
+    const n = Math.min(x.length, y.length);
+    if (n === 0)
+        return 0;
+    let sxy = 0;
+    let sxx = 0;
+    let syy = 0;
+    for (let i = 0; i < n; i++) {
+        sxy += x[i] * y[i];
+        sxx += x[i] * x[i];
+        syy += y[i] * y[i];
+    }
+    const denom = Math.sqrt(sxx) * Math.sqrt(syy);
+    return denom > 0 ? sxy / denom : 0;
+}
+/**
+ * Realized beta of an asset against a market/benchmark: Σ aᵢmᵢ / Σ mᵢ², i.e. the
+ * realized covariance of the two divided by the market's realized variance — the
+ * asset's sensitivity to the market. Returns 0 when the market has zero realized
+ * variance (or the input is empty).
+ */
+export function realizedBeta(asset, market) {
+    const n = Math.min(asset.length, market.length);
+    if (n === 0)
+        return 0;
+    let cov = 0;
+    let varM = 0;
+    for (let i = 0; i < n; i++) {
+        cov += asset[i] * market[i];
+        varM += market[i] * market[i];
+    }
+    return varM > 0 ? cov / varM : 0;
+}
+//# sourceMappingURL=covariance.js.map

package/dist/covariance.js.map

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package/dist/efficiency.d.ts

@@ -0,0 +1,24 @@
+/**
+ * Market-efficiency diagnostics on a return series.
+ *
+ * Autocorrelation and the Lo-MacKinlay variance ratio tell you whether a
+ * series behaves like a random walk, mean-reverts, or trends — the kind of
+ * structure execution and market-making models care about.
+ */
+/**
+ * Lag-`lag` autocorrelation of a return series (biased estimator, denominator
+ * is the full-sample variance). Range roughly [-1, 1]. 0 for degenerate input.
+ */
+export declare function autocorrelation(returns: readonly number[], lag: number): number;
+/**
+ * Variance ratio VR(q) = Var(q-period return) / (q · Var(1-period return))
+ * over overlapping q-period returns (Lo & MacKinlay, 1988).
+ *
+ *   VR ≈ 1  random walk
+ *   VR < 1  mean-reverting
+ *   VR > 1  trending / positively autocorrelated
+ *
+ * Returns 1 for degenerate input (q ≥ length, or zero one-period variance).
+ */
+export declare function varianceRatio(returns: readonly number[], q: number): number;
+//# sourceMappingURL=efficiency.d.ts.map

package/dist/efficiency.d.ts.map

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package/dist/efficiency.js

@@ -0,0 +1,65 @@
+/**
+ * Market-efficiency diagnostics on a return series.
+ *
+ * Autocorrelation and the Lo-MacKinlay variance ratio tell you whether a
+ * series behaves like a random walk, mean-reverts, or trends — the kind of
+ * structure execution and market-making models care about.
+ */
+/**
+ * Lag-`lag` autocorrelation of a return series (biased estimator, denominator
+ * is the full-sample variance). Range roughly [-1, 1]. 0 for degenerate input.
+ */
+export function autocorrelation(returns, lag) {
+    const n = returns.length;
+    if (lag < 1 || n <= lag)
+        return 0;
+    const mean = returns.reduce((a, b) => a + b, 0) / n;
+    let den = 0;
+    for (const r of returns)
+        den += (r - mean) * (r - mean);
+    if (den === 0)
+        return 0;
+    let num = 0;
+    for (let t = lag; t < n; t++) {
+        num += (returns[t] - mean) * (returns[t - lag] - mean);
+    }
+    return num / den;
+}
+/**
+ * Variance ratio VR(q) = Var(q-period return) / (q · Var(1-period return))
+ * over overlapping q-period returns (Lo & MacKinlay, 1988).
+ *
+ *   VR ≈ 1  random walk
+ *   VR < 1  mean-reverting
+ *   VR > 1  trending / positively autocorrelated
+ *
+ * Returns 1 for degenerate input (q ≥ length, or zero one-period variance).
+ */
+export function varianceRatio(returns, q) {
+    const n = returns.length;
+    // Need at least two overlapping q-period returns for a meaningful variance,
+    // i.e. n > q. At n <= q the estimate is degenerate — return 1 (random walk).
+    if (q < 1 || n <= q)
+        return 1;
+    const mean = returns.reduce((a, b) => a + b, 0) / n;
+    let var1 = 0;
+    for (const r of returns)
+        var1 += (r - mean) * (r - mean);
+    var1 /= n;
+    if (var1 === 0)
+        return 1;
+    const qSums = [];
+    for (let j = 0; j + q <= n; j++) {
+        let s = 0;
+        for (let i = j; i < j + q; i++)
+            s += returns[i];
+        qSums.push(s);
+    }
+    const meanQ = qSums.reduce((a, b) => a + b, 0) / qSums.length;
+    let varQ = 0;
+    for (const s of qSums)
+        varQ += (s - meanQ) * (s - meanQ);
+    varQ /= qSums.length;
+    return varQ / (q * var1);
+}
+//# sourceMappingURL=efficiency.js.map

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package/dist/entropy.d.ts

@@ -0,0 +1,40 @@
+/**
+ * Order-flow entropy: how predictable is a stream of trades or returns?
+ *
+ * Shannon entropy measures the average surprise in a discrete distribution.
+ * Applied to microstructure, it quantifies the *balance* and *predictability*
+ * of order flow: a stream that is almost all buys (or a return series that only
+ * ticks one way) carries little surprise — low entropy — and is easier to
+ * anticipate, while a perfectly balanced, unpredictable stream is at maximum
+ * entropy. Persistently low flow entropy is a hallmark of directional,
+ * potentially informed activity.
+ *
+ *   H = − Σᵢ pᵢ · log₂ pᵢ        (in bits; pᵢ = countᵢ / Σ counts)
+ *
+ * Entropy is reported in bits (base-2), so two equally likely outcomes give
+ * exactly 1 bit and k equally likely outcomes give log₂ k bits.
+ */
+/**
+ * Shannon entropy (in bits) of a discrete distribution given category counts
+ * (or probabilities — any non-negative weights). Zero and negative entries are
+ * ignored; the remaining weights are normalized to sum to 1. Returns 0 when
+ * fewer than two categories carry positive weight.
+ */
+export declare function shannonEntropy(counts: readonly number[]): number;
+/**
+ * Normalized entropy: Shannon entropy divided by log₂(k), where k is the number
+ * of categories carrying positive weight. Maps entropy onto [0, 1] — 0 is fully
+ * concentrated (one-sided), 1 is perfectly uniform — so distributions with
+ * different numbers of categories are comparable. Returns 0 when fewer than two
+ * categories carry positive weight.
+ */
+export declare function normalizedEntropy(counts: readonly number[]): number;
+/**
+ * Sign entropy: the Shannon entropy (in bits, in [0, 1]) of the up/down split
+ * of a return or signed-flow series. Zero entries are ignored. 1 bit means
+ * perfectly balanced two-sided flow; values near 0 mean the flow is heavily
+ * one-sided (and thus more predictable). Returns 0 for an empty or single-sided
+ * series.
+ */
+export declare function signEntropy(values: readonly number[]): number;
+//# sourceMappingURL=entropy.d.ts.map

package/dist/entropy.d.ts.map

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package/dist/entropy.js

@@ -0,0 +1,73 @@
+/**
+ * Order-flow entropy: how predictable is a stream of trades or returns?
+ *
+ * Shannon entropy measures the average surprise in a discrete distribution.
+ * Applied to microstructure, it quantifies the *balance* and *predictability*
+ * of order flow: a stream that is almost all buys (or a return series that only
+ * ticks one way) carries little surprise — low entropy — and is easier to
+ * anticipate, while a perfectly balanced, unpredictable stream is at maximum
+ * entropy. Persistently low flow entropy is a hallmark of directional,
+ * potentially informed activity.
+ *
+ *   H = − Σᵢ pᵢ · log₂ pᵢ        (in bits; pᵢ = countᵢ / Σ counts)
+ *
+ * Entropy is reported in bits (base-2), so two equally likely outcomes give
+ * exactly 1 bit and k equally likely outcomes give log₂ k bits.
+ */
+/**
+ * Shannon entropy (in bits) of a discrete distribution given category counts
+ * (or probabilities — any non-negative weights). Zero and negative entries are
+ * ignored; the remaining weights are normalized to sum to 1. Returns 0 when
+ * fewer than two categories carry positive weight.
+ */
+export function shannonEntropy(counts) {
+    let total = 0;
+    for (const c of counts)
+        if (c > 0)
+            total += c;
+    if (total <= 0)
+        return 0;
+    let h = 0;
+    for (const c of counts) {
+        if (c > 0) {
+            const p = c / total;
+            h -= p * Math.log2(p);
+        }
+    }
+    return h;
+}
+/**
+ * Normalized entropy: Shannon entropy divided by log₂(k), where k is the number
+ * of categories carrying positive weight. Maps entropy onto [0, 1] — 0 is fully
+ * concentrated (one-sided), 1 is perfectly uniform — so distributions with
+ * different numbers of categories are comparable. Returns 0 when fewer than two
+ * categories carry positive weight.
+ */
+export function normalizedEntropy(counts) {
+    let k = 0;
+    for (const c of counts)
+        if (c > 0)
+            k++;
+    if (k < 2)
+        return 0;
+    return shannonEntropy(counts) / Math.log2(k);
+}
+/**
+ * Sign entropy: the Shannon entropy (in bits, in [0, 1]) of the up/down split
+ * of a return or signed-flow series. Zero entries are ignored. 1 bit means
+ * perfectly balanced two-sided flow; values near 0 mean the flow is heavily
+ * one-sided (and thus more predictable). Returns 0 for an empty or single-sided
+ * series.
+ */
+export function signEntropy(values) {
+    let up = 0;
+    let down = 0;
+    for (const v of values) {
+        if (v > 0)
+            up++;
+        else if (v < 0)
+            down++;
+    }
+    return shannonEntropy([up, down]);
+}
+//# sourceMappingURL=entropy.js.map

package/dist/entropy.js.map

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package/dist/execution.d.ts

@@ -0,0 +1,40 @@
+/**
+ * Execution-cost and price-impact metrics.
+ *
+ * Standard transaction-cost analysis (TCA) building blocks:
+ *   - effective spread  — realized cost against the quote midpoint
+ *   - realized spread   — liquidity-provider revenue (post-trade reversion)
+ *   - price impact      — permanent component (effective − realized)
+ *   - Kyle's lambda      — price impact per unit of signed order flow
+ *   - Roll's estimator   — effective spread implied by price-change autocovariance
+ *
+ * Sign convention: buys are +1, sells are −1. All spread measures are in the
+ * same price units as the inputs.
+ */
+import type { Side } from "./types.ts";
+/** Effective half-spread: d·(price − mid). */
+export declare function effectiveHalfSpread(price: number, mid: number, side: Side): number;
+/** Effective (full) spread: 2·d·(price − mid). */
+export declare function effectiveSpread(price: number, mid: number, side: Side): number;
+/** Realized (full) spread using the mid observed Δ later: 2·d·(price − midAfter). */
+export declare function realizedSpread(price: number, midAfter: number, side: Side): number;
+/** Permanent price impact: 2·d·(midAfter − mid) = effectiveSpread − realizedSpread. */
+export declare function priceImpact(mid: number, midAfter: number, side: Side): number;
+export interface FlowObservation {
+    /** mid-price change over the interval */
+    priceChange: number;
+    /** signed traded volume (positive = net buy) */
+    signedVolume: number;
+}
+/**
+ * Kyle's lambda — OLS slope of price change on signed order flow
+ * (ΔP = λ · signedVolume + ε). Returns 0 for degenerate input.
+ */
+export declare function kyleLambda(obs: FlowObservation[]): number;
+/**
+ * Roll's (1984) implied effective spread from a series of trade prices:
+ * 2·√(−cov(ΔP_t, ΔP_{t-1})). Returns 0 when the autocovariance is
+ * non-negative (the estimator is undefined there).
+ */
+export declare function rollSpread(prices: number[]): number;
+//# sourceMappingURL=execution.d.ts.map

package/dist/execution.d.ts.map

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package/dist/execution.js

@@ -0,0 +1,64 @@
+function dir(side) {
+    return side === "buy" ? 1 : -1;
+}
+/** Effective half-spread: d·(price − mid). */
+export function effectiveHalfSpread(price, mid, side) {
+    return dir(side) * (price - mid);
+}
+/** Effective (full) spread: 2·d·(price − mid). */
+export function effectiveSpread(price, mid, side) {
+    return 2 * effectiveHalfSpread(price, mid, side);
+}
+/** Realized (full) spread using the mid observed Δ later: 2·d·(price − midAfter). */
+export function realizedSpread(price, midAfter, side) {
+    return 2 * dir(side) * (price - midAfter);
+}
+/** Permanent price impact: 2·d·(midAfter − mid) = effectiveSpread − realizedSpread. */
+export function priceImpact(mid, midAfter, side) {
+    return 2 * dir(side) * (midAfter - mid);
+}
+/**
+ * Kyle's lambda — OLS slope of price change on signed order flow
+ * (ΔP = λ · signedVolume + ε). Returns 0 for degenerate input.
+ */
+export function kyleLambda(obs) {
+    const n = obs.length;
+    if (n < 2)
+        return 0;
+    let mx = 0;
+    let my = 0;
+    for (const o of obs) {
+        mx += o.signedVolume;
+        my += o.priceChange;
+    }
+    mx /= n;
+    my /= n;
+    let cov = 0;
+    let varx = 0;
+    for (const o of obs) {
+        const dx = o.signedVolume - mx;
+        cov += dx * (o.priceChange - my);
+        varx += dx * dx;
+    }
+    return varx === 0 ? 0 : cov / varx;
+}
+/**
+ * Roll's (1984) implied effective spread from a series of trade prices:
+ * 2·√(−cov(ΔP_t, ΔP_{t-1})). Returns 0 when the autocovariance is
+ * non-negative (the estimator is undefined there).
+ */
+export function rollSpread(prices) {
+    if (prices.length < 3)
+        return 0;
+    const dp = [];
+    for (let i = 1; i < prices.length; i++)
+        dp.push(prices[i] - prices[i - 1]);
+    const n = dp.length;
+    const mean = dp.reduce((a, b) => a + b, 0) / n;
+    let cov = 0;
+    for (let i = 1; i < n; i++)
+        cov += (dp[i] - mean) * (dp[i - 1] - mean);
+    cov /= n - 1;
+    return cov < 0 ? 2 * Math.sqrt(-cov) : 0;
+}
+//# sourceMappingURL=execution.js.map

package/dist/execution.js.map

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