orderflow-metrics 0.24.0

package/dist/moments.js

@@ -0,0 +1,48 @@
+/**
+ * Realized higher moments from an intraday return series.
+ *
+ * Following Amaya, Christoffersen, Jacobs & Vasquez (2015), the realized
+ * skewness and kurtosis of a set of high-frequency returns summarise the shape
+ * of the intraday return distribution — asymmetry and tail heaviness — beyond
+ * what realized variance (see `volatility`) captures. Realized skewness in
+ * particular has been shown to predict the cross-section of subsequent returns.
+ *
+ * With N returns r and realized variance RV = Σ r²:
+ *   realized skewness = √N · Σ r³ / RV^(3/2)
+ *   realized kurtosis = N · Σ r⁴ / RV²
+ * The √N and N scalings make the estimates comparable across sampling
+ * frequencies. Both return 0 for an empty series or one with no variation.
+ */
+/** Realized skewness: √N · Σ r³ / (Σ r²)^(3/2). */
+export function realizedSkewness(returns) {
+    const n = returns.length;
+    if (n === 0)
+        return 0;
+    let s2 = 0;
+    let s3 = 0;
+    for (const r of returns) {
+        const r2 = r * r;
+        s2 += r2;
+        s3 += r2 * r;
+    }
+    if (s2 === 0)
+        return 0;
+    return (Math.sqrt(n) * s3) / Math.pow(s2, 1.5);
+}
+/** Realized kurtosis: N · Σ r⁴ / (Σ r²)². */
+export function realizedKurtosis(returns) {
+    const n = returns.length;
+    if (n === 0)
+        return 0;
+    let s2 = 0;
+    let s4 = 0;
+    for (const r of returns) {
+        const r2 = r * r;
+        s2 += r2;
+        s4 += r2 * r2;
+    }
+    if (s2 === 0)
+        return 0;
+    return (n * s4) / (s2 * s2);
+}
+//# sourceMappingURL=moments.js.map

package/dist/moments.js.map

@@ -0,0 +1 @@
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package/dist/ofi.d.ts

@@ -0,0 +1,22 @@
+/**
+ * Order Flow Imbalance (OFI).
+ *
+ * Implements the level-1 OFI of Cont, Kukanov & Stoikov (2014), "The price
+ * impact of order book events". For consecutive best-quote observations
+ * (n-1, n) the event contribution is:
+ *
+ *   e_n =  q^b_n · 1{P^b_n ≥ P^b_{n-1}}  −  q^b_{n-1} · 1{P^b_n ≤ P^b_{n-1}}
+ *        − q^a_n · 1{P^a_n ≤ P^a_{n-1}}  +  q^a_{n-1} · 1{P^a_n ≥ P^a_{n-1}}
+ *
+ * OFI over a window is the sum of e_n. Positive OFI means net buy-side
+ * pressure at the top of book; it is a strong linear predictor of short-term
+ * price moves.
+ */
+import type { L1Quote } from "./types.ts";
+/** OFI contribution of a single best-quote transition (prev → curr). */
+export declare function ofiContribution(prev: L1Quote, curr: L1Quote): number;
+/** Per-step OFI contributions for a sequence of quotes (length n-1). */
+export declare function ofiSeries(quotes: L1Quote[]): number[];
+/** Cumulative OFI over the whole sequence of quotes. */
+export declare function ofi(quotes: L1Quote[]): number;
+//# sourceMappingURL=ofi.d.ts.map

package/dist/ofi.d.ts.map

@@ -0,0 +1 @@
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package/dist/ofi.js

@@ -0,0 +1,25 @@
+/** OFI contribution of a single best-quote transition (prev → curr). */
+export function ofiContribution(prev, curr) {
+    const bidTerm = (curr.bidPrice >= prev.bidPrice ? curr.bidSize : 0) -
+        (curr.bidPrice <= prev.bidPrice ? prev.bidSize : 0);
+    const askTerm = (curr.askPrice >= prev.askPrice ? prev.askSize : 0) -
+        (curr.askPrice <= prev.askPrice ? curr.askSize : 0);
+    return bidTerm + askTerm;
+}
+/** Per-step OFI contributions for a sequence of quotes (length n-1). */
+export function ofiSeries(quotes) {
+    const out = [];
+    for (let i = 1; i < quotes.length; i++) {
+        out.push(ofiContribution(quotes[i - 1], quotes[i]));
+    }
+    return out;
+}
+/** Cumulative OFI over the whole sequence of quotes. */
+export function ofi(quotes) {
+    let total = 0;
+    for (let i = 1; i < quotes.length; i++) {
+        total += ofiContribution(quotes[i - 1], quotes[i]);
+    }
+    return total;
+}
+//# sourceMappingURL=ofi.js.map

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package/dist/online.d.ts

@@ -0,0 +1,101 @@
+/**
+ * Online (streaming) estimators — O(1) per update, no rescans.
+ *
+ * Batch metrics recompute over the whole history every time a tick arrives;
+ * that is fine offline but wasteful in a live pipeline. The estimators here
+ * update in constant time and constant memory as each observation streams in,
+ * which is what you want feeding volatility or risk off a real-time tape.
+ *
+ * They are numerically careful: `Welford` and `RollingWindow` use Welford's
+ * and West's algorithms rather than the naive Σx² − (Σx)²/n form, which loses
+ * precision catastrophically when the mean is large relative to the variance.
+ *
+ *   Welford        — running mean & variance over all data seen so far
+ *   Ewma           — exponentially weighted moving average (a level)
+ *   EwmaVariance   — RiskMetrics-style EWMA variance (a volatility)
+ *   RollingWindow  — mean & variance over a fixed trailing window
+ *
+ * Sample variance uses the (n − 1) denominator; each class also exposes the
+ * population (n) form. Variance getters are floored at 0 to absorb the tiny
+ * negative values floating-point round-off can produce near zero.
+ */
+/**
+ * Streaming mean and variance over every value pushed so far, via Welford's
+ * online algorithm. Constant time and memory per update, and numerically
+ * stable regardless of the mean's magnitude.
+ */
+export declare class Welford {
+    #private;
+    /** Incorporate one observation. */
+    push(x: number): void;
+    /** Number of observations seen. */
+    get count(): number;
+    /** Running mean (0 before any observation). */
+    get mean(): number;
+    /** Sample variance, (n − 1) denominator (0 for fewer than two observations). */
+    get variance(): number;
+    /** Population variance, n denominator (0 before any observation). */
+    get populationVariance(): number;
+    /** Sample standard deviation. */
+    get std(): number;
+}
+/**
+ * Exponentially weighted moving average of a level: vₜ = λ·vₜ₋₁ + (1 − λ)·xₜ.
+ * `lambda` is the weight on history (decay), in (0, 1) — larger is smoother and
+ * slower to react. Seeded with the first value pushed.
+ */
+export declare class Ewma {
+    #private;
+    constructor(lambda: number);
+    /** Incorporate one observation. */
+    push(x: number): void;
+    /** Current EWMA level (0 before any observation). */
+    get value(): number;
+    /** Whether at least one value has been pushed. */
+    get initialized(): boolean;
+}
+/**
+ * RiskMetrics-style exponentially weighted variance of a return series:
+ * σ²ₜ = λ·σ²ₜ₋₁ + (1 − λ)·r²ₜ. Assumes approximately zero-mean returns (the
+ * standard RiskMetrics assumption). `lambda` in (0, 1) is the decay; RiskMetrics
+ * uses 0.94 for daily data. Seeded with r² of the first value pushed.
+ */
+export declare class EwmaVariance {
+    #private;
+    constructor(lambda: number);
+    /** Incorporate one return. */
+    push(r: number): void;
+    /** Current EWMA variance (0 before any observation). */
+    get variance(): number;
+    /** Current EWMA volatility (standard deviation). */
+    get std(): number;
+    /** Whether at least one value has been pushed. */
+    get initialized(): boolean;
+}
+/**
+ * Mean and variance over a fixed trailing window of the last `size` values.
+ * Each push is O(1): the incoming value is added and, once the window is full,
+ * the oldest is removed, both via West's (1979) incremental update — so there is
+ * no per-tick rescan and no Σx² cancellation.
+ */
+export declare class RollingWindow {
+    #private;
+    constructor(size: number);
+    /** Push one value, evicting the oldest once the window is full. */
+    push(x: number): void;
+    /** Configured window size. */
+    get size(): number;
+    /** Number of values currently in the window (≤ size). */
+    get count(): number;
+    /** Whether the window has filled to `size`. */
+    get full(): boolean;
+    /** Mean of the current window (0 when empty). */
+    get mean(): number;
+    /** Sample variance of the current window (0 for fewer than two values). */
+    get variance(): number;
+    /** Population variance of the current window (0 when empty). */
+    get populationVariance(): number;
+    /** Sample standard deviation of the current window. */
+    get std(): number;
+}
+//# sourceMappingURL=online.d.ts.map

package/dist/online.d.ts.map

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package/dist/online.js

@@ -0,0 +1,205 @@
+/**
+ * Online (streaming) estimators — O(1) per update, no rescans.
+ *
+ * Batch metrics recompute over the whole history every time a tick arrives;
+ * that is fine offline but wasteful in a live pipeline. The estimators here
+ * update in constant time and constant memory as each observation streams in,
+ * which is what you want feeding volatility or risk off a real-time tape.
+ *
+ * They are numerically careful: `Welford` and `RollingWindow` use Welford's
+ * and West's algorithms rather than the naive Σx² − (Σx)²/n form, which loses
+ * precision catastrophically when the mean is large relative to the variance.
+ *
+ *   Welford        — running mean & variance over all data seen so far
+ *   Ewma           — exponentially weighted moving average (a level)
+ *   EwmaVariance   — RiskMetrics-style EWMA variance (a volatility)
+ *   RollingWindow  — mean & variance over a fixed trailing window
+ *
+ * Sample variance uses the (n − 1) denominator; each class also exposes the
+ * population (n) form. Variance getters are floored at 0 to absorb the tiny
+ * negative values floating-point round-off can produce near zero.
+ */
+/**
+ * Streaming mean and variance over every value pushed so far, via Welford's
+ * online algorithm. Constant time and memory per update, and numerically
+ * stable regardless of the mean's magnitude.
+ */
+export class Welford {
+    #n = 0;
+    #mean = 0;
+    #m2 = 0;
+    /** Incorporate one observation. */
+    push(x) {
+        this.#n += 1;
+        const delta = x - this.#mean;
+        this.#mean += delta / this.#n;
+        this.#m2 += delta * (x - this.#mean);
+    }
+    /** Number of observations seen. */
+    get count() {
+        return this.#n;
+    }
+    /** Running mean (0 before any observation). */
+    get mean() {
+        return this.#n > 0 ? this.#mean : 0;
+    }
+    /** Sample variance, (n − 1) denominator (0 for fewer than two observations). */
+    get variance() {
+        if (this.#n < 2)
+            return 0;
+        const v = this.#m2 / (this.#n - 1);
+        return v > 0 ? v : 0;
+    }
+    /** Population variance, n denominator (0 before any observation). */
+    get populationVariance() {
+        if (this.#n < 1)
+            return 0;
+        const v = this.#m2 / this.#n;
+        return v > 0 ? v : 0;
+    }
+    /** Sample standard deviation. */
+    get std() {
+        return Math.sqrt(this.variance);
+    }
+}
+/**
+ * Exponentially weighted moving average of a level: vₜ = λ·vₜ₋₁ + (1 − λ)·xₜ.
+ * `lambda` is the weight on history (decay), in (0, 1) — larger is smoother and
+ * slower to react. Seeded with the first value pushed.
+ */
+export class Ewma {
+    #lambda;
+    #value = 0;
+    #init = false;
+    constructor(lambda) {
+        if (!(lambda > 0 && lambda < 1)) {
+            throw new RangeError("lambda must be in the open interval (0, 1)");
+        }
+        this.#lambda = lambda;
+    }
+    /** Incorporate one observation. */
+    push(x) {
+        this.#value = this.#init ? this.#lambda * this.#value + (1 - this.#lambda) * x : x;
+        this.#init = true;
+    }
+    /** Current EWMA level (0 before any observation). */
+    get value() {
+        return this.#value;
+    }
+    /** Whether at least one value has been pushed. */
+    get initialized() {
+        return this.#init;
+    }
+}
+/**
+ * RiskMetrics-style exponentially weighted variance of a return series:
+ * σ²ₜ = λ·σ²ₜ₋₁ + (1 − λ)·r²ₜ. Assumes approximately zero-mean returns (the
+ * standard RiskMetrics assumption). `lambda` in (0, 1) is the decay; RiskMetrics
+ * uses 0.94 for daily data. Seeded with r² of the first value pushed.
+ */
+export class EwmaVariance {
+    #lambda;
+    #var = 0;
+    #init = false;
+    constructor(lambda) {
+        if (!(lambda > 0 && lambda < 1)) {
+            throw new RangeError("lambda must be in the open interval (0, 1)");
+        }
+        this.#lambda = lambda;
+    }
+    /** Incorporate one return. */
+    push(r) {
+        this.#var = this.#init ? this.#lambda * this.#var + (1 - this.#lambda) * r * r : r * r;
+        this.#init = true;
+    }
+    /** Current EWMA variance (0 before any observation). */
+    get variance() {
+        return this.#var;
+    }
+    /** Current EWMA volatility (standard deviation). */
+    get std() {
+        return Math.sqrt(this.#var);
+    }
+    /** Whether at least one value has been pushed. */
+    get initialized() {
+        return this.#init;
+    }
+}
+/**
+ * Mean and variance over a fixed trailing window of the last `size` values.
+ * Each push is O(1): the incoming value is added and, once the window is full,
+ * the oldest is removed, both via West's (1979) incremental update — so there is
+ * no per-tick rescan and no Σx² cancellation.
+ */
+export class RollingWindow {
+    #size;
+    #buf = [];
+    #idx = 0;
+    #n = 0;
+    #mean = 0;
+    #m2 = 0;
+    constructor(size) {
+        if (!Number.isInteger(size) || size < 1) {
+            throw new RangeError("size must be a positive integer");
+        }
+        this.#size = size;
+    }
+    /** Push one value, evicting the oldest once the window is full. */
+    push(x) {
+        if (this.#n < this.#size) {
+            // Window not yet full: plain Welford add.
+            this.#n += 1;
+            const delta = x - this.#mean;
+            this.#mean += delta / this.#n;
+            this.#m2 += delta * (x - this.#mean);
+            this.#buf.push(x);
+            return;
+        }
+        // Full: add the newcomer, then remove the oldest (West's add + remove).
+        const old = this.#buf[this.#idx];
+        const n1 = this.#n + 1;
+        const delta = x - this.#mean;
+        const mean1 = this.#mean + delta / n1;
+        const m2Added = this.#m2 + delta * (x - mean1);
+        const mean0 = (n1 * mean1 - old) / this.#size;
+        this.#m2 = m2Added - (old - mean0) * (old - mean1);
+        this.#mean = mean0;
+        this.#buf[this.#idx] = x;
+        this.#idx = (this.#idx + 1) % this.#size;
+    }
+    /** Configured window size. */
+    get size() {
+        return this.#size;
+    }
+    /** Number of values currently in the window (≤ size). */
+    get count() {
+        return this.#n;
+    }
+    /** Whether the window has filled to `size`. */
+    get full() {
+        return this.#n === this.#size;
+    }
+    /** Mean of the current window (0 when empty). */
+    get mean() {
+        return this.#n > 0 ? this.#mean : 0;
+    }
+    /** Sample variance of the current window (0 for fewer than two values). */
+    get variance() {
+        if (this.#n < 2)
+            return 0;
+        const v = this.#m2 / (this.#n - 1);
+        return v > 0 ? v : 0;
+    }
+    /** Population variance of the current window (0 when empty). */
+    get populationVariance() {
+        if (this.#n < 1)
+            return 0;
+        const v = this.#m2 / this.#n;
+        return v > 0 ? v : 0;
+    }
+    /** Sample standard deviation of the current window. */
+    get std() {
+        return Math.sqrt(this.variance);
+    }
+}
+//# sourceMappingURL=online.js.map

package/dist/online.js.map

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package/dist/orderbook.d.ts

@@ -0,0 +1,30 @@
+/**
+ * Limit order book reconstruction from incremental level updates.
+ *
+ * Feed it level updates (price + new size per side); it maintains both sides
+ * and answers the usual top-of-book and depth questions. A size of 0 removes
+ * the level. Prices are the level keys, so re-sending a price overwrites it.
+ */
+export type BookSide = "bid" | "ask";
+export interface Level {
+    price: number;
+    size: number;
+}
+export declare class OrderBook {
+    private readonly bids;
+    private readonly asks;
+    /** Apply a level update. ``size <= 0`` removes the price level. */
+    update(side: BookSide, price: number, size: number): void;
+    bestBid(): Level | null;
+    bestAsk(): Level | null;
+    mid(): number | null;
+    spread(): number | null;
+    /** Top ``n`` levels of a side, best price first. */
+    depth(side: BookSide, n: number): Level[];
+    /**
+     * Book imbalance over the top ``n`` levels:
+     * (bidVolume − askVolume) / (bidVolume + askVolume), in [-1, 1].
+     */
+    imbalance(n?: number): number;
+}
+//# sourceMappingURL=orderbook.d.ts.map

package/dist/orderbook.d.ts.map

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package/dist/orderbook.js

@@ -0,0 +1,66 @@
+/**
+ * Limit order book reconstruction from incremental level updates.
+ *
+ * Feed it level updates (price + new size per side); it maintains both sides
+ * and answers the usual top-of-book and depth questions. A size of 0 removes
+ * the level. Prices are the level keys, so re-sending a price overwrites it.
+ */
+export class OrderBook {
+    bids = new Map();
+    asks = new Map();
+    /** Apply a level update. ``size <= 0`` removes the price level. */
+    update(side, price, size) {
+        const book = side === "bid" ? this.bids : this.asks;
+        if (size <= 0)
+            book.delete(price);
+        else
+            book.set(price, size);
+    }
+    bestBid() {
+        let best = null;
+        for (const [price, size] of this.bids) {
+            if (best === null || price > best.price)
+                best = { price, size };
+        }
+        return best;
+    }
+    bestAsk() {
+        let best = null;
+        for (const [price, size] of this.asks) {
+            if (best === null || price < best.price)
+                best = { price, size };
+        }
+        return best;
+    }
+    mid() {
+        const b = this.bestBid();
+        const a = this.bestAsk();
+        return b && a ? (b.price + a.price) / 2 : null;
+    }
+    spread() {
+        const b = this.bestBid();
+        const a = this.bestAsk();
+        return b && a ? a.price - b.price : null;
+    }
+    /** Top ``n`` levels of a side, best price first. */
+    depth(side, n) {
+        const book = side === "bid" ? this.bids : this.asks;
+        const levels = [...book.entries()].map(([price, size]) => ({
+            price,
+            size,
+        }));
+        levels.sort((x, y) => (side === "bid" ? y.price - x.price : x.price - y.price));
+        return levels.slice(0, n);
+    }
+    /**
+     * Book imbalance over the top ``n`` levels:
+     * (bidVolume − askVolume) / (bidVolume + askVolume), in [-1, 1].
+     */
+    imbalance(n = 1) {
+        const bidVol = this.depth("bid", n).reduce((s, l) => s + l.size, 0);
+        const askVol = this.depth("ask", n).reduce((s, l) => s + l.size, 0);
+        const denom = bidVol + askVol;
+        return denom === 0 ? 0 : (bidVol - askVol) / denom;
+    }
+}
+//# sourceMappingURL=orderbook.js.map

package/dist/orderbook.js.map

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package/dist/rangevol.d.ts

@@ -0,0 +1,40 @@
+/**
+ * Range-based volatility estimators from OHLC candles.
+ *
+ * Close-to-close realized volatility (see `volatility`) throws away most of each
+ * bar — it reads only the close. But the open, high, and low carry information
+ * too, and using them yields far more efficient volatility estimates from the
+ * same data. Four classic estimators, in increasing order of what they use:
+ *
+ *  - Parkinson (1980): the high-low range only.
+ *  - Garman-Klass (1980): adds the open and close.
+ *  - Rogers-Satchell (1991): drift-independent (correct under a trending mean).
+ *  - Yang-Zhang (2000): drift-independent and robust to overnight jumps.
+ *
+ * Each returns the estimated volatility (standard deviation) *per bar*. To
+ * annualize, multiply the variance by the number of bars per year, or the
+ * volatility by its square root. Prices must be strictly positive.
+ */
+export interface Candle {
+    open: number;
+    high: number;
+    low: number;
+    close: number;
+}
+/** Parkinson (1980) high-low volatility. Returns 0 for an empty input. */
+export declare function parkinsonVolatility(bars: Candle[]): number;
+/** Garman-Klass (1980) OHLC volatility. Returns 0 for an empty input. */
+export declare function garmanKlassVolatility(bars: Candle[]): number;
+/**
+ * Rogers-Satchell (1991) drift-independent OHLC volatility. Correct even when
+ * the price has a non-zero mean drift. Returns 0 for an empty input.
+ */
+export declare function rogersSatchellVolatility(bars: Candle[]): number;
+/**
+ * Yang-Zhang (2000) volatility: a minimum-variance combination of overnight,
+ * open-to-close, and Rogers-Satchell variances that is both drift-independent
+ * and robust to opening jumps. Uses each bar's open relative to the previous
+ * close, so it needs at least three bars; returns 0 otherwise.
+ */
+export declare function yangZhangVolatility(bars: Candle[]): number;
+//# sourceMappingURL=rangevol.d.ts.map

package/dist/rangevol.d.ts.map

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