272 lines
No EOL
10 KiB
TypeScript
272 lines
No EOL
10 KiB
TypeScript
/**
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* Advanced Risk Management Examples
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* Demonstrates orderbook analytics, portfolio risk, and bet sizing
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*/
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import { OrderbookAnalyzer, RiskAnalyzer, TradingEngine } from '@stock-bot/engine';
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import { getLogger } from '@stock-bot/logger';
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const logger = getLogger('AdvancedRiskExample');
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// Example 1: Orderbook Analytics
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async function orderbookAnalyticsExample() {
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console.log('\n=== Orderbook Analytics Example ===');
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const engine = new TradingEngine('paper', { startingCapital: 100000 });
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const obAnalyzer = new OrderbookAnalyzer();
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// Update orderbook with some data
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const symbol = 'AAPL';
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engine.updateQuote(symbol, 149.95, 150.05, 1000, 1200);
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engine.updateQuote(symbol, 149.90, 150.10, 800, 900);
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engine.updateQuote(symbol, 149.85, 150.15, 600, 700);
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// Get orderbook snapshot
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const snapshotJson = engine.getOrderbookSnapshot(symbol, 10);
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const snapshot = JSON.parse(snapshotJson);
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// Analyze orderbook
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const analyticsJson = obAnalyzer.analyzeOrderbook(snapshotJson);
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const analytics = JSON.parse(analyticsJson);
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console.log('Orderbook Analytics:');
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console.log(` Spread: $${analytics.spread.toFixed(2)} (${analytics.spread_bps.toFixed(1)} bps)`);
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console.log(` Mid Price: $${analytics.mid_price.toFixed(2)}`);
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console.log(` Micro Price: $${analytics.micro_price.toFixed(2)}`);
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console.log(` Imbalance: ${(analytics.imbalance * 100).toFixed(1)}%`);
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console.log(` Liquidity Score: ${analytics.liquidity_score.toFixed(2)}`);
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// Calculate liquidity profile
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const profileJson = obAnalyzer.calculateLiquidityProfile(snapshotJson);
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const profile = JSON.parse(profileJson);
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console.log('\nLiquidity Profile:');
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console.log(` Total Bid Depth: $${profile.total_bid_depth.toFixed(2)}`);
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console.log(` Total Ask Depth: $${profile.total_ask_depth.toFixed(2)}`);
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// Calculate market impact for a $10,000 buy order
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const impactJson = obAnalyzer.calculateMarketImpact(snapshotJson, 10000, true);
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const impact = JSON.parse(impactJson);
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console.log('\nMarket Impact ($10k buy):');
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console.log(` Avg Execution Price: $${impact.avg_execution_price.toFixed(2)}`);
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console.log(` Price Impact: ${(impact.price_impact * 100).toFixed(2)}%`);
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console.log(` Slippage: $${impact.slippage.toFixed(2)}`);
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console.log(` Levels Consumed: ${impact.levels_consumed}`);
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}
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// Example 2: Portfolio Risk Analysis
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async function portfolioRiskExample() {
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console.log('\n=== Portfolio Risk Analysis Example ===');
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const riskAnalyzer = new RiskAnalyzer(100000, 0.02, 252); // $100k, 2% risk, 252 days lookback
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// Update historical returns for portfolio symbols
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const symbols = ['AAPL', 'GOOGL', 'MSFT', 'AMZN', 'META'];
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// Simulate some returns data (in practice, load from historical data)
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for (const symbol of symbols) {
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const returns = generateRandomReturns(252);
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riskAnalyzer.updateReturns(symbol, returns);
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}
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// Current positions
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const positions = [
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{ symbol: 'AAPL', quantity: 100, avgPrice: 150 },
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{ symbol: 'GOOGL', quantity: 50, avgPrice: 140 },
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{ symbol: 'MSFT', quantity: 75, avgPrice: 380 },
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{ symbol: 'AMZN', quantity: 40, avgPrice: 170 },
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{ symbol: 'META', quantity: 60, avgPrice: 480 }
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];
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// Current prices
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const prices = {
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AAPL: 155,
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GOOGL: 145,
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MSFT: 390,
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AMZN: 175,
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META: 490
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};
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// Calculate portfolio risk
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const riskJson = riskAnalyzer.calculatePortfolioRisk(
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JSON.stringify(positions.map(p => [p.symbol, p.quantity, p.avgPrice])),
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JSON.stringify(prices)
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);
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const risk = JSON.parse(riskJson);
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console.log('Portfolio Risk Metrics:');
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console.log(` VaR (95%): $${risk.total_var_95.toFixed(2)}`);
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console.log(` VaR (99%): $${risk.total_var_99.toFixed(2)}`);
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console.log(` CVaR (95%): $${risk.total_cvar_95.toFixed(2)}`);
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console.log('\nConcentration Metrics:');
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console.log(` Herfindahl Index: ${risk.concentration_risk.herfindahl_index.toFixed(3)}`);
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console.log(` Effective Positions: ${risk.concentration_risk.effective_number_of_positions.toFixed(1)}`);
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console.log(` Top 5 Concentration: ${(risk.concentration_risk.top_5_concentration * 100).toFixed(1)}%`);
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console.log('\nCorrelation Analysis:');
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console.log(` Average Correlation: ${risk.correlation_matrix.average_correlation.toFixed(3)}`);
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console.log(` Max Correlation: ${risk.correlation_matrix.max_correlation[0]} vs ${risk.correlation_matrix.max_correlation[1]} = ${risk.correlation_matrix.max_correlation[2].toFixed(3)}`);
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console.log(` Clustering Score: ${risk.correlation_matrix.clustering_score.toFixed(3)}`);
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console.log('\nStress Test Results:');
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for (const [scenario, loss] of Object.entries(risk.stress_test_results)) {
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console.log(` ${scenario}: $${(loss as number).toFixed(2)}`);
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}
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}
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// Example 3: Dynamic Bet Sizing
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async function betSizingExample() {
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console.log('\n=== Dynamic Bet Sizing Example ===');
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const riskAnalyzer = new RiskAnalyzer(100000, 0.02, 252);
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// Scenario 1: Strong signal in trending market
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console.log('\nScenario 1: Strong Signal, Trending Market');
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let positionSize = riskAnalyzer.calculatePositionSize(
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0.8, // signal_strength
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0.9, // signal_confidence
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0.015, // volatility (1.5% daily)
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0.8, // liquidity_score
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0.02, // current_drawdown (2%)
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150, // price
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145, // stop_loss
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'trending'
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);
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let size = JSON.parse(positionSize);
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console.log(` Shares: ${size.shares}`);
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console.log(` Notional Value: $${size.notional_value.toFixed(2)}`);
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console.log(` % of Capital: ${(size.percent_of_capital * 100).toFixed(2)}%`);
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console.log(' Adjustments:');
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for (const adj of size.adjustments) {
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console.log(` ${adj.reason}: ${adj.factor.toFixed(2)}x`);
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}
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// Scenario 2: Weak signal in high volatility
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console.log('\nScenario 2: Weak Signal, High Volatility');
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positionSize = riskAnalyzer.calculatePositionSize(
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0.3, // signal_strength
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0.5, // signal_confidence
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0.03, // volatility (3% daily)
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0.6, // liquidity_score
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0.15, // current_drawdown (15%)
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150, // price
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null, // no stop_loss
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'high_volatility'
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);
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size = JSON.parse(positionSize);
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console.log(` Shares: ${size.shares}`);
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console.log(` Notional Value: $${size.notional_value.toFixed(2)}`);
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console.log(` % of Capital: ${(size.percent_of_capital * 100).toFixed(2)}%`);
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// Calculate optimal stop loss
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const supportLevels = [148, 145, 142, 140];
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const optimalStop = riskAnalyzer.calculateOptimalStopLoss(
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150, // entry_price
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0.015, // volatility
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supportLevels,
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2.5, // atr
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true // is_long
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);
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console.log(`\nOptimal Stop Loss: $${optimalStop.toFixed(2)}`);
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}
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// Example 4: Integrated Risk Management in Trading
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async function integratedTradingExample() {
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console.log('\n=== Integrated Risk Management Example ===');
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const engine = new TradingEngine('backtest', {
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startTime: Date.now() - 30 * 24 * 60 * 60 * 1000, // 30 days ago
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endTime: Date.now(),
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speedMultiplier: 1
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});
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const riskAnalyzer = new RiskAnalyzer(100000, 0.02, 252);
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const obAnalyzer = new OrderbookAnalyzer();
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// Simulate a trading decision
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const symbol = 'AAPL';
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// 1. Check orderbook liquidity
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engine.updateQuote(symbol, 149.95, 150.05, 5000, 5500);
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const snapshot = engine.getOrderbookSnapshot(symbol, 10);
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const analytics = JSON.parse(obAnalyzer.analyzeOrderbook(snapshot));
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console.log('Pre-trade Analysis:');
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console.log(` Liquidity Score: ${analytics.liquidity_score.toFixed(2)}`);
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console.log(` Spread: ${analytics.spread_bps.toFixed(1)} bps`);
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console.log(` Orderbook Imbalance: ${(analytics.imbalance * 100).toFixed(1)}%`);
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// 2. Calculate position size based on current conditions
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const positionSizeJson = riskAnalyzer.calculatePositionSize(
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0.7, // signal_strength
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0.8, // signal_confidence
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0.018, // volatility
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analytics.liquidity_score, // from orderbook
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0.05, // current_drawdown
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150, // price
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147, // stop_loss
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'trending'
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);
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const positionSize = JSON.parse(positionSizeJson);
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console.log(`\nPosition Sizing:`);
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console.log(` Recommended Shares: ${positionSize.shares}`);
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console.log(` Risk-Adjusted Size: ${(positionSize.risk_adjusted_size * 100).toFixed(2)}%`);
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// 3. Check market impact before placing order
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const orderValue = positionSize.shares * 150;
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const impact = JSON.parse(obAnalyzer.calculateMarketImpact(snapshot, orderValue, true));
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console.log(`\nExpected Market Impact:`);
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console.log(` Price Impact: ${(impact.price_impact * 100).toFixed(3)}%`);
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console.log(` Expected Fill Price: $${impact.avg_execution_price.toFixed(2)}`);
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// 4. Risk check
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const riskCheck = engine.checkRisk({
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id: '123',
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symbol: symbol,
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side: 'buy',
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quantity: positionSize.shares,
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orderType: 'market',
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timeInForce: 'DAY'
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});
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const riskResult = JSON.parse(riskCheck);
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console.log(`\nRisk Check: ${riskResult.passed ? 'PASSED' : 'FAILED'}`);
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if (!riskResult.passed) {
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console.log(' Violations:', riskResult.violations);
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}
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}
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// Helper function to generate random returns
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function generateRandomReturns(length: number): number[] {
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const returns: number[] = [];
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for (let i = 0; i < length; i++) {
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// Generate returns with mean 0.0005 (0.05%) and std dev 0.02 (2%)
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const return_ = (Math.random() - 0.5) * 0.04 + 0.0005;
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returns.push(return_);
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}
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return returns;
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}
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// Run all examples
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async function runExamples() {
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try {
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await orderbookAnalyticsExample();
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await portfolioRiskExample();
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await betSizingExample();
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await integratedTradingExample();
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} catch (error) {
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console.error('Error running examples:', error);
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}
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}
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// Execute if running directly
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if (require.main === module) {
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runExamples();
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} |