Feat: Add Early Fader mean reversion strategy

lib/strategies/early-fader.js

@@ -0,0 +1,102 @@
+import { BaseStrategy } from './base.js';
+
+export class EarlyFaderStrategy extends BaseStrategy {
+  constructor(config = {}) {
+    super('early-fader', {
+      spikeThreshold: config.spikeThreshold || 82, // When a side spikes to this %
+      maxElapsedMin: config.maxElapsedMin || 6, // Only fade early spikes (first 6 mins)
+      betSize: config.betSize || 2,
+      slippage: config.slippage || 3,
+      cooldownMs: config.cooldownMs || 20000,
+      marketDurationMin: config.marketDurationMin || 15,
+      ...config
+    });
+
+    this._lastTrade = {
+      paper: { time: 0, ticker: null },
+      live: { time: 0, ticker: null }
+    };
+  }
+
+  evaluate(state, caller = 'paper') {
+    if (!state || !this.enabled || !state.closeTime) return null;
+
+    const track = this._lastTrade[caller] || this._lastTrade.paper;
+    const now = Date.now();
+
+    if (now - track.time < this.config.cooldownMs) return null;
+    if (state.ticker === track.ticker) return null; // 1 trade per market
+
+    const closeTs = new Date(state.closeTime).getTime();
+    const timeLeftMs = closeTs - now;
+    if (!Number.isFinite(timeLeftMs) || timeLeftMs <= 0) return null;
+
+    const elapsedMin = (this.config.marketDurationMin * 60000 - timeLeftMs) / 60000;
+    
+    // Only trade in the designated early window
+    if (elapsedMin < 0 || elapsedMin > this.config.maxElapsedMin) return null;
+
+    const { yesPct, noPct } = state;
+    const threshold = this.config.spikeThreshold;
+
+    let targetSide = null;
+    let targetPrice = null;
+
+    // If YES spikes early, we fade it by buying NO
+    if (yesPct >= threshold && yesPct <= 95) {
+      targetSide = 'no';
+      targetPrice = noPct;
+    }
+    // If NO spikes early, we fade it by buying YES
+    else if (noPct >= threshold && noPct <= 95) {
+      targetSide = 'yes';
+      targetPrice = yesPct;
+    }
+
+    if (!targetSide) return null;
+
+    // Ensure the opposite side is actually cheap (sanity check against weird book states)
+    if (targetPrice > (100 - threshold + 5)) return null;
+
+    // For live trading, check actual orderbook liquidity to avoid blind fills
+    if (caller === 'live') {
+      const bestAsk = this._getBestAsk(state, targetSide);
+      if (bestAsk == null) return null;
+      if (bestAsk > targetPrice + this.config.slippage) return null;
+    }
+
+    const spikeSide = targetSide === 'no' ? 'YES' : 'NO';
+    const signal = {
+      strategy: this.name,
+      side: targetSide,
+      price: targetPrice,
+      maxPrice: Math.min(targetPrice + this.config.slippage, 40),
+      size: this.config.betSize,
+      reason: `Fading early spike (t+${elapsedMin.toFixed(1)}m): ${spikeSide} > ${threshold}¢. Bought ${targetSide.toUpperCase()} @ ${targetPrice}¢`,
+      ticker: state.ticker
+    };
+
+    track.time = now;
+    track.ticker = state.ticker;
+    return signal;
+  }
+
+  _getBestAsk(state, side) {
+    const ob = state.orderbook;
+    if (!ob) return null;
+
+    const oppSide = side === 'yes' ? 'no' : 'yes';
+    if (ob[oppSide]?.length) {
+      const bestOppBid = ob[oppSide][0]?.[0];
+      if (bestOppBid != null) return 100 - bestOppBid;
+    }
+    return null;
+  }
+
+  toJSON() {
+    return {
+      ...super.toJSON(),
+      lastTradeTicker: this._lastTrade.live.ticker || this._lastTrade.paper.ticker
+    };
+  }
+}