KalBot/lib/strategies/early-fader.js

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
    };
  }
}