Order books, positions, profiles, statistics

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Order book

const book = new OrderBook(0.01);  // tick size
book.applySnapshot([50000, 49999], [1.5, 2.0], [50001, 50002], [0.5, 1.0]);
book.bestBid();    // 50000
book.bestAsk();    // 50001
book.mid();
book.spread();
book.getBids(5);   // [[price, qty], ...]
book.getAsks(5);

// L3 (order-level)
const l3 = new L3Book();
l3.addOrder(1, 50000, 1.5, 'buy');
l3.removeOrder(1);
l3.bestBid();

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Position tracking

const tracker = new PositionTracker();
tracker.onFill(symbolId, 'buy', 50000, 1.0);
tracker.onFill(symbolId, 'sell', 50100, 1.0);
tracker.position(symbolId);        // 0
tracker.realizedPnl(symbolId);     // 100
tracker.totalRealizedPnl();

// Group tracking
const groups = new PositionGroupTracker();
const pid = groups.openPosition(symbolId, groupId, 'buy', 50000, 1.0);
groups.closePosition(pid, 50500);
groups.totalRealizedPnl();

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Profiles

// Volume profile
const vp = new VolumeProfile(0.01);
vp.addTrade(50000, 1.0, true);
vp.poc();
vp.valueAreaHigh();
vp.valueAreaLow();

// Market profile
const mp = new MarketProfile(0.01, 30, 0);
mp.addTrade(Date.now() * 1e6, 50000, 1.0, true);
mp.poc();
mp.initialBalanceHigh();
mp.isPoorHigh();

// Footprint
const fp = new FootprintBar(0.01);
fp.addTrade(50000, 1.0, true);
fp.totalDelta();
fp.totalVolume();

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Statistics

flox.correlation([1, 2, 3], [1, 2, 3]);
flox.profitFactor([100, -50, 200, -30]);
flox.winRate([100, -50, 200, -30]);
flox.bootstrapCI([1, 2, 3, 4, 5], 0.95, 10000);  // { lower, median, upper }
flox.permutationTest([1, 2, 3], [4, 5, 6], 10000); // p-value

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Segment operations

flox.validateSegment('/path/to/segment.flx');
flox.mergeSegments('/path/to/input_dir', '/path/to/output_dir');

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Data reader / writer / recorder

Read trades and book updates from binary log segments, or record live data.

const reader = new DataReader('./data');
// Filtered reader:
//   new DataReader({ dir: './data', fromNs, toNs, symbols })

reader.count;            // total events
reader.summary();        // { firstEventNs, lastEventNs, totalEvents, segmentCount, totalBytes, durationSeconds }
reader.stats();          // { filesRead, eventsRead, tradesRead, bookUpdatesRead, bytesRead, crcErrors }

const trades = reader.readTrades(maxTrades = 0);   // 0 = all
const bbos = reader.readBBO(maxEvents = 0);
const events = reader.readBookUpdates();

// Mid-stream seek: start from a given timestamp
const tradesFrom = reader.readTradesFrom(startTsNs, maxTrades = 0);
const bbosFrom = reader.readBBOFrom(startTsNs, maxEvents = 0);
const eventsFrom = reader.readBookUpdatesFrom(startTsNs);

reader.destroy();

Record shapes:

• Trade: { exchangeTsNs, recvTsNs, price, qty, tradeId, symbolId, side }
• BBO: { exchangeTsNs, recvTsNs, seq, symbolId, eventType, bidPrice, bidQty, askPrice, askQty }
• Book update: { exchangeTsNs, recvTsNs, seq, symbolId, eventType, bids: [{price, qty}, ...], asks: [{price, qty}, ...] }

eventType is 2 for a snapshot, 3 for a delta.

const writer = new DataWriter('./out', maxSegmentMb, exchangeId);
writer.writeTrade(exchangeTsNs, recvTsNs, price, qty, tradeId, symbolId, side);
// Raw int64 book levels — flat BigInt64Array as [price_raw, qty_raw, ...]
writer.writeBook(exchangeTsNs, recvTsNs, seqNs, symbolId, isSnapshot, bidsBuf, asksBuf);
writer.flush();
writer.close();
writer.stats();          // { bytesWritten, eventsWritten, segmentsCreated, tradesWritten }

const hook = new BinaryLogRecorderHook('./out', maxSegmentMb, exchangeId, 'none');
hook.addSymbol(symbolId, name, base, quote, pricePrecision, qtyPrecision);
// attach via the runner's market-data-recorder slot; lifecycle is engine-driven.
hook.destroy();