[{"_1":2,"_3":-5,"_4":-5},"loaderData",{"_5":6,"_7":8},"actionData","errors","root",{"_105":106,"_107":108},"routes/embed.x.$handle.$name.$",{"_9":10,"_11":12,"_13":14,"_15":16,"_17":18,"_19":20,"_21":-5},"handle","lorencetang","name","bsps-replay-analysis","path","realistic_replaylib.ts","project",{"_22":45,"_11":12,"_33":46,"_47":-5,"_48":42,"_49":50,"_51":50,"_52":53,"_54":-5,"_55":56,"_57":-5,"_58":42,"_59":-5,"_60":-5,"_61":36,"_62":63,"_64":65,"_66":67,"_68":69,"_70":-5,"_71":72,"_73":72,"_74":75,"_76":75,"_77":75,"_78":72,"_79":72,"_80":81,"_82":83,"_84":85,"_86":42},"file",{"_22":23,"_11":14,"_24":25,"_26":-5,"_27":28,"_29":30,"_31":32,"_33":34,"_35":36,"_37":38,"_39":40,"_41":42,"_43":-5,"_13":44},"permalink","https://www.val.town/x/lorencetang/bsps-replay-analysis/code/realistic_replaylib.ts","extension","id","05ec1836-76c6-456e-a8cd-2ea5f91b486e","fileId","36c50048-a0a5-11f1-83fb-1607ee4eb77e","parentId","branchId","da574ad5-1c4b-4e39-8d72-c25b03e25b98","branchVersion",36,"latest",true,"createdAt",["D",1787676687398],"version",0,"fileType","script","content","import { sqlite } from \"https://esm.town/v/std/sqlite/main.ts\";\ntype Tick={ts:number,event:string,rem:number,old:number|null,twap:number|null,up:number|null,dn:number|null,top:number|null,imb:number|null,fresh:boolean};\ntype Pos={event:string,side:string,entry:number,q:number,cost:number,score:number,seq:number};\nconst slipByAsset:Record={BTC:0.00371,ETH:0.006646153846153848,SOL:0.0036444444444444363};\nconst scenarios=[{name:'BASE_QUOTE',slip:(a:string)=>0,exit:'bid'},{name:'CAL_ENTRY',slip:(a:string)=>slipByAsset[a]||0,exit:'bid'},{name:'CAL_CONSERVATIVE',slip:(a:string)=>slipByAsset[a]||0,exit:'target'},{name:'STRESS_2C',slip:(a:string)=>0.02,exit:'target'}];\nconst n=(x:any)=>{if(x==null||x==='n/a'||x==='?'||x==='None')return null;const v=Number(String(x).replace(/[^0-9eE+\\-.]/g,''));return Number.isFinite(v)?v:null};\nconst kv=(l:string)=>{const o:Record={};for(const m of l.matchAll(/([A-Za-z_][A-Za-z0-9_]*)=([^\\s|]+)/g))o[m[1]]=m[2];return o};\nconst tso=(l:string)=>{const m=l.match(/^(\\d{4}-\\d\\d-\\d\\dT\\d\\d:\\d\\d:\\d\\d\\.\\d+Z)/);return m?Date.parse(m[1])/1000:0};\nconst fee=(q:number,p:number)=>.07*q*p*(1-p);\nfunction sig(t:Tick){if(!t.fresh||t.top==null||t.imb==null||t.old==null||t.twap==null)return null;if(Math.abs(t.old)<.01||Math.abs(t.twap)<.01)return null;if(t.top>=.30&&t.imb>=.08&&t.old>0&&t.twap>0)return 'Up';if(t.top<=-.30&&t.imb<=-.08&&t.old<0&&t.twap<0)return 'Down';return null}\nexport async function realisticReplay(asset:string,dataset:string,url:string){\n await sqlite.execute(`CREATE TABLE IF NOT EXISTS realistic_sim_trades(k TEXT PRIMARY KEY,asset TEXT,dataset TEXT,source TEXT,scenario TEXT,event TEXT,seq INTEGER,entry_ts REAL,side TEXT,entry_price REAL,shares REAL,score REAL,exit_type TEXT,exit_price REAL,outcome TEXT,pnl REAL,cost REAL)`);\n const r=await fetch(url,{headers:{'cache-control':'no-cache'}});if(!r.ok||!r.body)throw new Error(`fetch ${r.status}`);\n const pos=new Map(), seq=new Map(), highUsed=new Set(), trades:any[]=[]; const evStats=new Map(); let bytes=0,lines=0;\n const stat=(e:string)=>{let s=evStats.get(e);if(!s){s={t60:0,resolved:false};evStats.set(e,s)}return s};\n const close=(sc:any,p:Pos,etype:string,px:number|null,outcome:string)=>{let proceeds=0,payout=0;if(etype==='TP'&&px!=null)proceeds=p.q*px-fee(p.q,px);else if(outcome.toLowerCase()===p.side.toLowerCase())payout=p.q;const pnl=proceeds+payout-p.cost;trades.push({asset,dataset,source:url,scenario:sc.name,event:p.event,seq:p.seq,entryTs:0,side:p.side,entry:p.entry,q:p.q,score:p.score,exitType:etype,exitPx:px,outcome,pnl,cost:p.cost});pos.delete(`${sc.name}|${p.event}`)};\n const onTick=(t:Tick)=>{if(t.rem>2&&t.rem<=60)stat(t.event).t60++;for(const sc of scenarios){const key=`${sc.name}|${t.event}`,p=pos.get(key);if(p){const bid=p.side==='Up'?(t.dn==null?null:1-t.dn):(t.up==null?null:1-t.up);const target=p.entry+.05;if(bid!=null&&bid>=target-1e-9){const sellPx=sc.exit==='target'?target:bid;close(sc,p,'TP',Math.min(.999,Math.max(0,sellPx)),'');}continue;}if(t.rem>60||t.rem<=2)continue;const side=sig(t);if(!side)continue;const ask=side==='Up'?t.up:t.dn;if(ask==null||ask<.50||ask>.90)continue;const score=Math.min(Math.abs(t.top!)/.30,Math.abs(t.imb!)/.08);if(score<1.5)continue;let q=20;if(score>=3&&!highUsed.has(key)){q=100;highUsed.add(key)}const entry=Math.min(.999,ask+sc.slip(asset));const cost=q*entry+fee(q,entry);const sk=`${sc.name}|${t.event}`,s=(seq.get(sk)||0)+1;seq.set(sk,s);pos.set(key,{event:t.event,side,entry,q,cost,score,seq:s});}}\n const process=(l:string)=>{lines++;if(l.includes('[BSPS_TICK]')){const x=kv(l),bm=(x.book||'').match(/U\\[([0-9.]+)\\]\\/D\\[([0-9.]+)\\]/);if(!x.event||!bm)return;onTick({ts:tso(l),event:x.event,rem:n(x.rem_s)??0,old:n(x.old_d2s),twap:n(x.twap_d2s),up:n(bm[1]),dn:n(bm[2]),top:n(x.top10w),imb:n(x.imb_delta),fresh:x.feat_fresh==='True'});return;}if(l.includes('[Event PnL]')&&l.includes('strategy=bs_prespike')){const x=kv(l),e=x.event,out=x.outcome||'';if(!e)return;stat(e).resolved=true;for(const sc of scenarios){const p=pos.get(`${sc.name}|${e}`);if(p)close(sc,p,'RESOLUTION',null,out);}}};\n const rd=r.body.getReader(),dec=new TextDecoder();let carry='';while(true){const z=await rd.read();if(z.done)break;bytes+=z.value.byteLength;carry+=dec.decode(z.value,{stream:true});let p=0;while(true){const j=carry.indexOf('\\n',p);if(j<0){carry=carry.slice(p);break;}process(carry.slice(p,j));p=j+1}}carry+=dec.decode();if(carry)process(carry);\n const usable=(e:string)=>{const s=evStats.get(e);return !!s&&s.resolved&&s.t60>=45}; const kept=trades.filter(t=>usable(t.event));\n const stmts=kept.map(t=>({sql:`INSERT OR REPLACE INTO realistic_sim_trades(k,asset,dataset,source,scenario,event,seq,entry_ts,side,entry_price,shares,score,exit_type,exit_price,outcome,pnl,cost) VALUES(?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?)`,args:[`${t.source}|${t.scenario}|${t.event}|${t.seq}`,t.asset,t.dataset,t.source,t.scenario,t.event,t.seq,t.entryTs,t.side,t.entry,t.q,t.score,t.exitType,t.exitPx,t.outcome,t.pnl,t.cost]}));for(let i=0;it.scenario===sc.name),pnl=a.reduce((s,x)=>s+x.pnl,0),cost=a.reduce((s,x)=>s+x.cost,0),wins=a.filter(x=>x.pnl>0).length,tp=a.filter(x=>x.exitType==='TP').length;console.log(JSON.stringify({asset,dataset,scenario:sc.name,trades:a.length,pnl,cost,roi:cost?pnl/cost:null,win_rate:a.length?wins/a.length:null,tp_rate:a.length?tp/a.length:null,bytes,lines,usable_events:[...evStats.values()].filter(s=>s.resolved&&s.t60>=45).length}))}\n}\n","deleted",false,"label",[14],"de6795fa-952c-4199-b561-e9d7eb1cf742",["D",1787666565619],"deletedAt","legacyEnvVars","privacy","public","httpPrivacy","description","Replay BSPS old/current logs and test systematic sizing","imageUrl","userId","b13d5b98-32fd-4204-bf50-fce395eb52e3","pinnedFileId","pinPreview","pinMigrated","screenshotVersion","likeCount","orgId","01a0186b-55d3-76bb-8f28-5e239a5e05cf","tursoName","de6795fa952c4199b561e9d7eb1cf742","tursoHostname","de6795fa952c4199b561e9d7eb1cf742-val-town.aws-us-east-2.turso.io","tursoMeasuredAt",["D",1789488693443],"pinned","userPerm","r","valPerm","blobPerm","rw","emailPerm","sqlitePerm","projectPerm","telemetryPerm","user",{"_9":10,"_104":100},"org",{"_9":10,"_97":98,"_99":100,"_55":56,"_101":102,"_103":42},"branch",{"_35":87,"_11":88,"_22":28,"_89":45,"_90":-5,"_91":-5,"_92":-5,"_93":-5,"_94":-5,"_95":12,"_96":10},"isOwned",42,"main","projectId","forkedBranchId","forkedBranchVersion","forkedProjectPrivacy","forkedProjectId","forkedProjectOrgId","projectName","userHandle","displayName","Lorence Tang","avatar","https://lh3.googleusercontent.com/a/ACg8ocKXYNWn4Fg7SDJtPMUkccTZpjUdPW31lGVY1hyWwUNH-uR15Q=s96-c","tier","free","canRestrictVals","profileImageUrl","ctx",{"_80":-5,"_138":139,"_140":141,"_142":143,"_144":42,"_145":42,"_146":42,"_147":32,"_148":-5,"_149":-7,"_150":-7,"_151":36,"_152":42,"_153":42,"_154":-5,"_155":42,"_156":42,"_157":42,"_158":-5},"ENV",{"_109":110,"_111":112,"_113":88,"_114":115,"_116":117,"_118":119,"_120":121,"_122":123,"_124":125,"_126":127,"_128":129,"_130":131,"_132":133,"_134":135,"_136":137},"REACT_APP_SENTRY_DSN","https://586020d86f05489db63a554690acf1e9@o1398359.ingest.sentry.io/6724499","RENDER_GIT_COMMIT","e87eb04e707cf64e7e532c8e8ec395f209e17f15","RENDER_GIT_BRANCH","POSTHOG_API_TOKEN","phc_nmoyuAkStEZuUp69rYlg1DZgrIt19Gx0Y4Hwf8tGgJP","POSTHOG_API_HOST","https://wart.val.town","WEB_API_TEMPLATE","https://{val}.web.val.run","APP_URL","https://www.val.town","MODULE_URL","https://esm.town","VANITY_WEB_API_TEMPLATE","https://{label}.val.run/","DENOLS_URL","https://lsp.val.town","NODE_ENV","production","CLOUDFLARE_TURNSTILE_SITE_KEY","0x4AAAAAACtaIZJH7s9rBMZ6","GOOGLE_CLIENT_ID","875989696899-jtsqkhlbdv5jrlsk8631p7ipjg3c6o62.apps.googleusercontent.com","STRIPE_PUBLISHABLE_KEY","pk_live_51N2zvWEpZTTLipIkVEwXrUG9AT0yeOOEYxszarZT1jpsZV58Ly6wlg3SltZpHN26CUalOBmUSY7adQRQiSkCZz2500qSXNkf8Y","API_URL","https://api.val.town","orgs",[],"preferencesKeybindings","default","preferencesTheme","light","preferencesFixers","preferencesCopilot","preferencesSelectionAi","preferencesCloseBrackets","preferencesChatPanelState","preferencesDprint","preferencesDenofmt","notificationCount","flagDenols","isBusinessOrgMember","businessOrgHandle","isBusinessOrgAdmin","isHigherTownieTier","navCollapsed","currentOrgId"]