[{"_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","mobaslah","name","vwap-obi-scalper","path","strategy.ts","project",{"_22":45,"_11":12,"_33":46,"_47":-5,"_48":42,"_49":50,"_51":50,"_52":53,"_54":-5,"_55":56,"_57":58,"_59":32,"_60":-5,"_61":-5,"_62":36,"_63":64,"_65":66,"_67":68,"_69":70,"_71":-5,"_72":73,"_74":73,"_75":76,"_77":76,"_78":76,"_79":73,"_80":73,"_81":82,"_83":84,"_85":86,"_87":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/mobaslah/vwap-obi-scalper/code/strategy.ts","extension","id","fc840fda-21be-4c8b-98b1-3412f206aad3","fileId","835e2b28-aa3c-11f1-89be-1607ee4eb77e","parentId","branchId","c6d796c1-4b26-419d-b289-55d6c832f402","branchVersion",7,"latest",true,"createdAt",["D",1788731230381],"version",0,"fileType","script","content","// ============================================================\n// STRATEGY — VWAP + Order Book Imbalance signal generation\n//\n// LONG : price > VWAP AND OBI > +threshold\n// SHORT : price < VWAP AND OBI < -threshold\n//\n// Plus two hygiene filters: a minimum distance from VWAP (avoid chop\n// right on the line) and a maximum spread (avoid awful fills).\n// ============================================================\nimport { getExchange } from \"./exchange.ts\";\nimport { distanceFromVwap, OHLCV, rollingVwap, sessionVwap } from \"./indicators.ts\";\nimport { computeObi, ObiResult } from \"./orderbook.ts\";\nimport {\n CANDLE_LIMIT,\n MAX_SPREAD_PCT,\n OBI_THRESHOLD,\n ORDERBOOK_DEPTH,\n TIMEFRAME,\n VWAP_MIN_DISTANCE_PCT,\n VWAP_SESSION_ANCHORED,\n VWAP_WINDOW,\n} from \"./config.ts\";\n\nexport type Signal = \"LONG\" | \"SHORT\" | null;\n\nexport interface Analysis {\n symbol: string;\n price: number;\n vwap: number;\n /** Signed distance from VWAP, as a fraction of VWAP. */\n vwapDistance: number;\n obi: number;\n bidVolume: number;\n askVolume: number;\n spreadPct: number;\n signal: Signal;\n reason: string;\n /** Populated instead of throwing when a symbol can't be evaluated. */\n error?: string;\n}\n\n/** Fetch candles + book for one symbol and evaluate the entry rules. */\nexport async function analyzeSymbol(symbol: string): Promise {\n const ex = getExchange();\n\n // Fetch both inputs concurrently — halves the latency per symbol.\n const [rawCandles, rawBook] = await Promise.all([\n ex.fetchOHLCV(symbol, TIMEFRAME, undefined, CANDLE_LIMIT),\n ex.fetchOrderBook(symbol, ORDERBOOK_DEPTH),\n ]);\n\n const candles = rawCandles as unknown as OHLCV[];\n if (!candles || candles.length < 2) {\n throw new Error(`Not enough ${TIMEFRAME} candles returned for ${symbol}`);\n }\n\n const vwapValue = VWAP_SESSION_ANCHORED\n ? sessionVwap(candles)\n : rollingVwap(candles, VWAP_WINDOW);\n\n if (!Number.isFinite(vwapValue)) {\n throw new Error(`VWAP is not finite for ${symbol} (zero volume?)`);\n }\n\n const book: ObiResult = computeObi(\n { bids: rawBook.bids as [number, number][], asks: rawBook.asks as [number, number][] },\n ORDERBOOK_DEPTH,\n );\n\n // Use the book mid as \"price\": it is fresher than the last closed 1m candle.\n const price = book.mid;\n const vwapDistance = distanceFromVwap(price, vwapValue);\n\n const base: Analysis = {\n symbol,\n price,\n vwap: vwapValue,\n vwapDistance,\n obi: book.obi,\n bidVolume: book.bidVolume,\n askVolume: book.askVolume,\n spreadPct: book.spreadPct,\n signal: null,\n reason: \"\",\n };\n\n // --- Filter: spread ---\n if (book.spreadPct > MAX_SPREAD_PCT) {\n base.reason = `spread ${(book.spreadPct * 100).toFixed(3)}% > max ${(MAX_SPREAD_PCT * 100).toFixed(3)}%`;\n return base;\n }\n\n // --- Filter: too close to VWAP ---\n if (Math.abs(vwapDistance) < VWAP_MIN_DISTANCE_PCT) {\n base.reason = `price hugging VWAP (${(vwapDistance * 100).toFixed(3)}%)`;\n return base;\n }\n\n // --- Entry rules ---\n const aboveVwap = price > vwapValue;\n const belowVwap = price < vwapValue;\n\n if (aboveVwap && book.obi > OBI_THRESHOLD) {\n base.signal = \"LONG\";\n base.reason =\n `price ${price.toFixed(6)} > VWAP ${vwapValue.toFixed(6)} (+${(vwapDistance * 100).toFixed(3)}%) ` +\n `& OBI ${book.obi.toFixed(3)} > ${OBI_THRESHOLD}`;\n return base;\n }\n\n if (belowVwap && book.obi < -OBI_THRESHOLD) {\n base.signal = \"SHORT\";\n base.reason =\n `price ${price.toFixed(6)} < VWAP ${vwapValue.toFixed(6)} (${(vwapDistance * 100).toFixed(3)}%) ` +\n `& OBI ${book.obi.toFixed(3)} < ${-OBI_THRESHOLD}`;\n return base;\n }\n\n base.reason =\n `no setup — ${aboveVwap ? \"above\" : \"below\"} VWAP but OBI ${book.obi.toFixed(3)} ` +\n `(need ${aboveVwap ? `> ${OBI_THRESHOLD}` : `< ${-OBI_THRESHOLD}`})`;\n return base;\n}\n\n/**\n * Analyze every symbol. 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