/**
* Futures Confidence Scoring System
* Score signals based on funding rate, OI, liquidation, whale, BTC correlation
*/
import { calculateFundingRateIndicators } from '../technical-indicators/funding-rate';
import { calculateOpenInterestIndicators } from '../technical-indicators/open-interest';
import { calculateLiquidationIndicators } from '../technical-indicators/liquidation';
import { calculateLongShortRatioIndicators } from '../technical-indicators/long-short-ratio';
/**
* Score funding rate (0-20 points)
*/
function scoreFundingRate(futuresData, context) {
const fundingData = futuresData.fundingRate;
const indicators = calculateFundingRateIndicators(fundingData, futuresData.openInterest.change24h, context.priceChange24h || 0);
let score = 0;
const reasons = [];
// Base score: extreme funding = reversal opportunity (0-10 points)
if (indicators.extreme.isExtreme) {
if ((indicators.extreme.level === 'extreme_high' && context.signal === 'SHORT') ||
(indicators.extreme.level === 'extreme_low' && context.signal === 'LONG')) {
// Perfect: extreme funding + contrarian signal
score += 10;
reasons.push(`Extreme funding (${(fundingData.current * 10000).toFixed(2)}bps) favors ${context.signal} signal`);
}
else {
// Mismatch: extreme funding but wrong direction
score -= 5;
reasons.push(`Warning: Extreme funding contradicts ${context.signal} signal`);
}
}
// Momentum score (0-5 points)
if (indicators.momentum.trend === 'rising' && context.signal === 'SHORT') {
score += 5;
reasons.push('Funding momentum rising (favor SHORT)');
}
else if (indicators.momentum.trend === 'falling' && context.signal === 'LONG') {
score += 5;
reasons.push('Funding momentum falling (favor LONG)');
}
// Mean reversion signal (0-5 points)
if (indicators.meanReversion.signal) {
if ((indicators.meanReversion.direction === 'long' && context.signal === 'LONG') ||
(indicators.meanReversion.direction === 'short' && context.signal === 'SHORT')) {
score += 5;
reasons.push('Mean reversion signal aligns with entry');
}
}
// Penalty for wrong divergence
if (indicators.divergence.signal === 'bearish' && context.signal === 'LONG') {
score -= 3;
reasons.push('Funding divergence bearish (warning for LONG)');
}
else if (indicators.divergence.signal === 'bullish' && context.signal === 'SHORT') {
score -= 3;
reasons.push('Funding divergence bullish (warning for SHORT)');
}
return {
score: Math.max(0, Math.min(20, score)),
reasons
};
}
/**
* Score open interest (0-20 points)
*/
function scoreOpenInterest(futuresData, context) {
const oiData = futuresData.openInterest;
const indicators = calculateOpenInterestIndicators(oiData, context.priceChange24h || 0, context.volumeChange24h || 0);
let score = 0;
const reasons = [];
// Trend alignment (0-8 points)
if (indicators.trend.direction === 'rising' && context.signal === 'LONG') {
score += 8;
reasons.push('OI rising (favor LONG)');
}
else if (indicators.trend.direction === 'falling' && context.signal === 'SHORT') {
score += 8;
reasons.push('OI falling (favor SHORT)');
}
else if (indicators.trend.direction !== 'neutral') {
score -= 4;
reasons.push(`OI trend (${indicators.trend.direction}) contradicts ${context.signal} signal`);
}
// Divergence score (0-7 points)
if (indicators.divergence.vsPrice.detected) {
if ((indicators.divergence.vsPrice.type === 'bullish' && context.signal === 'LONG') ||
(indicators.divergence.vsPrice.type === 'bearish' && context.signal === 'SHORT')) {
score += 7;
reasons.push(`OI divergence ${indicators.divergence.vsPrice.type} (favor ${context.signal})`);
}
else {
score -= 3;
reasons.push(`OI divergence ${indicators.divergence.vsPrice.type} (warning)`);
}
}
// Momentum breakout (0-5 points)
if (indicators.momentum.breakout) {
if (indicators.trend.direction === 'rising' && context.signal === 'LONG') {
score += 5;
reasons.push('OI momentum breakout (bullish)');
}
else if (indicators.trend.direction === 'falling' && context.signal === 'SHORT') {
score += 5;
reasons.push('OI momentum breakout (bearish)');
}
}
return {
score: Math.max(0, Math.min(20, score)),
reasons
};
}
/**
* Score liquidation zones (0-15 points)
*/
function scoreLiquidationZones(futuresData, context) {
const liquidationData = futuresData.liquidation;
const indicators = calculateLiquidationIndicators(liquidationData, context.currentPrice);
let score = 0;
const reasons = [];
// Safe entry zones (0-8 points)
if (indicators.safeEntry.zones.length > 0) {
const inSafeZone = indicators.safeEntry.zones.some(zone => context.currentPrice >= zone.priceLow && context.currentPrice <= zone.priceHigh);
if (inSafeZone) {
score += 8;
reasons.push('Price in safe entry zone (low liquidation density)');
}
else {
// Not in safe zone, but zones exist
score += 4;
reasons.push('Safe entry zones identified (not at current price)');
}
}
// Liquidation distance (0-4 points)
const distance = indicators.clusters.distance;
if (distance > 5) {
score += 4;
reasons.push(`Good liquidation distance (${distance.toFixed(1)}%)`);
}
else if (distance > 3) {
score += 2;
reasons.push(`Moderate liquidation distance (${distance.toFixed(1)}%)`);
}
else {
score -= 3;
reasons.push(`Warning: Low liquidation distance (${distance.toFixed(1)}%)`);
}
// Stop hunt prediction (0-3 points)
if (indicators.stopHunt.predicted) {
const targetPrice = indicators.stopHunt.targetPrice || 0;
const distanceToTarget = Math.abs(targetPrice - context.currentPrice) / context.currentPrice * 100;
if (distanceToTarget > 2) {
score += 3;
reasons.push(`Stop hunt predicted but far (${distanceToTarget.toFixed(1)}% away)`);
}
else {
score -= 5;
reasons.push(`Warning: Stop hunt likely nearby (${distanceToTarget.toFixed(1)}% away)`);
}
}
return {
score: Math.max(0, Math.min(15, score)),
reasons
};
}
/**
* Score long/short ratio (0-15 points)
*/
function scoreLongShortRatio(futuresData, context) {
const ratioData = futuresData.longShortRatio;
const indicators = calculateLongShortRatioIndicators(ratioData);
let score = 0;
const reasons = [];
// Contrarian signal (0-8 points)
if (indicators.contrarian.signal) {
if ((indicators.contrarian.direction === 'long' && context.signal === 'LONG') ||
(indicators.contrarian.direction === 'short' && context.signal === 'SHORT')) {
// Perfect: contrarian signal aligns
const strength = indicators.contrarian.strength;
score += 8 * strength;
reasons.push(`Contrarian signal: fade retail (${indicators.contrarian.direction.toUpperCase()})`);
}
else {
score -= 4;
reasons.push(`Warning: Contrarian signal contradicts ${context.signal} entry`);
}
}
// Extreme ratio (0-4 points)
if (indicators.extreme.detected) {
if ((indicators.extreme.level === 'extreme_short' && context.signal === 'LONG') ||
(indicators.extreme.level === 'extreme_long' && context.signal === 'SHORT')) {
score += 4;
reasons.push(`Extreme ratio favors ${context.signal} (reversal likely)`);
}
}
// Retail vs Pro divergence (0-3 points)
if (indicators.divergence.signal === 'fade_retail') {
// Fade retail sentiment
if ((ratioData.retailLongPct > 60 && context.signal === 'SHORT') ||
(ratioData.retailLongPct < 40 && context.signal === 'LONG')) {
score += 3;
reasons.push('Follow pro, fade retail (aligns with entry)');
}
}
return {
score: Math.max(0, Math.min(15, score)),
reasons
};
}
/**
* Score BTC correlation (0-15 points)
*/
function scoreBTCCorrelation(correlationData, context) {
let score = 0;
const reasons = [];
// Correlation strength (0-5 points)
if (correlationData.strength === 'strong') {
score += 5;
reasons.push('Strong BTC correlation (predictable moves)');
}
else if (correlationData.strength === 'moderate') {
score += 3;
reasons.push('Moderate BTC correlation');
}
// Positive correlation for LONG, negative for SHORT (0-7 points)
const correlation7d = correlationData.correlation7d;
if (context.signal === 'LONG' && correlation7d > 0.5) {
score += 7;
reasons.push(`Strong positive BTC correlation (${correlation7d.toFixed(2)}) favors LONG`);
}
else if (context.signal === 'SHORT' && correlation7d < -0.5) {
score += 7;
reasons.push(`Strong negative BTC correlation (${correlation7d.toFixed(2)}) favors SHORT`);
}
else if (Math.abs(correlation7d) > 0.5) {
// High correlation but wrong direction
score -= 3;
reasons.push(`Warning: BTC correlation (${correlation7d.toFixed(2)}) may oppose ${context.signal} signal`);
}
// Impact multiplier (0-3 points)
if (correlationData.impactMultiplier > 1.5) {
score += 3;
reasons.push(`High BTC impact multiplier (${correlationData.impactMultiplier.toFixed(2)}x)`);
}
return {
score: Math.max(0, Math.min(15, score)),
reasons
};
}
/**
* Score whale activity (0-15 points)
*/
function scoreWhaleActivity(whaleFlow, whaleScore, context) {
let score = 0;
const reasons = [];
// Base whale activity score (0-5 points)
score += whaleScore * 5;
// Smart money flow alignment (0-10 points)
if (context.signal === 'LONG' && whaleFlow > 0.3) {
score += 10;
reasons.push(`Strong smart money accumulation (flow: ${whaleFlow.toFixed(2)})`);
}
else if (context.signal === 'SHORT' && whaleFlow < -0.3) {
score += 10;
reasons.push(`Strong smart money distribution (flow: ${whaleFlow.toFixed(2)})`);
}
else if (Math.abs(whaleFlow) > 0.2) {
// Moderate flow
const alignment = (context.signal === 'LONG' && whaleFlow > 0) || (context.signal === 'SHORT' && whaleFlow < 0);
if (alignment) {
score += 5;
reasons.push(`Smart money flow aligns with ${context.signal} signal`);
}
else {
score -= 3;
reasons.push(`Warning: Smart money flow opposes ${context.signal} signal`);
}
}
return {
score: Math.max(0, Math.min(15, score)),
reasons
};
}
/**
* Calculate futures signal confidence score
*/
export function calculateFuturesConfidence(futuresData, btcCorrelation, whaleFlow, whaleScore, context) {
const signalContext = context || {
signal: 'LONG', // Default
currentPrice: futuresData.price
};
// Score each component
const fundingScore = scoreFundingRate(futuresData, signalContext);
const oiScore = scoreOpenInterest(futuresData, signalContext);
const liquidationScore = scoreLiquidationZones(futuresData, signalContext);
const ratioScore = scoreLongShortRatio(futuresData, signalContext);
const btcScore = btcCorrelation ? scoreBTCCorrelation(btcCorrelation, signalContext) : { score: 0, reasons: [] };
const whaleActivityScore = (whaleFlow !== undefined && whaleScore !== undefined)
? scoreWhaleActivity(whaleFlow, whaleScore, signalContext)
: { score: 0, reasons: [] };
// Calculate total score
const totalScore = fundingScore.score + oiScore.score + liquidationScore.score +
ratioScore.score + btcScore.score + whaleActivityScore.score;
// Collect all reasons
const strengths = [];
const weaknesses = [];
for (const reason of [
...fundingScore.reasons,
...oiScore.reasons,
...liquidationScore.reasons,
...ratioScore.reasons,
...btcScore.reasons,
...whaleActivityScore.reasons
]) {
if (reason.startsWith('Warning:') || reason.startsWith('⚠️')) {
weaknesses.push(reason);
}
else {
strengths.push(reason);
}
}
// Calculate confidence (0-1)
const confidence = Math.min(1, Math.max(0, totalScore / 100));
return {
fundingRateScore: fundingScore.score,
openInterestScore: oiScore.score,
liquidationZoneScore: liquidationScore.score,
longShortRatioScore: ratioScore.score,
btcCorrelationScore: btcScore.score,
whaleActivityScore: whaleActivityScore.score,
totalScore: Math.max(0, Math.min(100, totalScore)),
confidence,
strengths,
weaknesses
};
}
