/**
* Spot-Futures Divergence Indicators
* Track premium/discount, arbitrage opportunities, mean reversion
*/
/**
* Analyze premium
*/
function analyzePremium(premiumData) {
const premiumPct = premiumData.premiumPct;
// Level: high if >0.05%, low if <-0.05%, normal otherwise
let level = 'normal';
if (premiumPct > 0.0005) { // 0.05%
level = 'high';
}
else if (premiumPct < -0.0005) {
level = 'low';
}
return {
current: isNaN(premiumPct) ? 0 : premiumPct,
level,
trend: premiumData.trend
};
}
/**
* Detect arbitrage opportunities
*/
function detectArbitrage(premiumData) {
// Arbitrage: if premium is extreme, can profit from convergence
// Long spot + short futures if premium too high
// Short spot + long futures if premium too low
const premiumPct = premiumData.premiumPct;
let opportunity = false;
let type = 'none';
let profit = 0;
if (premiumPct > 0.002) { // 0.2% premium
// Premium too high = long spot, short futures
opportunity = true;
type = 'long_spot_short_futures';
profit = premiumPct - 0.002; // Expected profit after convergence
}
else if (premiumPct < -0.002) { // -0.2% discount
// Discount too high = short spot, long futures
opportunity = true;
type = 'short_spot_long_futures';
profit = Math.abs(premiumPct) - 0.002;
}
return {
opportunity,
type,
profit: isNaN(profit) ? 0 : Math.max(0, profit)
};
}
/**
* Detect mean reversion signal
*/
function detectMeanReversion(premiumData) {
// Mean reversion: premium tends to revert to 7d average
const premiumPct = premiumData.premiumPct;
const avg7d = premiumData.premium7d;
const deviation = Math.abs(premiumPct - avg7d);
const avgAbs = Math.abs(avg7d);
// Signal strength: higher deviation = stronger signal
const strength = avgAbs > 0 ? Math.min(1, deviation / Math.max(0.0001, avgAbs)) : 0;
const signal = strength > 0.5 && Math.abs(premiumPct) > 0.0005; // >0.05%
// Direction: if premium high, expect it to drop (short futures)
// If premium low, expect it to rise (long futures)
let direction = 'neutral';
if (signal) {
if (premiumPct > avg7d * 1.2) {
direction = 'short'; // Premium too high, expect drop
}
else if (premiumPct < avg7d * 0.8) {
direction = 'long'; // Premium too low, expect rise
}
}
return {
signal,
direction,
strength: isNaN(strength) ? 0 : strength
};
}
/**
* Calculate divergence from average
*/
function calculateDivergence(premiumData) {
const divergence = premiumData.divergence; // Already in standard deviations
// Signal: bullish if premium rising above average, bearish if falling below
let signal = 'neutral';
if (divergence > 1) {
signal = 'bullish'; // Premium well above average
}
else if (divergence < -1) {
signal = 'bearish'; // Premium well below average
}
return {
fromAverage: isNaN(divergence) ? 0 : divergence,
signal
};
}
/**
* Calculate spot-futures divergence indicators
*/
export function calculateSpotFuturesDivergenceIndicators(premiumData) {
const premium = analyzePremium(premiumData);
const arbitrage = detectArbitrage(premiumData);
const meanReversion = detectMeanReversion(premiumData);
const divergence = calculateDivergence(premiumData);
return {
premium,
arbitrage,
meanReversion,
divergence
};
}
