/**
* Spot-Futures Divergence Indicators
* Track premium/discount, arbitrage opportunities, mean reversion
*/
import { PremiumIndexData } from '../types/futures-types'
export interface SpotFuturesDivergenceIndicator {
premium: {
current: number // Current premium (%)
level: 'high' | 'normal' | 'low' // Premium level
trend: 'rising' | 'falling' | 'neutral'
}
arbitrage: {
opportunity: boolean // True if arbitrage opportunity
type: 'long_spot_short_futures' | 'short_spot_long_futures' | 'none'
profit: number // Estimated arbitrage profit (%)
}
meanReversion: {
signal: boolean // True if mean reversion signal
direction: 'long' | 'short' | 'neutral'
strength: number // 0-1, signal strength
}
divergence: {
fromAverage: number // Divergence from 7d average (standard deviations)
signal: 'bullish' | 'bearish' | 'neutral'
}
}
/**
* Analyze premium
*/
function analyzePremium(premiumData: PremiumIndexData): SpotFuturesDivergenceIndicator['premium'] {
const premiumPct = premiumData.premiumPct
// Level: high if >0.05%, low if <-0.05%, normal otherwise
let level: 'high' | 'normal' | 'low' = '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: PremiumIndexData): SpotFuturesDivergenceIndicator['arbitrage'] {
// 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: 'long_spot_short_futures' | 'short_spot_long_futures' | 'none' = '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: PremiumIndexData): SpotFuturesDivergenceIndicator['meanReversion'] {
// 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: 'long' | 'short' | 'neutral' = '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: PremiumIndexData): SpotFuturesDivergenceIndicator['divergence'] {
const divergence = premiumData.divergence // Already in standard deviations
// Signal: bullish if premium rising above average, bearish if falling below
let signal: 'bullish' | 'bearish' | 'neutral' = '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: PremiumIndexData
): SpotFuturesDivergenceIndicator {
const premium = analyzePremium(premiumData)
const arbitrage = detectArbitrage(premiumData)
const meanReversion = detectMeanReversion(premiumData)
const divergence = calculateDivergence(premiumData)
return {
premium,
arbitrage,
meanReversion,
divergence
}
}
