// Late-session momentum, gated on dealer gamma — the one intraday futures rule with strong evidence.
// Baltussen, Da, Lammers & Martens (JFE 2021): trade 15:30->16:00 ET in the direction of the day so far.
// Their key conditioner: it works when dealer net gamma exposure is NEGATIVE (beta 6.63, t 4.78) and
// is absent when positive (beta 0.82, t 1.03). Gamma comes from the desk's own QQQ archive, using the
// PRIOR day's file so nothing looks ahead.
import fs from "node:fs";
import zlib from "node:zlib";
const GLBX = "<data-root>/fp-data/glbx", GEXDIR = "<data-root>/fp-data/gex/history";
const SPEC = { NQ: [0.25, 5, 14], ES: [0.25, 12.5, 29] }; // tick, $/tick, $ round-turn cost incl 1 tick slip each way
const YEARS = ["2023", "2024", "2025", "2026"];
const etFmt = new Intl.DateTimeFormat("en-US", { timeZone: "America/New_York", year: "numeric", month: "2-digit", day: "2-digit", hour: "2-digit", minute: "2-digit", hourCycle: "h23" });
const offCache = new Map();
function etOf(ms) {
  const day = Math.floor(ms / 86400_000); let off = offCache.get(day);
  if (off === undefined) { const p = Object.fromEntries(etFmt.formatToParts(ms).map((x) => [x.type, x.value])); off = Math.round((Date.UTC(+p.year, +p.month - 1, +p.day, +p.hour % 24, +p.minute) - Math.floor(ms / 60000) * 60000) / 60000); offCache.set(day, off); }
  const d = new Date(ms + off * 60000);
  return { date: d.toISOString().slice(0, 10), min: d.getUTCHours() * 60 + d.getUTCMinutes() };
}
const mean = (x) => x.reduce((a, b) => a + b, 0) / (x.length || 1);
const sd = (x) => { const m = mean(x); return Math.sqrt(mean(x.map((v) => (v - m) ** 2))); };

// ── dealer gamma per date (QQQ, summed across strikes) ──────────────────────
const nge = new Map();
for (const f of fs.readdirSync(GEXDIR).filter((x) => x.endsWith(".json.gz")).sort()) {
  try {
    const j = JSON.parse(zlib.gunzipSync(fs.readFileSync(`${GEXDIR}/${f}`)));
    const rows = Array.isArray(j.qqq) ? j.qqq : [];
    if (!rows.length) continue;
    let g = 0; for (const r of rows) g += (+r.call_gex || 0) + (+r.put_gex || 0);
    nge.set(j.date ?? f.slice(0, 10), g);
  } catch { /* skip unreadable day */ }
}
const gexDates = [...nge.keys()].sort();
console.log(`gamma archive: ${gexDates.length} days, ${gexDates[0]} → ${gexDates.at(-1)}`);
console.log(`  negative-gamma days: ${gexDates.filter((d) => nge.get(d) < 0).length} · positive: ${gexDates.filter((d) => nge.get(d) >= 0).length}\n`);
const prevGamma = (date) => { let lo = 0, hi = gexDates.length - 1, best = null; while (lo <= hi) { const m = (lo + hi) >> 1; if (gexDates[m] < date) { best = gexDates[m]; lo = m + 1; } else hi = m - 1; } return best ? nge.get(best) : null; };

for (const [sym, [tick, perTick, cost]] of Object.entries(SPEC)) {
  const day = new Map();
  for (const y of YEARS) {
    const f = `${GLBX}/${sym}/1m/${y}.csv`; if (!fs.existsSync(f)) continue;
    const lines = fs.readFileSync(f, "utf8").split("\n");
    for (let i = 1; i < lines.length; i++) {
      const L = lines[i]; if (!L) continue; const c = L.split(",");
      const t = Date.parse(c[0].slice(0, 19) + "Z"), cl = +c[7]; if (!Number.isFinite(t) || !Number.isFinite(cl)) continue;
      const { date, min } = etOf(t);
      if (min < 9 * 60 + 30 || min > 16 * 60) continue;
      let d = day.get(date); if (!d) { d = new Map(); day.set(date, d); }
      d.set(min, cl);
    }
  }
  const dates = [...day.keys()].sort().filter((d) => d >= gexDates[0]);
  const rows = [];
  for (let i = 1; i < dates.length; i++) {
    const prev = day.get(dates[i - 1]), cur = day.get(dates[i]);
    const prevClose = prev.get(16 * 60) ?? prev.get(15 * 60 + 59);
    const p1530 = cur.get(15 * 60 + 30), close = cur.get(16 * 60) ?? cur.get(15 * 60 + 59);
    if (![prevClose, p1530, close].every(Number.isFinite)) continue;
    const g = prevGamma(dates[i]); if (g == null) continue;
    rows.push({ date: dates[i], side: Math.sign(p1530 / prevClose - 1), moveUsd: ((close - p1530) / tick) * perTick, gamma: g });
  }
  const report = (label, rs) => {
    if (rs.length < 30) { console.log(`  ${label.padEnd(30)} n ${rs.length} — too few`); return; }
    const pnl = rs.map((r) => r.side * r.moveUsd - cost);
    const t = mean(pnl) / (sd(pnl) / Math.sqrt(pnl.length));
    console.log(`  ${label.padEnd(30)} n ${String(rs.length).padStart(4)} · gross $${mean(rs.map((r) => r.side * r.moveUsd)).toFixed(2)} · net $${mean(pnl).toFixed(2)}/contract · win ${(100 * pnl.filter((x) => x > 0).length / pnl.length).toFixed(1)}% · t ${t.toFixed(2)} · ann.SR ${((mean(pnl) / (sd(pnl) || 1)) * Math.sqrt(252)).toFixed(2)}`);
  };
  console.log(`${sym} — last half hour in the direction of the day so far (${rows.length} days, cost $${cost}/contract):`);
  report("all days", rows);
  report("prior-day gamma NEGATIVE", rows.filter((r) => r.gamma < 0));
  report("prior-day gamma POSITIVE", rows.filter((r) => r.gamma >= 0));
  const q = [...rows.map((r) => r.gamma)].sort((a, b) => a - b);
  const p33 = q[Math.floor(q.length / 3)], p67 = q[Math.floor((2 * q.length) / 3)];
  report("most-negative gamma tercile", rows.filter((r) => r.gamma <= p33));
  report("middle tercile", rows.filter((r) => r.gamma > p33 && r.gamma < p67));
  report("most-positive gamma tercile", rows.filter((r) => r.gamma >= p67));
  console.log("");
}