pnl-watchdog 0.6.0

Infrastructure Economics Advisor: Measure Kyle's Lambda fairness gaps using Rust-accelerated calculations. Optimize trading strategy within broker latency constraints.

🐶 PnL Watchdog: Infrastructure Economics Advisor

Measure the hidden cost of your execution. Optimize your strategy within broker constraints.

Your broker shows you filled orders. But are you getting the same prices as institutions?

No. You're paying a latency tax. Every single trade.

pnl-watchdog measures Kyle's Lambda fairness gaps between retail and institutional execution using Rust-accelerated calculations—then shows you exactly how much that gap costs you and how to trade profitably within it.

Stop fighting latency. Start optimizing around it.

🚀 Key Features

• Kyle's Lambda Calculator: Measure price impact per signed volume (Rust-accelerated)
• Fairness Audit: Compare retail vs institutional execution costs
• AI Anomaly Detection: Catch unusual latency/slippage patterns
• Smart Order Routing: Get broker recommendations based on real-time performance
• Privacy First: No strategy exposure—only anonymous telemetry

⚡ Performance: Powered by Rust

Operation	Rust	Python	Speedup
Kyle's Lambda (10k candles)	0.1ms	50ms	500x faster
Fairness Audit (5 samples)	100ms	1-2s	20x faster
Batch Processing (1000 symbols)	100ms	50s	500x faster

📦 Installation

pip install pnl-watchdog

🎯 Quick Start

from pnl_watchdog import PnLWatchdog

# Initialize with your broker credentials
dog = PnLWatchdog(
    broker="alpaca",
    api_key="YOUR_API_KEY",
    api_secret="YOUR_SECRET_KEY"
)

# Verify a trade
result = dog.check_order("AAPL", "buy", 10)
print(f"Trade verified in {result['latency_ms']}ms")

# Calculate Kyle's Lambda for market analysis
from pnl_watchdog import calculate_whale_metrics

opens = [100.0, 101.0, 102.0, 101.5, 100.5]
closes = [101.0, 102.0, 101.5, 100.5, 101.0]
volumes = [1000.0, 2000.0, 1500.0, 500.0, 1200.0]

amihud, kyles_lambda = calculate_whale_metrics(opens, closes, volumes)
print(f"Kyle's Lambda: {kyles_lambda}")

📊 Advanced Analytics

# Get institutional order flow metrics
from pnl_watchdog import calculate_order_flow_metrics

prices = [100.0, 101.0, 102.0, 101.5, 100.5]
volumes = [1000.0, 2000.0, 1500.0, 500.0, 1200.0]
bids = [99.9, 100.9, 101.9, 101.4, 100.4]
asks = [100.1, 101.1, 102.1, 101.6, 100.6]

vwap_dev, tox, nof, obi, vwap = calculate_order_flow_metrics(prices, volumes, bids, asks)
print(f"Toxicity Score: {tox}")
print(f"VWAP: {vwap}")

🤝 Supported Brokers

• Alpaca
• Interactive Brokers
• Binance (and other CCXT-supported exchanges)
• Zerodha
• Angel One

📚 Documentation

• Infrastructure Economics Guide
• Performance Benchmarks
• API Reference

📞 Support

For issues, feature requests, or questions, please open an issue on GitHub.