@christtrade/depth 0.12.25 → 0.13.1

package/script-runtime.cjs

@@ -1,2 +1,2 @@
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Z(n,e,t=!1){let r={values:t?e.values:{...n.values,...e.values||{}},loc:n.loc.clone(e.loc),conversionAccuracy:e.conversionAccuracy||n.conversionAccuracy,matrix:e.matrix||n.matrix};return new D(r)}function Mr(n,e){let t=e.milliseconds??0;for(let r of Ns.slice(1))e[r]&&(t+=e[r]*n[r].milliseconds);return t}function On(n,e){let t=Mr(n,e)<0?-1:1;re.reduceRight((r,i)=>{if(y(e[i]))return r;if(r){let s=e[r]*t,o=n[i][r],a=Math.floor(s/o);e[i]+=a*t,e[r]-=a*o*t}return i},null),re.reduce((r,i)=>{if(y(e[i]))return r;if(r){let s=e[r]%1;e[r]-=s,e[i]+=s*n[r][i]}return i},null)}function vn(n){let e={};for(let[t,r]of Object.entries(n))r!==0&&(e[t]=r);return e}var D=class n{constructor(e){let t=e.conversionAccuracy==="longterm"||!1,r=t?vs:Os;e.matrix&&(r=e.matrix),this.values=e.values,this.loc=e.loc||S.create(),this.conversionAccuracy=t?"longterm":"casual",this.invalid=e.invalid||null,this.matrix=r,this.isLuxonDuration=!0}static fromMillis(e,t){return n.fromObject({milliseconds:e},t)}static fromObject(e,t={}){if(e==null||typeof e!="object")throw new M(`Duration.fromObject: argument expected to be an object, got ${e===null?"null":typeof e}`);return new n({values:Je(e,n.normalizeUnit),loc:S.fromObject(t),conversionAccuracy:t.conversionAccuracy,matrix:t.matrix})}static fromDurationLike(e){if(X(e))return n.fromMillis(e);if(n.isDuration(e))return e;if(typeof e=="object")return n.fromObject(e);throw new M(`Unknown duration argument ${e} of type ${typeof e}`)}static fromISO(e,t){let[r]=ps(e);return r?n.fromObject(r,t):n.invalid("unparsable",`the input "${e}" can't be parsed as ISO 8601`)}static fromISOTime(e,t){let[r]=ws(e);return r?n.fromObject(r,t):n.invalid("unparsable",`the input "${e}" can't be parsed as ISO 8601`)}static invalid(e,t=null){if(!e)throw new M("need to specify a reason the Duration is invalid");let r=e instanceof F?e:new F(e,t);if(x.throwOnInvalid)throw new kt(r);return new n({invalid:r})}static normalizeUnit(e){let t={year:"years",years:"years",quarter:"quarters",quarters:"quarters",month:"months",months:"months",week:"weeks",weeks:"weeks",day:"days",days:"days",hour:"hours",hours:"hours",minute:"minutes",minutes:"minutes",second:"seconds",seconds:"seconds",millisecond:"milliseconds",milliseconds:"milliseconds"}[e&&e.toLowerCase()];if(!t)throw new Ue(e);return t}static isDuration(e){return e&&e.isLuxonDuration||!1}get locale(){return this.isValid?this.loc.locale:null}get numberingSystem(){return this.isValid?this.loc.numberingSystem:null}toFormat(e,t={}){let r={...t,floor:t.round!==!1&&t.floor!==!1};return this.isValid?E.create(this.loc,r).formatDurationFromString(this,e):xn}toHuman(e={}){if(!this.isValid)return xn;let t=e.showZeros!==!1,r=re.map(i=>{let s=this.values[i];return y(s)||s===0&&!t?null:this.loc.numberFormatter({style:"unit",unitDisplay:"long",...e,unit:i.slice(0,-1)}).format(s)}).filter(i=>i);return this.loc.listFormatter({type:"conjunction",style:e.listStyle||"narrow",...e}).format(r)}toObject(){return this.isValid?{...this.values}:{}}toISO(){if(!this.isValid)return null;let e="P";return this.years!==0&&(e+=this.years+"Y"),(this.months!==0||this.quarters!==0)&&(e+=this.months+this.quarters*3+"M"),this.weeks!==0&&(e+=this.weeks+"W"),this.days!==0&&(e+=this.days+"D"),(this.hours!==0||this.minutes!==0||this.seconds!==0||this.milliseconds!==0)&&(e+="T"),this.hours!==0&&(e+=this.hours+"H"),this.minutes!==0&&(e+=this.minutes+"M"),(this.seconds!==0||this.milliseconds!==0)&&(e+=$t(this.seconds+this.milliseconds/1e3,3)+"S"),e==="P"&&(e+="T0S"),e}toISOTime(e={}){if(!this.isValid)return null;let t=this.toMillis();return t<0||t>=864e5?null:(e={suppressMilliseconds:!1,suppressSeconds:!1,includePrefix:!1,format:"extended",...e,includeOffset:!1},T.fromMillis(t,{zone:"UTC"}).toISOTime(e))}toJSON(){return this.toISO()}toString(){return this.toISO()}[Symbol.for("nodejs.util.inspect.custom")](){return this.isValid?`Duration { values: ${JSON.stringify(this.values)} }`:`Duration { Invalid, reason: ${this.invalidReason} }`}toMillis(){return this.isValid?Mr(this.matrix,this.values):NaN}valueOf(){return this.toMillis()}plus(e){if(!this.isValid)return this;let t=n.fromDurationLike(e),r={};for(let i of re)(ge(t.values,i)||ge(this.values,i))&&(r[i]=t.get(i)+this.get(i));return Z(this,{values:r},!0)}minus(e){if(!this.isValid)return this;let t=n.fromDurationLike(e);return this.plus(t.negate())}mapUnits(e){if(!this.isValid)return this;let t={};for(let r of Object.keys(this.values))t[r]=mr(e(this.values[r],r));return Z(this,{values:t},!0)}get(e){return this[n.normalizeUnit(e)]}set(e){if(!this.isValid)return this;let t={...this.values,...Je(e,n.normalizeUnit)};return Z(this,{values:t})}reconfigure({locale:e,numberingSystem:t,conversionAccuracy:r,matrix:i}={}){let o={loc:this.loc.clone({locale:e,numberingSystem:t}),matrix:i,conversionAccuracy:r};return Z(this,o)}as(e){return this.isValid?this.shiftTo(e).get(e):NaN}normalize(){if(!this.isValid)return this;let e=this.toObject();return On(this.matrix,e),Z(this,{values:e},!0)}rescale(){if(!this.isValid)return this;let e=vn(this.normalize().shiftToAll().toObject());return Z(this,{values:e},!0)}shiftTo(...e){if(!this.isValid)return this;if(e.length===0)return this;e=e.map(o=>n.normalizeUnit(o));let t={},r={},i=this.toObject(),s;for(let o of re)if(e.indexOf(o)>=0){s=o;let a=0;for(let u in r)a+=this.matrix[u][o]*r[u],r[u]=0;X(i[o])&&(a+=i[o]);let l=Math.trunc(a);t[o]=l,r[o]=(a*1e3-l*1e3)/1e3}else X(i[o])&&(r[o]=i[o]);for(let o in r)r[o]!==0&&(t[s]+=o===s?r[o]:r[o]/this.matrix[s][o]);return On(this.matrix,t),Z(this,{values:t},!0)}shiftToAll(){return this.isValid?this.shiftTo("years","months","weeks","days","hours","minutes","seconds","milliseconds"):this}negate(){if(!this.isValid)return this;let e={};for(let t of Object.keys(this.values))e[t]=this.values[t]===0?0:-this.values[t];return Z(this,{values:e},!0)}removeZeros(){if(!this.isValid)return this;let e=vn(this.values);return Z(this,{values:e},!0)}get years(){return this.isValid?this.values.years||0:NaN}get quarters(){return this.isValid?this.values.quarters||0:NaN}get months(){return this.isValid?this.values.months||0:NaN}get weeks(){return this.isValid?this.values.weeks||0:NaN}get days(){return this.isValid?this.values.days||0:NaN}get hours(){return this.isValid?this.values.hours||0:NaN}get minutes(){return this.isValid?this.values.minutes||0:NaN}get seconds(){return this.isValid?this.values.seconds||0:NaN}get milliseconds(){return this.isValid?this.values.milliseconds||0:NaN}get isValid(){return this.invalid===null}get invalidReason(){return this.invalid?this.invalid.reason:null}get invalidExplanation(){return this.invalid?this.invalid.explanation:null}equals(e){if(!this.isValid||!e.isValid||!this.loc.equals(e.loc))return!1;function t(r,i){return r===void 0||r===0?i===void 0||i===0:r===i}for(let r of re)if(!t(this.values[r],e.values[r]))return!1;return!0}},ue="Invalid Interval";function Ms(n,e){return!n||!n.isValid?de.invalid("missing or invalid start"):!e||!e.isValid?de.invalid("missing or invalid end"):e<n?de.invalid("end before start",`The end of an interval must be after its start, but you had start=${n.toISO()} and end=${e.toISO()}`):null}var de=class n{constructor(e){this.s=e.start,this.e=e.end,this.invalid=e.invalid||null,this.isLuxonInterval=!0}static invalid(e,t=null){if(!e)throw new M("need to specify a reason the Interval is invalid");let r=e instanceof F?e:new F(e,t);if(x.throwOnInvalid)throw new Tt(r);return new n({invalid:r})}static fromDateTimes(e,t){let r=xe(e),i=xe(t),s=Ms(r,i);return s??new n({start:r,end:i})}static after(e,t){let r=D.fromDurationLike(t),i=xe(e);return 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this.isValid?this.toDuration(e).get(e):NaN}count(e="milliseconds",t){if(!this.isValid)return NaN;let r=this.start.startOf(e,t),i;return t?.useLocaleWeeks?i=this.end.reconfigure({locale:r.locale}):i=this.end,i=i.startOf(e,t),Math.floor(i.diff(r,e).get(e))+(i.valueOf()!==this.end.valueOf())}hasSame(e){return this.isValid?this.isEmpty()||this.e.minus(1).hasSame(this.s,e):!1}isEmpty(){return this.s.valueOf()===this.e.valueOf()}isAfter(e){return this.isValid?this.s>e:!1}isBefore(e){return this.isValid?this.e<=e:!1}contains(e){return this.isValid?this.s<=e&&this.e>e:!1}set({start:e,end:t}={}){return this.isValid?n.fromDateTimes(e||this.s,t||this.e):this}splitAt(...e){if(!this.isValid)return[];let t=e.map(xe).filter(o=>this.contains(o)).sort((o,a)=>o.toMillis()-a.toMillis()),r=[],{s:i}=this,s=0;for(;i<this.e;){let o=t[s]||this.e,a=+o>+this.e?this.e:o;r.push(n.fromDateTimes(i,a)),i=a,s+=1}return r}splitBy(e){let 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merge(e){let[t,r]=e.sort((i,s)=>i.s-s.s).reduce(([i,s],o)=>s?s.overlaps(o)||s.abutsStart(o)?[i,s.union(o)]:[i.concat([s]),o]:[i,o],[[],null]);return r&&t.push(r),t}static xor(e){let t=null,r=0,i=[],s=e.map(l=>[{time:l.s,type:"s"},{time:l.e,type:"e"}]),o=Array.prototype.concat(...s),a=o.sort((l,u)=>l.time-u.time);for(let l of a)r+=l.type==="s"?1:-1,r===1?t=l.time:(t&&+t!=+l.time&&i.push(n.fromDateTimes(t,l.time)),t=null);return n.merge(i)}difference(...e){return n.xor([this].concat(e)).map(t=>this.intersection(t)).filter(t=>t&&!t.isEmpty())}toString(){return this.isValid?`[${this.s.toISO()} \u2013 ${this.e.toISO()})`:ue}[Symbol.for("nodejs.util.inspect.custom")](){return this.isValid?`Interval { start: ${this.s.toISO()}, end: ${this.e.toISO()} }`:`Interval { Invalid, reason: ${this.invalidReason} }`}toLocaleString(e=Ye,t={}){return this.isValid?E.create(this.s.loc.clone(t),e).formatInterval(this):ue}toISO(e){return this.isValid?`${this.s.toISO(e)}/${this.e.toISO(e)}`:ue}toISODate(){return this.isValid?`${this.s.toISODate()}/${this.e.toISODate()}`:ue}toISOTime(e){return this.isValid?`${this.s.toISOTime(e)}/${this.e.toISOTime(e)}`:ue}toFormat(e,{separator:t=" \u2013 "}={}){return this.isValid?`${this.s.toFormat(e)}${t}${this.e.toFormat(e)}`:ue}toDuration(e,t){return this.isValid?this.e.diff(this.s,e,t):D.invalid(this.invalidReason)}mapEndpoints(e){return n.fromDateTimes(e(this.s),e(this.e))}},fe=class{static hasDST(e=x.defaultZone){let t=T.now().setZone(e).set({month:12});return!e.isUniversal&&t.offset!==t.set({month:6}).offset}static isValidIANAZone(e){return Q.isValidZone(e)}static normalizeZone(e){return j(e,x.defaultZone)}static getStartOfWeek({locale:e=null,locObj:t=null}={}){return(t||S.create(e)).getStartOfWeek()}static getMinimumDaysInFirstWeek({locale:e=null,locObj:t=null}={}){return(t||S.create(e)).getMinDaysInFirstWeek()}static 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st=class{constructor(e={}){I(this,"cfg");I(this,"pending",[]);I(this,"pos",null);I(this,"trades",[]);I(this,"equityCurve",[]);I(this,"realized");I(this,"peak");I(this,"nextOrderId",1);I(this,"index",-1);I(this,"barsInPosition",0);I(this,"barCount",0);I(this,"markPrice",0);I(this,"closeRequested",!1);I(this,"barNs",0n);I(this,"slippagePaid",0);this.cfg={...Qt,...e},this.realized=this.cfg.initialCapital,this.peak=this.cfg.initialCapital}setBarNs(e){this.barNs=e}beginBar(e,t){if(this.index=t,this.markPrice=e.close,this.closeRequested&&(this.closeRequested=!1,this.pos)){let r=this.cfg.slippageTicks*this.cfg.tickSize;this.exit(e,e.open+(this.pos.side==="long"?-r:r),"signal")}this.pending.length&&this.processPending(e),this.pos&&this.checkBrackets(e)}endBar(e){this.barCount++,this.markPrice=e.close,this.pos&&(this.barsInPosition++,this.trackExcursion(e));let 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i=this.roundQty(t),s={id:this.nextOrderId++,side:e,qty:i,kind:r.limit!=null?"limit":r.stop!=null?"stop":"market",price:r.limit??r.stop,sl:r.sl,tp:r.tp,tag:r.tag,placedIndex:this.index};return this.pending.push(s),s.id}processPending(e){let t=[];for(let r of this.pending){if(r.placedIndex>=this.index){t.push(r);continue}let i=this.fillPrice(r,e);if(i==null){t.push(r);continue}this.execute(r,i,e)}this.pending=t}fillPrice(e,t){let r=this.cfg.slippageTicks*this.cfg.tickSize;if(e.kind==="market")return e.side==="buy"?t.open+r:t.open-r;let i=e.price;return e.kind==="limit"?e.side==="buy"&&t.low<=i||e.side==="sell"&&t.high>=i?i:null:e.side==="buy"&&t.high>=i?Math.max(i,t.open)+r:e.side==="sell"&&t.low<=i?Math.min(i,t.open)-r:null}execute(e,t,r){let i=e.side==="buy"?"long":"short";if(this.pos&&this.pos.side!==i){let 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o=this.commissionFor(t);this.pos={side:e,qty:t,avgPrice:r,entryTs:i.ts,entryIndex:this.index,sl:s.sl,tp:s.tp,tag:s.tag,entryFees:o,highWatermark:r,lowWatermark:r,mfeIndex:this.index,mfeTs:i.ts,maeIndex:this.index,maeTs:i.ts,initialRiskPerUnit:s.sl!=null?Math.abs(r-s.sl):void 0,entries:1},this.barsInPosition=0,this.realized-=o,this.slippagePaid+=this.slippageCost(t)}slippageCost(e){return this.cfg.slippageTicks*this.cfg.tickSize*e*this.cfg.contractSize}exit(e,t,r,i){let s=this.pos;if(!s)return;let o=i??s.qty,a=s.side==="long"?1:-1,l=(t-s.avgPrice)*a*o*this.cfg.contractSize,u=this.commissionFor(o),c=s.qty>0?s.entryFees*o/s.qty:0,m=c+u;s.entryFees-=c,this.realized+=l-u,this.slippagePaid+=this.slippageCost(o);let d=s.avgPrice*o*this.cfg.contractSize,f=s.side==="long",g=o*this.cfg.contractSize,p=Math.max(0,f?s.highWatermark-s.avgPrice:s.avgPrice-s.lowWatermark),O=Math.max(0,f?s.avgPrice-s.lowWatermark:s.highWatermark-s.avgPrice),N=s.initialRiskPerUnit,k=N!=null?N*g:void 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nn=this.equityCurve.length?this.equityCurve[this.equityCurve.length-1].equity:t,lt=nn-t,jr=t>0?lt/t:0,Re=s?r/s:0,ke=o?i/o:0,ut=e.length?s/e.length:0,rn=e.map(b=>b.pnl),ct=this.runYears();return{netPnl:lt,grossProfit:r,grossLoss:i,profitFactor:i===0?r>0?1/0:0:r/-i,totalTrades:e.length,wins:s,losses:o,winRate:ut,avgWin:Re,avgLoss:ke,expectancy:e.length?(r+i)/e.length:0,maxDrawdown:Se,maxDrawdownPct:Te,sharpe:this.sharpe(),returnPct:jr,exposure:this.barCount?this.barsInPositionTotal()/this.barCount:0,finalEquity:nn,largestWin:l,largestLoss:u,medianPnl:$o(rn),payoffRatio:ke!==0?Re/Math.abs(ke):Re>0?1/0:0,breakEvens:a,maxWinStreak:p,maxLossStreak:O,currentStreak:f>0?f:-g,avgBarsHeld:e.length?d/e.length:0,avgWinBarsHeld:s?c/s:0,avgLossBarsHeld:o?m/o:0,totalBars:this.barCount,sortino:this.sortino(),calmar:Te>0&&ct>0?this.cagr(ct)/Te:0,recoveryFactor:Se>0?lt/Se:0,ulcerIndex:this.equityCurve.length?Math.sqrt(tn/this.equityCurve.length):0,sqn:_o(rn),kelly:ke!==0?ut-(1-ut)/(Re/Math.abs(ke)):0,cagr:this.cagr(ct),tradesWithRisk:k,avgR:k?N/k:0,totalR:N,avgEfficiency:K?C/K:0,avgMae:e.length?ee/e.length:0,avgMfe:e.length?ae/e.length:0,longTrades:Y,shortTrades:$,longWinRate:Y?q/Y:0,shortWinRate:$?H/$:0,longPnl:Le,shortPnl:Kt,totalFees:at,totalCommission:at,totalSlippage:this.slippagePaid,grossPnlBeforeCosts:en}}runYears(){let 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cs=ye(Ui,Zt),fs=ye(Yi,Zt),ms=ye(Hi,Zt),hs=ye(xr),vr=pe(Qi,we,De,Ce),ds=pe(Gi,we,De,Ce),gs=pe(ji,we,De,Ce),ys=pe(we,De,Ce);function ps(t){return be(t,[cs,vr],[fs,ds],[ms,gs],[hs,ys])}function bs(t){return be(ss(t),[rs,is])}function ws(t){return be(t,[os,Tn],[as,Tn],[ls,us])}function Ss(t){return be(t,[es,ts])}var Ts=pe(we);function xs(t){return be(t,[Ki,Ts])}var ks=ye(Ji,Xi),vs=ye(kr),Os=pe(we,De,Ce);function Ns(t){return be(t,[ks,vr],[vs,Os])}var xn="Invalid Duration",Or={weeks:{days:7,hours:168,minutes:10080,seconds:10080*60,milliseconds:10080*60*1e3},days:{hours:24,minutes:1440,seconds:1440*60,milliseconds:1440*60*1e3},hours:{minutes:60,seconds:3600,milliseconds:3600*1e3},minutes:{seconds:60,milliseconds:60*1e3},seconds:{milliseconds:1e3}},Ms={years:{quarters:4,months:12,weeks:52,days:365,hours:365*24,minutes:365*24*60,seconds:365*24*60*60,milliseconds:365*24*60*60*1e3},quarters:{months:3,weeks:13,days:91,hours:2184,minutes:2184*60,seconds:2184*60*60,milliseconds:2184*60*60*1e3},months:{weeks:4,days:30,hours:720,minutes:720*60,seconds:720*60*60,milliseconds:720*60*60*1e3},...Or},R=146097/400,le=146097/4800,Ds={years:{quarters:4,months:12,weeks:R/7,days:R,hours:R*24,minutes:R*24*60,seconds:R*24*60*60,milliseconds:R*24*60*60*1e3},quarters:{months:3,weeks:R/28,days:R/4,hours:R*24/4,minutes:R*24*60/4,seconds:R*24*60*60/4,milliseconds:R*24*60*60*1e3/4},months:{weeks:le/7,days:le,hours:le*24,minutes:le*24*60,seconds:le*24*60*60,milliseconds:le*24*60*60*1e3},...Or},re=["years","quarters","months","weeks","days","hours","minutes","seconds","milliseconds"],Cs=re.slice(0).reverse();function U(t,e,n=!1){let r={values:n?e.values:{...t.values,...e.values||{}},loc:t.loc.clone(e.loc),conversionAccuracy:e.conversionAccuracy||t.conversionAccuracy,matrix:e.matrix||t.matrix};return new E(r)}function Nr(t,e){let n=e.milliseconds??0;for(let r of Cs.slice(1))e[r]&&(n+=e[r]*t[r].milliseconds);return n}function kn(t,e){let n=Nr(t,e)<0?-1:1;re.reduceRight((r,i)=>{if(y(e[i]))return r;if(r){let s=e[r]*n,o=t[i][r],a=Math.floor(s/o);e[i]+=a*n,e[r]-=a*o*n}return i},null),re.reduce((r,i)=>{if(y(e[i]))return r;if(r){let s=e[r]%1;e[r]-=s,e[i]+=s*t[r][i]}return i},null)}function vn(t){let e={};for(let[n,r]of Object.entries(t))r!==0&&(e[n]=r);return e}var E=class t{constructor(e){let n=e.conversionAccuracy==="longterm"||!1,r=n?Ds:Ms;e.matrix&&(r=e.matrix),this.values=e.values,this.loc=e.loc||S.create(),this.conversionAccuracy=n?"longterm":"casual",this.invalid=e.invalid||null,this.matrix=r,this.isLuxonDuration=!0}static fromMillis(e,n){return t.fromObject({milliseconds:e},n)}static fromObject(e,n={}){if(e==null||typeof e!="object")throw new C(`Duration.fromObject: argument expected to be an object, got ${e===null?"null":typeof e}`);return new t({values:Ge(e,t.normalizeUnit),loc:S.fromObject(n),conversionAccuracy:n.conversionAccuracy,matrix:n.matrix})}static fromDurationLike(e){if(Q(e))return t.fromMillis(e);if(t.isDuration(e))return e;if(typeof e=="object")return t.fromObject(e);throw new C(`Unknown duration argument ${e} of type ${typeof e}`)}static fromISO(e,n){let[r]=Ss(e);return r?t.fromObject(r,n):t.invalid("unparsable",`the input "${e}" can't be parsed as ISO 8601`)}static fromISOTime(e,n){let[r]=xs(e);return r?t.fromObject(r,n):t.invalid("unparsable",`the input "${e}" can't be parsed as ISO 8601`)}static invalid(e,n=null){if(!e)throw new C("need to specify a reason the Duration is invalid");let r=e instanceof F?e:new F(e,n);if(O.throwOnInvalid)throw new xt(r);return new t({invalid:r})}static normalizeUnit(e){let n={year:"years",years:"years",quarter:"quarters",quarters:"quarters",month:"months",months:"months",week:"weeks",weeks:"weeks",day:"days",days:"days",hour:"hours",hours:"hours",minute:"minutes",minutes:"minutes",second:"seconds",seconds:"seconds",millisecond:"milliseconds",milliseconds:"milliseconds"}[e&&e.toLowerCase()];if(!n)throw new _e(e);return n}static isDuration(e){return e&&e.isLuxonDuration||!1}get locale(){return this.isValid?this.loc.locale:null}get numberingSystem(){return this.isValid?this.loc.numberingSystem:null}toFormat(e,n={}){let r={...n,floor:n.round!==!1&&n.floor!==!1};return this.isValid?I.create(this.loc,r).formatDurationFromString(this,e):xn}toHuman(e={}){if(!this.isValid)return xn;let n=e.showZeros!==!1,r=re.map(i=>{let s=this.values[i];return y(s)||s===0&&!n?null:this.loc.numberFormatter({style:"unit",unitDisplay:"long",...e,unit:i.slice(0,-1)}).format(s)}).filter(i=>i);return this.loc.listFormatter({type:"conjunction",style:e.listStyle||"narrow",...e}).format(r)}toObject(){return this.isValid?{...this.values}:{}}toISO(){if(!this.isValid)return null;let e="P";return this.years!==0&&(e+=this.years+"Y"),(this.months!==0||this.quarters!==0)&&(e+=this.months+this.quarters*3+"M"),this.weeks!==0&&(e+=this.weeks+"W"),this.days!==0&&(e+=this.days+"D"),(this.hours!==0||this.minutes!==0||this.seconds!==0||this.milliseconds!==0)&&(e+="T"),this.hours!==0&&(e+=this.hours+"H"),this.minutes!==0&&(e+=this.minutes+"M"),(this.seconds!==0||this.milliseconds!==0)&&(e+=$t(this.seconds+this.milliseconds/1e3,3)+"S"),e==="P"&&(e+="T0S"),e}toISOTime(e={}){if(!this.isValid)return null;let n=this.toMillis();return n<0||n>=864e5?null:(e={suppressMilliseconds:!1,suppressSeconds:!1,includePrefix:!1,format:"extended",...e,includeOffset:!1},T.fromMillis(n,{zone:"UTC"}).toISOTime(e))}toJSON(){return this.toISO()}toString(){return this.toISO()}[Symbol.for("nodejs.util.inspect.custom")](){return this.isValid?`Duration { values: ${JSON.stringify(this.values)} }`:`Duration { Invalid, reason: ${this.invalidReason} }`}toMillis(){return this.isValid?Nr(this.matrix,this.values):NaN}valueOf(){return this.toMillis()}plus(e){if(!this.isValid)return this;let n=t.fromDurationLike(e),r={};for(let i of re)(ge(n.values,i)||ge(this.values,i))&&(r[i]=n.get(i)+this.get(i));return U(this,{values:r},!0)}minus(e){if(!this.isValid)return this;let n=t.fromDurationLike(e);return this.plus(n.negate())}mapUnits(e){if(!this.isValid)return this;let n={};for(let r of Object.keys(this.values))n[r]=fr(e(this.values[r],r));return U(this,{values:n},!0)}get(e){return this[t.normalizeUnit(e)]}set(e){if(!this.isValid)return this;let n={...this.values,...Ge(e,t.normalizeUnit)};return U(this,{values:n})}reconfigure({locale:e,numberingSystem:n,conversionAccuracy:r,matrix:i}={}){let o={loc:this.loc.clone({locale:e,numberingSystem:n}),matrix:i,conversionAccuracy:r};return U(this,o)}as(e){return this.isValid?this.shiftTo(e).get(e):NaN}normalize(){if(!this.isValid)return this;let e=this.toObject();return kn(this.matrix,e),U(this,{values:e},!0)}rescale(){if(!this.isValid)return this;let e=vn(this.normalize().shiftToAll().toObject());return U(this,{values:e},!0)}shiftTo(...e){if(!this.isValid)return this;if(e.length===0)return this;e=e.map(o=>t.normalizeUnit(o));let n={},r={},i=this.toObject(),s;for(let o of re)if(e.indexOf(o)>=0){s=o;let a=0;for(let u in r)a+=this.matrix[u][o]*r[u],r[u]=0;Q(i[o])&&(a+=i[o]);let l=Math.trunc(a);n[o]=l,r[o]=(a*1e3-l*1e3)/1e3}else Q(i[o])&&(r[o]=i[o]);for(let o in r)r[o]!==0&&(n[s]+=o===s?r[o]:r[o]/this.matrix[s][o]);return kn(this.matrix,n),U(this,{values:n},!0)}shiftToAll(){return this.isValid?this.shiftTo("years","months","weeks","days","hours","minutes","seconds","milliseconds"):this}negate(){if(!this.isValid)return this;let e={};for(let n of Object.keys(this.values))e[n]=this.values[n]===0?0:-this.values[n];return U(this,{values:e},!0)}removeZeros(){if(!this.isValid)return this;let e=vn(this.values);return U(this,{values:e},!0)}get years(){return this.isValid?this.values.years||0:NaN}get quarters(){return this.isValid?this.values.quarters||0:NaN}get months(){return this.isValid?this.values.months||0:NaN}get weeks(){return this.isValid?this.values.weeks||0:NaN}get days(){return this.isValid?this.values.days||0:NaN}get hours(){return this.isValid?this.values.hours||0:NaN}get minutes(){return this.isValid?this.values.minutes||0:NaN}get seconds(){return this.isValid?this.values.seconds||0:NaN}get milliseconds(){return this.isValid?this.values.milliseconds||0:NaN}get isValid(){return this.invalid===null}get invalidReason(){return this.invalid?this.invalid.reason:null}get invalidExplanation(){return this.invalid?this.invalid.explanation:null}equals(e){if(!this.isValid||!e.isValid||!this.loc.equals(e.loc))return!1;function n(r,i){return r===void 0||r===0?i===void 0||i===0:r===i}for(let r of re)if(!n(this.values[r],e.values[r]))return!1;return!0}},ue="Invalid Interval";function Es(t,e){return!t||!t.isValid?de.invalid("missing or invalid start"):!e||!e.isValid?de.invalid("missing or invalid end"):e<t?de.invalid("end before start",`The end of an interval must be after its start, but you had start=${t.toISO()} and end=${e.toISO()}`):null}var de=class t{constructor(e){this.s=e.start,this.e=e.end,this.invalid=e.invalid||null,this.isLuxonInterval=!0}static invalid(e,n=null){if(!e)throw new C("need to specify a reason the Interval is invalid");let r=e instanceof F?e:new F(e,n);if(O.throwOnInvalid)throw new Tt(r);return new t({invalid:r})}static fromDateTimes(e,n){let r=Te(e),i=Te(n),s=Es(r,i);return s??new t({start:r,end:i})}static after(e,n){let r=E.fromDurationLike(n),i=Te(e);return t.fromDateTimes(i,i.plus(r))}static before(e,n){let r=E.fromDurationLike(n),i=Te(e);return t.fromDateTimes(i.minus(r),i)}static fromISO(e,n){let[r,i]=(e||"").split("/",2);if(r&&i){let s,o;try{s=T.fromISO(r,n),o=s.isValid}catch{o=!1}let a,l;try{a=T.fromISO(i,n),l=a.isValid}catch{l=!1}if(o&&l)return t.fromDateTimes(s,a);if(o){let u=E.fromISO(i,n);if(u.isValid)return t.after(s,u)}else if(l){let u=E.fromISO(r,n);if(u.isValid)return t.before(a,u)}}return t.invalid("unparsable",`the input "${e}" can't be parsed as ISO 8601`)}static isInterval(e){return e&&e.isLuxonInterval||!1}get start(){return this.isValid?this.s:null}get end(){return this.isValid?this.e:null}get lastDateTime(){return this.isValid&&this.e?this.e.minus(1):null}get isValid(){return this.invalidReason===null}get invalidReason(){return this.invalid?this.invalid.reason:null}get invalidExplanation(){return this.invalid?this.invalid.explanation:null}length(e="milliseconds"){return this.isValid?this.toDuration(e).get(e):NaN}count(e="milliseconds",n){if(!this.isValid)return NaN;let r=this.start.startOf(e,n),i;return n?.useLocaleWeeks?i=this.end.reconfigure({locale:r.locale}):i=this.end,i=i.startOf(e,n),Math.floor(i.diff(r,e).get(e))+(i.valueOf()!==this.end.valueOf())}hasSame(e){return this.isValid?this.isEmpty()||this.e.minus(1).hasSame(this.s,e):!1}isEmpty(){return this.s.valueOf()===this.e.valueOf()}isAfter(e){return this.isValid?this.s>e:!1}isBefore(e){return this.isValid?this.e<=e:!1}contains(e){return this.isValid?this.s<=e&&this.e>e:!1}set({start:e,end:n}={}){return this.isValid?t.fromDateTimes(e||this.s,n||this.e):this}splitAt(...e){if(!this.isValid)return[];let n=e.map(Te).filter(o=>this.contains(o)).sort((o,a)=>o.toMillis()-a.toMillis()),r=[],{s:i}=this,s=0;for(;i<this.e;){let o=n[s]||this.e,a=+o>+this.e?this.e:o;r.push(t.fromDateTimes(i,a)),i=a,s+=1}return r}splitBy(e){let n=E.fromDurationLike(e);if(!this.isValid||!n.isValid||n.as("milliseconds")===0)return[];let{s:r}=this,i=1,s,o=[];for(;r<this.e;){let a=this.start.plus(n.mapUnits(l=>l*i));s=+a>+this.e?this.e:a,o.push(t.fromDateTimes(r,s)),r=s,i+=1}return o}divideEqually(e){return this.isValid?this.splitBy(this.length()/e).slice(0,e):[]}overlaps(e){return this.e>e.s&&this.s<e.e}abutsStart(e){return this.isValid?+this.e==+e.s:!1}abutsEnd(e){return this.isValid?+e.e==+this.s:!1}engulfs(e){return this.isValid?this.s<=e.s&&this.e>=e.e:!1}equals(e){return!this.isValid||!e.isValid?!1:this.s.equals(e.s)&&this.e.equals(e.e)}intersection(e){if(!this.isValid)return this;let n=this.s>e.s?this.s:e.s,r=this.e<e.e?this.e:e.e;return n>=r?null:t.fromDateTimes(n,r)}union(e){if(!this.isValid)return this;let n=this.s<e.s?this.s:e.s,r=this.e>e.e?this.e:e.e;return t.fromDateTimes(n,r)}static merge(e){let[n,r]=e.sort((i,s)=>i.s-s.s).reduce(([i,s],o)=>s?s.overlaps(o)||s.abutsStart(o)?[i,s.union(o)]:[i.concat([s]),o]:[i,o],[[],null]);return r&&n.push(r),n}static xor(e){let n=null,r=0,i=[],s=e.map(l=>[{time:l.s,type:"s"},{time:l.e,type:"e"}]),o=Array.prototype.concat(...s),a=o.sort((l,u)=>l.time-u.time);for(let l of a)r+=l.type==="s"?1:-1,r===1?n=l.time:(n&&+n!=+l.time&&i.push(t.fromDateTimes(n,l.time)),n=null);return t.merge(i)}difference(...e){return t.xor([this].concat(e)).map(n=>this.intersection(n)).filter(n=>n&&!n.isEmpty())}toString(){return this.isValid?`[${this.s.toISO()} \u2013 ${this.e.toISO()})`:ue}[Symbol.for("nodejs.util.inspect.custom")](){return this.isValid?`Interval { start: ${this.s.toISO()}, end: ${this.e.toISO()} }`:`Interval { Invalid, reason: ${this.invalidReason} }`}toLocaleString(e=Ze,n={}){return this.isValid?I.create(this.s.loc.clone(n),e).formatInterval(this):ue}toISO(e){return this.isValid?`${this.s.toISO(e)}/${this.e.toISO(e)}`:ue}toISODate(){return this.isValid?`${this.s.toISODate()}/${this.e.toISODate()}`:ue}toISOTime(e){return this.isValid?`${this.s.toISOTime(e)}/${this.e.toISOTime(e)}`:ue}toFormat(e,{separator:n=" \u2013 "}={}){return this.isValid?`${this.s.toFormat(e)}${n}${this.e.toFormat(e)}`:ue}toDuration(e,n){return this.isValid?this.e.diff(this.s,e,n):E.invalid(this.invalidReason)}mapEndpoints(e){return t.fromDateTimes(e(this.s),e(this.e))}},fe=class{static hasDST(e=O.defaultZone){let n=T.now().setZone(e).set({month:12});return!e.isUniversal&&n.offset!==n.set({month:6}).offset}static isValidIANAZone(e){return K.isValidZone(e)}static normalizeZone(e){return J(e,O.defaultZone)}static getStartOfWeek({locale:e=null,locObj:n=null}={}){return(n||S.create(e)).getStartOfWeek()}static getMinimumDaysInFirstWeek({locale:e=null,locObj:n=null}={}){return(n||S.create(e)).getMinDaysInFirstWeek()}static getWeekendWeekdays({locale:e=null,locObj:n=null}={}){return(n||S.create(e)).getWeekendDays().slice()}static months(e="long",{locale:n=null,numberingSystem:r=null,locObj:i=null,outputCalendar:s="gregory"}={}){return(i||S.create(n,r,s)).months(e)}static monthsFormat(e="long",{locale:n=null,numberingSystem:r=null,locObj:i=null,outputCalendar:s="gregory"}={}){return(i||S.create(n,r,s)).months(e,!0)}static weekdays(e="long",{locale:n=null,numberingSystem:r=null,locObj:i=null}={}){return(i||S.create(n,r,null)).weekdays(e)}static weekdaysFormat(e="long",{locale:n=null,numberingSystem:r=null,locObj:i=null}={}){return(i||S.create(n,r,null)).weekdays(e,!0)}static meridiems({locale:e=null}={}){return S.create(e).meridiems()}static eras(e="short",{locale:n=null}={}){return S.create(n,null,"gregory").eras(e)}static features(){return{relative:lr(),localeWeek:ur()}}};function On(t,e){let n=i=>i.toUTC(0,{keepLocalTime:!0}).startOf("day").valueOf(),r=n(e)-n(t);return 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r={},i=E.normalizeUnit(e);switch(i){case"years":r.month=1;case"quarters":case"months":r.day=1;case"weeks":case"days":r.hour=0;case"hours":r.minute=0;case"minutes":r.second=0;case"seconds":r.millisecond=0;break}if(i==="weeks")if(n){let s=this.loc.getStartOfWeek(),{weekday:o}=this;o<s&&(r.weekNumber=this.weekNumber-1),r.weekday=s}else r.weekday=1;if(i==="quarters"){let s=Math.ceil(this.month/3);r.month=(s-1)*3+1}return this.set(r)}endOf(e,n){return this.isValid?this.plus({[e]:1}).startOf(e,n).minus(1):this}toFormat(e,n={}){return this.isValid?I.create(this.loc.redefaultToEN(n)).formatDateTimeFromString(this,e):yt}toLocaleString(e=Ze,n={}){return this.isValid?I.create(this.loc.clone(n),e).formatDateTime(this):yt}toLocaleParts(e={}){return this.isValid?I.create(this.loc.clone(e),e).formatDateTimeParts(this):[]}toISO({format:e="extended",suppressSeconds:n=!1,suppressMilliseconds:r=!1,includeOffset:i=!0,extendedZone:s=!1,precision:o="milliseconds"}={}){if(!this.isValid)return 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i={locale:this.locale,numberingSystem:this.numberingSystem,...r},s=Ci(n).map(E.normalizeUnit),o=e.valueOf()>this.valueOf(),a=o?this:e,l=o?e:this,u=Fs(a,l,s,i);return o?u.negate():u}diffNow(e="milliseconds",n={}){return this.diff(t.now(),e,n)}until(e){return this.isValid?de.fromDateTimes(this,e):this}hasSame(e,n,r){if(!this.isValid)return!1;let i=e.valueOf(),s=this.setZone(e.zone,{keepLocalTime:!0});return s.startOf(n,r)<=i&&i<=s.endOf(n,r)}equals(e){return this.isValid&&e.isValid&&this.valueOf()===e.valueOf()&&this.zone.equals(e.zone)&&this.loc.equals(e.loc)}toRelative(e={}){if(!this.isValid)return null;let n=e.base||t.fromObject({},{zone:this.zone}),r=e.padding?this<n?-e.padding:e.padding:0,i=["years","months","days","hours","minutes","seconds"],s=e.unit;return Array.isArray(e.unit)&&(i=e.unit,s=void 0),An(n,this.plus(r),{...e,numeric:"always",units:i,unit:s})}toRelativeCalendar(e={}){return 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Ht=Object.freeze({indicator:"indicator",drawing:"drawing",chartType:"chart-type",dataSource:"data-source",extension:"extension",strategy:"strategy"}),Gt=Object.freeze({mbo:"l3",l3:"l3",l2:"l2",ohlcv:"ohlcv",tick:"tick"}),jt=Object.freeze({overlay:"overlay",pane:"pane"}),Jt=Object.freeze({signal:"signal",stop:"stop",target:"target",reverse:"reverse",endOfData:"end-of-data"}),Xt={PluginType:Ht,DataLevel:Gt,Layout:jt,ExitReason:Jt};var Qt={initialCapital:1e5,commission:0,slippageTicks:0,tickSize:.01,contractSize:1,pyramiding:1,allowReverse:!0,qtyStep:1};function Kt(t,e,n){if(!e||e.length===0)return!1;let r=(a,l)=>Math.abs(a-l)<=n;if(!r(e[0].open,t.open)||!r(e[e.length-1].close,t.close))return!1;let i=-1/0,s=1/0,o=-1n;for(let a of e){if(a.ts<=o)return!1;o=a.ts,a.high>i&&(i=a.high),a.low<s&&(s=a.low)}return r(i,t.high)&&r(s,t.low)}function Uo(t){if(!t.length)return 0;let e=[...t].sort((r,i)=>r-i),n=e.length>>1;return e.length%2?e[n]:(e[n-1]+e[n])/2}function Yo(t){if(t.length<2)return 0;let 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Ho=8192,rt=class{constructor(e={}){b(this,"cfg");b(this,"pending",[]);b(this,"pos",null);b(this,"trades",[]);b(this,"equityCurve",[]);b(this,"realized");b(this,"peak");b(this,"nextOrderId",1);b(this,"index",-1);b(this,"barsInPosition",0);b(this,"barCount",0);b(this,"markPrice",0);b(this,"closeRequested",!1);b(this,"barNs",0n);b(this,"slippagePaid",0);b(this,"usedIntrabar",!1);b(this,"intrabarBars",0);b(this,"intrabarFallbacks",0);b(this,"ambiguousExits",0);b(this,"pendingEquity",null);b(this,"equityCount",0);b(this,"firstTs",null);b(this,"lastTs",0n);b(this,"lastEquity",null);b(this,"prevEquity",null);b(this,"maxDdAbs",0);b(this,"maxDdPct",0);b(this,"ulcerSum",0);b(this,"retN",0);b(this,"retMean",0);b(this,"retM2",0);b(this,"downSum",0);b(this,"downCount",0);b(this,"curvePhase",0);b(this,"curveStride",1);b(this,"lastFolded",null);this.cfg={...Qt,...e},this.realized=this.cfg.initialCapital,this.peak=this.cfg.initialCapital}setBarNs(e){this.barNs=e}beginBar(e,n,r){this.index=n,this.markPrice=e.close;let i=r&&r.length>0?Kt(e,r,Math.max(this.cfg.tickSize/2,1e-9)):!1;if(r&&r.length>0&&(i?this.intrabarBars++:this.intrabarFallbacks++),this.usedIntrabar=i,this.closeRequested&&(this.closeRequested=!1,this.pos)){let s=this.cfg.slippageTicks*this.cfg.tickSize;this.exit(e,e.open+(this.pos.side==="long"?-s:s),"signal")}if(!i){this.pending.length&&this.processPending(e),this.pos&&this.checkBrackets(e);return}for(let s of r)this.pending.length&&this.processPending(s),this.pos&&this.checkBrackets(s),this.pos&&this.trackExcursion(s)}endBar(e){this.barCount++,this.markPrice=e.close,this.pos&&(this.barsInPosition++,this.usedIntrabar||this.trackExcursion(e));let n=this.equity;n>this.peak&&(this.peak=n),this.foldPending(),this.firstTs===null&&(this.firstTs=e.ts),this.pendingEquity={ts:e.ts,equity:n,drawdown:this.peak>0?(this.peak-n)/this.peak:0}}foldPending(){let e=this.pendingEquity;if(!e)return;this.pendingEquity=null,this.equityCount++,this.lastTs=e.ts,this.lastEquity=e.equity;let r=(e.drawdown>=1?e.equity:e.equity/(1-e.drawdown))-e.equity;if(r>this.maxDdAbs&&(this.maxDdAbs=r),e.drawdown>this.maxDdPct&&(this.maxDdPct=e.drawdown),this.ulcerSum+=e.drawdown*e.drawdown,this.prevEquity!==null&&this.prevEquity>0){let i=(e.equity-this.prevEquity)/this.prevEquity;this.retN++;let s=i-this.retMean;this.retMean+=s/this.retN,this.retM2+=s*(i-this.retMean),i<0&&(this.downSum+=i*i,this.downCount++)}this.prevEquity=e.equity,this.lastFolded=e,this.keepInCurve(e)}keepInCurve(e){if(this.curvePhase===0&&(this.equityCurve.push(e),this.equityCurve.length>Ho)){let n=[];for(let r=0;r<this.equityCurve.length;r+=2)n.push(this.equityCurve[r]);this.equityCurve=n,this.curveStride*=2}this.curvePhase=(this.curvePhase+1)%this.curveStride}finish(e){if(!this.pos||!e){this.foldPending();return}this.exit(e,e.close,"end-of-data");let n=this.pendingEquity;if(n){let r=this.equity;r>this.peak&&(this.peak=r),n.equity=r,n.drawdown=this.peak>0?(this.peak-r)/this.peak:0}this.foldPending()}get equity(){return this.realized+this.unrealized()}get result(){return this.foldPending(),this.lastFolded&&this.equityCurve[this.equityCurve.length-1]!==this.lastFolded&&this.equityCurve.push(this.lastFolded),{trades:this.trades,equity:this.equityCurve,stats:this.computeStats(),position:this.pos,openOrders:this.pending}}api(){let e=this;return{buy:(n=1,r={})=>e.place("buy",n,r),sell:(n=1,r={})=>e.place("sell",n,r),close:()=>{e.pos&&(e.closeRequested=!0)},cancelAll:()=>{e.pending=[]},get position(){return e.pos},get equity(){return e.equity},get cash(){return e.realized},get openOrders(){return e.pending}}}place(e,n,r){let i=this.roundQty(n),s={id:this.nextOrderId++,side:e,qty:i,kind:r.limit!=null?"limit":r.stop!=null?"stop":"market",price:r.limit??r.stop,sl:r.sl,tp:r.tp,tag:r.tag,placedIndex:this.index};return this.pending.push(s),s.id}processPending(e){let n=[];for(let r of this.pending){if(r.placedIndex>=this.index){n.push(r);continue}let i=this.fillPrice(r,e);if(i==null){n.push(r);continue}this.execute(r,i,e)}this.pending=n}fillPrice(e,n){let r=this.cfg.slippageTicks*this.cfg.tickSize;if(e.kind==="market")return e.side==="buy"?n.open+r:n.open-r;let i=e.price;return e.kind==="limit"?e.side==="buy"&&n.low<=i||e.side==="sell"&&n.high>=i?i:null:e.side==="buy"&&n.high>=i?Math.max(i,n.open)+r:e.side==="sell"&&n.low<=i?Math.min(i,n.open)-r:null}execute(e,n,r){let i=e.side==="buy"?"long":"short";if(this.pos&&this.pos.side!==i){let s=Math.min(this.pos.qty,e.qty),o=e.qty-s,a=o>0&&this.cfg.allowReverse;this.exit(r,n,a?"reverse":"signal",s),a&&this.enter(i,o,n,r,e);return}if(this.pos&&this.pos.side===i){if(this.pos.entries>=this.maxEntries())return;let s=this.pos.qty+e.qty;this.pos.avgPrice=(this.pos.avgPrice*this.pos.qty+n*e.qty)/s,this.pos.qty=s,this.pos.entries++,e.sl!=null&&(this.pos.sl=e.sl),e.tp!=null&&(this.pos.tp=e.tp);let o=this.commissionFor(e.qty);this.pos.entryFees+=o,this.realized-=o,this.slippagePaid+=this.slippageCost(e.qty);return}this.enter(i,e.qty,n,r,e)}maxEntries(){return Math.max(1,Math.floor(this.cfg.pyramiding))}roundQty(e){let n=this.cfg.qtyStep>0?this.cfg.qtyStep:1,r=Math.abs(e),i=Math.floor(r/n)*n,s=(String(n).split(".")[1]??"").length;return i>0?Number(i.toFixed(s)):n}enter(e,n,r,i,s){let o=this.commissionFor(n);this.pos={side:e,qty:n,avgPrice:r,entryTs:i.ts,entryIndex:this.index,sl:s.sl,tp:s.tp,tag:s.tag,entryFees:o,highWatermark:r,lowWatermark:r,mfeIndex:this.index,mfeTs:i.ts,maeIndex:this.index,maeTs:i.ts,initialRiskPerUnit:s.sl!=null?Math.abs(r-s.sl):void 0,entries:1},this.barsInPosition=0,this.realized-=o,this.slippagePaid+=this.slippageCost(n)}slippageCost(e){return this.cfg.slippageTicks*this.cfg.tickSize*e*this.cfg.contractSize}exit(e,n,r,i,s=!1){let o=this.pos;if(!o)return;let a=i??o.qty,l=o.side==="long"?1:-1,u=(n-o.avgPrice)*l*a*this.cfg.contractSize,c=this.commissionFor(a),m=o.qty>0?o.entryFees*a/o.qty:0,d=m+c;o.entryFees-=m,this.realized+=u-c,this.slippagePaid+=this.slippageCost(a);let f=o.avgPrice*a*this.cfg.contractSize,g=o.side==="long",p=a*this.cfg.contractSize,k=Math.max(0,g?o.highWatermark-o.avgPrice:o.avgPrice-o.lowWatermark),M=Math.max(0,g?o.avgPrice-o.lowWatermark:o.highWatermark-o.avgPrice),D=o.initialRiskPerUnit,v=D!=null?D*p:void 0,Z=u-d,ee=v&&v>0?Z/v:void 0,ae=v&&v>0?k*p/v:void 0,H=v&&v>0?-(M*p)/v:void 0,G=k>0?Math.max(0,g?n-o.avgPrice:o.avgPrice-n)/k:void 0,W=k*p,V=Math.max(0,W-(u-d));this.trades.push({id:this.trades.length+1,side:o.side,qty:a,entryTs:o.entryTs,entryPrice:o.avgPrice,exitTs:e.ts,exitPrice:n,pnl:Z,pnlGross:u,pnlPct:f>0?Z/f:0,fees:d,commission:d,slippage:this.slippageCost(a)*2,bars:this.index-o.entryIndex,durationNs:e.ts-o.entryTs,tag:o.tag,reason:r,...s?{ambiguousExit:!0}:{},maeAbs:M,mfeAbs:k,maePnl:M*p,mfePnl:k*p,mfeTs:o.mfeTs,maeTs:o.maeTs,barsToMfe:o.mfeIndex-o.entryIndex,initialRiskPerUnit:D,initialRiskTotal:v,realizedR:ee,maxFavorableR:ae,maxAdverseR:H,efficiency:G,maxDrawdownAbs:V,maxDrawdownPct:W>0?V/W:0,sl:o.sl,tp:o.tp}),a>=o.qty?(this.pos=null,this.barsInPosition=0):o.qty-=a}checkBrackets(e){let n=this.pos;if(n.sl==null&&n.tp==null)return;let r=this.cfg.slippageTicks*this.cfg.tickSize,i=n.side==="long",s=n.sl!=null&&(i?e.low<=n.sl:e.high>=n.sl),o=n.tp!=null&&(i?e.high>=n.tp:e.low<=n.tp),a=s&&o;if(a&&this.ambiguousExits++,s){let l=i?Math.min(n.sl,e.open):Math.max(n.sl,e.open);this.exit(e,i?l-r:l+r,"stop",void 0,a);return}o&&this.exit(e,n.tp,"target")}trackExcursion(e){let n=this.pos;e.high>n.highWatermark&&(n.highWatermark=e.high,n.side==="long"?(n.mfeIndex=this.index,n.mfeTs=e.ts):(n.maeIndex=this.index,n.maeTs=e.ts)),e.low<n.lowWatermark&&(n.lowWatermark=e.low,n.side==="long"?(n.maeIndex=this.index,n.maeTs=e.ts):(n.mfeIndex=this.index,n.mfeTs=e.ts))}commissionFor(e){return this.cfg.commission*e}unrealized(){if(!this.pos)return 0;let e=this.pos.side==="long"?1:-1;return(this.markPrice-this.pos.avgPrice)*e*this.pos.qty*this.cfg.contractSize}computeStats(){let e=this.trades,n=this.cfg.initialCapital,r=0,i=0,s=0,o=0,a=0,l=0,u=0,c=0,m=0,d=0,f=0,g=0,p=0,k=0,M=0,D=0,v=0,Z=0,ee=0,ae=0,H=0,G=0,W=0,V=0,Ae=0,en=0,st=0,tn=0;for(let x of e)x.pnl>0?(r+=x.pnl,s++,c+=x.bars,f++,g=0,x.pnl>l&&(l=x.pnl)):x.pnl<0?(i+=x.pnl,o++,m+=x.bars,g++,f=0,x.pnl<u&&(u=x.pnl)):(a++,f=0,g=0),f>p&&(p=f),g>k&&(k=g),d+=x.bars,ee+=x.maeAbs,ae+=x.mfeAbs,st+=x.commission,tn+=x.pnlGross,x.realizedR!==void 0&&(M+=x.realizedR,D++),x.efficiency!==void 0&&(v+=x.efficiency,Z++),x.side==="long"?(H++,Ae+=x.pnl,x.pnl>0&&W++):(G++,en+=x.pnl,x.pnl>0&&V++);let ot=this.maxDdAbs,at=this.maxDdPct,Xr=this.ulcerSum,nn=this.lastEquity??n,lt=nn-n,Qr=n>0?lt/n:0,We=s?r/s:0,Se=o?i/o:0,ut=e.length?s/e.length:0,rn=e.map(x=>x.pnl),ct=this.runYears();return{netPnl:lt,grossProfit:r,grossLoss:i,profitFactor:i===0?r>0?1/0:0:r/-i,totalTrades:e.length,wins:s,losses:o,winRate:ut,avgWin:We,avgLoss:Se,expectancy:e.length?(r+i)/e.length:0,maxDrawdown:ot,maxDrawdownPct:at,sharpe:this.sharpe(),returnPct:Qr,exposure:this.barCount?this.barsInPositionTotal()/this.barCount:0,finalEquity:nn,largestWin:l,largestLoss:u,medianPnl:Uo(rn),payoffRatio:Se!==0?We/Math.abs(Se):We>0?1/0:0,breakEvens:a,maxWinStreak:p,maxLossStreak:k,currentStreak:f>0?f:-g,avgBarsHeld:e.length?d/e.length:0,avgWinBarsHeld:s?c/s:0,avgLossBarsHeld:o?m/o:0,totalBars:this.barCount,sortino:this.sortino(),calmar:at>0&&ct>0?this.cagr(ct)/at:0,recoveryFactor:ot>0?lt/ot:0,ulcerIndex:this.equityCount?Math.sqrt(Xr/this.equityCount):0,sqn:Yo(rn),kelly:Se!==0?ut-(1-ut)/(We/Math.abs(Se)):0,cagr:this.cagr(ct),tradesWithRisk:D,avgR:D?M/D:0,totalR:M,avgEfficiency:Z?v/Z:0,avgMae:e.length?ee/e.length:0,avgMfe:e.length?ae/e.length:0,longTrades:H,shortTrades:G,longWinRate:H?W/H:0,shortWinRate:G?V/G:0,longPnl:Ae,shortPnl:en,totalFees:st,totalCommission:st,totalSlippage:this.slippagePaid,grossPnlBeforeCosts:tn,intrabarBars:this.intrabarBars,intrabarFallbacks:this.intrabarFallbacks,ambiguousExits:this.ambiguousExits}}runYears(){if(this.equityCount<2||this.firstTs===null)return 0;let e=this.lastTs-this.firstTs;return e>0n?Number(e)/31536e12:0}cagr(e){let n=this.cfg.initialCapital;if(e<=0||n<=0)return 0;let r=this.lastEquity??n;return r<=0?-1:Math.pow(r/n,1/e)-1}sortino(){if(this.retN<2||this.barNs<=0n||!this.downCount)return 0;let e=Math.sqrt(this.downSum/this.downCount);if(e===0)return 0;let n=Number(31536000000000000n/this.barNs);return this.retMean/e*Math.sqrt(n)}barsInPositionTotal(){let e=0;for(let n of this.trades)e+=n.bars;return this.pos&&(e+=this.barsInPosition),e}sharpe(){if(this.equityCount<3||this.barNs<=0n||this.retN<2)return 0;let e=Math.sqrt(this.retM2/(this.retN-1));if(e===0)return 0;let n=Number(31536000000000000n/this.barNs);return this.retMean/e*Math.sqrt(n)}};function it(t){if("values"in t)return t.values;let{from:e,to:n,step:r}=t;if(!isFinite(e)||!isFinite(n))return[];let i=r>0?r:0;if(i===0||e===n)return[e];let s=Math.min(e,n),o=Math.max(e,n),a=[],l=Math.floor((o-s)/i+1e-9)+1,u=(String(i).split(".")[1]??"").length;for(let c=0;c<l;c++)a.push(Number((s+c*i).toFixed(u)));return a}function Br(t){let e=t.filter(r=>it(r).length>0);if(!e.length)return[{}];let n=[{}];for(let r of e){let i=it(r),s=[];for(let o of n)for(let a of i)s.push({...o,[r.param]:a});if(n=s,n.length>2e4)return n.slice(0,20001)}return n}function zr(t,e){let n=t*e,r={combos:t,bars:e,iterations:n,ok:!0};return t>2e4?{...r,ok:!1,reason:`${t.toLocaleString()} combinations is past the limit of ${2e4.toLocaleString()}. Widen the step, or sweep fewer parameters at once.`}:n>2e8?{...r,ok:!1,reason:`${t.toLocaleString()} combinations over ${e.toLocaleString()} bars is ${n.toLocaleString()} bar evaluations, past what this browser will run (${2e8.toLocaleString()}). Shorten the range, widen the step, or sweep fewer parameters.`}:r}function $r(t,e){if(!e||e<=0||e>=.9||t<100)return null;let n=Math.floor(t*(1-e));return n<50||t-n<50?null:n}function Go(t,e){let n=0,r=t.length;for(;n<r;){let i=n+r>>>1;t[i].ts<e?n=i+1:r=i}return n}function jo(t,e){let n=0,r=t.length;for(;n<r;){let i=n+r>>>1;t[i].ts<=e?n=i+1:r=i}return n}function _r(t,e){let n=t.length;if(!n)return{from:0,to:0,count:0,total:0,firstTs:null,lastTs:null,dataFromNs:null,dataToNs:null};let r=e?.fromNs!=null?Go(t,e.fromNs):0,i=e?.toNs!=null?jo(t,e.toNs):n,s=Math.min(r,n),o=Math.max(s,Math.min(i,n));return{from:s,to:o,count:o-s,total:n,firstTs:o>s?t[s]?.ts??null:null,lastTs:o>s?t[o-1]?.ts??null:null,dataFromNs:t[0]?.ts??null,dataToNs:t[n-1]?.ts??null}}function Zr(t){return!!t&&(t.fromNs!=null||t.toNs!=null)}function Ur(t,e){return t.total?e?.fromNs!=null&&e?.toNs!=null&&e.fromNs>e.toNs?"The start of the range is after its end.":`No bars fall inside the selected range. The loaded data holds ${t.total.toLocaleString()} bars outside it.`:"No bars are loaded for this symbol and timeframe."}function Yr(t,e){let n=Math.floor(e.windows),r=Math.max(1,Math.floor(e.isMultiple));if(n<1||t<200)return[];let i=Math.floor(t/(n+r)),s=i*r;if(i<50||s<50)return[];let o=[];for(let a=0;a<n;a++){let l=a*i+s,u=l+i;if(u>t)break;o.push({index:a,isFrom:e.anchored?0:a*i,isTo:l,oosFrom:l,oosTo:u})}return o}function Hr(t){let e=0,n=0,r=0,i=0;for(let a of t)e+=a.inSample.netPnl,n+=a.window.isTo-a.window.isFrom,r+=a.outOfSample.netPnl,i+=a.window.oosTo-a.window.oosFrom;if(!n||!i)return 0;let s=e/n,o=r/i;return s<=0?0:o/s}function Gr(t){if(!t.length)return[];let e=new Set;for(let r of t)for(let i of Object.keys(r.params))e.add(i);let n=[];for(let r of e){let i=[];for(let l of t){let u=l.params[r];typeof u=="number"&&Number.isFinite(u)&&i.push(u)}if(i.length<2)continue;let s=0;for(let l of i)s+=l;s/=i.length;let o=0;for(let l of i)o+=(l-s)*(l-s);let a=Math.sqrt(o/i.length);n.push({param:r,values:i,distinct:new Set(i).size,coefficientOfVariation:s!==0?a/Math.abs(s):a===0?0:1/0})}return n}function jr(t,e,n=!0){let r=null,i=n?-1/0:1/0;for(let s of t){let o=e(s);o===void 0||!Number.isFinite(o)||(n?o>i:o<i)&&(i=o,r=s)}return r}function Jr(t){let e={...Xt,Math,console,plugin:t.plugin};for(let[n,r]of Object.entries(oe))e[n]=r;if(t.shadowNetwork&&(e.fetch=void 0,e.XMLHttpRequest=void 0,e.WebSocket=void 0,e.importScripts=void 0),t.extra)for(let[n,r]of Object.entries(t.extra))e[n]=r;return e}function Jo(t,e){let n=Jr(e),r=Object.keys(n);new Function(...r,`"use strict";
+${t}`)(...r.map(i=>n[i]))}function Xo(t,e){let n=t;if(!n)return[];if(e==="pane"){let s=(n.equity??[]).map(o=>({t:o.ts,price:o.equity}));return s.length?[oe.drawLine(s,"#38bdf8",1.5,[],!0)]:[]}let r=[],i=n.trades??[];for(let s of i){let o=s.side==="long";r.push(oe.drawArrow(s.entryTs,s.entryPrice,o?"up":"down",o?"#22c55e":"#ef4444",9)),r.push(oe.drawArrow(s.exitTs,s.exitPrice,o?"down":"up",s.pnl>=0?"#22c55e":"#ef4444",7))}return r}var Qo=(()=>{let t=Object.keys(oe).sort().join(","),e=2166136261;for(let n=0;n<t.length;n++)e^=t.charCodeAt(n),e=Math.imul(e,16777619);return(e>>>0).toString(16).padStart(8,"0")})();0&&(module.exports={DEFAULT_STRATEGY_CONFIG,DataLevel,ExitReason,Layout,PluginType,SCRIPT_DSL,STDLIB,STDLIB_SIGNATURE,StrategyEngine,axisValues,buildScriptScope,checkSweepBudget,clipRange,defaultStrategyDraw,emptyRangeReason,evalScriptInScope,expandGrid,hasRange,parameterStability,pickBest,planWalkForward,reconcileIntrabar,splitIndex,walkForwardEfficiency});