@hoox-sh/pynets 0.3.0 → 0.4.0

package/src/runtime/compile/strategy.ts

@@ -6,15 +6,19 @@
  * Injected as `__h.strategy`. Wraps StrategyBook (fills + ledger + risk).
  */
 import {
+  isStrategyCashAmount,
+  strategyCashAmount,
   StrategyBook,
   type BarOhlc,
   type BrokerSettings,
   type PlaceEntryOpts,
   type PlaceExitOpts,
+  type StrategyCashAmount,
   type StrategyDirection,
   type StrategyEvent,
   type StrategySummary,
 } from "../strategy.ts";
+import { naNum } from "./helpers.ts";
 
 function asDir(v: unknown): StrategyDirection | number | string {
   if (v == null) return "long";
@@ -92,9 +96,13 @@ export class CompileStrategy {
     if (ml != null) broker.margin_long = ml;
     const ms = optNum(rec.margin_short);
     if (ms != null) broker.margin_short = ms;
-    if (typeof rec.default_qty_type === "string") broker.default_qty_type = rec.default_qty_type;
+    // String sentinel or tagged free-cash (`strategy.cash`) both select cash sizing.
+    if (typeof rec.default_qty_type === "string" || isStrategyCashAmount(rec.default_qty_type)) {
+      broker.default_qty_type = rec.default_qty_type;
+    }
     const dqv = optNum(rec.default_qty_value);
     if (dqv != null) broker.default_qty_value = dqv;
+    if (typeof rec.currency === "string" && rec.currency !== "") broker.currency = rec.currency;
     if (Object.keys(broker).length) this.book.configure(broker);
     const capital = optNum(rec.initial_capital);
     if (capital != null) this.book.initialCapital = capital;
@@ -212,6 +220,250 @@ export class CompileStrategy {
     return this.book.initialCapital;
   }
 
+  /** Free cash tagged so `default_qty_type=strategy.cash` still selects cash sizing. */
+  cash(): StrategyCashAmount {
+    return strategyCashAmount(this.book.cash(this.mark));
+  }
+
+  position_entry_name(): string {
+    return this.book.position_entry_name;
+  }
+
+  account_currency(): string {
+    return this.book.account_currency;
+  }
+
+  /** Zero-arg form is `percent_equity=100` (interpret `strategy.default_entry_qty`). */
+  default_entry_qty(percent?: unknown): number | null {
+    const pct = arguments.length === 0 || percent === undefined ? 100 : naNum(percent);
+    if (pct == null) return null;
+    return (this.book.initialCapital * (pct / 100)) / 100;
+  }
+
+  /** Identity FX stub. Missing arg → 1; na / non-finite → na. */
+  convert_to(value?: unknown): number | null {
+    if (arguments.length === 0 || value === undefined) return 1;
+    return naNum(value);
+  }
+
+  max_contracts_held_all(): number {
+    return this.book.maxContractsHeldAll();
+  }
+
+  max_contracts_held_long(): number {
+    return this.book.maxContractsHeldLong();
+  }
+
+  max_contracts_held_short(): number {
+    return this.book.maxContractsHeldShort();
+  }
+
+  capital_held(): number {
+    return this.book.capitalHeld();
+  }
+
+  closedtrades_first_index(): number {
+    return this.book.closedtrades_first_index;
+  }
+
+  wintrades(): number {
+    return this.book.wintrades;
+  }
+
+  losstrades(): number {
+    return this.book.losstrades;
+  }
+
+  eventrades(): number {
+    return this.book.eventrades;
+  }
+
+  grossprofit(): number {
+    return this.book.grossprofit;
+  }
+
+  grossloss(): number {
+    return this.book.grossloss;
+  }
+
+  avg_trade(): number {
+    return this.book.avgTrade();
+  }
+
+  avg_winning_trade(): number {
+    return this.book.avgWinningTrade();
+  }
+
+  avg_losing_trade(): number {
+    return this.book.avgLosingTrade();
+  }
+
+  netprofit_percent(): number {
+    return this.book.netprofitPercent(this.mark);
+  }
+
+  openprofit_percent(): number {
+    return this.book.openprofitPercent(this.mark);
+  }
+
+  grossprofit_percent(): number {
+    return this.book.grossprofitPercent();
+  }
+
+  grossloss_percent(): number {
+    return this.book.grosslossPercent();
+  }
+
+  avg_trade_percent(): number {
+    return this.book.avgTradePercent();
+  }
+
+  avg_winning_trade_percent(): number {
+    return this.book.avgWinningTradePercent();
+  }
+
+  avg_losing_trade_percent(): number {
+    return this.book.avgLosingTradePercent();
+  }
+
+  max_drawdown(): number {
+    return this.book.maxDrawdown();
+  }
+
+  max_drawdown_percent(): number {
+    return this.book.maxDrawdownPercent();
+  }
+
+  max_runup(): number {
+    return this.book.maxRunup();
+  }
+
+  max_runup_percent(): number {
+    return this.book.maxRunupPercent();
+  }
+
+  percent_profitable(): number {
+    return this.book.percentProfitable();
+  }
+
+  winrate(): number {
+    return this.book.percentProfitable();
+  }
+
+  profitfactor(): number {
+    return this.book.profitFactor();
+  }
+
+  profit_factor(): number {
+    return this.book.profitFactor();
+  }
+
+  closedtrades_entry_bar_index(i?: unknown): number {
+    return this.book.closedEntryBar(this.idx(i)) ?? 0;
+  }
+
+  closedtrades_entry_price(i?: unknown): number {
+    return this.book.closedEntryPrice(this.idx(i)) ?? 0;
+  }
+
+  closedtrades_exit_bar_index(i?: unknown): number {
+    return this.book.closedExitBar(this.idx(i)) ?? 0;
+  }
+
+  closedtrades_exit_price(i?: unknown): number {
+    return this.book.closedExitPrice(this.idx(i)) ?? 0;
+  }
+
+  closedtrades_profit(i?: unknown): number {
+    return this.book.closedProfit(this.idx(i)) ?? 0;
+  }
+
+  closedtrades_size(i?: unknown): number {
+    return this.book.closedSize(this.idx(i)) ?? 0;
+  }
+
+  closedtrades_entry_id(i?: unknown): string {
+    return this.book.closedId(this.idx(i)) ?? "";
+  }
+
+  closedtrades_exit_id(i?: unknown): string {
+    return this.book.closedId(this.idx(i)) ?? "";
+  }
+
+  closedtrades_commission(i?: unknown): number {
+    return this.book.closedCommission(this.idx(i)) ?? 0;
+  }
+
+  closedtrades_entry_time(i?: unknown): number {
+    return this.book.closedEntryTime(this.idx(i));
+  }
+
+  closedtrades_exit_time(i?: unknown): number {
+    return this.book.closedExitTime(this.idx(i));
+  }
+
+  closedtrades_entry_comment(i?: unknown): string {
+    return this.book.closedEntryComment(this.idx(i));
+  }
+
+  closedtrades_exit_comment(i?: unknown): string {
+    return this.book.closedExitComment(this.idx(i));
+  }
+
+  closedtrades_max_drawdown(i?: unknown): number {
+    return this.book.closedMaxDrawdown(this.idx(i));
+  }
+
+  closedtrades_max_runup(i?: unknown): number {
+    return this.book.closedMaxRunup(this.idx(i));
+  }
+
+  opentrades_entry_bar_index(i?: unknown): number {
+    return this.book.openEntryBar(this.idx(i)) ?? 0;
+  }
+
+  opentrades_entry_price(i?: unknown): number {
+    return this.book.openEntryPrice(this.idx(i)) ?? 0;
+  }
+
+  opentrades_size(i?: unknown): number {
+    return this.book.openSize(this.idx(i)) ?? 0;
+  }
+
+  opentrades_entry_id(i?: unknown): string {
+    return this.book.openId(this.idx(i)) ?? "";
+  }
+
+  opentrades_profit(i?: unknown): number {
+    return this.book.openProfit(this.idx(i), this.mark) ?? 0;
+  }
+
+  opentrades_entry_time(i?: unknown): number {
+    return this.book.openEntryTime(this.idx(i));
+  }
+
+  opentrades_entry_comment(i?: unknown): string {
+    return this.book.openEntryComment(this.idx(i));
+  }
+
+  opentrades_commission(i?: unknown): number {
+    return this.book.openCommission(this.idx(i));
+  }
+
+  opentrades_max_drawdown(i?: unknown): number {
+    return this.book.openMaxDrawdown(this.idx(i));
+  }
+
+  opentrades_max_runup(i?: unknown): number {
+    return this.book.openMaxRunup(this.idx(i));
+  }
+
+  private idx(i: unknown): number {
+    if (typeof i === "boolean") return i ? 1 : 0;
+    if (typeof i === "number" && Number.isFinite(i)) return Math.trunc(i);
+    return 0;
+  }
+
   risk_allow_entry_in(value?: unknown): void {
     this.book.riskAllowEntryIn(value);
   }

package/src/runtime/interpret.ts

@@ -3951,6 +3951,157 @@ function evalExtraTa(fname: string | null, node: Call, env: Env, site: string):
     const z = env.ta.zigzag(site, srcArg(node, env), th);
     return tupleOf([z.high, z.low, z.dir]);
   }
+  // wave10a-start
+  const wave10aArg = (index: number, names: string[], message: string): expr => {
+    const arg = callArg(node.args, index, names);
+    if (arg == null) runtimeError(message);
+    return arg;
+  };
+  if (fname === "ta.hammer" || fname === "hammer") {
+    const msg = "ta.hammer() requires 4 arguments: open, high, low, close";
+    return env.ta.hammer(
+      unwrap(evalExpr(wave10aArg(0, ["open"], msg), env)),
+      unwrap(evalExpr(wave10aArg(1, ["high"], msg), env)),
+      unwrap(evalExpr(wave10aArg(2, ["low"], msg), env)),
+      unwrap(evalExpr(wave10aArg(3, ["close"], msg), env)),
+    );
+  }
+  if (fname === "ta.engulfing" || fname === "engulfing") {
+    const msg = "ta.engulfing() requires 4 arguments: open, high, low, close";
+    unwrap(evalExpr(wave10aArg(0, ["open"], msg), env));
+    unwrap(evalExpr(wave10aArg(1, ["high"], msg), env));
+    unwrap(evalExpr(wave10aArg(2, ["low"], msg), env));
+    unwrap(evalExpr(wave10aArg(3, ["close"], msg), env));
+    return env.ta.engulfing();
+  }
+  if (fname === "ta.gap_detector" || fname === "gap_detector") {
+    const msg = "ta.gap_detector() requires 3 arguments: high, low, prev_close";
+    return env.ta.gapDetector(
+      unwrap(evalExpr(wave10aArg(0, ["high"], msg), env)),
+      unwrap(evalExpr(wave10aArg(1, ["low"], msg), env)),
+      unwrap(evalExpr(wave10aArg(2, ["prev_close", "prev"], msg), env)),
+    );
+  }
+  if (fname === "ta.double_top_bottom" || fname === "double_top_bottom") {
+    const msg = "ta.double_top_bottom() requires 3 arguments";
+    unwrap(evalExpr(wave10aArg(0, ["high"], msg), env));
+    unwrap(evalExpr(wave10aArg(1, ["low"], msg), env));
+    return env.ta.doubleTopBottom(unwrap(evalExpr(wave10aArg(2, ["period", "length"], msg), env)));
+  }
+  if (fname === "ta.inside_bar_pattern" || fname === "inside_bar_pattern") {
+    const msg = "ta.inside_bar_pattern() requires 2 arguments";
+    unwrap(evalExpr(wave10aArg(0, ["high"], msg), env));
+    unwrap(evalExpr(wave10aArg(1, ["low"], msg), env));
+    return env.ta.insideBarPattern();
+  }
+  if (fname === "ta.macd_signal" || fname === "macd_signal") {
+    const msg = "ta.macd_signal() requires 2 arguments: macd_line, signal_line";
+    return env.ta.macdSignal(
+      unwrap(evalExpr(wave10aArg(0, ["macd_line", "macd"], msg), env)),
+      unwrap(evalExpr(wave10aArg(1, ["signal_line", "signal"], msg), env)),
+    );
+  }
+  if (fname === "ta.acceleration_factor" || fname === "acceleration_factor") {
+    const msg = "ta.acceleration_factor() requires 2 arguments";
+    return env.ta.accelerationFactor(
+      site,
+      unwrap(evalExpr(wave10aArg(0, ["momentum_list", "momentum", "source", "series"], msg), env)),
+      unwrap(evalExpr(wave10aArg(1, ["period", "length"], msg), env)),
+    );
+  }
+  if (fname === "ta.stoch_smooth" || fname === "stoch_smooth") {
+    const msg = "ta.stoch_smooth() requires 6 arguments: high, low, close, period, smooth_k, smooth_d";
+    return env.ta.stochSmooth(
+      unwrap(evalExpr(wave10aArg(0, ["high"], msg), env)),
+      unwrap(evalExpr(wave10aArg(1, ["low"], msg), env)),
+      unwrap(evalExpr(wave10aArg(2, ["close"], msg), env)),
+      unwrap(evalExpr(wave10aArg(3, ["period", "length"], msg), env)),
+      unwrap(evalExpr(wave10aArg(4, ["smooth_k", "k"], msg), env)),
+      unwrap(evalExpr(wave10aArg(5, ["smooth_d", "d"], msg), env)),
+    );
+  }
+  // wave10a-end
+  // wave10b-start
+  const wave10bList = (index: number, names: string[]): Array<number | null> => {
+    const raw = evalExpr(callArg(node.args, index, names), env);
+    const arr = asArray(raw);
+    if (arr == null) return [unwrap(raw)];
+    const out: Array<number | null> = [];
+    for (let i = 0; i < arr.size(); i++) out.push(arr.get(i));
+    return out;
+  };
+  if (fname === "ta.voi" || fname === "voi") {
+    return env.ta.voi(
+      unwrap(evalExpr(callArg(node.args, 0, ["buy_volume", "buy"]), env)),
+      unwrap(evalExpr(callArg(node.args, 1, ["sell_volume", "sell"]), env)),
+    );
+  }
+  if (fname === "ta.bid_ask_imbalance" || fname === "bid_ask_imbalance") {
+    return env.ta.bidAskImbalance(
+      unwrap(evalExpr(callArg(node.args, 0, ["bid_size", "bid"]), env)),
+      unwrap(evalExpr(callArg(node.args, 1, ["ask_size", "ask"]), env)),
+      unwrap(evalExpr(callArg(node.args, 2, ["bid_price"]), env)),
+      unwrap(evalExpr(callArg(node.args, 3, ["ask_price"]), env)),
+    );
+  }
+  if (fname === "ta.rsi_oversold_overbought" || fname === "rsi_oversold_overbought") {
+    const os = unwrap(evalExpr(callArg(node.args, 1, ["oversold_level", "oversold"]), env));
+    const ob = unwrap(evalExpr(callArg(node.args, 2, ["overbought_level", "overbought"]), env));
+    return env.ta.rsiOversoldOverbought(
+      unwrap(evalExpr(callArg(node.args, 0, ["rsi_series", "rsi", "source"]), env)),
+      os ?? Number.NaN,
+      ob ?? Number.NaN,
+    );
+  }
+  if (fname === "ta.rsi_divergence" || fname === "rsi_divergence") {
+    const period = unwrap(evalExpr(callArg(node.args, 1, ["period", "length"]), env));
+    return env.ta.rsiDivergence(wave10bList(0, ["rsi_series", "series", "source"]), period ?? 0);
+  }
+  if (fname === "ta.cumulative_delta" || fname === "cumulative_delta") {
+    const period = unwrap(evalExpr(callArg(node.args, 2, ["period", "length"]), env));
+    return env.ta.cumulativeDelta(
+      site,
+      unwrap(evalExpr(callArg(node.args, 0, ["close", "source"]), env)),
+      unwrap(evalExpr(callArg(node.args, 1, ["volume"]), env)),
+      period ?? 0,
+    );
+  }
+  if (fname === "ta.volume_momentum" || fname === "volume_momentum") {
+    const period = unwrap(evalExpr(callArg(node.args, 1, ["period", "length"]), env));
+    return env.ta.volumeMomentum(
+      site,
+      unwrap(evalExpr(callArg(node.args, 0, ["volume", "source"]), env)),
+      period ?? 0,
+    );
+  }
+  if (fname === "ta.volume_profile_high" || fname === "volume_profile_high") {
+    return env.ta.volumeProfileHigh(
+      wave10bList(0, ["close", "price", "source", "series"]),
+      wave10bList(1, ["volume"]),
+    );
+  }
+  if (fname === "ta.volume_profile_low" || fname === "volume_profile_low") {
+    const period = unwrap(evalExpr(callArg(node.args, 2, ["period", "length"]), env));
+    const levels = unwrap(evalExpr(callArg(node.args, 3, ["levels"]), env));
+    return env.ta.volumeProfileLow(
+      site,
+      unwrap(evalExpr(callArg(node.args, 0, ["close", "source"]), env)),
+      unwrap(evalExpr(callArg(node.args, 1, ["volume"]), env)),
+      period ?? 0,
+      levels ?? 0,
+    );
+  }
+  if (fname === "ta.volume_thrust" || fname === "volume_thrust") {
+    const sens = unwrap(evalExpr(callArg(node.args, 3, ["sensitivity"]), env));
+    return env.ta.volumeThrust(
+      site,
+      unwrap(evalExpr(callArg(node.args, 0, ["close", "source"]), env)),
+      unwrap(evalExpr(callArg(node.args, 1, ["volume"]), env)),
+      unwrap(evalExpr(callArg(node.args, 2, ["volume_sma", "vol_sma", "sma"]), env)),
+      sens ?? 0.3,
+    );
+  }
+  // wave10b-end
   return undefined;
 }