@insiderfinance/totalfinance 0.1.0

package/modules/backtest/dist/cross-sectional/validate.js

@@ -0,0 +1,489 @@
+/**
+ * The closed guard for `crossSectionalBacktest` (Stage 4.6, FC8 Decision 4): every field of the
+ * request is validated before a single session runs — unknown keys, `null` where omission is
+ * meant, wrong types, invalid enums, non-finite numbers, undeclared fields, a signal that is not
+ * exactly one of its four forms, a construction whose members contradict each other. Research owns
+ * the observation, return, filter, and universe validators; the guard calls them.
+ */
+import { ErrorCode, InputError, ensureKnownKeys, requireArgumentObject } from '../../../core/dist/index.js';
+import { requireFieldDefinitions, requireReturnObservations, requireScreenFilter, requireUniverseHistory, requireUniverseObservations, } from '../../../research/dist/index.js';
+import { hasOwn, requireExecutionPolicy, requireLabeledModel } from '../execution/validate.js';
+/** Decision 9: rows one run may read; larger inputs travel by handle to the job runner. */
+export const CROSS_SECTIONAL_ROW_CEILING = 5_000_000;
+/** Decision 9: open positions one construction may hold. */
+export const CROSS_SECTIONAL_POSITION_CEILING = 50_000;
+const REQUEST_KEYS = [
+    'dataset',
+    'universeHistory',
+    'signal',
+    'rebalanceSchedule',
+    'portfolioConstruction',
+    'execution',
+    'transactionCostModel',
+    'initialCapital',
+    'baseCurrency',
+    'window',
+    'periodsPerYear',
+    'riskFreeRate',
+    'seed',
+];
+const DATASET_KEYS = [
+    'observations',
+    'fieldDefinitions',
+    'returns',
+    'benchmarkReturns',
+    'groups',
+    'sizeField',
+    'classification',
+    'averageDailyVolumes',
+    'betas',
+];
+const SCHEDULE_KEYS = ['frequency', 'session', 'bufferBand'];
+const FREQUENCIES = ['daily', 'weekly', 'monthly', 'quarterly'];
+const CONSTRUCTION_KEYS = [
+    'method',
+    'long',
+    'short',
+    'neutrality',
+    'neutralizeAgainst',
+    'maximumPositions',
+    'maximumPositionWeight',
+    'minimumPositionWeight',
+    'maximumTurnover',
+    'maximumParticipation',
+    'volatilityLookbackSessions',
+    'suppliedWeights',
+];
+const METHODS = [
+    'equal-weight',
+    'score-weight',
+    'inverse-volatility',
+    'risk-budget',
+    'supplied-weights',
+];
+const NEUTRALITIES = ['none', 'dollar', 'sector', 'beta', 'factor'];
+const RECIPE_KEYS = [
+    'recipeName',
+    'recipeVersion',
+    'disclosure',
+    'direction',
+    'features',
+    'lagTradingSessions',
+    'neutralization',
+    'missingValuePolicy',
+];
+const EXAMPLE = "crossSectionalBacktest({ dataset: { observations, fieldDefinitions, returns }, universeHistory, signal: { factorRecipe: CANONICAL_FACTOR_RECIPES.value }, rebalanceSchedule: { frequency: 'monthly', session: 'close' }, portfolioConstruction: { method: 'equal-weight', long: { topQuantile: 0.2 } } })";
+function refuse(functionName, field, message, code = ErrorCode.InputOutOfRange) {
+    throw new InputError(`${functionName}: ${field} ${message}`, {
+        code,
+        context: { function: functionName, field },
+    });
+}
+function finiteNumber(functionName, field, value) {
+    if (typeof value !== 'number') {
+        refuse(functionName, field, `must be a finite number. Received ${value === null ? 'null' : typeof value}.`, ErrorCode.InputWrongType);
+    }
+    if (!Number.isFinite(value))
+        refuse(functionName, field, `must be finite. Received ${String(value)}.`, ErrorCode.InputNotFinite);
+    return value;
+}
+function safeInteger(functionName, field, value, minimum, maximum) {
+    if (!Number.isSafeInteger(value) || value < minimum || value > maximum) {
+        refuse(functionName, field, `must be an integer in [${minimum}, ${maximum}]. Received ${value === null ? 'null' : String(value)}.`);
+    }
+    return value;
+}
+function enumValue(functionName, field, value, allowed) {
+    if (!allowed.includes(value)) {
+        refuse(functionName, field, `must be one of ${allowed.map((v) => `'${v}'`).join(' | ')}. Received ${value === null ? 'null' : JSON.stringify(value)}.`, ErrorCode.InputInvalidEnum);
+    }
+    return value;
+}
+function nonEmptyString(functionName, field, value) {
+    if (typeof value !== 'string' || value.length === 0) {
+        refuse(functionName, field, `must be a non-empty string. Received ${value === null ? 'null' : typeof value}.`, ErrorCode.InputWrongType);
+    }
+    return value;
+}
+function presentNotNull(functionName, record, key, field) {
+    if (!hasOwn(record, key))
+        return false;
+    if (record[key] === null) {
+        refuse(functionName, field, 'is null — omit the field to leave it unset; null is not a value here.', ErrorCode.InputWrongType);
+    }
+    return true;
+}
+function requireNumericField(functionName, field, name, definitions) {
+    const fieldName = nonEmptyString(functionName, field, name);
+    const definition = definitions.get(fieldName);
+    if (definition === undefined) {
+        refuse(functionName, field, `names '${fieldName}', which is not a declared field. Declared: ${[...definitions.keys()].slice(0, 8).join(', ')}.`, ErrorCode.InputUnknownField);
+    }
+    if (definition.kind !== 'numeric') {
+        refuse(functionName, field, `names '${fieldName}', a ${definition.kind} field — a signal feature must be numeric.`);
+    }
+    return fieldName;
+}
+function requireFiniteRecord(functionName, field, value, options = {}) {
+    requireArgumentObject(functionName, field, value);
+    for (const [key, entry] of Object.entries(value)) {
+        nonEmptyString(functionName, `${field} key`, key);
+        const n = finiteNumber(functionName, `${field}.${key}`, entry);
+        if (options.nonNegative && n < 0)
+            refuse(functionName, `${field}.${key}`, `must be ≥ 0. Received ${n}.`);
+    }
+}
+// ---------------------------------------------------------------------------------------------------
+// Pieces
+// ---------------------------------------------------------------------------------------------------
+export function requireCrossSectionalDataset(functionName, label, value) {
+    requireArgumentObject(functionName, label, value);
+    ensureKnownKeys(functionName, label, value, DATASET_KEYS);
+    const dataset = value;
+    const definitions = requireFieldDefinitions(functionName, dataset['fieldDefinitions']);
+    if (!Array.isArray(dataset['observations'])) {
+        refuse(functionName, `${label}.observations`, 'must be an array of universe observations (it may be empty for a callback signal).', ErrorCode.InputWrongType);
+    }
+    if (dataset['observations'].length > 0) {
+        requireUniverseObservations(functionName, dataset['observations'], definitions);
+    }
+    requireReturnObservations(functionName, `${label}.returns`, dataset['returns']);
+    const rows = dataset['observations'].length + dataset['returns'].length;
+    if (rows > CROSS_SECTIONAL_ROW_CEILING) {
+        throw new InputError(`${functionName}: ${label} carries ${rows.toLocaleString('en-US')} rows (observations + returns), above the ${CROSS_SECTIONAL_ROW_CEILING.toLocaleString('en-US')}-row ceiling one run may read; split the run or hand the rows to the job runner by handle.`, {
+            code: ErrorCode.BacktestInputTooLarge,
+            context: { function: functionName, field: label, rows },
+        });
+    }
+    if (presentNotNull(functionName, dataset, 'benchmarkReturns', `${label}.benchmarkReturns`)) {
+        requireReturnObservations(functionName, `${label}.benchmarkReturns`, dataset['benchmarkReturns']);
+        const ids = new Set(dataset['benchmarkReturns'].map((r) => r.instrumentId));
+        if (ids.size !== 1) {
+            refuse(functionName, `${label}.benchmarkReturns`, `must carry exactly one instrumentId (the benchmark); received ${ids.size}.`);
+        }
+    }
+    if (presentNotNull(functionName, dataset, 'groups', `${label}.groups`)) {
+        requireArgumentObject(functionName, `${label}.groups`, dataset['groups']);
+        for (const [key, group] of Object.entries(dataset['groups'])) {
+            nonEmptyString(functionName, `${label}.groups.${key}`, group);
+        }
+    }
+    if (presentNotNull(functionName, dataset, 'sizeField', `${label}.sizeField`)) {
+        requireNumericField(functionName, `${label}.sizeField`, dataset['sizeField'], definitions);
+    }
+    if (presentNotNull(functionName, dataset, 'classification', `${label}.classification`)) {
+        requireArgumentObject(functionName, `${label}.classification`, dataset['classification']);
+        for (const [key, entry] of Object.entries(dataset['classification'])) {
+            requireArgumentObject(functionName, `${label}.classification.${key}`, entry);
+            ensureKnownKeys(functionName, `${label}.classification.${key}`, entry, [
+                'underlying',
+                'assetClass',
+                'strategy',
+                'tags',
+            ]);
+        }
+    }
+    if (presentNotNull(functionName, dataset, 'averageDailyVolumes', `${label}.averageDailyVolumes`)) {
+        requireFiniteRecord(functionName, `${label}.averageDailyVolumes`, dataset['averageDailyVolumes'], { nonNegative: true });
+    }
+    if (presentNotNull(functionName, dataset, 'betas', `${label}.betas`)) {
+        requireFiniteRecord(functionName, `${label}.betas`, dataset['betas']);
+    }
+}
+export function requireCrossSectionalSignal(functionName, label, value, definitions) {
+    requireArgumentObject(functionName, label, value);
+    const signal = value;
+    const forms = ['factorRecipe', 'score', 'screen', 'callback'];
+    ensureKnownKeys(functionName, label, signal, forms);
+    const present = forms.filter((form) => hasOwn(signal, form));
+    if (present.length !== 1) {
+        refuse(functionName, label, `must be exactly one of { factorRecipe } | { score } | { screen } | { callback }; received ${present.length === 0 ? 'none' : present.join(' + ')}.\n  e.g. ${EXAMPLE}`, ErrorCode.InputMissingField);
+    }
+    const form = present[0];
+    const body = signal[form];
+    if (form === 'callback') {
+        if (typeof body !== 'function')
+            refuse(functionName, `${label}.callback`, 'must be a function (context) → SignalRow[].', ErrorCode.InputWrongType);
+        return;
+    }
+    requireArgumentObject(functionName, `${label}.${form}`, body);
+    const record = body;
+    if (form === 'factorRecipe') {
+        ensureKnownKeys(functionName, `${label}.factorRecipe`, record, RECIPE_KEYS);
+        nonEmptyString(functionName, `${label}.factorRecipe.recipeName`, record['recipeName']);
+        safeInteger(functionName, `${label}.factorRecipe.recipeVersion`, record['recipeVersion'], 1, 1_000_000);
+        nonEmptyString(functionName, `${label}.factorRecipe.disclosure`, record['disclosure']);
+        enumValue(functionName, `${label}.factorRecipe.direction`, record['direction'], [
+            'higher-is-better',
+            'lower-is-better',
+        ]);
+        if (!Array.isArray(record['features']) || record['features'].length === 0) {
+            refuse(functionName, `${label}.factorRecipe.features`, 'must be a non-empty array of { field, transform, weight }.', ErrorCode.InputWrongType);
+        }
+        record['features'].forEach((feature, index) => {
+            const path = `${label}.factorRecipe.features[${index}]`;
+            requireArgumentObject(functionName, path, feature);
+            ensureKnownKeys(functionName, path, feature, ['field', 'transform', 'weight']);
+            const f = feature;
+            requireNumericField(functionName, `${path}.field`, f['field'], definitions);
+            enumValue(functionName, `${path}.transform`, f['transform'], [
+                'raw',
+                'winsorize-then-z-score',
+                'percentile-rank',
+            ]);
+            const weight = finiteNumber(functionName, `${path}.weight`, f['weight']);
+            if (!(weight > 0))
+                refuse(functionName, `${path}.weight`, `must be > 0. Received ${weight}.`);
+        });
+        safeInteger(functionName, `${label}.factorRecipe.lagTradingSessions`, record['lagTradingSessions'], 0, 100_000);
+        enumValue(functionName, `${label}.factorRecipe.neutralization`, record['neutralization'], [
+            'none',
+            'sector',
+            'sector-and-size',
+        ]);
+        enumValue(functionName, `${label}.factorRecipe.missingValuePolicy`, record['missingValuePolicy'], ['exclude', 'renormalize-weights']);
+        return;
+    }
+    if (form === 'score') {
+        ensureKnownKeys(functionName, `${label}.score`, record, ['components', 'missingValuePolicy']);
+        if (!Array.isArray(record['components']) || record['components'].length === 0) {
+            refuse(functionName, `${label}.score.components`, 'must be a non-empty array of score components.', ErrorCode.InputWrongType);
+        }
+        record['components'].forEach((component, index) => {
+            const path = `${label}.score.components[${index}]`;
+            requireArgumentObject(functionName, path, component);
+            ensureKnownKeys(functionName, path, component, [
+                'field',
+                'weight',
+                'direction',
+                'standardization',
+            ]);
+            const c = component;
+            requireNumericField(functionName, `${path}.field`, c['field'], definitions);
+            const weight = finiteNumber(functionName, `${path}.weight`, c['weight']);
+            if (!(weight > 0))
+                refuse(functionName, `${path}.weight`, `must be > 0. Received ${weight}.`);
+            enumValue(functionName, `${path}.direction`, c['direction'], [
+                'higher-is-better',
+                'lower-is-better',
+            ]);
+            enumValue(functionName, `${path}.standardization`, c['standardization'], [
+                'z-score',
+                'percentile-rank',
+            ]);
+        });
+        enumValue(functionName, `${label}.score.missingValuePolicy`, record['missingValuePolicy'], [
+            'exclude',
+            'renormalize-weights',
+        ]);
+        return;
+    }
+    // screen
+    ensureKnownKeys(functionName, `${label}.screen`, record, [
+        'filter',
+        'orderBy',
+        'missingValuePolicy',
+    ]);
+    if (presentNotNull(functionName, record, 'filter', `${label}.screen.filter`)) {
+        requireScreenFilter(functionName, `${label}.screen.filter`, record['filter'], definitions);
+    }
+    if (!Array.isArray(record['orderBy']) || record['orderBy'].length === 0) {
+        refuse(functionName, `${label}.screen.orderBy`, 'must be a non-empty array of { field, direction } — the screen ranks by it, first key first.', ErrorCode.InputWrongType);
+    }
+    record['orderBy'].forEach((key, index) => {
+        const path = `${label}.screen.orderBy[${index}]`;
+        requireArgumentObject(functionName, path, key);
+        ensureKnownKeys(functionName, path, key, ['field', 'direction']);
+        const k = key;
+        const fieldName = nonEmptyString(functionName, `${path}.field`, k['field']);
+        if (!definitions.has(fieldName))
+            refuse(functionName, `${path}.field`, `names '${fieldName}', which is not a declared field.`, ErrorCode.InputUnknownField);
+        enumValue(functionName, `${path}.direction`, k['direction'], [
+            'ascending',
+            'descending',
+        ]);
+    });
+    enumValue(functionName, `${label}.screen.missingValuePolicy`, record['missingValuePolicy'], [
+        'exclude',
+        'evaluate-as-false',
+    ]);
+}
+export function requireRebalanceSchedule(functionName, label, value) {
+    requireArgumentObject(functionName, label, value);
+    ensureKnownKeys(functionName, label, value, SCHEDULE_KEYS);
+    const schedule = value;
+    enumValue(functionName, `${label}.frequency`, schedule['frequency'], FREQUENCIES);
+    enumValue(functionName, `${label}.session`, schedule['session'], ['open', 'close']);
+    if (presentNotNull(functionName, schedule, 'bufferBand', `${label}.bufferBand`)) {
+        const band = finiteNumber(functionName, `${label}.bufferBand`, schedule['bufferBand']);
+        if (band < 0 || band > 1)
+            refuse(functionName, `${label}.bufferBand`, `is a fraction of the selection threshold in [0, 1]. Received ${band}.`);
+    }
+}
+function requireSideSelection(functionName, field, value, quantileKey) {
+    requireArgumentObject(functionName, field, value);
+    const record = value;
+    ensureKnownKeys(functionName, field, record, [quantileKey, 'count', 'fraction']);
+    const keys = Object.keys(record);
+    if (keys.length !== 1) {
+        refuse(functionName, field, `must be exactly one of { ${quantileKey} } | { count } | { fraction }; received ${keys.length === 0 ? 'none' : keys.join(' + ')}.`, ErrorCode.InputMissingField);
+    }
+    const key = keys[0];
+    if (key === 'count')
+        safeInteger(functionName, `${field}.count`, record['count'], 1, CROSS_SECTIONAL_POSITION_CEILING);
+    else {
+        const fraction = finiteNumber(functionName, `${field}.${key}`, record[key]);
+        if (!(fraction > 0) || fraction > 1)
+            refuse(functionName, `${field}.${key}`, `is a fraction in (0, 1]. Received ${fraction}.`);
+    }
+}
+export function requirePortfolioConstruction(functionName, label, value, definitions, dataset) {
+    requireArgumentObject(functionName, label, value);
+    ensureKnownKeys(functionName, label, value, CONSTRUCTION_KEYS);
+    const construction = value;
+    const method = enumValue(functionName, `${label}.method`, construction['method'], METHODS);
+    requireSideSelection(functionName, `${label}.long`, construction['long'], 'topQuantile');
+    const hasShort = presentNotNull(functionName, construction, 'short', `${label}.short`);
+    if (hasShort)
+        requireSideSelection(functionName, `${label}.short`, construction['short'], 'bottomQuantile');
+    let neutrality = 'none';
+    if (presentNotNull(functionName, construction, 'neutrality', `${label}.neutrality`)) {
+        neutrality = enumValue(functionName, `${label}.neutrality`, construction['neutrality'], NEUTRALITIES);
+    }
+    if (neutrality !== 'none' && !hasShort) {
+        refuse(functionName, `${label}.neutrality`, `'${neutrality}' needs a short side — add ${label}.short or choose 'none'.`);
+    }
+    if (neutrality === 'sector' && dataset.groups === undefined) {
+        refuse(functionName, `${label}.neutrality`, "'sector' needs dataset.groups (instrumentId → group).", ErrorCode.InputMissingField);
+    }
+    if (neutrality === 'beta' && dataset.betas === undefined) {
+        refuse(functionName, `${label}.neutrality`, "'beta' needs dataset.betas (instrumentId → beta).", ErrorCode.InputMissingField);
+    }
+    if (presentNotNull(functionName, construction, 'neutralizeAgainst', `${label}.neutralizeAgainst`)) {
+        requireArgumentObject(functionName, `${label}.neutralizeAgainst`, construction['neutralizeAgainst']);
+        ensureKnownKeys(functionName, `${label}.neutralizeAgainst`, construction['neutralizeAgainst'], ['field']);
+        requireNumericField(functionName, `${label}.neutralizeAgainst.field`, construction['neutralizeAgainst']['field'], definitions);
+        if (neutrality !== 'factor')
+            refuse(functionName, `${label}.neutralizeAgainst`, "is given but neutrality is not 'factor'.");
+    }
+    else if (neutrality === 'factor') {
+        refuse(functionName, `${label}.neutralizeAgainst`, "is required for neutrality 'factor' — the declared numeric field the weights are residualized against.", ErrorCode.InputMissingField);
+    }
+    if (presentNotNull(functionName, construction, 'maximumPositions', `${label}.maximumPositions`)) {
+        safeInteger(functionName, `${label}.maximumPositions`, construction['maximumPositions'], 1, CROSS_SECTIONAL_POSITION_CEILING);
+    }
+    if (presentNotNull(functionName, construction, 'maximumPositionWeight', `${label}.maximumPositionWeight`)) {
+        const w = finiteNumber(functionName, `${label}.maximumPositionWeight`, construction['maximumPositionWeight']);
+        if (!(w > 0) || w > 1)
+            refuse(functionName, `${label}.maximumPositionWeight`, `is a fraction of net asset value in (0, 1]. Received ${w}.`);
+    }
+    if (presentNotNull(functionName, construction, 'minimumPositionWeight', `${label}.minimumPositionWeight`)) {
+        const w = finiteNumber(functionName, `${label}.minimumPositionWeight`, construction['minimumPositionWeight']);
+        if (w < 0 || w >= 1)
+            refuse(functionName, `${label}.minimumPositionWeight`, `is a fraction of net asset value in [0, 1). Received ${w}.`);
+    }
+    if (presentNotNull(functionName, construction, 'maximumTurnover', `${label}.maximumTurnover`)) {
+        const t = finiteNumber(functionName, `${label}.maximumTurnover`, construction['maximumTurnover']);
+        if (!(t > 0) || t > 4)
+            refuse(functionName, `${label}.maximumTurnover`, `is a fraction of net asset value traded per rebalance in (0, 4]. Received ${t}.`);
+    }
+    if (presentNotNull(functionName, construction, 'maximumParticipation', `${label}.maximumParticipation`)) {
+        const p = finiteNumber(functionName, `${label}.maximumParticipation`, construction['maximumParticipation']);
+        if (!(p > 0) || p > 1)
+            refuse(functionName, `${label}.maximumParticipation`, `is a fraction of average daily volume in (0, 1]. Received ${p}.`);
+        if (dataset.averageDailyVolumes === undefined) {
+            refuse(functionName, `${label}.maximumParticipation`, 'needs dataset.averageDailyVolumes.', ErrorCode.InputMissingField);
+        }
+    }
+    if (presentNotNull(functionName, construction, 'volatilityLookbackSessions', `${label}.volatilityLookbackSessions`)) {
+        safeInteger(functionName, `${label}.volatilityLookbackSessions`, construction['volatilityLookbackSessions'], 2, 5_000);
+    }
+    const hasSupplied = presentNotNull(functionName, construction, 'suppliedWeights', `${label}.suppliedWeights`);
+    if (hasSupplied && typeof construction['suppliedWeights'] !== 'function') {
+        refuse(functionName, `${label}.suppliedWeights`, 'must be a function (context) → Record<instrumentId, weight>.', ErrorCode.InputWrongType);
+    }
+    if (method === 'supplied-weights' && !hasSupplied) {
+        refuse(functionName, `${label}.suppliedWeights`, "is required for method 'supplied-weights'.", ErrorCode.InputMissingField);
+    }
+    if (method !== 'supplied-weights' && hasSupplied) {
+        refuse(functionName, `${label}.suppliedWeights`, `is given but method is '${method}' — choose 'supplied-weights' or omit it.`);
+    }
+}
+// ---------------------------------------------------------------------------------------------------
+// The request
+// ---------------------------------------------------------------------------------------------------
+/** Validate the whole request; returns the declared field definitions for the engine's reuse. */
+export function requireCrossSectionalBacktestRequest(functionName, label, value) {
+    requireArgumentObject(functionName, label, value);
+    ensureKnownKeys(functionName, label, value, REQUEST_KEYS);
+    const request = value;
+    requireCrossSectionalDataset(functionName, `${label}.dataset`, request['dataset']);
+    const dataset = request['dataset'];
+    const definitions = requireFieldDefinitions(functionName, dataset.fieldDefinitions);
+    requireUniverseHistory(functionName, `${label}.universeHistory`, request['universeHistory']);
+    requireCrossSectionalSignal(functionName, `${label}.signal`, request['signal'], definitions);
+    const signal = request['signal'];
+    if ('factorRecipe' in signal) {
+        const recipe = signal.factorRecipe;
+        if (recipe.neutralization !== 'none' && dataset.groups === undefined) {
+            refuse(functionName, `${label}.signal.factorRecipe.neutralization`, `'${recipe.neutralization}' needs dataset.groups (instrumentId → sector group).`, ErrorCode.InputMissingField);
+        }
+        if (recipe.neutralization === 'sector-and-size' && dataset.sizeField === undefined) {
+            refuse(functionName, `${label}.signal.factorRecipe.neutralization`, "'sector-and-size' needs dataset.sizeField (the declared numeric size field).", ErrorCode.InputMissingField);
+        }
+    }
+    requireRebalanceSchedule(functionName, `${label}.rebalanceSchedule`, request['rebalanceSchedule']);
+    requirePortfolioConstruction(functionName, `${label}.portfolioConstruction`, request['portfolioConstruction'], definitions, dataset);
+    if (presentNotNull(functionName, request, 'execution', `${label}.execution`)) {
+        requireExecutionPolicy(functionName, `${label}.execution`, request['execution']);
+    }
+    if (presentNotNull(functionName, request, 'transactionCostModel', `${label}.transactionCostModel`)) {
+        requireArgumentObject(functionName, `${label}.transactionCostModel`, request['transactionCostModel']);
+        const costs = request['transactionCostModel'];
+        ensureKnownKeys(functionName, `${label}.transactionCostModel`, costs, [
+            'commission',
+            'slippage',
+        ]);
+        if (presentNotNull(functionName, costs, 'commission', `${label}.transactionCostModel.commission`)) {
+            requireLabeledModel(functionName, `${label}.transactionCostModel.commission`, costs['commission'], 'commission');
+        }
+        if (presentNotNull(functionName, costs, 'slippage', `${label}.transactionCostModel.slippage`)) {
+            requireLabeledModel(functionName, `${label}.transactionCostModel.slippage`, costs['slippage'], 'fill');
+        }
+    }
+    if (presentNotNull(functionName, request, 'initialCapital', `${label}.initialCapital`)) {
+        const capital = finiteNumber(functionName, `${label}.initialCapital`, request['initialCapital']);
+        if (!(capital > 0))
+            refuse(functionName, `${label}.initialCapital`, `must be > 0. Received ${capital}.`);
+    }
+    if (presentNotNull(functionName, request, 'baseCurrency', `${label}.baseCurrency`)) {
+        const currency = nonEmptyString(functionName, `${label}.baseCurrency`, request['baseCurrency']);
+        if (!/^[A-Z]{3}$/.test(currency))
+            refuse(functionName, `${label}.baseCurrency`, `must be a three-letter ISO 4217 code. Received '${currency}'.`);
+    }
+    if (presentNotNull(functionName, request, 'window', `${label}.window`)) {
+        requireArgumentObject(functionName, `${label}.window`, request['window']);
+        const window = request['window'];
+        ensureKnownKeys(functionName, `${label}.window`, window, ['fromTimestampMs', 'toTimestampMs']);
+        let from;
+        let to;
+        if (presentNotNull(functionName, window, 'fromTimestampMs', `${label}.window.fromTimestampMs`))
+            from = finiteNumber(functionName, `${label}.window.fromTimestampMs`, window['fromTimestampMs']);
+        if (presentNotNull(functionName, window, 'toTimestampMs', `${label}.window.toTimestampMs`))
+            to = finiteNumber(functionName, `${label}.window.toTimestampMs`, window['toTimestampMs']);
+        if (from !== undefined && to !== undefined && to < from)
+            refuse(functionName, `${label}.window`, `ends (${to}) before it starts (${from}).`);
+    }
+    if (presentNotNull(functionName, request, 'periodsPerYear', `${label}.periodsPerYear`)) {
+        safeInteger(functionName, `${label}.periodsPerYear`, request['periodsPerYear'], 1, 100_000);
+    }
+    if (presentNotNull(functionName, request, 'riskFreeRate', `${label}.riskFreeRate`)) {
+        finiteNumber(functionName, `${label}.riskFreeRate`, request['riskFreeRate']);
+    }
+    if (presentNotNull(functionName, request, 'seed', `${label}.seed`)) {
+        safeInteger(functionName, `${label}.seed`, request['seed'], 0, Number.MAX_SAFE_INTEGER);
+    }
+    return definitions;
+}
+export { EXAMPLE as CROSS_SECTIONAL_EXAMPLE };
+//# sourceMappingURL=validate.js.map

package/modules/backtest/dist/cross-sectional/validate.js.map

@@ -0,0 +1 @@
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package/modules/backtest/dist/diagnostics.d.ts

@@ -0,0 +1,16 @@
+/**
+ * Shared implementation-risk diagnostics (spec §16.3).
+ *
+ * Backtests are models; this surfaces the data-quality assumptions a run silently relies on. The
+ * per-engine policy blocks and look-ahead checks live in the engines; this module supplies the
+ * **data-alignment** checks both engines fold into their warnings.
+ */
+import type { QuantWarning } from '../../core/dist/index.js';
+import type { Bar } from './types.js';
+/**
+ * Check that each symbol's bars are strictly time-ascending with finite positive prices. Returns
+ * structured warnings for out-of-order timestamps, duplicate timestamps, and non-finite/non-positive
+ * closes — the silent corruptions that make a backtest quietly wrong.
+ */
+export declare function checkDataAlignment(bars: Bar[]): QuantWarning[];
+//# sourceMappingURL=diagnostics.d.ts.map

package/modules/backtest/dist/diagnostics.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"diagnostics.d.ts","sourceRoot":"","sources":["../src/diagnostics.ts"],"names":[],"mappings":"AAAA;;;;;;GAMG;AAGH,OAAO,KAAK,EAAE,YAAY,EAAE,MAAM,0BAAoB,CAAC;AACvD,OAAO,KAAK,EAAE,GAAG,EAAE,MAAM,YAAY,CAAC;AAEtC;;;;GAIG;AACH,wBAAgB,kBAAkB,CAAC,IAAI,EAAE,GAAG,EAAE,GAAG,YAAY,EAAE,CAgD9D"}

package/modules/backtest/dist/diagnostics.js

@@ -0,0 +1,63 @@
+/**
+ * Shared implementation-risk diagnostics (spec §16.3).
+ *
+ * Backtests are models; this surfaces the data-quality assumptions a run silently relies on. The
+ * per-engine policy blocks and look-ahead checks live in the engines; this module supplies the
+ * **data-alignment** checks both engines fold into their warnings.
+ */
+import { requireArgumentArray, WarningCode } from '../../core/dist/index.js';
+/**
+ * Check that each symbol's bars are strictly time-ascending with finite positive prices. Returns
+ * structured warnings for out-of-order timestamps, duplicate timestamps, and non-finite/non-positive
+ * closes — the silent corruptions that make a backtest quietly wrong.
+ */
+export function checkDataAlignment(bars) {
+    requireArgumentArray('checkDataAlignment', 'bars', bars);
+    const warnings = [];
+    const lastTs = new Map();
+    let unsorted = 0;
+    let duplicates = 0;
+    let badPrice = 0;
+    for (const b of bars) {
+        const prev = lastTs.get(b.symbol);
+        if (prev !== undefined) {
+            if (b.timestampMs < prev)
+                unsorted++;
+            else if (b.timestampMs === prev)
+                duplicates++;
+        }
+        lastTs.set(b.symbol, b.timestampMs);
+        if (!(b.close > 0) ||
+            !Number.isFinite(b.open) ||
+            !Number.isFinite(b.high) ||
+            !Number.isFinite(b.low)) {
+            badPrice++;
+        }
+    }
+    if (unsorted > 0) {
+        warnings.push({
+            code: WarningCode.BacktestDataUnsorted,
+            message: `${unsorted} bar(s) are out of time order within their symbol; results may be misaligned.`,
+            severity: 'warn',
+            context: { count: unsorted },
+        });
+    }
+    if (duplicates > 0) {
+        warnings.push({
+            code: WarningCode.BacktestDataDuplicateTimestamp,
+            message: `${duplicates} bar(s) share a timestamp with the previous bar of the same symbol.`,
+            severity: 'warn',
+            context: { count: duplicates },
+        });
+    }
+    if (badPrice > 0) {
+        warnings.push({
+            code: WarningCode.BacktestDataNonfinite,
+            message: `${badPrice} bar(s) have a non-positive or non-finite price.`,
+            severity: 'warn',
+            context: { count: badPrice },
+        });
+    }
+    return warnings;
+}
+//# sourceMappingURL=diagnostics.js.map

package/modules/backtest/dist/diagnostics.js.map

@@ -0,0 +1 @@
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