@insiderfinance/totalfinance 0.1.0
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- package/LICENSE +201 -0
- package/README.md +339 -0
- package/STABILITY.md +23 -0
- package/modules/backtest/dist/artifacts.d.ts +23 -0
- package/modules/backtest/dist/artifacts.d.ts.map +1 -0
- package/modules/backtest/dist/artifacts.js +22 -0
- package/modules/backtest/dist/artifacts.js.map +1 -0
- package/modules/backtest/dist/broker.d.ts +265 -0
- package/modules/backtest/dist/broker.d.ts.map +1 -0
- package/modules/backtest/dist/broker.js +1228 -0
- package/modules/backtest/dist/broker.js.map +1 -0
- package/modules/backtest/dist/costs.d.ts +67 -0
- package/modules/backtest/dist/costs.d.ts.map +1 -0
- package/modules/backtest/dist/costs.js +171 -0
- package/modules/backtest/dist/costs.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/engine.d.ts +21 -0
- package/modules/backtest/dist/cross-sectional/engine.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/engine.js +1399 -0
- package/modules/backtest/dist/cross-sectional/engine.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/folds.d.ts +134 -0
- package/modules/backtest/dist/cross-sectional/folds.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/folds.js +375 -0
- package/modules/backtest/dist/cross-sectional/folds.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/grid.d.ts +142 -0
- package/modules/backtest/dist/cross-sectional/grid.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/grid.js +394 -0
- package/modules/backtest/dist/cross-sectional/grid.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/index.d.ts +18 -0
- package/modules/backtest/dist/cross-sectional/index.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/index.js +15 -0
- package/modules/backtest/dist/cross-sectional/index.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/types.d.ts +331 -0
- package/modules/backtest/dist/cross-sectional/types.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/types.js +12 -0
- package/modules/backtest/dist/cross-sectional/types.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/validate.d.ts +22 -0
- package/modules/backtest/dist/cross-sectional/validate.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/validate.js +489 -0
- package/modules/backtest/dist/cross-sectional/validate.js.map +1 -0
- package/modules/backtest/dist/diagnostics.d.ts +16 -0
- package/modules/backtest/dist/diagnostics.d.ts.map +1 -0
- package/modules/backtest/dist/diagnostics.js +63 -0
- package/modules/backtest/dist/diagnostics.js.map +1 -0
- package/modules/backtest/dist/environment/bench.d.ts +34 -0
- package/modules/backtest/dist/environment/bench.d.ts.map +1 -0
- package/modules/backtest/dist/environment/bench.js +724 -0
- package/modules/backtest/dist/environment/bench.js.map +1 -0
- package/modules/backtest/dist/environment/environment.d.ts +5 -0
- package/modules/backtest/dist/environment/environment.d.ts.map +1 -0
- package/modules/backtest/dist/environment/environment.js +618 -0
- package/modules/backtest/dist/environment/environment.js.map +1 -0
- package/modules/backtest/dist/environment/episode.d.ts +4 -0
- package/modules/backtest/dist/environment/episode.d.ts.map +1 -0
- package/modules/backtest/dist/environment/episode.js +121 -0
- package/modules/backtest/dist/environment/episode.js.map +1 -0
- package/modules/backtest/dist/environment/episodes.d.ts +14 -0
- package/modules/backtest/dist/environment/episodes.d.ts.map +1 -0
- package/modules/backtest/dist/environment/episodes.js +644 -0
- package/modules/backtest/dist/environment/episodes.js.map +1 -0
- package/modules/backtest/dist/environment/features.d.ts +31 -0
- package/modules/backtest/dist/environment/features.d.ts.map +1 -0
- package/modules/backtest/dist/environment/features.js +157 -0
- package/modules/backtest/dist/environment/features.js.map +1 -0
- package/modules/backtest/dist/environment/index.d.ts +14 -0
- package/modules/backtest/dist/environment/index.d.ts.map +1 -0
- package/modules/backtest/dist/environment/index.js +12 -0
- package/modules/backtest/dist/environment/index.js.map +1 -0
- package/modules/backtest/dist/environment/limits.d.ts +63 -0
- package/modules/backtest/dist/environment/limits.d.ts.map +1 -0
- package/modules/backtest/dist/environment/limits.js +253 -0
- package/modules/backtest/dist/environment/limits.js.map +1 -0
- package/modules/backtest/dist/environment/reward.d.ts +5 -0
- package/modules/backtest/dist/environment/reward.d.ts.map +1 -0
- package/modules/backtest/dist/environment/reward.js +80 -0
- package/modules/backtest/dist/environment/reward.js.map +1 -0
- package/modules/backtest/dist/environment/types.d.ts +540 -0
- package/modules/backtest/dist/environment/types.d.ts.map +1 -0
- package/modules/backtest/dist/environment/types.js +2 -0
- package/modules/backtest/dist/environment/types.js.map +1 -0
- package/modules/backtest/dist/environment/validate.d.ts +23 -0
- package/modules/backtest/dist/environment/validate.d.ts.map +1 -0
- package/modules/backtest/dist/environment/validate.js +264 -0
- package/modules/backtest/dist/environment/validate.js.map +1 -0
- package/modules/backtest/dist/event-driven.d.ts +111 -0
- package/modules/backtest/dist/event-driven.d.ts.map +1 -0
- package/modules/backtest/dist/event-driven.js +325 -0
- package/modules/backtest/dist/event-driven.js.map +1 -0
- package/modules/backtest/dist/execution/conformance.d.ts +33 -0
- package/modules/backtest/dist/execution/conformance.d.ts.map +1 -0
- package/modules/backtest/dist/execution/conformance.js +269 -0
- package/modules/backtest/dist/execution/conformance.js.map +1 -0
- package/modules/backtest/dist/execution/fill-models.d.ts +35 -0
- package/modules/backtest/dist/execution/fill-models.d.ts.map +1 -0
- package/modules/backtest/dist/execution/fill-models.js +375 -0
- package/modules/backtest/dist/execution/fill-models.js.map +1 -0
- package/modules/backtest/dist/execution/fill-order.d.ts +55 -0
- package/modules/backtest/dist/execution/fill-order.d.ts.map +1 -0
- package/modules/backtest/dist/execution/fill-order.js +156 -0
- package/modules/backtest/dist/execution/fill-order.js.map +1 -0
- package/modules/backtest/dist/execution/index.d.ts +33 -0
- package/modules/backtest/dist/execution/index.d.ts.map +1 -0
- package/modules/backtest/dist/execution/index.js +27 -0
- package/modules/backtest/dist/execution/index.js.map +1 -0
- package/modules/backtest/dist/execution/intrabar.d.ts +46 -0
- package/modules/backtest/dist/execution/intrabar.d.ts.map +1 -0
- package/modules/backtest/dist/execution/intrabar.js +130 -0
- package/modules/backtest/dist/execution/intrabar.js.map +1 -0
- package/modules/backtest/dist/execution/normalized.d.ts +56 -0
- package/modules/backtest/dist/execution/normalized.d.ts.map +1 -0
- package/modules/backtest/dist/execution/normalized.js +154 -0
- package/modules/backtest/dist/execution/normalized.js.map +1 -0
- package/modules/backtest/dist/execution/policy.d.ts +84 -0
- package/modules/backtest/dist/execution/policy.d.ts.map +1 -0
- package/modules/backtest/dist/execution/policy.js +341 -0
- package/modules/backtest/dist/execution/policy.js.map +1 -0
- package/modules/backtest/dist/execution/types.d.ts +217 -0
- package/modules/backtest/dist/execution/types.d.ts.map +1 -0
- package/modules/backtest/dist/execution/types.js +8 -0
- package/modules/backtest/dist/execution/types.js.map +1 -0
- package/modules/backtest/dist/execution/validate.d.ts +35 -0
- package/modules/backtest/dist/execution/validate.d.ts.map +1 -0
- package/modules/backtest/dist/execution/validate.js +666 -0
- package/modules/backtest/dist/execution/validate.js.map +1 -0
- package/modules/backtest/dist/generated/validation-specs.d.ts +12 -0
- package/modules/backtest/dist/generated/validation-specs.d.ts.map +1 -0
- package/modules/backtest/dist/generated/validation-specs.js +1129 -0
- package/modules/backtest/dist/generated/validation-specs.js.map +1 -0
- package/modules/backtest/dist/index.d.ts +33 -0
- package/modules/backtest/dist/index.d.ts.map +1 -0
- package/modules/backtest/dist/index.js +28 -0
- package/modules/backtest/dist/index.js.map +1 -0
- package/modules/backtest/dist/options/chain.d.ts +68 -0
- package/modules/backtest/dist/options/chain.d.ts.map +1 -0
- package/modules/backtest/dist/options/chain.js +303 -0
- package/modules/backtest/dist/options/chain.js.map +1 -0
- package/modules/backtest/dist/options/engine.d.ts +28 -0
- package/modules/backtest/dist/options/engine.d.ts.map +1 -0
- package/modules/backtest/dist/options/engine.js +1859 -0
- package/modules/backtest/dist/options/engine.js.map +1 -0
- package/modules/backtest/dist/options/index.d.ts +23 -0
- package/modules/backtest/dist/options/index.d.ts.map +1 -0
- package/modules/backtest/dist/options/index.js +21 -0
- package/modules/backtest/dist/options/index.js.map +1 -0
- package/modules/backtest/dist/options/tearsheet.d.ts +77 -0
- package/modules/backtest/dist/options/tearsheet.d.ts.map +1 -0
- package/modules/backtest/dist/options/tearsheet.js +205 -0
- package/modules/backtest/dist/options/tearsheet.js.map +1 -0
- package/modules/backtest/dist/options/types.d.ts +571 -0
- package/modules/backtest/dist/options/types.d.ts.map +1 -0
- package/modules/backtest/dist/options/types.js +19 -0
- package/modules/backtest/dist/options/types.js.map +1 -0
- package/modules/backtest/dist/paper/index.d.ts +13 -0
- package/modules/backtest/dist/paper/index.d.ts.map +1 -0
- package/modules/backtest/dist/paper/index.js +12 -0
- package/modules/backtest/dist/paper/index.js.map +1 -0
- package/modules/backtest/dist/paper/paper.d.ts +8 -0
- package/modules/backtest/dist/paper/paper.d.ts.map +1 -0
- package/modules/backtest/dist/paper/paper.js +950 -0
- package/modules/backtest/dist/paper/paper.js.map +1 -0
- package/modules/backtest/dist/paper/types.d.ts +190 -0
- package/modules/backtest/dist/paper/types.d.ts.map +1 -0
- package/modules/backtest/dist/paper/types.js +3 -0
- package/modules/backtest/dist/paper/types.js.map +1 -0
- package/modules/backtest/dist/paper/validate.d.ts +9 -0
- package/modules/backtest/dist/paper/validate.d.ts.map +1 -0
- package/modules/backtest/dist/paper/validate.js +112 -0
- package/modules/backtest/dist/paper/validate.js.map +1 -0
- package/modules/backtest/dist/portfolio/adapters.d.ts +37 -0
- package/modules/backtest/dist/portfolio/adapters.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/adapters.js +555 -0
- package/modules/backtest/dist/portfolio/adapters.js.map +1 -0
- package/modules/backtest/dist/portfolio/engine.d.ts +35 -0
- package/modules/backtest/dist/portfolio/engine.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/engine.js +1300 -0
- package/modules/backtest/dist/portfolio/engine.js.map +1 -0
- package/modules/backtest/dist/portfolio/index.d.ts +12 -0
- package/modules/backtest/dist/portfolio/index.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/index.js +11 -0
- package/modules/backtest/dist/portfolio/index.js.map +1 -0
- package/modules/backtest/dist/portfolio/types.d.ts +418 -0
- package/modules/backtest/dist/portfolio/types.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/types.js +8 -0
- package/modules/backtest/dist/portfolio/types.js.map +1 -0
- package/modules/backtest/dist/portfolio/validate.d.ts +26 -0
- package/modules/backtest/dist/portfolio/validate.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/validate.js +556 -0
- package/modules/backtest/dist/portfolio/validate.js.map +1 -0
- package/modules/backtest/dist/run-artifacts.d.ts +425 -0
- package/modules/backtest/dist/run-artifacts.d.ts.map +1 -0
- package/modules/backtest/dist/run-artifacts.js +1843 -0
- package/modules/backtest/dist/run-artifacts.js.map +1 -0
- package/modules/backtest/dist/signals.d.ts +110 -0
- package/modules/backtest/dist/signals.d.ts.map +1 -0
- package/modules/backtest/dist/signals.js +207 -0
- package/modules/backtest/dist/signals.js.map +1 -0
- package/modules/backtest/dist/tearsheet.d.ts +126 -0
- package/modules/backtest/dist/tearsheet.d.ts.map +1 -0
- package/modules/backtest/dist/tearsheet.js +266 -0
- package/modules/backtest/dist/tearsheet.js.map +1 -0
- package/modules/backtest/dist/types.d.ts +175 -0
- package/modules/backtest/dist/types.d.ts.map +1 -0
- package/modules/backtest/dist/types.js +29 -0
- package/modules/backtest/dist/types.js.map +1 -0
- package/modules/backtest/dist/validate.d.ts +13 -0
- package/modules/backtest/dist/validate.d.ts.map +1 -0
- package/modules/backtest/dist/validate.js +37 -0
- package/modules/backtest/dist/validate.js.map +1 -0
- package/modules/backtest/dist/vectorized.d.ts +53 -0
- package/modules/backtest/dist/vectorized.d.ts.map +1 -0
- package/modules/backtest/dist/vectorized.js +383 -0
- package/modules/backtest/dist/vectorized.js.map +1 -0
- package/modules/backtest/dist/walk-forward.d.ts +57 -0
- package/modules/backtest/dist/walk-forward.d.ts.map +1 -0
- package/modules/backtest/dist/walk-forward.js +125 -0
- package/modules/backtest/dist/walk-forward.js.map +1 -0
- package/modules/backtest/etc/backtest.api.md +139 -0
- package/modules/backtest/src/artifacts.ts +54 -0
- package/modules/backtest/src/broker.ts +1529 -0
- package/modules/backtest/src/costs.ts +225 -0
- package/modules/backtest/src/cross-sectional/engine.ts +1608 -0
- package/modules/backtest/src/cross-sectional/folds.ts +718 -0
- package/modules/backtest/src/cross-sectional/grid.ts +646 -0
- package/modules/backtest/src/cross-sectional/index.ts +76 -0
- package/modules/backtest/src/cross-sectional/types.ts +363 -0
- package/modules/backtest/src/cross-sectional/validate.ts +906 -0
- package/modules/backtest/src/diagnostics.ts +66 -0
- package/modules/backtest/src/environment/bench.ts +1022 -0
- package/modules/backtest/src/environment/environment.ts +766 -0
- package/modules/backtest/src/environment/episode.ts +146 -0
- package/modules/backtest/src/environment/episodes.ts +786 -0
- package/modules/backtest/src/environment/features.ts +184 -0
- package/modules/backtest/src/environment/index.ts +79 -0
- package/modules/backtest/src/environment/limits.ts +383 -0
- package/modules/backtest/src/environment/reward.ts +98 -0
- package/modules/backtest/src/environment/types.ts +595 -0
- package/modules/backtest/src/environment/validate.ts +415 -0
- package/modules/backtest/src/event-driven.ts +528 -0
- package/modules/backtest/src/execution/conformance.ts +346 -0
- package/modules/backtest/src/execution/fill-models.ts +410 -0
- package/modules/backtest/src/execution/fill-order.ts +261 -0
- package/modules/backtest/src/execution/index.ts +91 -0
- package/modules/backtest/src/execution/intrabar.ts +185 -0
- package/modules/backtest/src/execution/normalized.ts +216 -0
- package/modules/backtest/src/execution/policy.ts +447 -0
- package/modules/backtest/src/execution/types.ts +239 -0
- package/modules/backtest/src/execution/validate.ts +889 -0
- package/modules/backtest/src/generated/validation-specs.ts +1132 -0
- package/modules/backtest/src/index.ts +157 -0
- package/modules/backtest/src/options/chain.ts +410 -0
- package/modules/backtest/src/options/engine.ts +2240 -0
- package/modules/backtest/src/options/index.ts +68 -0
- package/modules/backtest/src/options/tearsheet.ts +327 -0
- package/modules/backtest/src/options/types.ts +573 -0
- package/modules/backtest/src/paper/index.ts +27 -0
- package/modules/backtest/src/paper/paper.ts +1288 -0
- package/modules/backtest/src/paper/types.ts +221 -0
- package/modules/backtest/src/paper/validate.ts +168 -0
- package/modules/backtest/src/portfolio/adapters.ts +651 -0
- package/modules/backtest/src/portfolio/engine.ts +1518 -0
- package/modules/backtest/src/portfolio/index.ts +64 -0
- package/modules/backtest/src/portfolio/types.ts +456 -0
- package/modules/backtest/src/portfolio/validate.ts +861 -0
- package/modules/backtest/src/run-artifacts.ts +2873 -0
- package/modules/backtest/src/signals.ts +267 -0
- package/modules/backtest/src/tearsheet.ts +425 -0
- package/modules/backtest/src/types.ts +200 -0
- package/modules/backtest/src/validate.ts +43 -0
- package/modules/backtest/src/vectorized.ts +541 -0
- package/modules/backtest/src/walk-forward.ts +215 -0
- package/modules/calendars/dist/cboe.d.ts +15 -0
- package/modules/calendars/dist/cboe.d.ts.map +1 -0
- package/modules/calendars/dist/cboe.js +16 -0
- package/modules/calendars/dist/cboe.js.map +1 -0
- package/modules/calendars/dist/crypto.d.ts +15 -0
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- package/modules/calendars/dist/crypto.js +16 -0
- package/modules/calendars/dist/crypto.js.map +1 -0
- package/modules/calendars/dist/expirations.d.ts +35 -0
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- package/modules/calendars/dist/nyse.d.ts +11 -0
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- package/modules/calendars/src/us-market.ts +86 -0
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- package/modules/cli/src/exit-codes.ts +21 -0
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- package/modules/commodities/src/internal.ts +6 -0
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- package/modules/core/dist/artifacts/analysis-artifact.d.ts +140 -0
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});
|
|
30
|
+
}
|
|
31
|
+
/**
|
|
32
|
+
* The ONE full validator for a stored/observed {@link RateCurve} as PLAIN DATA — shared by the
|
|
33
|
+
* Gate B market-snapshot spine (`observations.curves`) and the Gate C pricing protocol (the
|
|
34
|
+
* `discountCurve` observation value), so both refuse the same malformed curves with the same
|
|
35
|
+
* teaching. Core-internal on purpose: it is validation plumbing, not analysis API.
|
|
36
|
+
*
|
|
37
|
+
* Checks: `currency` a non-empty string; `asOf` finite epoch ms; `dayCount`/`compounding` valid
|
|
38
|
+
* conventions (a curve states its own — no silent economics); `points` an array of AT LEAST ONE
|
|
39
|
+
* pillar (an empty curve discounts nothing — a consumer handed zero pillars has no discount
|
|
40
|
+
* function, so emptiness is refused here rather than downstream) whose entries have a REAL
|
|
41
|
+
* `'YYYY-MM-DD'` calendar date (parsed with core's date parser, so `'2025-02-30'` is refused),
|
|
42
|
+
* strictly ascending pillar dates, dates at or after the curve's own `asOf` (a pillar BEFORE the
|
|
43
|
+
* curve's valuation instant discounts into the past — no consumer has a meaning for it; a pillar
|
|
44
|
+
* exactly AT `asOf` is the legal t = 0 anchor), and a finite `zeroRate` whose discount factor is
|
|
45
|
+
* actually computable and representable under the curve's compounding at that pillar's tenor;
|
|
46
|
+
* `interpolation` a non-empty string when present (the declared type). Entries stay open (Law 12):
|
|
47
|
+
* vendor decoration is preserved, not enumerated here.
|
|
48
|
+
*
|
|
49
|
+
* **Pillar authority — `zeroRate` is the ONE datum (2026-08-23, second external review).** The
|
|
50
|
+
* semantics are the existing fixed-income consumer's: `curves.fromZeroRates(...)` consumes ZERO
|
|
51
|
+
* RATES quoted under the curve's own `compounding`/`dayCount` and DERIVES every discount factor
|
|
52
|
+
* through that compounding transform. The former advisory `discountFactor` pillar member is GONE:
|
|
53
|
+
* a second, potentially contradictory answer must not share a pillar (the old sign-consistency
|
|
54
|
+
* tolerance accepted `rate: 0.05` beside `discountFactor: 0.2`), and no consumer in the workspace
|
|
55
|
+
* ever read it — discount-factor-quoted data has its own constructor
|
|
56
|
+
* (`curves.fromDiscountFactors`), whose pillars carry no rates. What replaced the tolerance is a
|
|
57
|
+
* REAL economics check through core's own transform (`discountFactor` in `dates.ts` — the one
|
|
58
|
+
* compounding engine, not a second one): every pillar's derived discount factor must exist and be
|
|
59
|
+
* a positive finite number, so `zeroRate: -2` under annual compounding (growth factor
|
|
60
|
+
* `1 + r/m ≤ 0` — no real discount factor exists) and rate/tenor pairs whose factor overflows,
|
|
61
|
+
* underflows to zero, or goes negative are refused with the arithmetic named.
|
|
62
|
+
*/
|
|
63
|
+
export function requireRateCurveData(functionName, path, value) {
|
|
64
|
+
if (value === null || typeof value !== 'object' || Array.isArray(value)) {
|
|
65
|
+
throw curveError(functionName, `${path} must be a RateCurve data object ({ currency, asOf, dayCount, compounding, points }). Received ${value === null ? 'null' : Array.isArray(value) ? 'array' : typeof value}.\n e.g. { currency: 'USD', asOf: 1784505600000, dayCount: 'ACT/365F', compounding: 'continuous', points: [{ date: '2027-07-20', zeroRate: 0.045 }] }`, ErrorCode.InputWrongType, { field: path });
|
|
66
|
+
}
|
|
67
|
+
const curve = value;
|
|
68
|
+
if (typeof curve.currency !== 'string' || curve.currency.length === 0) {
|
|
69
|
+
throw curveError(functionName, `${path}.currency must be a currency code string.`, ErrorCode.InputWrongType, { field: `${path}.currency` });
|
|
70
|
+
}
|
|
71
|
+
if (typeof curve.asOf !== 'number' || !Number.isFinite(curve.asOf)) {
|
|
72
|
+
throw curveError(functionName, `${path}.asOf must be finite epoch milliseconds. Received ${typeof curve.asOf === 'number' ? curve.asOf : curve.asOf === null ? 'null' : typeof curve.asOf}.`, typeof curve.asOf === 'number' ? ErrorCode.InputNotFinite : ErrorCode.InputWrongType, { field: `${path}.asOf` });
|
|
73
|
+
}
|
|
74
|
+
if (typeof curve.dayCount !== 'string' ||
|
|
75
|
+
!RATE_CURVE_DAY_COUNTS.includes(curve.dayCount)) {
|
|
76
|
+
throw curveError(functionName, `${path}.dayCount must be one of ${RATE_CURVE_DAY_COUNTS.join(', ')} — a curve states its own conventions. Received ${JSON.stringify(curve.dayCount)}.`, ErrorCode.InputInvalidEnum, { field: `${path}.dayCount`, value: curve.dayCount });
|
|
77
|
+
}
|
|
78
|
+
if (!isValidCompounding(curve.compounding)) {
|
|
79
|
+
throw curveError(functionName, `${path}.compounding must state the curve's compounding convention: 'simple' | 'continuous' | 'annual' | 'semiannual' | 'quarterly' | 'monthly' or { type: 'periodic', periodsPerYear }.`, ErrorCode.InputInvalidEnum, { field: `${path}.compounding` });
|
|
80
|
+
}
|
|
81
|
+
if (!Array.isArray(curve.points)) {
|
|
82
|
+
throw curveError(functionName, `${path}.points must be an array of { date, zeroRate } pillar points.`, ErrorCode.InputWrongType, { field: `${path}.points` });
|
|
83
|
+
}
|
|
84
|
+
if (curve.points.length === 0) {
|
|
85
|
+
throw curveError(functionName, `${path}.points must contain at least one pillar — an empty curve discounts nothing, and a consumer handed it would have no discount function to evaluate.\n e.g. points: [{ date: '2027-07-20', zeroRate: 0.045 }]`, ErrorCode.InputOutOfRange, { field: `${path}.points` });
|
|
86
|
+
}
|
|
87
|
+
let previousDateMs;
|
|
88
|
+
let previousDate;
|
|
89
|
+
for (let i = 0; i < curve.points.length; i++) {
|
|
90
|
+
const point = curve.points[i];
|
|
91
|
+
if (point === null || typeof point !== 'object' || Array.isArray(point)) {
|
|
92
|
+
throw curveError(functionName, `${path}.points[${i}] must be a { date, zeroRate } object.`, ErrorCode.InputWrongType, { field: `${path}.points[${i}]` });
|
|
93
|
+
}
|
|
94
|
+
if (typeof point.date !== 'string') {
|
|
95
|
+
throw curveError(functionName, `${path}.points[${i}].date must be a 'YYYY-MM-DD' string. Received ${point.date === null ? 'null' : typeof point.date}.`, ErrorCode.InputWrongType, { field: `${path}.points[${i}].date` });
|
|
96
|
+
}
|
|
97
|
+
let dateMs;
|
|
98
|
+
try {
|
|
99
|
+
dateMs = isoDateToEpochMs(point.date);
|
|
100
|
+
}
|
|
101
|
+
catch (error) {
|
|
102
|
+
throw curveError(functionName, `${path}.points[${i}].date is not a real calendar date: ${error instanceof Error ? error.message : String(error)}`, ErrorCode.InputOutOfRange, { field: `${path}.points[${i}].date`, value: point.date });
|
|
103
|
+
}
|
|
104
|
+
if (previousDateMs !== undefined && dateMs <= previousDateMs) {
|
|
105
|
+
throw curveError(functionName, `${path}.points must be strictly ascending by date — points[${i}].date '${point.date}' does not follow points[${i - 1}].date '${previousDate}'. Sort the pillars and remove duplicates.`, ErrorCode.InputOutOfRange, { field: `${path}.points[${i}].date`, previous: previousDate, value: point.date });
|
|
106
|
+
}
|
|
107
|
+
previousDateMs = dateMs;
|
|
108
|
+
previousDate = point.date;
|
|
109
|
+
// A pillar strictly before the curve's own valuation instant discounts into the past — no
|
|
110
|
+
// consumer has a meaning for it (2026-08-23, second external review). A pillar exactly AT
|
|
111
|
+
// asOf is legal: it is the t = 0 anchor, and its discount factor is 1 by construction.
|
|
112
|
+
if (dateMs < curve.asOf) {
|
|
113
|
+
throw curveError(functionName, `${path}.points[${i}].date '${point.date}' is before the curve's asOf (${curve.asOf} epoch ms) — a curve discounts FORWARD from its valuation instant, so every pillar must be at or after asOf (a pillar exactly at asOf is the legal t = 0 anchor). Drop the stale pillar or fix asOf.`, ErrorCode.InputOutOfRange, { field: `${path}.points[${i}].date`, value: point.date, asOf: curve.asOf });
|
|
114
|
+
}
|
|
115
|
+
if (typeof point.zeroRate !== 'number' || !Number.isFinite(point.zeroRate)) {
|
|
116
|
+
throw curveError(functionName, `${path}.points[${i}].zeroRate must be a finite decimal zero rate quoted under the curve's own compounding/dayCount (e.g. 0.045 for 4.5%). Received ${typeof point.zeroRate === 'number' ? point.zeroRate : point.zeroRate === null ? 'null' : typeof point.zeroRate}.`, typeof point.zeroRate === 'number' ? ErrorCode.InputNotFinite : ErrorCode.InputWrongType, { field: `${path}.points[${i}].zeroRate` });
|
|
117
|
+
}
|
|
118
|
+
// Economic validity: the pillar's discount factor must EXIST under the curve's own conventions
|
|
119
|
+
// (2026-08-23, second external review — the old advisory-field sign check accepted quotes no
|
|
120
|
+
// convention can discount). Derived through core's ONE compounding transform, never a second
|
|
121
|
+
// engine: `discountFactor(zeroRate, t, compounding)` refuses a periodic growth factor
|
|
122
|
+
// `1 + zeroRate/m ≤ 0` itself, and the result must be a positive finite number — an overflow
|
|
123
|
+
// to Infinity, an underflow to 0, or a negative factor is a quote nothing downstream can use.
|
|
124
|
+
const tenorYears = yearFraction(curve.asOf, dateMs, curve.dayCount);
|
|
125
|
+
let pillarDiscountFactor;
|
|
126
|
+
try {
|
|
127
|
+
pillarDiscountFactor = discountFactor(point.zeroRate, tenorYears, curve.compounding);
|
|
128
|
+
}
|
|
129
|
+
catch (error) {
|
|
130
|
+
throw curveError(functionName, `${path}.points[${i}].zeroRate ${point.zeroRate} has no real discount factor under compounding ${JSON.stringify(curve.compounding)}: ${error instanceof Error ? error.message : String(error)}\n e.g. under 'annual' compounding the zero rate must stay above -1 (-100%), like { date: '${point.date}', zeroRate: -0.02 }.`, ErrorCode.InputOutOfRange, { field: `${path}.points[${i}].zeroRate`, value: point.zeroRate, tenorYears });
|
|
131
|
+
}
|
|
132
|
+
if (!Number.isFinite(pillarDiscountFactor) || pillarDiscountFactor <= 0) {
|
|
133
|
+
throw curveError(functionName, `${path}.points[${i}].zeroRate ${point.zeroRate} yields discount factor ${pillarDiscountFactor} at tenor ${tenorYears} years under compounding ${JSON.stringify(curve.compounding)} — a pillar's discount factor must be a positive finite number, so this quote cannot discount anything. Fix the rate's sign/magnitude or the pillar date.\n e.g. { date: '${point.date}', zeroRate: 0.045 }.`, ErrorCode.InputOutOfRange, {
|
|
134
|
+
field: `${path}.points[${i}].zeroRate`,
|
|
135
|
+
value: point.zeroRate,
|
|
136
|
+
tenorYears,
|
|
137
|
+
discountFactor: pillarDiscountFactor,
|
|
138
|
+
});
|
|
139
|
+
}
|
|
140
|
+
}
|
|
141
|
+
if (curve.interpolation !== undefined &&
|
|
142
|
+
(typeof curve.interpolation !== 'string' || curve.interpolation.length === 0)) {
|
|
143
|
+
throw curveError(functionName, `${path}.interpolation must be an interpolation-name string when present (e.g. 'linearZero'). Received ${curve.interpolation === null ? 'null' : typeof curve.interpolation === 'string' ? "''" : typeof curve.interpolation}.`, ErrorCode.InputWrongType, { field: `${path}.interpolation` });
|
|
144
|
+
}
|
|
145
|
+
return value;
|
|
146
|
+
}
|
|
147
|
+
/**
|
|
148
|
+
* Resolve a single price from an option quote per the requested source. Returns `undefined` when
|
|
149
|
+
* the requested fields are absent. `mid` falls back to (bid+ask)/2 when an explicit mid is missing.
|
|
150
|
+
* An unknown `source` is a typed error, never a silent `undefined` — "field absent" and "you typed
|
|
151
|
+
* `'midd'`" must not be the same answer.
|
|
152
|
+
*/
|
|
153
|
+
export function selectQuotePrice(quote, source) {
|
|
154
|
+
// "Field absent" (undefined) and "field null" are different answers: absent means the venue
|
|
155
|
+
// did not publish it; null is a wrong-typed value that would flow into (bid+ask)/2 as zero.
|
|
156
|
+
for (const field of ['bid', 'ask', 'mid', 'last', 'mark']) {
|
|
157
|
+
const v = quote?.[field];
|
|
158
|
+
if (v !== undefined && (typeof v !== 'number' || Number.isNaN(v))) {
|
|
159
|
+
throw new InputError(`selectQuotePrice: quote.${field} must be a number when present. Received ${v === null ? 'null' : typeof v}.`, { code: ErrorCode.InputWrongType, context: { field } });
|
|
160
|
+
}
|
|
161
|
+
}
|
|
162
|
+
switch (source) {
|
|
163
|
+
case 'bid':
|
|
164
|
+
return quote.bid;
|
|
165
|
+
case 'ask':
|
|
166
|
+
return quote.ask;
|
|
167
|
+
case 'last':
|
|
168
|
+
return quote.last;
|
|
169
|
+
case 'mark':
|
|
170
|
+
return quote.mark;
|
|
171
|
+
case 'mid':
|
|
172
|
+
if (quote.mid !== undefined)
|
|
173
|
+
return quote.mid;
|
|
174
|
+
if (quote.bid !== undefined && quote.ask !== undefined)
|
|
175
|
+
return (quote.bid + quote.ask) / 2;
|
|
176
|
+
return undefined;
|
|
177
|
+
}
|
|
178
|
+
throw new InputError(`selectQuotePrice: source must be one of 'bid', 'ask', 'mid', 'last', 'mark'; got ${JSON.stringify(source)}.`, {
|
|
179
|
+
code: ErrorCode.InputInvalidEnum,
|
|
180
|
+
context: { function: 'selectQuotePrice', field: 'source', value: source },
|
|
181
|
+
});
|
|
182
|
+
}
|
|
183
|
+
//# sourceMappingURL=market-data.js.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
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@@ -0,0 +1,46 @@
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1
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+
/** Numeric policy and small helpers (spec §7.1). Public analytics use IEEE-754 `number`. */
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2
|
+
/** True only for a real, finite number (rejects `NaN`, `Infinity`, and non-numbers). */
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3
|
+
export declare function isFiniteNumber(value: unknown): value is number;
|
|
4
|
+
export declare function isPositive(value: unknown): value is number;
|
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5
|
+
export declare function isNonNegative(value: unknown): value is number;
|
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6
|
+
export interface BetweenOptions {
|
|
7
|
+
/** Include the bounds (default `true`). */
|
|
8
|
+
inclusive?: boolean;
|
|
9
|
+
}
|
|
10
|
+
/**
|
|
11
|
+
* Range predicate. Replaces wrapped-number DSLs (design law #2): use
|
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12
|
+
* `between(Math.abs(delta), 0.25, 0.35)` rather than `delta.abs().between(...)`.
|
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13
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+
*/
|
|
14
|
+
export declare function between(value: number, min: number, max: number, options?: BetweenOptions): boolean;
|
|
15
|
+
/** Clamp `value` into `[min, max]`. */
|
|
16
|
+
export declare function clamp(value: number, min: number, max: number): number;
|
|
17
|
+
/**
|
|
18
|
+
* Round half-away-from-zero to `decimals` places, robust to floating-point representation.
|
|
19
|
+
*
|
|
20
|
+
* Total over the double domain: `decimals` must be an integer in [-323, 323] (10^±323 spans the
|
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21
|
+
* whole representable grid — beyond it nothing survives double precision), and the extremes are
|
|
22
|
+
* exact identities rather than overflow artifacts: an integer input with `decimals >= 0` is
|
|
23
|
+
* returned unchanged (so `round(1e16, 0)` is 1e16, not 1e16+2, and `round(Number.MAX_VALUE, 2)`
|
|
24
|
+
* is MAX_VALUE, not Infinity), and when the requested grid is coarser than the value's own ulp the
|
|
25
|
+
* value is already its rounded self.
|
|
26
|
+
*/
|
|
27
|
+
export declare function round(value: number, decimals?: number): number;
|
|
28
|
+
/** `toFixed` that never throws on non-finite input and never returns `"NaN"` silently. */
|
|
29
|
+
export declare function toFixedSafe(value: number, decimals?: number): string;
|
|
30
|
+
export interface FormatMoneyOptions {
|
|
31
|
+
currency?: string;
|
|
32
|
+
locale?: string;
|
|
33
|
+
decimals?: number;
|
|
34
|
+
}
|
|
35
|
+
/** Format a number as currency using the platform `Intl` (browser-safe). */
|
|
36
|
+
export declare function formatMoney(value: number, options?: FormatMoneyOptions): string;
|
|
37
|
+
export interface FormatPercentOptions {
|
|
38
|
+
/** Fraction digits (default `2`). */
|
|
39
|
+
decimals?: number;
|
|
40
|
+
/** If `true`, the input is already a percentage (e.g. `22`) rather than a fraction (`0.22`). */
|
|
41
|
+
asPercentagePoints?: boolean;
|
|
42
|
+
locale?: string;
|
|
43
|
+
}
|
|
44
|
+
/** Format a fraction (`0.22`) as a percent string (`"22.00%"`). */
|
|
45
|
+
export declare function formatPercent(value: number, options?: FormatPercentOptions): string;
|
|
46
|
+
//# sourceMappingURL=numeric.d.ts.map
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@@ -0,0 +1 @@
|
|
|
1
|
+
{"version":3,"file":"numeric.d.ts","sourceRoot":"","sources":["../src/numeric.ts"],"names":[],"mappings":"AAAA,4FAA4F;AAK5F,wFAAwF;AACxF,wBAAgB,cAAc,CAAC,KAAK,EAAE,OAAO,GAAG,KAAK,IAAI,MAAM,CAE9D;AAED,wBAAgB,UAAU,CAAC,KAAK,EAAE,OAAO,GAAG,KAAK,IAAI,MAAM,CAE1D;AAED,wBAAgB,aAAa,CAAC,KAAK,EAAE,OAAO,GAAG,KAAK,IAAI,MAAM,CAE7D;AAED,MAAM,WAAW,cAAc;IAC7B,2CAA2C;IAC3C,SAAS,CAAC,EAAE,OAAO,CAAC;CACrB;AAED;;;GAGG;AACH,wBAAgB,OAAO,CACrB,KAAK,EAAE,MAAM,EACb,GAAG,EAAE,MAAM,EACX,GAAG,EAAE,MAAM,EACX,OAAO,GAAE,cAAmB,GAC3B,OAAO,CAuBT;AAED,uCAAuC;AACvC,wBAAgB,KAAK,CAAC,KAAK,EAAE,MAAM,EAAE,GAAG,EAAE,MAAM,EAAE,GAAG,EAAE,MAAM,GAAG,MAAM,CAIrE;AAED;;;;;;;;;GASG;AACH,wBAAgB,KAAK,CAAC,KAAK,EAAE,MAAM,EAAE,QAAQ,SAAI,GAAG,MAAM,CA0BzD;AAED,0FAA0F;AAC1F,wBAAgB,WAAW,CAAC,KAAK,EAAE,MAAM,EAAE,QAAQ,SAAI,GAAG,MAAM,CAG/D;AAED,MAAM,WAAW,kBAAkB;IACjC,QAAQ,CAAC,EAAE,MAAM,CAAC;IAClB,MAAM,CAAC,EAAE,MAAM,CAAC;IAChB,QAAQ,CAAC,EAAE,MAAM,CAAC;CACnB;AAED,4EAA4E;AAC5E,wBAAgB,WAAW,CAAC,KAAK,EAAE,MAAM,EAAE,OAAO,GAAE,kBAAuB,GAAG,MAAM,CAqCnF;AAED,MAAM,WAAW,oBAAoB;IACnC,qCAAqC;IACrC,QAAQ,CAAC,EAAE,MAAM,CAAC;IAClB,gGAAgG;IAChG,kBAAkB,CAAC,EAAE,OAAO,CAAC;IAC7B,MAAM,CAAC,EAAE,MAAM,CAAC;CACjB;AAED,mEAAmE;AACnE,wBAAgB,aAAa,CAAC,KAAK,EAAE,MAAM,EAAE,OAAO,GAAE,oBAAyB,GAAG,MAAM,CAyCvF"}
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@@ -0,0 +1,145 @@
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1
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+
/** Numeric policy and small helpers (spec §7.1). Public analytics use IEEE-754 `number`. */
|
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2
|
+
import { ErrorCode, InputError } from './errors.js';
|
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3
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+
import { ensureKnownKeys } from './invariants.js';
|
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4
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+
/** True only for a real, finite number (rejects `NaN`, `Infinity`, and non-numbers). */
|
|
5
|
+
export function isFiniteNumber(value) {
|
|
6
|
+
return typeof value === 'number' && Number.isFinite(value);
|
|
7
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+
}
|
|
8
|
+
export function isPositive(value) {
|
|
9
|
+
return isFiniteNumber(value) && value > 0;
|
|
10
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+
}
|
|
11
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+
export function isNonNegative(value) {
|
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12
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+
return isFiniteNumber(value) && value >= 0;
|
|
13
|
+
}
|
|
14
|
+
/**
|
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15
|
+
* Range predicate. Replaces wrapped-number DSLs (design law #2): use
|
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16
|
+
* `between(Math.abs(delta), 0.25, 0.35)` rather than `delta.abs().between(...)`.
|
|
17
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+
*/
|
|
18
|
+
export function between(value, min, max, options = {}) {
|
|
19
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+
// Positional front door: between(NaN, 0, 1) used to answer false as if it had CHECKED.
|
|
20
|
+
for (const [name, v] of [
|
|
21
|
+
['value', value],
|
|
22
|
+
['min', min],
|
|
23
|
+
['max', max],
|
|
24
|
+
]) {
|
|
25
|
+
if (typeof v !== 'number' || Number.isNaN(v)) {
|
|
26
|
+
throw new InputError(`between: ${name} must be a number — between(0.5, 0, 1). Received ${v === null ? 'null' : v === undefined ? 'undefined' : typeof v === 'number' ? String(v) : typeof v}.`, { code: ErrorCode.InputWrongType, context: { field: name } });
|
|
27
|
+
}
|
|
28
|
+
}
|
|
29
|
+
ensureKnownKeys('between', 'options', options, ['inclusive']);
|
|
30
|
+
if (options.inclusive !== undefined && typeof options.inclusive !== 'boolean') {
|
|
31
|
+
throw new InputError(`between: inclusive must be a boolean when provided. Received ${options.inclusive === null ? 'null' : typeof options.inclusive}.`, { code: ErrorCode.InputWrongType, context: { field: 'inclusive' } });
|
|
32
|
+
}
|
|
33
|
+
const inclusive = options.inclusive ?? true;
|
|
34
|
+
return inclusive ? value >= min && value <= max : value > min && value < max;
|
|
35
|
+
}
|
|
36
|
+
/** Clamp `value` into `[min, max]`. */
|
|
37
|
+
export function clamp(value, min, max) {
|
|
38
|
+
if (value < min)
|
|
39
|
+
return min;
|
|
40
|
+
if (value > max)
|
|
41
|
+
return max;
|
|
42
|
+
return value;
|
|
43
|
+
}
|
|
44
|
+
/**
|
|
45
|
+
* Round half-away-from-zero to `decimals` places, robust to floating-point representation.
|
|
46
|
+
*
|
|
47
|
+
* Total over the double domain: `decimals` must be an integer in [-323, 323] (10^±323 spans the
|
|
48
|
+
* whole representable grid — beyond it nothing survives double precision), and the extremes are
|
|
49
|
+
* exact identities rather than overflow artifacts: an integer input with `decimals >= 0` is
|
|
50
|
+
* returned unchanged (so `round(1e16, 0)` is 1e16, not 1e16+2, and `round(Number.MAX_VALUE, 2)`
|
|
51
|
+
* is MAX_VALUE, not Infinity), and when the requested grid is coarser than the value's own ulp the
|
|
52
|
+
* value is already its rounded self.
|
|
53
|
+
*/
|
|
54
|
+
export function round(value, decimals = 0) {
|
|
55
|
+
if (!Number.isInteger(decimals) || decimals < -323 || decimals > 323) {
|
|
56
|
+
throw new InputError(`round: decimals must be an integer in [-323, 323] (the double-precision grid). Received ${String(decimals)}.`, { code: ErrorCode.InputOutOfRange, context: { field: 'decimals', value: decimals } });
|
|
57
|
+
}
|
|
58
|
+
if (!Number.isFinite(value))
|
|
59
|
+
return value;
|
|
60
|
+
// An integer is a fixed point of rounding to >= 0 decimals. This also sidesteps two failure
|
|
61
|
+
// modes of scale-and-round: the epsilon nudge corrupting integers at/near 2^53 (where one ulp
|
|
62
|
+
// is a whole unit), and MAX_VALUE * (1 + ε) overflowing to Infinity.
|
|
63
|
+
if (decimals >= 0 && Number.isInteger(value))
|
|
64
|
+
return value;
|
|
65
|
+
const factor = 10 ** decimals;
|
|
66
|
+
// The epsilon nudge corrects cases like round(1.005, 2) where the stored double sits a hair
|
|
67
|
+
// below the true half. It must scale WITH the value (relative, not absolute) so portfolio-sized
|
|
68
|
+
// numbers like round(1234567.005, 2) get the same correction as values near 1.
|
|
69
|
+
// Multiplying by (1 + ε) grows the MAGNITUDE for either sign (more positive / more negative),
|
|
70
|
+
// which is what half-away-from-zero needs on both sides of the axis.
|
|
71
|
+
let nudged = value * (1 + Number.EPSILON);
|
|
72
|
+
if (!Number.isFinite(nudged))
|
|
73
|
+
nudged = value; // the nudge overflowed — fall back to un-nudged
|
|
74
|
+
const scaled = nudged * factor;
|
|
75
|
+
// Scaled past 2^53 — or clean over/underflow, which `10 ** ±309…323` reaches on its own — means
|
|
76
|
+
// every double in reach is already an integer on the requested grid, so rounding is the
|
|
77
|
+
// identity: return the EXACT input rather than a round-tripped approximation.
|
|
78
|
+
if (!Number.isFinite(scaled) || Math.abs(scaled) >= 2 ** 53)
|
|
79
|
+
return value;
|
|
80
|
+
return Math.round(scaled) / factor;
|
|
81
|
+
}
|
|
82
|
+
/** `toFixed` that never throws on non-finite input and never returns `"NaN"` silently. */
|
|
83
|
+
export function toFixedSafe(value, decimals = 2) {
|
|
84
|
+
if (!Number.isFinite(value))
|
|
85
|
+
return Number.isNaN(value) ? 'NaN' : value > 0 ? '∞' : '-∞';
|
|
86
|
+
return value.toFixed(decimals);
|
|
87
|
+
}
|
|
88
|
+
/** Format a number as currency using the platform `Intl` (browser-safe). */
|
|
89
|
+
export function formatMoney(value, options = {}) {
|
|
90
|
+
// A formatter fed garbage must teach, never render "$NaN" into a report.
|
|
91
|
+
if (typeof value !== 'number' || !Number.isFinite(value)) {
|
|
92
|
+
throw new InputError(`formatMoney: value must be a finite number — formatMoney(1234.5). Received ${value === null ? 'null' : value === undefined ? 'undefined' : typeof value === 'number' ? String(value) : typeof value}.`, { code: ErrorCode.InputWrongType, context: { field: 'value' } });
|
|
93
|
+
}
|
|
94
|
+
ensureKnownKeys('formatMoney', 'options', options, ['currency', 'locale', 'decimals']);
|
|
95
|
+
for (const field of ['currency', 'locale']) {
|
|
96
|
+
const v = options[field];
|
|
97
|
+
if (v !== undefined && typeof v !== 'string') {
|
|
98
|
+
throw new InputError(`formatMoney: ${field} must be a string when provided. Received ${v === null ? 'null' : typeof v}.`, { code: ErrorCode.InputWrongType, context: { field } });
|
|
99
|
+
}
|
|
100
|
+
}
|
|
101
|
+
if (options.decimals !== undefined &&
|
|
102
|
+
(typeof options.decimals !== 'number' || !Number.isFinite(options.decimals))) {
|
|
103
|
+
throw new InputError(`formatMoney: decimals must be a finite number when provided. Received ${options.decimals === null ? 'null' : typeof options.decimals}.`, { code: ErrorCode.InputWrongType, context: { field: 'decimals' } });
|
|
104
|
+
}
|
|
105
|
+
const currency = options.currency ?? 'USD';
|
|
106
|
+
const locale = options.locale ?? 'en-US';
|
|
107
|
+
const fmt = new Intl.NumberFormat(locale, {
|
|
108
|
+
style: 'currency',
|
|
109
|
+
currency,
|
|
110
|
+
...(options.decimals !== undefined
|
|
111
|
+
? { minimumFractionDigits: options.decimals, maximumFractionDigits: options.decimals }
|
|
112
|
+
: {}),
|
|
113
|
+
});
|
|
114
|
+
return fmt.format(value);
|
|
115
|
+
}
|
|
116
|
+
/** Format a fraction (`0.22`) as a percent string (`"22.00%"`). */
|
|
117
|
+
export function formatPercent(value, options = {}) {
|
|
118
|
+
if (typeof value !== 'number' || !Number.isFinite(value)) {
|
|
119
|
+
throw new InputError(`formatPercent: value must be a finite number — formatPercent(0.0425). Received ${value === null ? 'null' : value === undefined ? 'undefined' : typeof value === 'number' ? String(value) : typeof value}.`, { code: ErrorCode.InputWrongType, context: { field: 'value' } });
|
|
120
|
+
}
|
|
121
|
+
ensureKnownKeys('formatPercent', 'options', options, [
|
|
122
|
+
'decimals',
|
|
123
|
+
'asPercentagePoints',
|
|
124
|
+
'locale',
|
|
125
|
+
]);
|
|
126
|
+
if (options.decimals !== undefined &&
|
|
127
|
+
(typeof options.decimals !== 'number' || !Number.isFinite(options.decimals))) {
|
|
128
|
+
throw new InputError(`formatPercent: decimals must be a finite number when provided. Received ${options.decimals === null ? 'null' : typeof options.decimals}.`, { code: ErrorCode.InputWrongType, context: { field: 'decimals' } });
|
|
129
|
+
}
|
|
130
|
+
if (options.locale !== undefined && typeof options.locale !== 'string') {
|
|
131
|
+
throw new InputError(`formatPercent: locale must be a string when provided. Received ${options.locale === null ? 'null' : typeof options.locale}.`, { code: ErrorCode.InputWrongType, context: { field: 'locale' } });
|
|
132
|
+
}
|
|
133
|
+
if (options.asPercentagePoints !== undefined && typeof options.asPercentagePoints !== 'boolean') {
|
|
134
|
+
throw new InputError(`formatPercent: asPercentagePoints must be a boolean when provided — a truthy string must never rescale the value. Received ${options.asPercentagePoints === null ? 'null' : typeof options.asPercentagePoints}.`, { code: ErrorCode.InputWrongType, context: { field: 'asPercentagePoints' } });
|
|
135
|
+
}
|
|
136
|
+
const decimals = options.decimals ?? 2;
|
|
137
|
+
const locale = options.locale ?? 'en-US';
|
|
138
|
+
const fraction = options.asPercentagePoints ? value / 100 : value;
|
|
139
|
+
return new Intl.NumberFormat(locale, {
|
|
140
|
+
style: 'percent',
|
|
141
|
+
minimumFractionDigits: decimals,
|
|
142
|
+
maximumFractionDigits: decimals,
|
|
143
|
+
}).format(fraction);
|
|
144
|
+
}
|
|
145
|
+
//# sourceMappingURL=numeric.js.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
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/**
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2
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* One order vocabulary (pre-publish interface repairs, B6).
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3
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*
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4
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* Every package that names an order — the portfolio trade lifecycle, the backtest simulators and
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5
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* the paper broker, the agent wire — spells side, type and time-in-force with THESE names. An
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6
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+
* order carries a side and a positive quantity; held exposure is signed; `sideOf` / `signOf` are
|
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7
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+
* the one bridge between the two, so no engine hand-rolls `quantity > 0 ? 'buy' : 'sell'` again.
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8
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+
*
|
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9
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+
* Identity rule, written down: market data is keyed by `symbol` (a bar, a quote, a chain row);
|
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10
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+
* ledger and trade objects are keyed by `instrumentId` (a fill, an order, a position). A symbol
|
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11
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+
* is what a venue quotes; an instrument id is what a book holds — the two coincide for a share
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12
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+
* and differ for a derivative, so neither name is reused for the other.
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13
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*/
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14
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export type OrderSide = 'buy' | 'sell';
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15
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/** Kebab-case everywhere; a simulator that supports a subset says so at its door. */
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16
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export type OrderType = 'market' | 'limit' | 'stop' | 'stop-limit' | 'market-on-open' | 'market-on-close';
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17
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export type TimeInForce = 'day' | 'gtc';
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18
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+
export declare const ORDER_SIDES: readonly OrderSide[];
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19
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export declare const ORDER_TYPES: readonly OrderType[];
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export declare const TIME_IN_FORCE_VALUES: readonly TimeInForce[];
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21
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/**
|
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22
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+
* The side of a signed quantity: positive buys, negative sells. Zero and non-finite values have
|
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23
|
+
* no side and are refused — a caller that reaches here with `0` has a sizing bug, not an order.
|
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24
|
+
*/
|
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25
|
+
export declare function sideOf(signed: number, functionName?: string): OrderSide;
|
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26
|
+
/** The sign of a side: `+1` for a buy, `-1` for a sell. Any other value is refused. */
|
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27
|
+
export declare function signOf(side: OrderSide, functionName?: string): 1 | -1;
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//# sourceMappingURL=orders.d.ts.map
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@@ -0,0 +1 @@
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1
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+
{"version":3,"file":"orders.d.ts","sourceRoot":"","sources":["../src/orders.ts"],"names":[],"mappings":"AAAA;;;;;;;;;;;;GAYG;AAIH,MAAM,MAAM,SAAS,GAAG,KAAK,GAAG,MAAM,CAAC;AAEvC,qFAAqF;AACrF,MAAM,MAAM,SAAS,GACjB,QAAQ,GACR,OAAO,GACP,MAAM,GACN,YAAY,GACZ,gBAAgB,GAChB,iBAAiB,CAAC;AAEtB,MAAM,MAAM,WAAW,GAAG,KAAK,GAAG,KAAK,CAAC;AAExC,eAAO,MAAM,WAAW,EAAE,SAAS,SAAS,EAAmC,CAAC;AAChF,eAAO,MAAM,WAAW,EAAE,SAAS,SAAS,EAO1C,CAAC;AACH,eAAO,MAAM,oBAAoB,EAAE,SAAS,WAAW,EAAkC,CAAC;AAE1F;;;GAGG;AACH,wBAAgB,MAAM,CAAC,MAAM,EAAE,MAAM,EAAE,YAAY,SAAW,GAAG,SAAS,CAazE;AAED,uFAAuF;AACvF,wBAAgB,MAAM,CAAC,IAAI,EAAE,SAAS,EAAE,YAAY,SAAW,GAAG,CAAC,GAAG,CAAC,CAAC,CAUvE"}
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@@ -0,0 +1,49 @@
|
|
|
1
|
+
/**
|
|
2
|
+
* One order vocabulary (pre-publish interface repairs, B6).
|
|
3
|
+
*
|
|
4
|
+
* Every package that names an order — the portfolio trade lifecycle, the backtest simulators and
|
|
5
|
+
* the paper broker, the agent wire — spells side, type and time-in-force with THESE names. An
|
|
6
|
+
* order carries a side and a positive quantity; held exposure is signed; `sideOf` / `signOf` are
|
|
7
|
+
* the one bridge between the two, so no engine hand-rolls `quantity > 0 ? 'buy' : 'sell'` again.
|
|
8
|
+
*
|
|
9
|
+
* Identity rule, written down: market data is keyed by `symbol` (a bar, a quote, a chain row);
|
|
10
|
+
* ledger and trade objects are keyed by `instrumentId` (a fill, an order, a position). A symbol
|
|
11
|
+
* is what a venue quotes; an instrument id is what a book holds — the two coincide for a share
|
|
12
|
+
* and differ for a derivative, so neither name is reused for the other.
|
|
13
|
+
*/
|
|
14
|
+
import { ErrorCode, InputError } from './errors.js';
|
|
15
|
+
export const ORDER_SIDES = Object.freeze(['buy', 'sell']);
|
|
16
|
+
export const ORDER_TYPES = Object.freeze([
|
|
17
|
+
'market',
|
|
18
|
+
'limit',
|
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19
|
+
'stop',
|
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20
|
+
'stop-limit',
|
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21
|
+
'market-on-open',
|
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22
|
+
'market-on-close',
|
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23
|
+
]);
|
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24
|
+
export const TIME_IN_FORCE_VALUES = Object.freeze(['day', 'gtc']);
|
|
25
|
+
/**
|
|
26
|
+
* The side of a signed quantity: positive buys, negative sells. Zero and non-finite values have
|
|
27
|
+
* no side and are refused — a caller that reaches here with `0` has a sizing bug, not an order.
|
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28
|
+
*/
|
|
29
|
+
export function sideOf(signed, functionName = 'sideOf') {
|
|
30
|
+
if (typeof signed !== 'number' || !Number.isFinite(signed) || signed === 0) {
|
|
31
|
+
throw new InputError(`${functionName}: a side needs a non-zero finite signed quantity (positive buys, negative sells). Received ${typeof signed === 'number' ? String(signed) : typeof signed}.`, {
|
|
32
|
+
code: signed === 0 ? ErrorCode.InputOutOfRange : ErrorCode.InputWrongType,
|
|
33
|
+
context: { function: functionName, field: 'signed', value: signed },
|
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34
|
+
});
|
|
35
|
+
}
|
|
36
|
+
return signed > 0 ? 'buy' : 'sell';
|
|
37
|
+
}
|
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38
|
+
/** The sign of a side: `+1` for a buy, `-1` for a sell. Any other value is refused. */
|
|
39
|
+
export function signOf(side, functionName = 'signOf') {
|
|
40
|
+
if (side === 'buy')
|
|
41
|
+
return 1;
|
|
42
|
+
if (side === 'sell')
|
|
43
|
+
return -1;
|
|
44
|
+
throw new InputError(`${functionName}: side must be 'buy' | 'sell'. Received ${JSON.stringify(side)}.`, {
|
|
45
|
+
code: ErrorCode.InputInvalidEnum,
|
|
46
|
+
context: { function: functionName, field: 'side', value: side },
|
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47
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+
});
|
|
48
|
+
}
|
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+
//# sourceMappingURL=orders.js.map
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@@ -0,0 +1 @@
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1
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+
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