@insiderfinance/totalfinance 0.1.0

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Files changed (2495) hide show
  1. package/LICENSE +201 -0
  2. package/README.md +339 -0
  3. package/STABILITY.md +23 -0
  4. package/modules/backtest/dist/artifacts.d.ts +23 -0
  5. package/modules/backtest/dist/artifacts.d.ts.map +1 -0
  6. package/modules/backtest/dist/artifacts.js +22 -0
  7. package/modules/backtest/dist/artifacts.js.map +1 -0
  8. package/modules/backtest/dist/broker.d.ts +265 -0
  9. package/modules/backtest/dist/broker.d.ts.map +1 -0
  10. package/modules/backtest/dist/broker.js +1228 -0
  11. package/modules/backtest/dist/broker.js.map +1 -0
  12. package/modules/backtest/dist/costs.d.ts +67 -0
  13. package/modules/backtest/dist/costs.d.ts.map +1 -0
  14. package/modules/backtest/dist/costs.js +171 -0
  15. package/modules/backtest/dist/costs.js.map +1 -0
  16. package/modules/backtest/dist/cross-sectional/engine.d.ts +21 -0
  17. package/modules/backtest/dist/cross-sectional/engine.d.ts.map +1 -0
  18. package/modules/backtest/dist/cross-sectional/engine.js +1399 -0
  19. package/modules/backtest/dist/cross-sectional/engine.js.map +1 -0
  20. package/modules/backtest/dist/cross-sectional/folds.d.ts +134 -0
  21. package/modules/backtest/dist/cross-sectional/folds.d.ts.map +1 -0
  22. package/modules/backtest/dist/cross-sectional/folds.js +375 -0
  23. package/modules/backtest/dist/cross-sectional/folds.js.map +1 -0
  24. package/modules/backtest/dist/cross-sectional/grid.d.ts +142 -0
  25. package/modules/backtest/dist/cross-sectional/grid.d.ts.map +1 -0
  26. package/modules/backtest/dist/cross-sectional/grid.js +394 -0
  27. package/modules/backtest/dist/cross-sectional/grid.js.map +1 -0
  28. package/modules/backtest/dist/cross-sectional/index.d.ts +18 -0
  29. package/modules/backtest/dist/cross-sectional/index.d.ts.map +1 -0
  30. package/modules/backtest/dist/cross-sectional/index.js +15 -0
  31. package/modules/backtest/dist/cross-sectional/index.js.map +1 -0
  32. package/modules/backtest/dist/cross-sectional/types.d.ts +331 -0
  33. package/modules/backtest/dist/cross-sectional/types.d.ts.map +1 -0
  34. package/modules/backtest/dist/cross-sectional/types.js +12 -0
  35. package/modules/backtest/dist/cross-sectional/types.js.map +1 -0
  36. package/modules/backtest/dist/cross-sectional/validate.d.ts +22 -0
  37. package/modules/backtest/dist/cross-sectional/validate.d.ts.map +1 -0
  38. package/modules/backtest/dist/cross-sectional/validate.js +489 -0
  39. package/modules/backtest/dist/cross-sectional/validate.js.map +1 -0
  40. package/modules/backtest/dist/diagnostics.d.ts +16 -0
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  42. package/modules/backtest/dist/diagnostics.js +63 -0
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  44. package/modules/backtest/dist/environment/bench.d.ts +34 -0
  45. package/modules/backtest/dist/environment/bench.d.ts.map +1 -0
  46. package/modules/backtest/dist/environment/bench.js +724 -0
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  48. package/modules/backtest/dist/environment/environment.d.ts +5 -0
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  50. package/modules/backtest/dist/environment/environment.js +618 -0
  51. package/modules/backtest/dist/environment/environment.js.map +1 -0
  52. package/modules/backtest/dist/environment/episode.d.ts +4 -0
  53. package/modules/backtest/dist/environment/episode.d.ts.map +1 -0
  54. package/modules/backtest/dist/environment/episode.js +121 -0
  55. package/modules/backtest/dist/environment/episode.js.map +1 -0
  56. package/modules/backtest/dist/environment/episodes.d.ts +14 -0
  57. package/modules/backtest/dist/environment/episodes.d.ts.map +1 -0
  58. package/modules/backtest/dist/environment/episodes.js +644 -0
  59. package/modules/backtest/dist/environment/episodes.js.map +1 -0
  60. package/modules/backtest/dist/environment/features.d.ts +31 -0
  61. package/modules/backtest/dist/environment/features.d.ts.map +1 -0
  62. package/modules/backtest/dist/environment/features.js +157 -0
  63. package/modules/backtest/dist/environment/features.js.map +1 -0
  64. package/modules/backtest/dist/environment/index.d.ts +14 -0
  65. package/modules/backtest/dist/environment/index.d.ts.map +1 -0
  66. package/modules/backtest/dist/environment/index.js +12 -0
  67. package/modules/backtest/dist/environment/index.js.map +1 -0
  68. package/modules/backtest/dist/environment/limits.d.ts +63 -0
  69. package/modules/backtest/dist/environment/limits.d.ts.map +1 -0
  70. package/modules/backtest/dist/environment/limits.js +253 -0
  71. package/modules/backtest/dist/environment/limits.js.map +1 -0
  72. package/modules/backtest/dist/environment/reward.d.ts +5 -0
  73. package/modules/backtest/dist/environment/reward.d.ts.map +1 -0
  74. package/modules/backtest/dist/environment/reward.js +80 -0
  75. package/modules/backtest/dist/environment/reward.js.map +1 -0
  76. package/modules/backtest/dist/environment/types.d.ts +540 -0
  77. package/modules/backtest/dist/environment/types.d.ts.map +1 -0
  78. package/modules/backtest/dist/environment/types.js +2 -0
  79. package/modules/backtest/dist/environment/types.js.map +1 -0
  80. package/modules/backtest/dist/environment/validate.d.ts +23 -0
  81. package/modules/backtest/dist/environment/validate.d.ts.map +1 -0
  82. package/modules/backtest/dist/environment/validate.js +264 -0
  83. package/modules/backtest/dist/environment/validate.js.map +1 -0
  84. package/modules/backtest/dist/event-driven.d.ts +111 -0
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  86. package/modules/backtest/dist/event-driven.js +325 -0
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  88. package/modules/backtest/dist/execution/conformance.d.ts +33 -0
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  91. package/modules/backtest/dist/execution/conformance.js.map +1 -0
  92. package/modules/backtest/dist/execution/fill-models.d.ts +35 -0
  93. package/modules/backtest/dist/execution/fill-models.d.ts.map +1 -0
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  95. package/modules/backtest/dist/execution/fill-models.js.map +1 -0
  96. package/modules/backtest/dist/execution/fill-order.d.ts +55 -0
  97. package/modules/backtest/dist/execution/fill-order.d.ts.map +1 -0
  98. package/modules/backtest/dist/execution/fill-order.js +156 -0
  99. package/modules/backtest/dist/execution/fill-order.js.map +1 -0
  100. package/modules/backtest/dist/execution/index.d.ts +33 -0
  101. package/modules/backtest/dist/execution/index.d.ts.map +1 -0
  102. package/modules/backtest/dist/execution/index.js +27 -0
  103. package/modules/backtest/dist/execution/index.js.map +1 -0
  104. package/modules/backtest/dist/execution/intrabar.d.ts +46 -0
  105. package/modules/backtest/dist/execution/intrabar.d.ts.map +1 -0
  106. package/modules/backtest/dist/execution/intrabar.js +130 -0
  107. package/modules/backtest/dist/execution/intrabar.js.map +1 -0
  108. package/modules/backtest/dist/execution/normalized.d.ts +56 -0
  109. package/modules/backtest/dist/execution/normalized.d.ts.map +1 -0
  110. package/modules/backtest/dist/execution/normalized.js +154 -0
  111. package/modules/backtest/dist/execution/normalized.js.map +1 -0
  112. package/modules/backtest/dist/execution/policy.d.ts +84 -0
  113. package/modules/backtest/dist/execution/policy.d.ts.map +1 -0
  114. package/modules/backtest/dist/execution/policy.js +341 -0
  115. package/modules/backtest/dist/execution/policy.js.map +1 -0
  116. package/modules/backtest/dist/execution/types.d.ts +217 -0
  117. package/modules/backtest/dist/execution/types.d.ts.map +1 -0
  118. package/modules/backtest/dist/execution/types.js +8 -0
  119. package/modules/backtest/dist/execution/types.js.map +1 -0
  120. package/modules/backtest/dist/execution/validate.d.ts +35 -0
  121. package/modules/backtest/dist/execution/validate.d.ts.map +1 -0
  122. package/modules/backtest/dist/execution/validate.js +666 -0
  123. package/modules/backtest/dist/execution/validate.js.map +1 -0
  124. package/modules/backtest/dist/generated/validation-specs.d.ts +12 -0
  125. package/modules/backtest/dist/generated/validation-specs.d.ts.map +1 -0
  126. package/modules/backtest/dist/generated/validation-specs.js +1129 -0
  127. package/modules/backtest/dist/generated/validation-specs.js.map +1 -0
  128. package/modules/backtest/dist/index.d.ts +33 -0
  129. package/modules/backtest/dist/index.d.ts.map +1 -0
  130. package/modules/backtest/dist/index.js +28 -0
  131. package/modules/backtest/dist/index.js.map +1 -0
  132. package/modules/backtest/dist/options/chain.d.ts +68 -0
  133. package/modules/backtest/dist/options/chain.d.ts.map +1 -0
  134. package/modules/backtest/dist/options/chain.js +303 -0
  135. package/modules/backtest/dist/options/chain.js.map +1 -0
  136. package/modules/backtest/dist/options/engine.d.ts +28 -0
  137. package/modules/backtest/dist/options/engine.d.ts.map +1 -0
  138. package/modules/backtest/dist/options/engine.js +1859 -0
  139. package/modules/backtest/dist/options/engine.js.map +1 -0
  140. package/modules/backtest/dist/options/index.d.ts +23 -0
  141. package/modules/backtest/dist/options/index.d.ts.map +1 -0
  142. package/modules/backtest/dist/options/index.js +21 -0
  143. package/modules/backtest/dist/options/index.js.map +1 -0
  144. package/modules/backtest/dist/options/tearsheet.d.ts +77 -0
  145. package/modules/backtest/dist/options/tearsheet.d.ts.map +1 -0
  146. package/modules/backtest/dist/options/tearsheet.js +205 -0
  147. package/modules/backtest/dist/options/tearsheet.js.map +1 -0
  148. package/modules/backtest/dist/options/types.d.ts +571 -0
  149. package/modules/backtest/dist/options/types.d.ts.map +1 -0
  150. package/modules/backtest/dist/options/types.js +19 -0
  151. package/modules/backtest/dist/options/types.js.map +1 -0
  152. package/modules/backtest/dist/paper/index.d.ts +13 -0
  153. package/modules/backtest/dist/paper/index.d.ts.map +1 -0
  154. package/modules/backtest/dist/paper/index.js +12 -0
  155. package/modules/backtest/dist/paper/index.js.map +1 -0
  156. package/modules/backtest/dist/paper/paper.d.ts +8 -0
  157. package/modules/backtest/dist/paper/paper.d.ts.map +1 -0
  158. package/modules/backtest/dist/paper/paper.js +950 -0
  159. package/modules/backtest/dist/paper/paper.js.map +1 -0
  160. package/modules/backtest/dist/paper/types.d.ts +190 -0
  161. package/modules/backtest/dist/paper/types.d.ts.map +1 -0
  162. package/modules/backtest/dist/paper/types.js +3 -0
  163. package/modules/backtest/dist/paper/types.js.map +1 -0
  164. package/modules/backtest/dist/paper/validate.d.ts +9 -0
  165. package/modules/backtest/dist/paper/validate.d.ts.map +1 -0
  166. package/modules/backtest/dist/paper/validate.js +112 -0
  167. package/modules/backtest/dist/paper/validate.js.map +1 -0
  168. package/modules/backtest/dist/portfolio/adapters.d.ts +37 -0
  169. package/modules/backtest/dist/portfolio/adapters.d.ts.map +1 -0
  170. package/modules/backtest/dist/portfolio/adapters.js +555 -0
  171. package/modules/backtest/dist/portfolio/adapters.js.map +1 -0
  172. package/modules/backtest/dist/portfolio/engine.d.ts +35 -0
  173. package/modules/backtest/dist/portfolio/engine.d.ts.map +1 -0
  174. package/modules/backtest/dist/portfolio/engine.js +1300 -0
  175. package/modules/backtest/dist/portfolio/engine.js.map +1 -0
  176. package/modules/backtest/dist/portfolio/index.d.ts +12 -0
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  180. package/modules/backtest/dist/portfolio/types.d.ts +418 -0
  181. package/modules/backtest/dist/portfolio/types.d.ts.map +1 -0
  182. package/modules/backtest/dist/portfolio/types.js +8 -0
  183. package/modules/backtest/dist/portfolio/types.js.map +1 -0
  184. package/modules/backtest/dist/portfolio/validate.d.ts +26 -0
  185. package/modules/backtest/dist/portfolio/validate.d.ts.map +1 -0
  186. package/modules/backtest/dist/portfolio/validate.js +556 -0
  187. package/modules/backtest/dist/portfolio/validate.js.map +1 -0
  188. package/modules/backtest/dist/run-artifacts.d.ts +425 -0
  189. package/modules/backtest/dist/run-artifacts.d.ts.map +1 -0
  190. package/modules/backtest/dist/run-artifacts.js +1843 -0
  191. package/modules/backtest/dist/run-artifacts.js.map +1 -0
  192. package/modules/backtest/dist/signals.d.ts +110 -0
  193. package/modules/backtest/dist/signals.d.ts.map +1 -0
  194. package/modules/backtest/dist/signals.js +207 -0
  195. package/modules/backtest/dist/signals.js.map +1 -0
  196. package/modules/backtest/dist/tearsheet.d.ts +126 -0
  197. package/modules/backtest/dist/tearsheet.d.ts.map +1 -0
  198. package/modules/backtest/dist/tearsheet.js +266 -0
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  200. package/modules/backtest/dist/types.d.ts +175 -0
  201. package/modules/backtest/dist/types.d.ts.map +1 -0
  202. package/modules/backtest/dist/types.js +29 -0
  203. package/modules/backtest/dist/types.js.map +1 -0
  204. package/modules/backtest/dist/validate.d.ts +13 -0
  205. package/modules/backtest/dist/validate.d.ts.map +1 -0
  206. package/modules/backtest/dist/validate.js +37 -0
  207. package/modules/backtest/dist/validate.js.map +1 -0
  208. package/modules/backtest/dist/vectorized.d.ts +53 -0
  209. package/modules/backtest/dist/vectorized.d.ts.map +1 -0
  210. package/modules/backtest/dist/vectorized.js +383 -0
  211. package/modules/backtest/dist/vectorized.js.map +1 -0
  212. package/modules/backtest/dist/walk-forward.d.ts +57 -0
  213. package/modules/backtest/dist/walk-forward.d.ts.map +1 -0
  214. package/modules/backtest/dist/walk-forward.js +125 -0
  215. package/modules/backtest/dist/walk-forward.js.map +1 -0
  216. package/modules/backtest/etc/backtest.api.md +139 -0
  217. package/modules/backtest/src/artifacts.ts +54 -0
  218. package/modules/backtest/src/broker.ts +1529 -0
  219. package/modules/backtest/src/costs.ts +225 -0
  220. package/modules/backtest/src/cross-sectional/engine.ts +1608 -0
  221. package/modules/backtest/src/cross-sectional/folds.ts +718 -0
  222. package/modules/backtest/src/cross-sectional/grid.ts +646 -0
  223. package/modules/backtest/src/cross-sectional/index.ts +76 -0
  224. package/modules/backtest/src/cross-sectional/types.ts +363 -0
  225. package/modules/backtest/src/cross-sectional/validate.ts +906 -0
  226. package/modules/backtest/src/diagnostics.ts +66 -0
  227. package/modules/backtest/src/environment/bench.ts +1022 -0
  228. package/modules/backtest/src/environment/environment.ts +766 -0
  229. package/modules/backtest/src/environment/episode.ts +146 -0
  230. package/modules/backtest/src/environment/episodes.ts +786 -0
  231. package/modules/backtest/src/environment/features.ts +184 -0
  232. package/modules/backtest/src/environment/index.ts +79 -0
  233. package/modules/backtest/src/environment/limits.ts +383 -0
  234. package/modules/backtest/src/environment/reward.ts +98 -0
  235. package/modules/backtest/src/environment/types.ts +595 -0
  236. package/modules/backtest/src/environment/validate.ts +415 -0
  237. package/modules/backtest/src/event-driven.ts +528 -0
  238. package/modules/backtest/src/execution/conformance.ts +346 -0
  239. package/modules/backtest/src/execution/fill-models.ts +410 -0
  240. package/modules/backtest/src/execution/fill-order.ts +261 -0
  241. package/modules/backtest/src/execution/index.ts +91 -0
  242. package/modules/backtest/src/execution/intrabar.ts +185 -0
  243. package/modules/backtest/src/execution/normalized.ts +216 -0
  244. package/modules/backtest/src/execution/policy.ts +447 -0
  245. package/modules/backtest/src/execution/types.ts +239 -0
  246. package/modules/backtest/src/execution/validate.ts +889 -0
  247. package/modules/backtest/src/generated/validation-specs.ts +1132 -0
  248. package/modules/backtest/src/index.ts +157 -0
  249. package/modules/backtest/src/options/chain.ts +410 -0
  250. package/modules/backtest/src/options/engine.ts +2240 -0
  251. package/modules/backtest/src/options/index.ts +68 -0
  252. package/modules/backtest/src/options/tearsheet.ts +327 -0
  253. package/modules/backtest/src/options/types.ts +573 -0
  254. package/modules/backtest/src/paper/index.ts +27 -0
  255. package/modules/backtest/src/paper/paper.ts +1288 -0
  256. package/modules/backtest/src/paper/types.ts +221 -0
  257. package/modules/backtest/src/paper/validate.ts +168 -0
  258. package/modules/backtest/src/portfolio/adapters.ts +651 -0
  259. package/modules/backtest/src/portfolio/engine.ts +1518 -0
  260. package/modules/backtest/src/portfolio/index.ts +64 -0
  261. package/modules/backtest/src/portfolio/types.ts +456 -0
  262. package/modules/backtest/src/portfolio/validate.ts +861 -0
  263. package/modules/backtest/src/run-artifacts.ts +2873 -0
  264. package/modules/backtest/src/signals.ts +267 -0
  265. package/modules/backtest/src/tearsheet.ts +425 -0
  266. package/modules/backtest/src/types.ts +200 -0
  267. package/modules/backtest/src/validate.ts +43 -0
  268. package/modules/backtest/src/vectorized.ts +541 -0
  269. package/modules/backtest/src/walk-forward.ts +215 -0
  270. package/modules/calendars/dist/cboe.d.ts +15 -0
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  298. package/modules/calendars/etc/calendars.api.md +22 -0
  299. package/modules/calendars/src/cboe.ts +17 -0
  300. package/modules/calendars/src/crypto.ts +17 -0
  301. package/modules/calendars/src/expirations.ts +200 -0
  302. package/modules/calendars/src/index.ts +23 -0
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@@ -0,0 +1,183 @@
1
+ /**
2
+ * Canonical market-data contracts (spec §7.6). Pure types — plus one tiny quote-price selector and
3
+ * the ONE `RateCurve` data validator shared by the Gate B snapshot spine and the Gate C pricing
4
+ * protocol (both consume stored curves as plain data, so both must refuse the same malformations).
5
+ */
6
+ import { discountFactor, isoDateToEpochMs, yearFraction } from './dates.js';
7
+ import { ErrorCode, InputError } from './errors.js';
8
+ const RATE_CURVE_DAY_COUNTS = ['ACT/365F', 'ACT/360', '30/360'];
9
+ function isValidCompounding(value) {
10
+ if (value === 'simple' ||
11
+ value === 'continuous' ||
12
+ value === 'annual' ||
13
+ value === 'semiannual' ||
14
+ value === 'quarterly' ||
15
+ value === 'monthly')
16
+ return true;
17
+ if (value !== null &&
18
+ typeof value === 'object' &&
19
+ value.type === 'periodic') {
20
+ const periods = value.periodsPerYear;
21
+ return typeof periods === 'number' && Number.isFinite(periods) && periods > 0;
22
+ }
23
+ return false;
24
+ }
25
+ function curveError(functionName, message, code, context) {
26
+ return new InputError(`${functionName}: ${message}`, {
27
+ code,
28
+ context: { function: functionName, ...context },
29
+ });
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 @@
1
+ /** Numeric policy and small helpers (spec §7.1). Public analytics use IEEE-754 `number`. */
2
+ /** True only for a real, finite number (rejects `NaN`, `Infinity`, and non-numbers). */
3
+ export declare function isFiniteNumber(value: unknown): value is number;
4
+ export declare function isPositive(value: unknown): value is number;
5
+ export declare function isNonNegative(value: unknown): value is number;
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
12
+ * `between(Math.abs(delta), 0.25, 0.35)` rather than `delta.abs().between(...)`.
13
+ */
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
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 +1,145 @@
1
+ /** Numeric policy and small helpers (spec §7.1). Public analytics use IEEE-754 `number`. */
2
+ import { ErrorCode, InputError } from './errors.js';
3
+ import { ensureKnownKeys } from './invariants.js';
4
+ /** 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
+ }
8
+ export function isPositive(value) {
9
+ return isFiniteNumber(value) && value > 0;
10
+ }
11
+ export function isNonNegative(value) {
12
+ return isFiniteNumber(value) && value >= 0;
13
+ }
14
+ /**
15
+ * Range predicate. Replaces wrapped-number DSLs (design law #2): use
16
+ * `between(Math.abs(delta), 0.25, 0.35)` rather than `delta.abs().between(...)`.
17
+ */
18
+ export function between(value, min, max, options = {}) {
19
+ // 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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@@ -0,0 +1,28 @@
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
+ export type OrderSide = 'buy' | 'sell';
15
+ /** Kebab-case everywhere; a simulator that supports a subset says so at its door. */
16
+ export type OrderType = 'market' | 'limit' | 'stop' | 'stop-limit' | 'market-on-open' | 'market-on-close';
17
+ export type TimeInForce = 'day' | 'gtc';
18
+ export declare const ORDER_SIDES: readonly OrderSide[];
19
+ export declare const ORDER_TYPES: readonly OrderType[];
20
+ export declare const TIME_IN_FORCE_VALUES: readonly TimeInForce[];
21
+ /**
22
+ * The side of a signed quantity: positive buys, negative sells. Zero and non-finite values have
23
+ * no side and are refused — a caller that reaches here with `0` has a sizing bug, not an order.
24
+ */
25
+ export declare function sideOf(signed: number, functionName?: string): OrderSide;
26
+ /** The sign of a side: `+1` for a buy, `-1` for a sell. Any other value is refused. */
27
+ export declare function signOf(side: OrderSide, functionName?: string): 1 | -1;
28
+ //# sourceMappingURL=orders.d.ts.map
@@ -0,0 +1 @@
1
+ {"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"}
@@ -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',
19
+ 'stop',
20
+ 'stop-limit',
21
+ 'market-on-open',
22
+ 'market-on-close',
23
+ ]);
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.
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 ${typeof signed === 'number' ? String(signed) : typeof signed}.`, {
32
+ code: signed === 0 ? ErrorCode.InputOutOfRange : ErrorCode.InputWrongType,
33
+ context: { function: functionName, field: 'signed', value: signed },
34
+ });
35
+ }
36
+ return signed > 0 ? 'buy' : 'sell';
37
+ }
38
+ /** The sign of a side: `+1` for a buy, `-1` for a sell. Any other value is refused. */
39
+ export function signOf(side, functionName = 'signOf') {
40
+ if (side === 'buy')
41
+ return 1;
42
+ if (side === 'sell')
43
+ return -1;
44
+ throw new InputError(`${functionName}: side must be 'buy' | 'sell'. Received ${JSON.stringify(side)}.`, {
45
+ code: ErrorCode.InputInvalidEnum,
46
+ context: { function: functionName, field: 'side', value: side },
47
+ });
48
+ }
49
+ //# sourceMappingURL=orders.js.map
@@ -0,0 +1 @@
1
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