@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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@@ -0,0 +1,32 @@
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1
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+
/**
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2
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+
* The Standard Schema v1 interface (https://standardschema.dev).
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3
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+
*
|
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4
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+
* TotalFinance schemas implement this so users can plug them into any Standard-Schema-aware tool
|
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5
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+
* (form libraries, RPC frameworks, etc.) without TotalFinance taking a dependency on a validator.
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6
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+
*/
|
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7
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+
export interface StandardSchemaV1<Input = unknown, Output = Input> {
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8
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+
readonly '~standard': StandardSchemaV1Props<Input, Output>;
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9
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+
}
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10
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+
export interface StandardSchemaV1Props<Input, Output> {
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11
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+
readonly version: 1;
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12
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+
readonly vendor: string;
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13
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+
readonly validate: (value: unknown) => StandardSchemaV1Result<Output>;
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14
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+
readonly types?: StandardSchemaV1Types<Input, Output> | undefined;
|
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15
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+
}
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16
|
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export type StandardSchemaV1Result<Output> = StandardSchemaV1SuccessResult<Output> | StandardSchemaV1FailureResult;
|
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17
|
+
export interface StandardSchemaV1SuccessResult<Output> {
|
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18
|
+
readonly value: Output;
|
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19
|
+
readonly issues?: undefined;
|
|
20
|
+
}
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21
|
+
export interface StandardSchemaV1FailureResult {
|
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22
|
+
readonly issues: ReadonlyArray<StandardSchemaV1Issue>;
|
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23
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+
}
|
|
24
|
+
export interface StandardSchemaV1Issue {
|
|
25
|
+
readonly message: string;
|
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26
|
+
readonly path?: ReadonlyArray<PropertyKey> | undefined;
|
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27
|
+
}
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28
|
+
export interface StandardSchemaV1Types<Input, Output> {
|
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29
|
+
readonly input: Input;
|
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30
|
+
readonly output: Output;
|
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31
|
+
}
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32
|
+
//# sourceMappingURL=standard.d.ts.map
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@@ -0,0 +1 @@
|
|
|
1
|
+
{"version":3,"file":"standard.d.ts","sourceRoot":"","sources":["../../src/schema/standard.ts"],"names":[],"mappings":"AAAA;;;;;GAKG;AAEH,MAAM,WAAW,gBAAgB,CAAC,KAAK,GAAG,OAAO,EAAE,MAAM,GAAG,KAAK;IAC/D,QAAQ,CAAC,WAAW,EAAE,qBAAqB,CAAC,KAAK,EAAE,MAAM,CAAC,CAAC;CAC5D;AAED,MAAM,WAAW,qBAAqB,CAAC,KAAK,EAAE,MAAM;IAClD,QAAQ,CAAC,OAAO,EAAE,CAAC,CAAC;IACpB,QAAQ,CAAC,MAAM,EAAE,MAAM,CAAC;IACxB,QAAQ,CAAC,QAAQ,EAAE,CAAC,KAAK,EAAE,OAAO,KAAK,sBAAsB,CAAC,MAAM,CAAC,CAAC;IACtE,QAAQ,CAAC,KAAK,CAAC,EAAE,qBAAqB,CAAC,KAAK,EAAE,MAAM,CAAC,GAAG,SAAS,CAAC;CACnE;AAED,MAAM,MAAM,sBAAsB,CAAC,MAAM,IACrC,6BAA6B,CAAC,MAAM,CAAC,GACrC,6BAA6B,CAAC;AAElC,MAAM,WAAW,6BAA6B,CAAC,MAAM;IACnD,QAAQ,CAAC,KAAK,EAAE,MAAM,CAAC;IACvB,QAAQ,CAAC,MAAM,CAAC,EAAE,SAAS,CAAC;CAC7B;AAED,MAAM,WAAW,6BAA6B;IAC5C,QAAQ,CAAC,MAAM,EAAE,aAAa,CAAC,qBAAqB,CAAC,CAAC;CACvD;AAED,MAAM,WAAW,qBAAqB;IACpC,QAAQ,CAAC,OAAO,EAAE,MAAM,CAAC;IACzB,QAAQ,CAAC,IAAI,CAAC,EAAE,aAAa,CAAC,WAAW,CAAC,GAAG,SAAS,CAAC;CACxD;AAED,MAAM,WAAW,qBAAqB,CAAC,KAAK,EAAE,MAAM;IAClD,QAAQ,CAAC,KAAK,EAAE,KAAK,CAAC;IACtB,QAAQ,CAAC,MAAM,EAAE,MAAM,CAAC;CACzB"}
|
|
@@ -0,0 +1,8 @@
|
|
|
1
|
+
/**
|
|
2
|
+
* The Standard Schema v1 interface (https://standardschema.dev).
|
|
3
|
+
*
|
|
4
|
+
* TotalFinance schemas implement this so users can plug them into any Standard-Schema-aware tool
|
|
5
|
+
* (form libraries, RPC frameworks, etc.) without TotalFinance taking a dependency on a validator.
|
|
6
|
+
*/
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export {};
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//# sourceMappingURL=standard.js.map
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{"version":3,"file":"standard.js","sourceRoot":"","sources":["../../src/schema/standard.ts"],"names":[],"mappings":"AAAA;;;;;GAKG"}
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/**
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* Option symbology (spec §7.7) — OCC / OPRA option symbols.
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3
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*
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4
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* OCC symbol layout (the "compact" OSI form): `<ROOT><YYMMDD><C|P><STRIKE×1000, 8 digits>`,
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* e.g. `AAPL260918C00105000` = AAPL, 2026-09-18, call, strike 105.000. The fixed-width tail
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6
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* (6 date + 1 type + 8 strike = 15 chars) lets us parse regardless of root padding.
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*/
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import type { OptionType } from './contracts.js';
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export interface OccOptionSymbol {
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root: string;
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/** ISO `YYYY-MM-DD`. */
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expiry: string;
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/** Resolved expiry instant (one expiry law, E2): OCC symbols are always US-equity date-only. */
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expiresAt: number;
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expiryConvention: 'us-equity-close';
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type: OptionType;
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strike: number;
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}
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/** Parse an OCC option symbol into its components. */
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export declare function parseOccSymbol(symbol: string): OccOptionSymbol;
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/**
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* Whether `symbol` is an OCC option symbol: true exactly when the OCC grammar accepts it — the
|
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23
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* same parse {@link parseOccSymbol} performs before resolving the expiry instant. The grammar lives
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24
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* in one place; this only asks the question, so a broker or a plan can refuse to treat an option
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25
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* contract as a share without re-describing the symbol layout or bundling the session calendar.
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26
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*/
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27
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export declare function isOccOptionSymbol(symbol: string): boolean;
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/** Format option components into a compact OCC option symbol. */
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export declare function formatOccSymbol(option: Pick<OccOptionSymbol, 'root' | 'expiry' | 'type' | 'strike'>): string;
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//# sourceMappingURL=symbology.d.ts.map
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{"version":3,"file":"symbology.d.ts","sourceRoot":"","sources":["../src/symbology.ts"],"names":[],"mappings":"AAAA;;;;;;GAMG;AAMH,OAAO,KAAK,EAAE,UAAU,EAAE,MAAM,gBAAgB,CAAC;AAEjD,MAAM,WAAW,eAAe;IAC9B,IAAI,EAAE,MAAM,CAAC;IACb,wBAAwB;IACxB,MAAM,EAAE,MAAM,CAAC;IACf,gGAAgG;IAChG,SAAS,EAAE,MAAM,CAAC;IAClB,gBAAgB,EAAE,iBAAiB,CAAC;IACpC,IAAI,EAAE,UAAU,CAAC;IACjB,MAAM,EAAE,MAAM,CAAC;CAChB;AAkED,sDAAsD;AACtD,wBAAgB,cAAc,CAAC,MAAM,EAAE,MAAM,GAAG,eAAe,CAS9D;AAED;;;;;GAKG;AACH,wBAAgB,iBAAiB,CAAC,MAAM,EAAE,MAAM,GAAG,OAAO,CAczD;AAED,iEAAiE;AACjE,wBAAgB,eAAe,CAG7B,MAAM,EAAE,IAAI,CAAC,eAAe,EAAE,MAAM,GAAG,QAAQ,GAAG,MAAM,GAAG,QAAQ,CAAC,GACnE,MAAM,CAyCR"}
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1
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/**
|
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2
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+
* Option symbology (spec §7.7) — OCC / OPRA option symbols.
|
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3
|
+
*
|
|
4
|
+
* OCC symbol layout (the "compact" OSI form): `<ROOT><YYMMDD><C|P><STRIKE×1000, 8 digits>`,
|
|
5
|
+
* e.g. `AAPL260918C00105000` = AAPL, 2026-09-18, call, strike 105.000. The fixed-width tail
|
|
6
|
+
* (6 date + 1 type + 8 strike = 15 chars) lets us parse regardless of root padding.
|
|
7
|
+
*/
|
|
8
|
+
import { ErrorCode, InputError } from './errors.js';
|
|
9
|
+
import { requireArgumentObject } from './invariants.js';
|
|
10
|
+
import { parseIsoDate } from './dates.js';
|
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11
|
+
import { resolvedExpiry } from './time.js';
|
|
12
|
+
const STRIKE_DIGITS = 8;
|
|
13
|
+
const TAIL = 15; // YYMMDD(6) + C/P(1) + strike(8)
|
|
14
|
+
/**
|
|
15
|
+
* The one OCC grammar: a fixed-width tail, `C`/`P`, an eight-digit strike in thousandths, a real
|
|
16
|
+
* calendar date, a non-empty root. Anything else throws a typed InputError. Kept apart from expiry
|
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17
|
+
* resolution so a predicate can ask the grammar without bundling the session calendar.
|
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18
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+
*/
|
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+
function occSymbolParts(symbol) {
|
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20
|
+
const raw = symbol.trim();
|
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21
|
+
if (raw.length < TAIL + 1) {
|
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|
+
throw new InputError(`occSymbolParts: "${symbol}" is too short to be an OCC option symbol.`, {
|
|
23
|
+
code: ErrorCode.InputWrongType,
|
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24
|
+
context: { field: 'occSymbol', value: symbol },
|
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25
|
+
});
|
|
26
|
+
}
|
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27
|
+
const strikeStr = raw.slice(-STRIKE_DIGITS);
|
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28
|
+
const typeChar = raw.slice(-(STRIKE_DIGITS + 1), -STRIKE_DIGITS).toUpperCase();
|
|
29
|
+
const yymmdd = raw.slice(-TAIL, -(STRIKE_DIGITS + 1));
|
|
30
|
+
// Uppercase the root so parse/format round-trip symmetrically (format uppercases too).
|
|
31
|
+
const root = raw.slice(0, -TAIL).trim().toUpperCase();
|
|
32
|
+
if (!/^\d{8}$/.test(strikeStr) ||
|
|
33
|
+
!/^\d{6}$/.test(yymmdd) ||
|
|
34
|
+
(typeChar !== 'C' && typeChar !== 'P')) {
|
|
35
|
+
throw new InputError(`occSymbolParts: "${symbol}" is not a valid OCC option symbol.`, {
|
|
36
|
+
code: ErrorCode.InputWrongType,
|
|
37
|
+
context: { field: 'occSymbol', value: symbol },
|
|
38
|
+
});
|
|
39
|
+
}
|
|
40
|
+
if (root.length === 0) {
|
|
41
|
+
throw new InputError(`occSymbolParts: "${symbol}" is missing a root symbol.`, {
|
|
42
|
+
code: ErrorCode.InputMissingField,
|
|
43
|
+
context: { field: 'root', value: symbol },
|
|
44
|
+
});
|
|
45
|
+
}
|
|
46
|
+
const expiry = `20${yymmdd.slice(0, 2)}-${yymmdd.slice(2, 4)}-${yymmdd.slice(4, 6)}`;
|
|
47
|
+
parseIsoDate(expiry); // reject impossible dates like 2099-13-32 (throws InputOutOfRange)
|
|
48
|
+
const strike = Number(strikeStr) / 1000;
|
|
49
|
+
// A `00000000` strike is not a contract: no listed option has strike 0, and the parse result
|
|
50
|
+
// could never round-trip (formatOccSymbol rejects strike <= 0 with this same message).
|
|
51
|
+
if (!(strike > 0)) {
|
|
52
|
+
throw new InputError(`occSymbolParts: Strike must be > 0, received ${strike}.`, {
|
|
53
|
+
code: ErrorCode.InputOutOfRange,
|
|
54
|
+
context: { field: 'strike', value: strike },
|
|
55
|
+
});
|
|
56
|
+
}
|
|
57
|
+
return { root, expiry, type: typeChar === 'C' ? 'call' : 'put', strike };
|
|
58
|
+
}
|
|
59
|
+
/** Parse an OCC option symbol into its components. */
|
|
60
|
+
export function parseOccSymbol(symbol) {
|
|
61
|
+
const { root, expiry, type, strike } = occSymbolParts(symbol);
|
|
62
|
+
return {
|
|
63
|
+
root,
|
|
64
|
+
expiry,
|
|
65
|
+
...resolvedExpiry(expiry),
|
|
66
|
+
type,
|
|
67
|
+
strike,
|
|
68
|
+
};
|
|
69
|
+
}
|
|
70
|
+
/**
|
|
71
|
+
* Whether `symbol` is an OCC option symbol: true exactly when the OCC grammar accepts it — the
|
|
72
|
+
* same parse {@link parseOccSymbol} performs before resolving the expiry instant. The grammar lives
|
|
73
|
+
* in one place; this only asks the question, so a broker or a plan can refuse to treat an option
|
|
74
|
+
* contract as a share without re-describing the symbol layout or bundling the session calendar.
|
|
75
|
+
*/
|
|
76
|
+
export function isOccOptionSymbol(symbol) {
|
|
77
|
+
if (typeof symbol !== 'string') {
|
|
78
|
+
throw new InputError(`isOccOptionSymbol: symbol must be a string. Received ${symbol === null ? 'null' : typeof symbol}.`, { code: ErrorCode.InputWrongType, context: { field: 'symbol' } });
|
|
79
|
+
}
|
|
80
|
+
try {
|
|
81
|
+
occSymbolParts(symbol);
|
|
82
|
+
return true;
|
|
83
|
+
}
|
|
84
|
+
catch (error) {
|
|
85
|
+
if (error instanceof InputError)
|
|
86
|
+
return false;
|
|
87
|
+
throw error;
|
|
88
|
+
}
|
|
89
|
+
}
|
|
90
|
+
/** Format option components into a compact OCC option symbol. */
|
|
91
|
+
export function formatOccSymbol(
|
|
92
|
+
// Formatting needs only the four symbol components — parse output (which also carries the
|
|
93
|
+
// resolved expiry instant) still round-trips, and format callers need not resolve first.
|
|
94
|
+
option) {
|
|
95
|
+
requireArgumentObject('formatOccSymbol', 'option', option);
|
|
96
|
+
// NO key closure, deliberately: parse output (which also carries `expiresAt`) round-trips
|
|
97
|
+
// through format by documented contract — the option is a decorated parse artifact.
|
|
98
|
+
if (typeof option.root !== 'string' || option.root.length === 0) {
|
|
99
|
+
throw new InputError(`formatOccSymbol: root must be a non-empty underlying root — formatOccSymbol({ root: 'AAPL', expiry: '2026-06-19', type: 'call', strike: 210 }). Received ${option.root === null ? 'null' : option.root === undefined ? 'undefined' : typeof option.root}.`, { code: ErrorCode.InputWrongType, context: { field: 'root' } });
|
|
100
|
+
}
|
|
101
|
+
// Validate the real calendar date (not just the shape) so we never emit a garbage symbol.
|
|
102
|
+
const { year, month, day } = parseIsoDate(option.expiry);
|
|
103
|
+
if (!(option.strike > 0)) {
|
|
104
|
+
throw new InputError(`formatOccSymbol: Strike must be > 0, received ${option.strike}.`, {
|
|
105
|
+
code: ErrorCode.InputOutOfRange,
|
|
106
|
+
context: { field: 'strike', value: option.strike },
|
|
107
|
+
});
|
|
108
|
+
}
|
|
109
|
+
const yy = String(year).slice(2);
|
|
110
|
+
const date = `${yy}${String(month).padStart(2, '0')}${String(day).padStart(2, '0')}`;
|
|
111
|
+
// Option type changes the meaning of the whole symbol — never coerce 'CALL'/'C'/typos to a put.
|
|
112
|
+
if (option.type !== 'call' && option.type !== 'put') {
|
|
113
|
+
throw new InputError(`formatOccSymbol: type must be 'call' or 'put' (lowercase). Received ${JSON.stringify(option.type)}.`, { code: ErrorCode.InputInvalidEnum, context: { field: 'type', value: option.type } });
|
|
114
|
+
}
|
|
115
|
+
const typeChar = option.type === 'call' ? 'C' : 'P';
|
|
116
|
+
const strikeThousandths = Math.round(option.strike * 1000);
|
|
117
|
+
const strikeStr = String(strikeThousandths).padStart(STRIKE_DIGITS, '0');
|
|
118
|
+
if (strikeStr.length > STRIKE_DIGITS) {
|
|
119
|
+
throw new InputError(`formatOccSymbol: Strike ${option.strike} is too large for an OCC symbol.`, {
|
|
120
|
+
code: ErrorCode.InputOutOfRange,
|
|
121
|
+
context: { field: 'strike', value: option.strike },
|
|
122
|
+
});
|
|
123
|
+
}
|
|
124
|
+
return `${option.root.trim().toUpperCase()}${date}${typeChar}${strikeStr}`;
|
|
125
|
+
}
|
|
126
|
+
//# sourceMappingURL=symbology.js.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
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/**
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2
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* Time primitives (spec §7.2).
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*
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* The internal contract is Unix epoch milliseconds. Core calculations NEVER read the system clock;
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* `asOf` is always injected by the caller (design law #5).
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*/
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import { type HolidayRule } from './calendar.js';
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/** Unix epoch milliseconds. */
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export type EpochMs = number;
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/** Day-count conventions supported in the 0.0.1 surface. */
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export type DayCount = 'ACT/365F' | 'ACT/360' | '30/360';
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12
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/** Interest compounding conventions. */
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/**
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* The ONE public interest-compounding grammar (FC0). Every rate-bearing contract in the library
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* quotes its compounding in this vocabulary — the former core `'continuous' | 'simple'` pair and
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* fixed-income's separate curve grammar (with its bare-number periodic form) are unified here,
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* with no compatibility aliases (pre-1.0). The object form names its meaning: a bare `12` said
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* nothing about being periods-per-year.
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*/
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export type InterestCompounding = 'simple' | 'continuous' | 'annual' | 'semiannual' | 'quarterly' | 'monthly' | {
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type: 'periodic';
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periodsPerYear: number;
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};
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/**
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* US equity/options early-close (13:00 ET) rules — the ONE table, consumed by `@insiderfinance/totalfinance/calendars`
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26
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* as well: the day after Thanksgiving, and 24 December and 3 July when they fall on a weekday and
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* are not themselves the observed Christmas / Independence Day holiday. A rule returns the
|
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* candidate date for a year; {@link isUsEquityHalfDay} applies the weekday/observance exclusions.
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*/
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export declare const US_EQUITY_HALF_DAY_RULES: readonly HolidayRule[];
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/**
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* Whether a `YYYY-MM-DD` calendar date is a US equity/options early-close day (13:00 ET). Applies
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* {@link US_EQUITY_HALF_DAY_RULES} with the weekend and observed-holiday exclusions, so
|
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34
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+
* 2021-12-24 (the observed Christmas holiday) and 2026-07-03 (the observed Independence Day
|
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35
|
+
* holiday) are full closures, not half days.
|
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+
*/
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37
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+
export declare function isUsEquityHalfDay(date: string): boolean;
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38
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+
/**
|
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39
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+
* UTC epoch-ms for the **US equity/options market close** on a calendar date — 16:00
|
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40
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+
* America/New_York, or 13:00 on an early-close day ({@link isUsEquityHalfDay}) — DST-aware via
|
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41
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* `Intl`. Use it to resolve a *date-only* option expiry to its end-of-session instant instead of
|
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42
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+
* UTC midnight, so a contract stays alive through its expiry trading day. This encodes US-equity
|
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43
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* hours specifically; it is not a generic exchange close.
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+
*/
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45
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+
export declare function usEquityCloseUtcMs(year: number, month: number, day: number): EpochMs;
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46
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+
/**
|
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47
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+
* The instant of a US equity/options session boundary on a `YYYY-MM-DD` date — the one-call way
|
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48
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+
* to say "as of today's close" without remembering the DST offset:
|
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49
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+
*
|
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50
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+
* ```ts
|
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51
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+
* market({ spot: 195.3, riskFreeRate: 0.045, volatility: 0.24, asOf: usEquitySessionInstant('2026-07-20', 'close') })
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52
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+
* ```
|
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53
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+
*
|
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54
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+
* `'open'` is 09:30 ET; `'close'` is 16:00 ET, or 13:00 ET on an early-close day. Weekends and
|
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55
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+
* holidays are not rejected here (the instant still exists); use `@insiderfinance/totalfinance/calendars` to ask
|
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56
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+
* whether the market was open.
|
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57
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+
*/
|
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58
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+
export declare function usEquitySessionInstant(date: string, session: 'open' | 'close'): EpochMs;
|
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59
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+
/**
|
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60
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+
* The US equity/options market's calendar DAY an instant falls on, as a whole-day index (days since
|
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61
|
+
* the epoch of the America/New_York calendar date). Differencing two indices gives whole CALENDAR
|
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62
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+
* DAYS between two market dates; equality means "same trading date". This is the ONE day boundary
|
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63
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+
* shared by 0DTE classification, days-to-expiry counts and earnings day counts: expiries resolve to
|
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64
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+
* 16:00 ET (20:00/21:00 UTC), so a UTC-day comparison is already "tomorrow" between 20:00 and
|
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65
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+
* 23:59 ET. Pure and clock-free.
|
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66
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+
*/
|
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67
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+
export declare function usEquityMarketDayIndex(epochMs: EpochMs): number;
|
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68
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+
/**
|
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69
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+
* UTC-midnight epoch of the market DATE an instant falls on — the anchor for weekday / day-of-month
|
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70
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+
* arithmetic (`getUTCDay()` on it is the ET weekday) and for whole-day counts against date labels.
|
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71
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+
*/
|
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72
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+
export declare function usEquityMarketDateUtcMs(epochMs: EpochMs): EpochMs;
|
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73
|
+
/**
|
|
74
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+
* Parse an option-expiry label to epoch-ms. A bare `YYYY-MM-DD` resolves to {@link usEquityCloseUtcMs}
|
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75
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+
* (16:00 ET) — not UTC midnight — so an intraday `asOf` on the expiry date still sees positive
|
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76
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+
* time-to-expiry; a full datetime string is parsed as-is. Throws on an unparseable value.
|
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+
*/
|
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78
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+
export declare function optionExpiryToMs(expiry: string): EpochMs;
|
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79
|
+
/**
|
|
80
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+
* Resolve a DATE-GRANULAR `asOf` to epoch ms — ledgers, calendars, fundamentals, performance and
|
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81
|
+
* research windows, where "as of 2026-07-06" means the calendar date. Deterministic by
|
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82
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+
* construction: bare dates resolve to UTC midnight, datetimes require an explicit zone, and
|
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83
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+
* anything else throws a teaching error (never a machine-local parse).
|
|
84
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+
*
|
|
85
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+
* Option-pricing paths must NOT use this door: a bare date hides the time of day that a same-day
|
|
86
|
+
* option's value depends on. They resolve through {@link resolveValuationAsOf}, which rejects a
|
|
87
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+
* date-only `asOf` with the fix.
|
|
88
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+
*/
|
|
89
|
+
export declare function resolveAsOf(asOf: EpochMs | string, functionName?: string): EpochMs;
|
|
90
|
+
/**
|
|
91
|
+
* Resolve a VALUATION instant (`asOf`) to epoch ms — the door every option-pricing path uses
|
|
92
|
+
* (options, strategy, volatility, structure, scenarios, risk marking). Accepts finite epoch
|
|
93
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+
* milliseconds or a zoned ISO datetime. A date-only string is REJECTED with the fix: the time of
|
|
94
|
+
* day is the whole answer for a same-day option (a bare date resolved to UTC midnight valued a
|
|
95
|
+
* 0DTE at 10:30 ET with 3.6× its remaining life), and the expiry side already refuses a bare date
|
|
96
|
+
* that does not name its instant. `usEquitySessionInstant(date, 'close')` is the one-call form
|
|
97
|
+
* for an end-of-day mark.
|
|
98
|
+
*/
|
|
99
|
+
export declare function resolveValuationAsOf(asOf: EpochMs | string, functionName?: string): EpochMs;
|
|
100
|
+
/**
|
|
101
|
+
* ONE expiry law, cross-field (E2): validate that a resolved option-expiry triple —
|
|
102
|
+
* `expiry` label, `expiresAt` instant, `expiryConvention` — is internally consistent:
|
|
103
|
+
*
|
|
104
|
+
* - the label parses, and its form matches the convention (date-only ⇔ `us-equity-close`,
|
|
105
|
+
* zoned datetime ⇔ `explicit-instant`);
|
|
106
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+
* - `expiresAt` is the finite instant the label resolves to under that convention.
|
|
107
|
+
*
|
|
108
|
+
* Shared by the contract schema and the pro pricing entrypoints, so a hand-assembled or
|
|
109
|
+
* post-hoc-edited contract can never smuggle a contradictory resolution past an engine.
|
|
110
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+
*/
|
|
111
|
+
export declare function validateResolvedExpiry(functionName: string, expiry: string, expiresAt: unknown, expiryConvention: unknown): void;
|
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112
|
+
/**
|
|
113
|
+
* Resolve an expiry label to the REQUIRED contract fields (E2): the spreadable
|
|
114
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+
* `{ expiresAt, expiryConvention }` pair for constructing an `OptionContract` from a label —
|
|
115
|
+
* the same resolution the option builders stamp. Prefer the builders for user-facing code;
|
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116
|
+
* this exists for adapters and tests assembling contracts inline.
|
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117
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+
*/
|
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118
|
+
export declare function resolvedExpiry(expiry: string): {
|
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119
|
+
expiresAt: EpochMs;
|
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120
|
+
expiryConvention: 'us-equity-close' | 'explicit-instant';
|
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121
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+
};
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+
//# sourceMappingURL=time.d.ts.map
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@@ -0,0 +1 @@
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1
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+
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