@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 +1,31 @@
1
+ /**
2
+ * The observation's derived blocks (Stage 7B.1 slice 2, Decision 4): feature recipes evaluated over
3
+ * the bars at or before the instant — never a later row, never a whole-series statistic — and the
4
+ * freshness of every instrument's latest observation under the execution policy's staleness rule.
5
+ */
6
+ import type { Bar, EpochMs } from '../../../core/dist/index.js';
7
+ import type { ExecutionPolicy } from '../execution/types.js';
8
+ import type { InstrumentSpecification, LatestObservations } from '../portfolio/types.js';
9
+ import type { EnvironmentFeatures, FeatureRecipes, InstrumentFreshness } from './types.js';
10
+ /** Per instrument, the bar closes in time order — the prefix at or before an instant is a feature's whole world. */
11
+ export interface FeatureIndex {
12
+ readonly closes: ReadonlyMap<string, {
13
+ timestamps: readonly EpochMs[];
14
+ closes: readonly number[];
15
+ }>;
16
+ }
17
+ export declare function createFeatureIndex(bars: readonly Bar[] | undefined): FeatureIndex;
18
+ export declare function featuresAt(index: FeatureIndex, recipes: FeatureRecipes | undefined, instruments: Readonly<Record<string, InstrumentSpecification>>, asOf: EpochMs): EnvironmentFeatures;
19
+ /** The timestamp of an instrument's latest observation of any kind, and the kinds present. */
20
+ export declare function latestObservationTimestamp(latest: LatestObservations): {
21
+ timestampMs: EpochMs | null;
22
+ kinds: string[];
23
+ };
24
+ /**
25
+ * The timestamp of the observation the execution policy fills on — the policy's kind for a listed
26
+ * instrument, the chain quote for an option — or null when that kind is absent; the age the
27
+ * staleness rule measures.
28
+ */
29
+ export declare function policyObservationTimestamp(spec: InstrumentSpecification, latest: LatestObservations, policy: ExecutionPolicy): EpochMs | null;
30
+ export declare function freshnessAt(observations: Readonly<Record<string, LatestObservations>>, instruments: Readonly<Record<string, InstrumentSpecification>>, policy: ExecutionPolicy, asOf: EpochMs): Record<string, InstrumentFreshness>;
31
+ //# sourceMappingURL=features.d.ts.map
@@ -0,0 +1 @@
1
+ {"version":3,"file":"features.d.ts","sourceRoot":"","sources":["../../src/environment/features.ts"],"names":[],"mappings":"AAAA;;;;GAIG;AACH,OAAO,KAAK,EAAE,GAAG,EAAE,OAAO,EAAE,MAAM,6BAAoB,CAAC;AAGvD,OAAO,KAAK,EAAE,eAAe,EAAE,MAAM,uBAAuB,CAAC;AAC7D,OAAO,KAAK,EAAE,uBAAuB,EAAE,kBAAkB,EAAE,MAAM,uBAAuB,CAAC;AACzF,OAAO,KAAK,EAAE,mBAAmB,EAAE,cAAc,EAAE,mBAAmB,EAAE,MAAM,YAAY,CAAC;AAE3F,oHAAoH;AACpH,MAAM,WAAW,YAAY;IAC3B,QAAQ,CAAC,MAAM,EAAE,WAAW,CAC1B,MAAM,EACN;QAAE,UAAU,EAAE,SAAS,OAAO,EAAE,CAAC;QAAC,MAAM,EAAE,SAAS,MAAM,EAAE,CAAA;KAAE,CAC9D,CAAC;CACH;AAED,wBAAgB,kBAAkB,CAAC,IAAI,EAAE,SAAS,GAAG,EAAE,GAAG,SAAS,GAAG,YAAY,CAgBjF;AAcD,wBAAgB,UAAU,CACxB,KAAK,EAAE,YAAY,EACnB,OAAO,EAAE,cAAc,GAAG,SAAS,EACnC,WAAW,EAAE,QAAQ,CAAC,MAAM,CAAC,MAAM,EAAE,uBAAuB,CAAC,CAAC,EAC9D,IAAI,EAAE,OAAO,GACZ,mBAAmB,CAyDrB;AAED,8FAA8F;AAC9F,wBAAgB,0BAA0B,CAAC,MAAM,EAAE,kBAAkB,GAAG;IACtE,WAAW,EAAE,OAAO,GAAG,IAAI,CAAC;IAC5B,KAAK,EAAE,MAAM,EAAE,CAAC;CACjB,CAeA;AAED;;;;GAIG;AACH,wBAAgB,0BAA0B,CACxC,IAAI,EAAE,uBAAuB,EAC7B,MAAM,EAAE,kBAAkB,EAC1B,MAAM,EAAE,eAAe,GACtB,OAAO,GAAG,IAAI,CAahB;AAED,wBAAgB,WAAW,CACzB,YAAY,EAAE,QAAQ,CAAC,MAAM,CAAC,MAAM,EAAE,kBAAkB,CAAC,CAAC,EAC1D,WAAW,EAAE,QAAQ,CAAC,MAAM,CAAC,MAAM,EAAE,uBAAuB,CAAC,CAAC,EAC9D,MAAM,EAAE,eAAe,EACvB,IAAI,EAAE,OAAO,GACZ,MAAM,CAAC,MAAM,EAAE,mBAAmB,CAAC,CAmBrC"}
@@ -0,0 +1,157 @@
1
+ import { standardDeviation } from '../../../math/dist/index.js';
2
+ import { logReturns } from '../../../performance/dist/index.js';
3
+ export function createFeatureIndex(bars) {
4
+ const grouped = new Map();
5
+ for (const bar of bars ?? []) {
6
+ const rows = grouped.get(bar.symbol);
7
+ if (rows === undefined)
8
+ grouped.set(bar.symbol, [bar]);
9
+ else
10
+ rows.push(bar);
11
+ }
12
+ const closes = new Map();
13
+ for (const [symbol, rows] of grouped) {
14
+ rows.sort((a, b) => a.timestampMs - b.timestampMs);
15
+ closes.set(symbol, {
16
+ timestamps: rows.map((r) => r.timestampMs),
17
+ closes: rows.map((r) => r.close),
18
+ });
19
+ }
20
+ return { closes };
21
+ }
22
+ /** The count of bars with `timestampMs <= asOf` (binary search on the ascending timestamps). */
23
+ function prefixLength(timestamps, asOf) {
24
+ let low = 0;
25
+ let high = timestamps.length;
26
+ while (low < high) {
27
+ const mid = (low + high) >>> 1;
28
+ if (timestamps[mid] <= asOf)
29
+ low = mid + 1;
30
+ else
31
+ high = mid;
32
+ }
33
+ return low;
34
+ }
35
+ export function featuresAt(index, recipes, instruments, asOf) {
36
+ const lookbackReturns = {};
37
+ const realizedVolatility = {};
38
+ const drawdown = {};
39
+ if (recipes === undefined)
40
+ return { lookbackReturns, realizedVolatility, drawdown };
41
+ const ids = Object.keys(instruments);
42
+ const prefixOf = (id) => {
43
+ const series = index.closes.get(id);
44
+ if (series === undefined)
45
+ return [];
46
+ return series.closes.slice(0, prefixLength(series.timestamps, asOf));
47
+ };
48
+ const prefixes = new Map(ids.map((id) => [id, prefixOf(id)]));
49
+ for (const lookback of recipes.lookbackReturns ?? []) {
50
+ const row = {};
51
+ for (const id of ids) {
52
+ const closes = prefixes.get(id);
53
+ const n = closes.length;
54
+ row[id] =
55
+ n > lookback && closes[n - 1 - lookback] > 0
56
+ ? closes[n - 1] / closes[n - 1 - lookback] - 1
57
+ : null;
58
+ }
59
+ lookbackReturns[String(lookback)] = row;
60
+ }
61
+ if (recipes.realizedVolatility !== undefined) {
62
+ // The recipe states its bars per year (validated present and positive); no silent 252.
63
+ const scale = Math.sqrt(recipes.realizedVolatility.annualization);
64
+ for (const lookback of recipes.realizedVolatility.lookbacks) {
65
+ const row = {};
66
+ for (const id of ids) {
67
+ const closes = prefixes.get(id);
68
+ const n = closes.length;
69
+ if (n <= lookback || lookback < 2) {
70
+ row[id] = null;
71
+ continue;
72
+ }
73
+ const window = closes.slice(n - 1 - lookback);
74
+ const returns = logReturns(window);
75
+ const sigma = standardDeviation(returns) * scale;
76
+ row[id] = Number.isFinite(sigma) ? sigma : null;
77
+ }
78
+ realizedVolatility[String(lookback)] = row;
79
+ }
80
+ }
81
+ if (recipes.drawdown === true) {
82
+ for (const id of ids) {
83
+ const closes = prefixes.get(id);
84
+ if (closes.length === 0) {
85
+ drawdown[id] = null;
86
+ continue;
87
+ }
88
+ let peak = -Infinity;
89
+ for (const close of closes)
90
+ if (close > peak)
91
+ peak = close;
92
+ drawdown[id] = peak > 0 ? 1 - closes[closes.length - 1] / peak : null;
93
+ }
94
+ }
95
+ return { lookbackReturns, realizedVolatility, drawdown };
96
+ }
97
+ /** The timestamp of an instrument's latest observation of any kind, and the kinds present. */
98
+ export function latestObservationTimestamp(latest) {
99
+ const kinds = [];
100
+ let timestampMs = null;
101
+ const consider = (kind, at) => {
102
+ if (at === undefined)
103
+ return;
104
+ kinds.push(kind);
105
+ if (timestampMs === null || at > timestampMs)
106
+ timestampMs = at;
107
+ };
108
+ consider('bar', latest.bar?.timestampMs);
109
+ consider('quote', latest.quote?.timestampMs);
110
+ consider('trade', latest.trade?.timestampMs);
111
+ consider('order-book', latest.orderBook?.timestampMs);
112
+ consider('chain-quote', latest.chainQuote?.timestampMs);
113
+ if (latest.forwardRate !== undefined)
114
+ kinds.push('forward-rate');
115
+ return { timestampMs, kinds };
116
+ }
117
+ /**
118
+ * The timestamp of the observation the execution policy fills on — the policy's kind for a listed
119
+ * instrument, the chain quote for an option — or null when that kind is absent; the age the
120
+ * staleness rule measures.
121
+ */
122
+ export function policyObservationTimestamp(spec, latest, policy) {
123
+ if (spec.kind === 'option')
124
+ return latest.chainQuote?.timestampMs ?? null;
125
+ if (spec.kind === 'fx-forward')
126
+ return latestObservationTimestamp(latest).timestampMs;
127
+ switch (policy.observation) {
128
+ case 'bar':
129
+ return latest.bar?.timestampMs ?? null;
130
+ case 'quote':
131
+ return latest.quote?.timestampMs ?? null;
132
+ case 'trade':
133
+ return latest.trade?.timestampMs ?? null;
134
+ case 'order-book':
135
+ return latest.orderBook?.timestampMs ?? null;
136
+ }
137
+ }
138
+ export function freshnessAt(observations, instruments, policy, asOf) {
139
+ const out = {};
140
+ const limit = policy.staleQuotes.maximumAgeMs;
141
+ for (const [id, latest] of Object.entries(observations)) {
142
+ const { kinds } = latestObservationTimestamp(latest);
143
+ const spec = instruments[id];
144
+ const timestampMs = spec === undefined
145
+ ? latestObservationTimestamp(latest).timestampMs
146
+ : policyObservationTimestamp(spec, latest, policy);
147
+ const ageMs = timestampMs === null ? null : asOf - timestampMs;
148
+ out[id] = {
149
+ latestTimestampMs: timestampMs,
150
+ ageMs,
151
+ stale: limit !== null && ageMs !== null && ageMs > limit,
152
+ kinds,
153
+ };
154
+ }
155
+ return out;
156
+ }
157
+ //# sourceMappingURL=features.js.map
@@ -0,0 +1 @@
1
+ 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@@ -0,0 +1,14 @@
1
+ /**
2
+ * `@insiderfinance/totalfinance/backtest/environment` — the deterministic trading-agent environment (Stage 7B.1, AT4).
3
+ * `createTradingEnvironment` drives `portfolioBacktest`'s own loop from outside with the familiar
4
+ * `reset` / `step` contract: the next-observation law, real open orders with cancel/replace and
5
+ * idempotent retry, typed rejections that never throw, and a chained trace identity.
6
+ */
7
+ export { createTradingEnvironment } from './environment.js';
8
+ export { AGENT_BENCH_RUN_CEILING, agentBaselines, runAgentBench, scoreAgentTranscript, } from './bench.js';
9
+ export type { BaselinePolicy } from './bench.js';
10
+ export { requireEnvironmentEpisodeInput, runEnvironmentEpisode } from './episode.js';
11
+ export { ENVIRONMENT_EPISODE_IDS, environmentEpisode, listEnvironmentEpisodes, } from './episodes.js';
12
+ export { MAXIMUM_ENVIRONMENT_STEPS, RATIONALE_BYTE_LIMIT, requireEnvironmentAction, requireEnvironmentLimits, requireEnvironmentOrder, requireFeatureRecipes, requireRewardComposition, requireTradingEnvironmentDefinition, } from './validate.js';
13
+ export type { ActionMask, AgentBenchEpisodeReport, AgentBenchInput, AgentBenchOperational, AgentBenchReport, AgentBenchStrategy, AgentTranscript, AgentTranscriptCall, AgentTranscriptExpectation, AgentTranscriptScore, ActionMaskEntry, EnvironmentAction, EnvironmentEpisode, EnvironmentEpisodeId, EnvironmentEpisodeInput, EnvironmentEpisodeResult, EnvironmentEpisodeStep, EnvironmentFeatures, EnvironmentIdentity, EnvironmentLimits, EnvironmentLimitsView, EnvironmentObservation, EnvironmentOrder, EnvironmentPortfolioView, EnvironmentProvenance, EnvironmentRejection, EnvironmentRejectionCode, EnvironmentResetOptions, EnvironmentResetResult, EnvironmentStepOutcome, EnvironmentStepResult, EpisodeInformation, FeatureRecipes, InstrumentFreshness, LimitBreach, LimitUtilization, MaskReason, OpenOrder, OpenOrderReason, RewardBreakdown, RewardComponent, RewardComposition, RewardFrame, TradingEnvironment, TradingEnvironmentDefinition, TradingPolicy, } from './types.js';
14
+ //# sourceMappingURL=index.d.ts.map
@@ -0,0 +1 @@
1
+ {"version":3,"file":"index.d.ts","sourceRoot":"","sources":["../../src/environment/index.ts"],"names":[],"mappings":"AAAA;;;;;GAKG;AAEH,OAAO,EAAE,wBAAwB,EAAE,MAAM,kBAAkB,CAAC;AAC5D,OAAO,EACL,uBAAuB,EACvB,cAAc,EACd,aAAa,EACb,oBAAoB,GACrB,MAAM,YAAY,CAAC;AACpB,YAAY,EAAE,cAAc,EAAE,MAAM,YAAY,CAAC;AACjD,OAAO,EAAE,8BAA8B,EAAE,qBAAqB,EAAE,MAAM,cAAc,CAAC;AACrF,OAAO,EACL,uBAAuB,EACvB,kBAAkB,EAClB,uBAAuB,GACxB,MAAM,eAAe,CAAC;AACvB,OAAO,EACL,yBAAyB,EACzB,oBAAoB,EACpB,wBAAwB,EACxB,wBAAwB,EACxB,uBAAuB,EACvB,qBAAqB,EACrB,wBAAwB,EACxB,mCAAmC,GACpC,MAAM,eAAe,CAAC;AACvB,YAAY,EACV,UAAU,EACV,uBAAuB,EACvB,eAAe,EACf,qBAAqB,EACrB,gBAAgB,EAChB,kBAAkB,EAClB,eAAe,EACf,mBAAmB,EACnB,0BAA0B,EAC1B,oBAAoB,EACpB,eAAe,EACf,iBAAiB,EACjB,kBAAkB,EAClB,oBAAoB,EACpB,uBAAuB,EACvB,wBAAwB,EACxB,sBAAsB,EACtB,mBAAmB,EACnB,mBAAmB,EACnB,iBAAiB,EACjB,qBAAqB,EACrB,sBAAsB,EACtB,gBAAgB,EAChB,wBAAwB,EACxB,qBAAqB,EACrB,oBAAoB,EACpB,wBAAwB,EACxB,uBAAuB,EACvB,sBAAsB,EACtB,sBAAsB,EACtB,qBAAqB,EACrB,kBAAkB,EAClB,cAAc,EACd,mBAAmB,EACnB,WAAW,EACX,gBAAgB,EAChB,UAAU,EACV,SAAS,EACT,eAAe,EACf,eAAe,EACf,eAAe,EACf,iBAAiB,EACjB,WAAW,EACX,kBAAkB,EAClB,4BAA4B,EAC5B,aAAa,GACd,MAAM,YAAY,CAAC"}
@@ -0,0 +1,12 @@
1
+ /**
2
+ * `@insiderfinance/totalfinance/backtest/environment` — the deterministic trading-agent environment (Stage 7B.1, AT4).
3
+ * `createTradingEnvironment` drives `portfolioBacktest`'s own loop from outside with the familiar
4
+ * `reset` / `step` contract: the next-observation law, real open orders with cancel/replace and
5
+ * idempotent retry, typed rejections that never throw, and a chained trace identity.
6
+ */
7
+ export { createTradingEnvironment } from './environment.js';
8
+ export { AGENT_BENCH_RUN_CEILING, agentBaselines, runAgentBench, scoreAgentTranscript, } from './bench.js';
9
+ export { requireEnvironmentEpisodeInput, runEnvironmentEpisode } from './episode.js';
10
+ export { ENVIRONMENT_EPISODE_IDS, environmentEpisode, listEnvironmentEpisodes, } from './episodes.js';
11
+ export { MAXIMUM_ENVIRONMENT_STEPS, RATIONALE_BYTE_LIMIT, requireEnvironmentAction, requireEnvironmentLimits, requireEnvironmentOrder, requireFeatureRecipes, requireRewardComposition, requireTradingEnvironmentDefinition, } from './validate.js';
12
+ //# sourceMappingURL=index.js.map
@@ -0,0 +1 @@
1
+ {"version":3,"file":"index.js","sourceRoot":"","sources":["../../src/environment/index.ts"],"names":[],"mappings":"AAAA;;;;;GAKG;AAEH,OAAO,EAAE,wBAAwB,EAAE,MAAM,kBAAkB,CAAC;AAC5D,OAAO,EACL,uBAAuB,EACvB,cAAc,EACd,aAAa,EACb,oBAAoB,GACrB,MAAM,YAAY,CAAC;AAEpB,OAAO,EAAE,8BAA8B,EAAE,qBAAqB,EAAE,MAAM,cAAc,CAAC;AACrF,OAAO,EACL,uBAAuB,EACvB,kBAAkB,EAClB,uBAAuB,GACxB,MAAM,eAAe,CAAC;AACvB,OAAO,EACL,yBAAyB,EACzB,oBAAoB,EACpB,wBAAwB,EACxB,wBAAwB,EACxB,uBAAuB,EACvB,qBAAqB,EACrB,wBAAwB,EACxB,mCAAmC,GACpC,MAAM,eAAe,CAAC"}
@@ -0,0 +1,63 @@
1
+ /**
2
+ * Limits, the mask, and the projection (Stage 7B.1 slice 2, Decisions 5 and 6). Post-trade truth is
3
+ * FC7's `monitorPortfolio` over the engine's own valuation inputs with `policy: { limits }` — no
4
+ * limit arithmetic is written twice. Pre-trade, each queued order is projected at the current marks
5
+ * (a projection, not a guarantee) against the three ratios the monitor reports; the mask says, per
6
+ * instrument and side, whether any order is allowed and why not, and it is a promise the
7
+ * submission-time check keeps.
8
+ */
9
+ import type { EpochMs } from '../../../core/dist/index.js';
10
+ import { type PolicyLimits, type PortfolioMonitorState } from '../../../portfolio/dist/index.js';
11
+ import type { ExecutionPolicy } from '../execution/types.js';
12
+ import type { InstrumentSpecification, LatestObservations, PortfolioValuationInputs, SessionContext } from '../portfolio/types.js';
13
+ import type { ActionMask, EnvironmentLimits, EnvironmentLimitsView } from './types.js';
14
+ /** The FC7 members of the limits — what `monitorPortfolio` reads. */
15
+ export declare function policyLimitsOf(limits: EnvironmentLimits | undefined): PolicyLimits;
16
+ /** The observation kind the execution policy fills on is present for the instrument. */
17
+ export declare function tradableObservation(spec: InstrumentSpecification, latest: LatestObservations, policy: ExecutionPolicy): boolean;
18
+ export interface MaskInputs {
19
+ context: SessionContext;
20
+ policy: ExecutionPolicy;
21
+ limits: EnvironmentLimits | undefined;
22
+ nextInstant: EpochMs | undefined;
23
+ grossExposure: number;
24
+ buyingPower: number;
25
+ episodeOver: boolean;
26
+ }
27
+ export declare function buildActionMask(input: MaskInputs): ActionMask;
28
+ export interface ProjectionBook {
29
+ /** Signed quantity per instrument after the orders accepted so far. */
30
+ quantities: Map<string, number>;
31
+ /** Base-currency value per unit of quantity (mark × multiplier × fx), when known. */
32
+ unitValues: Map<string, number | null>;
33
+ grossExposure: number;
34
+ netAssetValue: number;
35
+ }
36
+ export declare function createProjectionBook(context: SessionContext, baseCurrency: string): ProjectionBook;
37
+ export interface ProjectionVerdict {
38
+ limit: 'maximumPositionWeight' | 'maximumPositionNotional' | 'maximumGrossLeverage';
39
+ detail: string;
40
+ }
41
+ /** Project one order onto the book; a breach names the limit, an acceptance updates the book. */
42
+ export declare function projectOrder(book: ProjectionBook, limits: EnvironmentLimits | undefined, order: {
43
+ instrumentId: string;
44
+ side: 'buy' | 'sell';
45
+ quantity: number;
46
+ }): ProjectionVerdict | null;
47
+ export interface PostTradeInputs {
48
+ valuation: PortfolioValuationInputs;
49
+ limits: EnvironmentLimits | undefined;
50
+ policy: ExecutionPolicy;
51
+ previousState: PortfolioMonitorState | null;
52
+ context: SessionContext;
53
+ grossExposure: number;
54
+ runningPeak: number;
55
+ previousNetAssetValue: number | null;
56
+ }
57
+ export interface PostTradeVerdict {
58
+ view: EnvironmentLimitsView;
59
+ state: PortfolioMonitorState | null;
60
+ }
61
+ /** The FC7 monitor over the engine's valuation inputs; the utilization is the dashboard, the monitor is the judge. */
62
+ export declare function evaluatePostTrade(input: PostTradeInputs): PostTradeVerdict;
63
+ //# sourceMappingURL=limits.d.ts.map
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@@ -0,0 +1,253 @@
1
+ import { monitorPortfolio, } from '../../../portfolio/dist/index.js';
2
+ import { policyObservationTimestamp } from './features.js';
3
+ const ENVIRONMENT_ONLY = [
4
+ 'allowUndefinedRiskOptions',
5
+ 'maximumPositionNotional',
6
+ 'onBreach',
7
+ ];
8
+ /** The FC7 members of the limits — what `monitorPortfolio` reads. */
9
+ export function policyLimitsOf(limits) {
10
+ const out = {};
11
+ for (const [key, value] of Object.entries(limits ?? {})) {
12
+ if (ENVIRONMENT_ONLY.includes(key))
13
+ continue;
14
+ out[key] = value;
15
+ }
16
+ return out;
17
+ }
18
+ const declaresPolicyLimit = (limits) => Object.keys(limits).length > 0;
19
+ /** The observation kind the execution policy fills on is present for the instrument. */
20
+ export function tradableObservation(spec, latest, policy) {
21
+ if (spec.kind === 'option')
22
+ return latest.chainQuote !== undefined;
23
+ if (spec.kind === 'fx-forward')
24
+ return latest.forwardRate !== undefined;
25
+ switch (policy.observation) {
26
+ case 'bar':
27
+ return latest.bar !== undefined;
28
+ case 'quote':
29
+ return latest.quote !== undefined;
30
+ case 'trade':
31
+ return latest.trade !== undefined;
32
+ case 'order-book':
33
+ return latest.orderBook !== undefined;
34
+ }
35
+ }
36
+ function halted(policy, instrumentId, at) {
37
+ if (at === undefined)
38
+ return false;
39
+ for (const window of policy.sessions?.halts ?? []) {
40
+ if (window.instrumentId !== undefined && window.instrumentId !== instrumentId)
41
+ continue;
42
+ if (window.fromTimestampMs <= at && at <= window.toTimestampMs)
43
+ return true;
44
+ }
45
+ return false;
46
+ }
47
+ function staleUnderPolicy(spec, latest, policy, asOf) {
48
+ if (policy.staleQuotes.behavior !== 'reject' || policy.staleQuotes.maximumAgeMs === null)
49
+ return false;
50
+ const timestampMs = policyObservationTimestamp(spec, latest, policy);
51
+ return timestampMs !== null && asOf - timestampMs > policy.staleQuotes.maximumAgeMs;
52
+ }
53
+ /** A short option is undefined-risk unless it closes a long, or it is a call covered by the underlying. */
54
+ function undefinedRiskSell(spec, held, positions) {
55
+ if (spec.kind !== 'option')
56
+ return false;
57
+ if (held > 0)
58
+ return false; // a sell reduces a long first
59
+ const contract = spec.contract;
60
+ if (contract?.kind !== 'option')
61
+ return true;
62
+ if (contract.type === 'call') {
63
+ const underlying = positions.find((p) => p.instrumentId === contract.underlyingInstrumentId);
64
+ const multiplier = spec.contractMultiplier ?? 1;
65
+ const covered = underlying === undefined ? 0 : Math.max(0, underlying.quantity) / multiplier;
66
+ return covered < Math.abs(held) + 1;
67
+ }
68
+ return true;
69
+ }
70
+ export function buildActionMask(input) {
71
+ const { context, policy, limits, nextInstant, grossExposure, buyingPower, episodeOver } = input;
72
+ const nav = context.netAssetValue;
73
+ const entries = {};
74
+ for (const [id, spec] of Object.entries(context.instruments)) {
75
+ const buy = [];
76
+ const sell = [];
77
+ const both = (reason) => {
78
+ buy.push(reason);
79
+ sell.push(reason);
80
+ };
81
+ if (episodeOver)
82
+ both('episode-over');
83
+ const latest = context.observations[id] ?? {};
84
+ if (!tradableObservation(spec, latest, policy))
85
+ both('no-observation');
86
+ if (halted(policy, id, nextInstant))
87
+ both('halted');
88
+ if (staleUnderPolicy(spec, latest, policy, context.asOf))
89
+ both('stale-quote');
90
+ const position = context.positions.find((p) => p.instrumentId === id);
91
+ const held = position?.quantity ?? 0;
92
+ const value = position?.baseCurrencyMarketValue ?? 0;
93
+ // a side that grows the absolute position is the side the limits watch
94
+ const growing = held >= 0 ? buy : sell;
95
+ if (limits !== undefined && nav > 0) {
96
+ if (limits.maximumPositionWeight !== undefined &&
97
+ Math.abs(value) / nav >= limits.maximumPositionWeight)
98
+ growing.push('position-limit');
99
+ if (limits.maximumPositionNotional !== undefined &&
100
+ Math.abs(value) >= limits.maximumPositionNotional)
101
+ growing.push('notional-limit');
102
+ if (limits.maximumGrossLeverage !== undefined &&
103
+ grossExposure / nav >= limits.maximumGrossLeverage)
104
+ growing.push('leverage-limit');
105
+ }
106
+ if (held === 0 && limits !== undefined && nav > 0) {
107
+ // a flat instrument grows in either direction
108
+ if (limits.maximumGrossLeverage !== undefined &&
109
+ grossExposure / nav >= limits.maximumGrossLeverage)
110
+ sell.push('leverage-limit');
111
+ }
112
+ if (!(limits?.allowUndefinedRiskOptions ?? false) &&
113
+ undefinedRiskSell(spec, held, context.positions))
114
+ sell.push('undefined-risk');
115
+ if (!(buyingPower > 0))
116
+ buy.push('insufficient-buying-power');
117
+ entries[id] = {
118
+ instrumentId: id,
119
+ buy: buy.length === 0,
120
+ sell: sell.length === 0,
121
+ reasons: { buy, sell },
122
+ };
123
+ }
124
+ return entries;
125
+ }
126
+ export function createProjectionBook(context, baseCurrency) {
127
+ const quantities = new Map();
128
+ const unitValues = new Map();
129
+ let gross = 0;
130
+ for (const position of context.positions) {
131
+ quantities.set(position.instrumentId, position.quantity);
132
+ if (position.baseCurrencyMarketValue !== null) {
133
+ gross += Math.abs(position.baseCurrencyMarketValue);
134
+ unitValues.set(position.instrumentId, position.quantity === 0 ? null : position.baseCurrencyMarketValue / position.quantity);
135
+ }
136
+ }
137
+ for (const [id, spec] of Object.entries(context.instruments)) {
138
+ if (unitValues.has(id))
139
+ continue;
140
+ const mark = context.marks[id];
141
+ unitValues.set(id, mark !== null && mark !== undefined && spec.currency === baseCurrency
142
+ ? mark.pricePerUnit * (spec.contractMultiplier ?? 1)
143
+ : null);
144
+ }
145
+ return { quantities, unitValues, grossExposure: gross, netAssetValue: context.netAssetValue };
146
+ }
147
+ /** Project one order onto the book; a breach names the limit, an acceptance updates the book. */
148
+ export function projectOrder(book, limits, order) {
149
+ const held = book.quantities.get(order.instrumentId) ?? 0;
150
+ const after = held + (order.side === 'buy' ? order.quantity : -order.quantity);
151
+ const unit = book.unitValues.get(order.instrumentId) ?? null;
152
+ if (limits !== undefined && unit !== null && book.netAssetValue > 0) {
153
+ const current = Math.abs(held * unit);
154
+ const projected = Math.abs(after * unit);
155
+ const nav = book.netAssetValue;
156
+ if (limits.maximumPositionWeight !== undefined &&
157
+ projected / nav > limits.maximumPositionWeight) {
158
+ return {
159
+ limit: 'maximumPositionWeight',
160
+ detail: `would hold ${after} ${order.instrumentId} ≈ ${(projected / nav).toFixed(4)} of NAV against maximumPositionWeight ${limits.maximumPositionWeight}.`,
161
+ };
162
+ }
163
+ if (limits.maximumPositionNotional !== undefined &&
164
+ projected > limits.maximumPositionNotional) {
165
+ return {
166
+ limit: 'maximumPositionNotional',
167
+ detail: `would hold ${after} ${order.instrumentId} ≈ ${projected.toFixed(2)} against maximumPositionNotional ${limits.maximumPositionNotional}.`,
168
+ };
169
+ }
170
+ const gross = book.grossExposure - current + projected;
171
+ if (limits.maximumGrossLeverage !== undefined && gross / nav > limits.maximumGrossLeverage) {
172
+ return {
173
+ limit: 'maximumGrossLeverage',
174
+ detail: `would take gross exposure to ≈ ${(gross / nav).toFixed(4)} × NAV against maximumGrossLeverage ${limits.maximumGrossLeverage}.`,
175
+ };
176
+ }
177
+ book.grossExposure = gross;
178
+ }
179
+ book.quantities.set(order.instrumentId, after);
180
+ return null;
181
+ }
182
+ /** The FC7 monitor over the engine's valuation inputs; the utilization is the dashboard, the monitor is the judge. */
183
+ export function evaluatePostTrade(input) {
184
+ const { valuation, limits, policy, previousState, context, grossExposure } = input;
185
+ const policyLimits = policyLimitsOf(limits);
186
+ const nav = context.netAssetValue;
187
+ const utilization = [];
188
+ const upper = (limit, subject, value, bound) => {
189
+ utilization.push({
190
+ limit,
191
+ subject,
192
+ value,
193
+ bound,
194
+ fraction: value === null || bound === 0 ? null : value / bound,
195
+ });
196
+ };
197
+ if (limits !== undefined && nav > 0) {
198
+ for (const position of context.positions) {
199
+ const value = position.baseCurrencyMarketValue;
200
+ if (limits.maximumPositionWeight !== undefined)
201
+ upper('maximumPositionWeight', position.instrumentId, value === null ? null : Math.abs(value) / nav, limits.maximumPositionWeight);
202
+ if (limits.maximumPositionNotional !== undefined)
203
+ upper('maximumPositionNotional', position.instrumentId, value === null ? null : Math.abs(value), limits.maximumPositionNotional);
204
+ }
205
+ if (limits.maximumGrossLeverage !== undefined)
206
+ upper('maximumGrossLeverage', 'portfolio', grossExposure / nav, limits.maximumGrossLeverage);
207
+ if (limits.maximumDrawdown !== undefined)
208
+ upper('maximumDrawdown', 'portfolio', input.runningPeak > 0 ? 1 - nav / input.runningPeak : null, limits.maximumDrawdown);
209
+ if (limits.maximumDailyLoss !== undefined)
210
+ upper('maximumDailyLoss', 'portfolio', input.previousNetAssetValue !== null && input.previousNetAssetValue > 0
211
+ ? (input.previousNetAssetValue - nav) / input.previousNetAssetValue
212
+ : null, limits.maximumDailyLoss);
213
+ if (limits.minimumSettledCash !== undefined) {
214
+ const settled = valuation.snapshot.cash.reduce((sum, row) => sum +
215
+ (row.totalAmount === 0
216
+ ? 0
217
+ : row.baseCurrencyValue * (row.settledAmount / row.totalAmount)), 0);
218
+ utilization.push({
219
+ limit: 'minimumSettledCash',
220
+ subject: 'portfolio',
221
+ value: settled,
222
+ bound: limits.minimumSettledCash,
223
+ fraction: limits.minimumSettledCash === 0
224
+ ? null
225
+ : limits.minimumSettledCash / (settled === 0 ? Number.EPSILON : settled),
226
+ });
227
+ }
228
+ }
229
+ if (!declaresPolicyLimit(policyLimits))
230
+ return { view: { utilization, breaches: [] }, state: previousState };
231
+ const monitor = monitorPortfolio({
232
+ portfolio: valuation.portfolio,
233
+ market: valuation.market,
234
+ asOf: valuation.asOf,
235
+ currencyConversions: valuation.currencyConversions,
236
+ policy: { limits: policyLimits },
237
+ previousState,
238
+ ...(policy.staleQuotes.maximumAgeMs !== null
239
+ ? { marketStalenessLimitMs: policy.staleQuotes.maximumAgeMs }
240
+ : {}),
241
+ });
242
+ const breaches = monitor.alerts
243
+ .filter((alert) => alert.state === 'raised' || alert.state === 'active')
244
+ .map((alert) => ({
245
+ family: alert.family,
246
+ subject: alert.subject,
247
+ value: alert.value,
248
+ threshold: alert.threshold,
249
+ message: alert.message,
250
+ }));
251
+ return { view: { utilization, breaches }, state: monitor.state };
252
+ }
253
+ //# sourceMappingURL=limits.js.map