@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 +1,31 @@
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1
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/**
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2
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+
* The observation's derived blocks (Stage 7B.1 slice 2, Decision 4): feature recipes evaluated over
|
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3
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+
* the bars at or before the instant — never a later row, never a whole-series statistic — and the
|
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4
|
+
* freshness of every instrument's latest observation under the execution policy's staleness rule.
|
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+
*/
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6
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+
import type { Bar, EpochMs } from '../../../core/dist/index.js';
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7
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+
import type { ExecutionPolicy } from '../execution/types.js';
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8
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+
import type { InstrumentSpecification, LatestObservations } from '../portfolio/types.js';
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9
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+
import type { EnvironmentFeatures, FeatureRecipes, InstrumentFreshness } from './types.js';
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10
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/** Per instrument, the bar closes in time order — the prefix at or before an instant is a feature's whole world. */
|
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11
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+
export interface FeatureIndex {
|
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12
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+
readonly closes: ReadonlyMap<string, {
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+
timestamps: readonly EpochMs[];
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closes: readonly number[];
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+
}>;
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+
}
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+
export declare function createFeatureIndex(bars: readonly Bar[] | undefined): FeatureIndex;
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+
export declare function featuresAt(index: FeatureIndex, recipes: FeatureRecipes | undefined, instruments: Readonly<Record<string, InstrumentSpecification>>, asOf: EpochMs): EnvironmentFeatures;
|
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19
|
+
/** The timestamp of an instrument's latest observation of any kind, and the kinds present. */
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20
|
+
export declare function latestObservationTimestamp(latest: LatestObservations): {
|
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21
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+
timestampMs: EpochMs | null;
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22
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+
kinds: string[];
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+
};
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24
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+
/**
|
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25
|
+
* The timestamp of the observation the execution policy fills on — the policy's kind for a listed
|
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26
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+
* instrument, the chain quote for an option — or null when that kind is absent; the age the
|
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27
|
+
* staleness rule measures.
|
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28
|
+
*/
|
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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>;
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31
|
+
//# sourceMappingURL=features.d.ts.map
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@@ -0,0 +1 @@
|
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|
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"}
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@@ -0,0 +1,12 @@
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|
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1
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+
/**
|
|
2
|
+
* `@insiderfinance/totalfinance/backtest/environment` — the deterministic trading-agent environment (Stage 7B.1, AT4).
|
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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
|
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5
|
+
* idempotent retry, typed rejections that never throw, and a chained trace identity.
|
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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';
|
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10
|
+
export { ENVIRONMENT_EPISODE_IDS, environmentEpisode, listEnvironmentEpisodes, } from './episodes.js';
|
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11
|
+
export { MAXIMUM_ENVIRONMENT_STEPS, RATIONALE_BYTE_LIMIT, requireEnvironmentAction, requireEnvironmentLimits, requireEnvironmentOrder, requireFeatureRecipes, requireRewardComposition, requireTradingEnvironmentDefinition, } from './validate.js';
|
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|
+
//# sourceMappingURL=index.js.map
|
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@@ -0,0 +1 @@
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1
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+
{"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"}
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@@ -0,0 +1,63 @@
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|
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1
|
+
/**
|
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2
|
+
* Limits, the mask, and the projection (Stage 7B.1 slice 2, Decisions 5 and 6). Post-trade truth is
|
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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';
|
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12
|
+
import type { InstrumentSpecification, LatestObservations, PortfolioValuationInputs, SessionContext } from '../portfolio/types.js';
|
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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
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
{"version":3,"file":"limits.d.ts","sourceRoot":"","sources":["../../src/environment/limits.ts"],"names":[],"mappings":"AAAA;;;;;;;GAOG;AACH,OAAO,KAAK,EAAE,OAAO,EAAE,MAAM,6BAAoB,CAAC;AAClD,OAAO,EAEL,KAAK,YAAY,EACjB,KAAK,qBAAqB,EAC3B,MAAM,kCAAyB,CAAC;AACjC,OAAO,KAAK,EAAE,eAAe,EAAE,MAAM,uBAAuB,CAAC;AAC7D,OAAO,KAAK,EACV,uBAAuB,EACvB,kBAAkB,EAClB,wBAAwB,EACxB,cAAc,EAEf,MAAM,uBAAuB,CAAC;AAE/B,OAAO,KAAK,EACV,UAAU,EAEV,iBAAiB,EACjB,qBAAqB,EAItB,MAAM,YAAY,CAAC;AAQpB,qEAAqE;AACrE,wBAAgB,cAAc,CAAC,MAAM,EAAE,iBAAiB,GAAG,SAAS,GAAG,YAAY,CAOlF;AAID,wFAAwF;AACxF,wBAAgB,mBAAmB,CACjC,IAAI,EAAE,uBAAuB,EAC7B,MAAM,EAAE,kBAAkB,EAC1B,MAAM,EAAE,eAAe,GACtB,OAAO,CAaT;AA0CD,MAAM,WAAW,UAAU;IACzB,OAAO,EAAE,cAAc,CAAC;IACxB,MAAM,EAAE,eAAe,CAAC;IACxB,MAAM,EAAE,iBAAiB,GAAG,SAAS,CAAC;IACtC,WAAW,EAAE,OAAO,GAAG,SAAS,CAAC;IACjC,aAAa,EAAE,MAAM,CAAC;IACtB,WAAW,EAAE,MAAM,CAAC;IACpB,WAAW,EAAE,OAAO,CAAC;CACtB;AAED,wBAAgB,eAAe,CAAC,KAAK,EAAE,UAAU,GAAG,UAAU,CA4D7D;AAED,MAAM,WAAW,cAAc;IAC7B,uEAAuE;IACvE,UAAU,EAAE,GAAG,CAAC,MAAM,EAAE,MAAM,CAAC,CAAC;IAChC,qFAAqF;IACrF,UAAU,EAAE,GAAG,CAAC,MAAM,EAAE,MAAM,GAAG,IAAI,CAAC,CAAC;IACvC,aAAa,EAAE,MAAM,CAAC;IACtB,aAAa,EAAE,MAAM,CAAC;CACvB;AAED,wBAAgB,oBAAoB,CAClC,OAAO,EAAE,cAAc,EACvB,YAAY,EAAE,MAAM,GACnB,cAAc,CAyBhB;AAED,MAAM,WAAW,iBAAiB;IAChC,KAAK,EAAE,uBAAuB,GAAG,yBAAyB,GAAG,sBAAsB,CAAC;IACpF,MAAM,EAAE,MAAM,CAAC;CAChB;AAED,iGAAiG;AACjG,wBAAgB,YAAY,CAC1B,IAAI,EAAE,cAAc,EACpB,MAAM,EAAE,iBAAiB,GAAG,SAAS,EACrC,KAAK,EAAE;IAAE,YAAY,EAAE,MAAM,CAAC;IAAC,IAAI,EAAE,KAAK,GAAG,MAAM,CAAC;IAAC,QAAQ,EAAE,MAAM,CAAA;CAAE,GACtE,iBAAiB,GAAG,IAAI,CAqC1B;AAED,MAAM,WAAW,eAAe;IAC9B,SAAS,EAAE,wBAAwB,CAAC;IACpC,MAAM,EAAE,iBAAiB,GAAG,SAAS,CAAC;IACtC,MAAM,EAAE,eAAe,CAAC;IACxB,aAAa,EAAE,qBAAqB,GAAG,IAAI,CAAC;IAC5C,OAAO,EAAE,cAAc,CAAC;IACxB,aAAa,EAAE,MAAM,CAAC;IACtB,WAAW,EAAE,MAAM,CAAC;IACpB,qBAAqB,EAAE,MAAM,GAAG,IAAI,CAAC;CACtC;AAED,MAAM,WAAW,gBAAgB;IAC/B,IAAI,EAAE,qBAAqB,CAAC;IAC5B,KAAK,EAAE,qBAAqB,GAAG,IAAI,CAAC;CACrC;AAED,sHAAsH;AACtH,wBAAgB,iBAAiB,CAAC,KAAK,EAAE,eAAe,GAAG,gBAAgB,CA8F1E"}
|
|
@@ -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
|