@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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|
+
/** Build the portfolio-owned fill for a filled decision; an unfilled decision is a teaching refusal. */
|
|
32
|
+
export function normalizedFillFromDecision(input) {
|
|
33
|
+
const functionName = 'normalizedFillFromDecision';
|
|
34
|
+
requireArgumentObject(functionName, 'input', input);
|
|
35
|
+
ensureKnownKeys(functionName, 'input', input, KEYS);
|
|
36
|
+
requireFillDecision(functionName, 'input.decision', input.decision);
|
|
37
|
+
requireOrderIntent(functionName, 'input.order', input.order);
|
|
38
|
+
// Optional members are present-or-absent; a present null is a refusal, never a silent default.
|
|
39
|
+
for (const key of KEYS) {
|
|
40
|
+
if (hasOwn(input, key) && input[key] === null) {
|
|
41
|
+
throw new InputError(`${functionName}: input.${key} is null — omit the field to leave it unset; null is not a value here.`, { code: ErrorCode.InputWrongType, context: { field: key } });
|
|
42
|
+
}
|
|
43
|
+
}
|
|
44
|
+
if (hasOwn(input, 'fillId') && (typeof input.fillId !== 'string' || input.fillId.length === 0)) {
|
|
45
|
+
throw new InputError(`${functionName}: input.fillId must be a non-empty string when given.`, {
|
|
46
|
+
code: ErrorCode.InputWrongType,
|
|
47
|
+
context: { field: 'fillId' },
|
|
48
|
+
});
|
|
49
|
+
}
|
|
50
|
+
if (input.decision.outcome !== 'filled') {
|
|
51
|
+
throw new InputError(`${functionName}: input.decision is not a fill (outcome ${JSON.stringify(input.decision.outcome)}${'reason' in input.decision ? `, reason '${String(input.decision.reason)}'` : ''}) — only a filled decision becomes a ledger fill.`, {
|
|
52
|
+
code: ErrorCode.InputOutOfRange,
|
|
53
|
+
context: { field: 'decision.outcome', orderId: input.order.orderId },
|
|
54
|
+
});
|
|
55
|
+
}
|
|
56
|
+
const fill = {
|
|
57
|
+
fillId: input.fillId ?? `${input.order.orderId}:fill`,
|
|
58
|
+
accountId: input.accountId,
|
|
59
|
+
instrumentId: input.order.instrumentId,
|
|
60
|
+
side: input.order.side,
|
|
61
|
+
quantity: input.decision.quantity,
|
|
62
|
+
pricePerUnit: input.decision.pricePerUnit,
|
|
63
|
+
currency: input.currency,
|
|
64
|
+
filledTimestampMs: input.filledTimestampMs,
|
|
65
|
+
orderId: input.order.orderId,
|
|
66
|
+
...(input.settleTimestampMs !== undefined
|
|
67
|
+
? { settleTimestampMs: input.settleTimestampMs }
|
|
68
|
+
: {}),
|
|
69
|
+
...(input.contractMultiplier !== undefined
|
|
70
|
+
? { contractMultiplier: input.contractMultiplier }
|
|
71
|
+
: {}),
|
|
72
|
+
...(input.settlementStyle !== undefined ? { settlementStyle: input.settlementStyle } : {}),
|
|
73
|
+
...(input.contract !== undefined ? { contract: cloneJson(input.contract) } : {}),
|
|
74
|
+
...(input.accruedInterest !== undefined ? { accruedInterest: input.accruedInterest } : {}),
|
|
75
|
+
...(input.costs !== undefined ? { costs: { ...input.costs } } : {}),
|
|
76
|
+
...(input.executionPriceAdjustment !== undefined
|
|
77
|
+
? { executionPriceAdjustment: input.executionPriceAdjustment }
|
|
78
|
+
: {}),
|
|
79
|
+
...(input.venue !== undefined ? { venue: input.venue } : {}),
|
|
80
|
+
...(input.liquidity !== undefined ? { liquidity: input.liquidity } : {}),
|
|
81
|
+
};
|
|
82
|
+
requireNormalizedFill(functionName, 'fill', fill);
|
|
83
|
+
return fill;
|
|
84
|
+
}
|
|
85
|
+
const FROM_BACKTEST_KEYS = ['trades', 'accountId', 'currency', 'sourceId', 'instruments'];
|
|
86
|
+
/**
|
|
87
|
+
* B6 — the bridge from a backtest's trades to the ledger's fills: one `NormalizedFill` per trade,
|
|
88
|
+
* keyed by `instrumentId = symbol`, the contract multiplier the engine stamped, commission and
|
|
89
|
+
* commission as a cash cost. Slippage is already in trade.price; trade.slippage is attribution,
|
|
90
|
+
* not another cash charge. Every fill is validated by the ledger's own guard, so a run's trades fold
|
|
91
|
+
* through `portfolioEventsFromFill` exactly like a paper broker's.
|
|
92
|
+
*/
|
|
93
|
+
export function normalizedFillsFromBacktest(input) {
|
|
94
|
+
const functionName = 'normalizedFillsFromBacktest';
|
|
95
|
+
requireArgumentObject(functionName, 'input', input);
|
|
96
|
+
ensureKnownKeys(functionName, 'input', input, FROM_BACKTEST_KEYS);
|
|
97
|
+
if (!Array.isArray(input.trades)) {
|
|
98
|
+
throw new InputError(`${functionName}: input.trades must be an array of backtest trades.`, {
|
|
99
|
+
code: ErrorCode.InputWrongType,
|
|
100
|
+
context: { field: 'trades' },
|
|
101
|
+
});
|
|
102
|
+
}
|
|
103
|
+
for (const key of ['accountId', 'currency', 'sourceId']) {
|
|
104
|
+
if (typeof input[key] !== 'string' || input[key].length === 0) {
|
|
105
|
+
throw new InputError(`${functionName}: input.${key} must be a non-empty string.`, {
|
|
106
|
+
code: ErrorCode.InputWrongType,
|
|
107
|
+
context: { field: key },
|
|
108
|
+
});
|
|
109
|
+
}
|
|
110
|
+
}
|
|
111
|
+
if (input.instruments !== undefined)
|
|
112
|
+
requireArgumentObject(functionName, 'input.instruments', input.instruments);
|
|
113
|
+
return input.trades.map((trade, index) => {
|
|
114
|
+
requireArgumentObject(functionName, `input.trades[${index}]`, trade);
|
|
115
|
+
for (const key of ['commission', 'slippage']) {
|
|
116
|
+
if (typeof trade[key] !== 'number' || !Number.isFinite(trade[key]) || trade[key] < 0)
|
|
117
|
+
throw new InputError(`${functionName}: input.trades[${index}].${key} must be a finite non-negative amount in the trade currency.`, {
|
|
118
|
+
code: typeof trade[key] !== 'number'
|
|
119
|
+
? ErrorCode.InputWrongType
|
|
120
|
+
: !Number.isFinite(trade[key])
|
|
121
|
+
? ErrorCode.InputNotFinite
|
|
122
|
+
: ErrorCode.InputOutOfRange,
|
|
123
|
+
context: { function: functionName, field: `input.trades[${index}].${key}` },
|
|
124
|
+
});
|
|
125
|
+
}
|
|
126
|
+
const terms = input.instruments?.[trade.symbol];
|
|
127
|
+
const costs = {
|
|
128
|
+
...(trade.commission > 0 ? { commission: trade.commission } : {}),
|
|
129
|
+
};
|
|
130
|
+
const fill = {
|
|
131
|
+
fillId: `${input.sourceId}:fill:${index + 1}`,
|
|
132
|
+
accountId: input.accountId,
|
|
133
|
+
instrumentId: trade.symbol,
|
|
134
|
+
side: trade.side,
|
|
135
|
+
quantity: trade.quantity,
|
|
136
|
+
pricePerUnit: trade.price,
|
|
137
|
+
currency: input.currency,
|
|
138
|
+
filledTimestampMs: trade.timestampMs,
|
|
139
|
+
...(trade.multiplier !== 1 ? { contractMultiplier: trade.multiplier } : {}),
|
|
140
|
+
...(terms?.contract !== undefined
|
|
141
|
+
? { contract: cloneJson(terms.contract), contractMultiplier: trade.multiplier }
|
|
142
|
+
: {}),
|
|
143
|
+
...(terms?.settlementStyle !== undefined ? { settlementStyle: terms.settlementStyle } : {}),
|
|
144
|
+
...(terms?.settleTimestampMs !== undefined
|
|
145
|
+
? { settleTimestampMs: terms.settleTimestampMs }
|
|
146
|
+
: {}),
|
|
147
|
+
...(Object.keys(costs).length > 0 ? { costs } : {}),
|
|
148
|
+
...(trade.slippage !== 0 ? { executionPriceAdjustment: trade.slippage } : {}),
|
|
149
|
+
};
|
|
150
|
+
requireNormalizedFill(functionName, `fills[${index}]`, fill);
|
|
151
|
+
return fill;
|
|
152
|
+
});
|
|
153
|
+
}
|
|
154
|
+
//# sourceMappingURL=normalized.js.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
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1
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/**
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2
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+
* Execution policies (Stage 4.6, FC8 Decision 7): the honest default and the declared override.
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3
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+
*
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4
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+
* `execution.simplified()` is what a run gets when it names no policy: market at the open,
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5
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+
* market-on-close at the close, limit and stop on the bar range, full fills, no spread, impact,
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6
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+
* latency, or borrow, a cash account with no margin. Its label says exactly that and every result
|
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7
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+
* echoes it under `assumptions.execution` with `realism: 'simplified'`. `execution.declared()`
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8
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+
* takes the members a caller wants to state, fills the rest with the simplified ones, and requires
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9
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+
* a label — a declared policy is a claim the caller signs. A member that is present is validated
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10
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+
* (`null` is refused: omission is spelled by leaving the key out).
|
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11
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+
*/
|
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12
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+
import { borrow, fees, slippage } from '../costs.js';
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13
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+
import type { AmbiguityPolicy, ExecutionCosts, ExecutionPolicy, ExecutionPolicyDescription, TimeInForce, FillModel, LatencyModel, LockedCrossedPolicy, MarginPolicy, MarketImpactModel, MarketObservationKind, PartialFillPolicy, QueueModel, SessionRules, SpreadModel, StaleQuotePolicy } from './types.js';
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14
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+
/** Spread models: an aggressor pays half the quoted spread on top of the reference price. */
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15
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+
export declare const spreadModels: Readonly<{
|
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16
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+
/** A constant half-spread in basis points of the reference price. */
|
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17
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+
halfSpreadBps(bps: number): SpreadModel;
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18
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+
none(): SpreadModel;
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19
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+
}>;
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20
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+
/** Market-impact models: the fraction of the reference price a quantity moves against itself. */
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21
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+
export declare const impactModels: Readonly<{
|
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22
|
+
/**
|
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23
|
+
* The square-root law: impact = coefficient × √(quantity / averageDailyVolume). A fill with no
|
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24
|
+
* average daily volume in context has no impact and says so through the label the engine echoes.
|
|
25
|
+
*/
|
|
26
|
+
squareRoot(input: {
|
|
27
|
+
coefficient: number;
|
|
28
|
+
}): MarketImpactModel;
|
|
29
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+
none(): MarketImpactModel;
|
|
30
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+
}>;
|
|
31
|
+
/** Latency models: how many observations after submission an order is first worked. */
|
|
32
|
+
export declare const latencyModels: Readonly<{
|
|
33
|
+
sessions(sessions: number): LatencyModel;
|
|
34
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+
}>;
|
|
35
|
+
/** Equity a new position of `notional` requires at entry under the policy. */
|
|
36
|
+
export declare function requiredInitialMargin(input: {
|
|
37
|
+
notional: number;
|
|
38
|
+
policy: MarginPolicy;
|
|
39
|
+
}): number;
|
|
40
|
+
/** Whether equity has fallen below the maintenance requirement on the gross notional held. */
|
|
41
|
+
export declare function maintenanceMarginBreached(input: {
|
|
42
|
+
equity: number;
|
|
43
|
+
grossNotional: number;
|
|
44
|
+
policy: MarginPolicy;
|
|
45
|
+
}): {
|
|
46
|
+
breached: boolean;
|
|
47
|
+
requiredEquity: number;
|
|
48
|
+
shortfall: number;
|
|
49
|
+
};
|
|
50
|
+
/** The members `execution.declared` accepts — every one optional except the label. */
|
|
51
|
+
export interface DeclaredExecutionPolicy {
|
|
52
|
+
label: string;
|
|
53
|
+
observation?: MarketObservationKind;
|
|
54
|
+
fill?: FillModel;
|
|
55
|
+
ambiguity?: AmbiguityPolicy;
|
|
56
|
+
costs?: Partial<ExecutionCosts>;
|
|
57
|
+
staleQuotes?: StaleQuotePolicy;
|
|
58
|
+
lockedCrossed?: LockedCrossedPolicy;
|
|
59
|
+
sessions?: SessionRules;
|
|
60
|
+
partialFills?: PartialFillPolicy;
|
|
61
|
+
queue?: {
|
|
62
|
+
model: QueueModel;
|
|
63
|
+
};
|
|
64
|
+
timeInForce?: {
|
|
65
|
+
default: TimeInForce;
|
|
66
|
+
expireAtSessionClose: boolean;
|
|
67
|
+
};
|
|
68
|
+
margin?: MarginPolicy;
|
|
69
|
+
}
|
|
70
|
+
/** The execution policies a run may declare. */
|
|
71
|
+
export declare const execution: Readonly<{
|
|
72
|
+
/** The honest default: every member named in the label, `realism: 'simplified'`. */
|
|
73
|
+
simplified(): ExecutionPolicy;
|
|
74
|
+
/**
|
|
75
|
+
* A declared policy: the members given override the simplified ones; the label is required and
|
|
76
|
+
* is the caller's claim about what the run assumes. Every member present is validated — the
|
|
77
|
+
* whole assembled policy passes `requireExecutionPolicy` before it is returned.
|
|
78
|
+
*/
|
|
79
|
+
declared(input: DeclaredExecutionPolicy): ExecutionPolicy;
|
|
80
|
+
}>;
|
|
81
|
+
/** The JSON-safe projection of a policy every result carries under `assumptions.execution`. */
|
|
82
|
+
export declare function describeExecutionPolicy(policy: ExecutionPolicy): ExecutionPolicyDescription;
|
|
83
|
+
export { borrow, fees, slippage };
|
|
84
|
+
//# sourceMappingURL=policy.d.ts.map
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@@ -0,0 +1 @@
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1
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+
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/**
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* Execution policies (Stage 4.6, FC8 Decision 7): the honest default and the declared override.
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*
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* `execution.simplified()` is what a run gets when it names no policy: market at the open,
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* market-on-close at the close, limit and stop on the bar range, full fills, no spread, impact,
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* latency, or borrow, a cash account with no margin. Its label says exactly that and every result
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* echoes it under `assumptions.execution` with `realism: 'simplified'`. `execution.declared()`
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* takes the members a caller wants to state, fills the rest with the simplified ones, and requires
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* a label — a declared policy is a claim the caller signs. A member that is present is validated
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* (`null` is refused: omission is spelled by leaving the key out).
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*/
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import { ErrorCode, InputError, ensureFinite, ensureKnownKeys, ensureNonNegative, requireArgumentObject, } from '../../../core/dist/index.js';
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import { borrow, fees, slippage, } from '../costs.js';
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import { fillModels } from './fill-models.js';
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import { hasOwn, requireExecutionPolicy, requireFillModel, requireLabeledModel, requireMarginPolicy, requireSessionRules, requireStaleQuotePolicy, } from './validate.js';
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/** A deep copy of plain JSON data (the only kind these boundaries accept); typed, lib-free. */
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function cloneJson(value) {
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return JSON.parse(JSON.stringify(value));
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}
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// ---------------------------------------------------------------------------------------------------
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// Small named models
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// ---------------------------------------------------------------------------------------------------
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/** Spread models: an aggressor pays half the quoted spread on top of the reference price. */
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export const spreadModels = Object.freeze({
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/** A constant half-spread in basis points of the reference price. */
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halfSpreadBps(bps) {
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ensureFinite(bps, 'bps', 'spreadModels.halfSpreadBps');
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ensureNonNegative(bps, 'bps', 'spreadModels.halfSpreadBps');
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return Object.freeze({
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label: `half-spread ${bps} bps`,
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halfSpread: ({ referencePrice }) => Math.abs(referencePrice) * (bps / 10_000),
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});
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},
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none() {
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return Object.freeze({ label: 'no spread', halfSpread: () => 0 });
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},
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});
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/** Market-impact models: the fraction of the reference price a quantity moves against itself. */
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export const impactModels = Object.freeze({
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/**
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* The square-root law: impact = coefficient × √(quantity / averageDailyVolume). A fill with no
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* average daily volume in context has no impact and says so through the label the engine echoes.
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*/
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squareRoot(input) {
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requireArgumentObject('impactModels.squareRoot', 'input', input);
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ensureKnownKeys('impactModels.squareRoot', 'input', input, ['coefficient']);
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ensureFinite(input.coefficient, 'coefficient', 'impactModels.squareRoot');
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ensureNonNegative(input.coefficient, 'coefficient', 'impactModels.squareRoot');
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const { coefficient } = input;
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return Object.freeze({
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label: `square-root impact, coefficient ${coefficient} (no impact without an average daily volume)`,
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impact: ({ quantity, averageDailyVolume, }) => {
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if (averageDailyVolume === undefined || !(averageDailyVolume > 0) || !(quantity > 0))
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return 0;
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return coefficient * Math.sqrt(quantity / averageDailyVolume);
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},
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});
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},
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none() {
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return Object.freeze({ label: 'no market impact', impact: () => 0 });
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},
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});
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/** Latency models: how many observations after submission an order is first worked. */
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export const latencyModels = Object.freeze({
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sessions(sessions) {
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if (!Number.isSafeInteger(sessions) || sessions < 0 || sessions > 10_000) {
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throw new InputError(`latencyModels.sessions: sessions must be an integer in [0, 10000] (observations after submission before the order is worked). Received ${String(sessions)}.`, { code: ErrorCode.InputOutOfRange, context: { field: 'sessions' } });
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}
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return Object.freeze({
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label: `latency ${sessions} session${sessions === 1 ? '' : 's'}`,
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sessions,
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});
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},
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});
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// ---------------------------------------------------------------------------------------------------
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// Margin helpers (pure; the engines apply them)
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// ---------------------------------------------------------------------------------------------------
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/** Equity a new position of `notional` requires at entry under the policy. */
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export function requiredInitialMargin(input) {
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requireArgumentObject('requiredInitialMargin', 'input', input);
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ensureKnownKeys('requiredInitialMargin', 'input', input, ['notional', 'policy']);
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ensureFinite(input.notional, 'notional', 'requiredInitialMargin');
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ensureNonNegative(input.notional, 'notional', 'requiredInitialMargin');
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requireMarginPolicy('requiredInitialMargin', 'input.policy', input.policy);
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return input.notional * input.policy.initialMarginRate;
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}
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/** Whether equity has fallen below the maintenance requirement on the gross notional held. */
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export function maintenanceMarginBreached(input) {
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requireArgumentObject('maintenanceMarginBreached', 'input', input);
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ensureKnownKeys('maintenanceMarginBreached', 'input', input, [
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'equity',
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'grossNotional',
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'policy',
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]);
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ensureFinite(input.equity, 'equity', 'maintenanceMarginBreached');
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ensureFinite(input.grossNotional, 'grossNotional', 'maintenanceMarginBreached');
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ensureNonNegative(input.grossNotional, 'grossNotional', 'maintenanceMarginBreached');
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requireMarginPolicy('maintenanceMarginBreached', 'input.policy', input.policy);
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const requiredEquity = input.grossNotional * input.policy.maintenanceMarginRate;
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const shortfall = Math.max(0, requiredEquity - input.equity);
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return { breached: shortfall > 0, requiredEquity, shortfall };
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}
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// ---------------------------------------------------------------------------------------------------
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// The policies
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// ---------------------------------------------------------------------------------------------------
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const SIMPLIFIED_LABEL = 'simplified: market at open, market-on-close at close, limit and stop on the bar range, full fills, no spread, impact, latency, or borrow, cash account';
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function simplifiedMembers() {
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return {
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observation: 'bar',
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fill: fillModels.bar(),
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ambiguity: 'deterministic-path',
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costs: { commission: fees.none(), slippage: slippage.none() },
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staleQuotes: { maximumAgeMs: null, behavior: 'fill-at-last' },
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lockedCrossed: 'fill-at-mid',
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partialFills: 'allow',
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queue: { model: 'none' },
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timeInForce: { default: 'day', expireAtSessionClose: true },
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margin: {
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buyingPowerMultiplier: 1,
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initialMarginRate: 1,
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maintenanceMarginRate: 0,
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forcedLiquidation: 'none',
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},
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};
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}
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function freezePolicy(policy) {
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Object.freeze(policy.costs);
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Object.freeze(policy.staleQuotes);
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Object.freeze(policy.queue);
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Object.freeze(policy.timeInForce);
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Object.freeze(policy.margin);
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if (policy.sessions !== undefined)
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Object.freeze(policy.sessions);
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return Object.freeze(policy);
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}
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const DECLARED_KEYS = [
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'label',
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'observation',
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'fill',
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'ambiguity',
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'costs',
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'staleQuotes',
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'lockedCrossed',
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'sessions',
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'partialFills',
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'queue',
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'timeInForce',
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'margin',
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];
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const COST_KEYS = [
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'commission',
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'slippage',
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'spread',
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'marketImpact',
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'latency',
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'participation',
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'borrow',
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];
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const OBSERVATIONS = ['bar', 'quote', 'trade', 'order-book'];
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/** The execution policies a run may declare. */
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export const execution = Object.freeze({
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/** The honest default: every member named in the label, `realism: 'simplified'`. */
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simplified() {
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return freezePolicy({ label: SIMPLIFIED_LABEL, realism: 'simplified', ...simplifiedMembers() });
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},
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/**
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* A declared policy: the members given override the simplified ones; the label is required and
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* is the caller's claim about what the run assumes. Every member present is validated — the
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* whole assembled policy passes `requireExecutionPolicy` before it is returned.
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*/
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declared(input) {
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const functionName = 'execution.declared';
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requireArgumentObject(functionName, 'input', input);
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ensureKnownKeys(functionName, 'input', input, DECLARED_KEYS);
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const given = input;
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if (typeof input.label !== 'string' || input.label.length === 0) {
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throw new InputError(`${functionName}: input.label must be a non-empty string — a declared execution policy is a claim the caller signs, and results echo it.\n e.g. execution.declared({ label: 'quote fills, 2 bps half-spread', observation: 'quote', fill: fillModels.quote(), costs: { spread: spreadModels.halfSpreadBps(2) } })`, { code: ErrorCode.InputWrongType, context: { field: 'label' } });
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}
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const base = simplifiedMembers();
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// Every member: present → validated (null refused); absent → the simplified member.
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let fill;
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if (hasOwn(given, 'fill')) {
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requireFillModel(functionName, 'input.fill', given['fill']);
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fill = given['fill'];
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}
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let observation;
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if (hasOwn(given, 'observation')) {
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if (!OBSERVATIONS.includes(given['observation'])) {
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throw new InputError(`${functionName}: input.observation must be one of ${OBSERVATIONS.map((o) => `'${o}'`).join(' | ')}. Received ${given['observation'] === null ? 'null' : JSON.stringify(given['observation'])}.`, { code: ErrorCode.InputInvalidEnum, context: { field: 'observation' } });
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}
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observation = given['observation'];
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}
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else {
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observation = fill !== undefined ? fill.observation : base.observation;
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}
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if (fill === undefined) {
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if (observation === 'quote')
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fill = fillModels.quote();
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else if (observation === 'order-book')
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fill = fillModels.orderBook();
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else if (observation === 'trade') {
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throw new InputError(`${functionName}: no built-in fill model reads 'trade' observations; supply input.fill.`, { code: ErrorCode.InputMissingField, context: { field: 'fill' } });
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}
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else
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fill = base.fill;
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206
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}
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if (fill.observation !== observation) {
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throw new InputError(`${functionName}: input.fill reads '${fill.observation}' observations but input.observation is '${observation}' — a policy observes what its fill model reads.`, { code: ErrorCode.InputOutOfRange, context: { field: 'observation' } });
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}
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const costs = { ...base.costs };
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if (hasOwn(given, 'costs')) {
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requireArgumentObject(functionName, 'input.costs', given['costs']);
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const c = given['costs'];
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ensureKnownKeys(functionName, 'input.costs', c, COST_KEYS);
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if (hasOwn(c, 'commission')) {
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requireLabeledModel(functionName, 'input.costs.commission', c['commission'], 'commission');
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217
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costs.commission = c['commission'];
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}
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if (hasOwn(c, 'slippage')) {
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requireLabeledModel(functionName, 'input.costs.slippage', c['slippage'], 'fill');
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costs.slippage = c['slippage'];
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}
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if (hasOwn(c, 'spread')) {
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requireLabeledModel(functionName, 'input.costs.spread', c['spread'], 'halfSpread');
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costs.spread = c['spread'];
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}
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if (hasOwn(c, 'marketImpact')) {
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228
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requireLabeledModel(functionName, 'input.costs.marketImpact', c['marketImpact'], 'impact');
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229
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+
costs.marketImpact = c['marketImpact'];
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230
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}
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231
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if (hasOwn(c, 'latency')) {
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232
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requireArgumentObject(functionName, 'input.costs.latency', c['latency']);
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233
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const latency = c['latency'];
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234
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if (typeof latency.label !== 'string' || latency.label.length === 0) {
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235
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throw new InputError(`${functionName}: input.costs.latency.label must be a non-empty string.`, {
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code: ErrorCode.InputWrongType,
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context: { field: 'costs.latency.label' },
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});
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}
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|
+
costs.latency = latencyModels.sessions(latency.sessions);
|
|
241
|
+
}
|
|
242
|
+
if (hasOwn(c, 'participation')) {
|
|
243
|
+
const participation = c['participation'];
|
|
244
|
+
if (typeof participation !== 'number' ||
|
|
245
|
+
!Number.isFinite(participation) ||
|
|
246
|
+
!(participation > 0) ||
|
|
247
|
+
participation > 1) {
|
|
248
|
+
throw new InputError(`${functionName}: input.costs.participation is a finite fraction of the observation's volume in (0, 1]. Received ${participation === null ? 'null' : String(participation)}.`, { code: ErrorCode.InputOutOfRange, context: { field: 'costs.participation' } });
|
|
249
|
+
}
|
|
250
|
+
costs.participation = participation;
|
|
251
|
+
}
|
|
252
|
+
if (hasOwn(c, 'borrow')) {
|
|
253
|
+
requireArgumentObject(functionName, 'input.costs.borrow', c['borrow']);
|
|
254
|
+
const b = c['borrow'];
|
|
255
|
+
if (typeof b.label !== 'string' || b.label.length === 0) {
|
|
256
|
+
throw new InputError(`${functionName}: input.costs.borrow.label must be a non-empty string.`, {
|
|
257
|
+
code: ErrorCode.InputWrongType,
|
|
258
|
+
context: { field: 'costs.borrow.label' },
|
|
259
|
+
});
|
|
260
|
+
}
|
|
261
|
+
ensureFinite(b.annualRate, 'costs.borrow.annualRate', functionName);
|
|
262
|
+
costs.borrow = c['borrow'];
|
|
263
|
+
}
|
|
264
|
+
}
|
|
265
|
+
let staleQuotes = base.staleQuotes;
|
|
266
|
+
if (hasOwn(given, 'staleQuotes')) {
|
|
267
|
+
requireStaleQuotePolicy(functionName, 'input.staleQuotes', given['staleQuotes']);
|
|
268
|
+
staleQuotes = given['staleQuotes'];
|
|
269
|
+
}
|
|
270
|
+
let sessions;
|
|
271
|
+
if (hasOwn(given, 'sessions')) {
|
|
272
|
+
requireSessionRules(functionName, 'input.sessions', given['sessions']);
|
|
273
|
+
sessions = cloneJson(given['sessions']);
|
|
274
|
+
}
|
|
275
|
+
const assembled = {
|
|
276
|
+
label: input.label,
|
|
277
|
+
realism: 'declared',
|
|
278
|
+
observation,
|
|
279
|
+
fill,
|
|
280
|
+
ambiguity: hasOwn(given, 'ambiguity')
|
|
281
|
+
? given['ambiguity']
|
|
282
|
+
: base.ambiguity,
|
|
283
|
+
costs,
|
|
284
|
+
staleQuotes: { ...staleQuotes },
|
|
285
|
+
lockedCrossed: hasOwn(given, 'lockedCrossed')
|
|
286
|
+
? given['lockedCrossed']
|
|
287
|
+
: base.lockedCrossed,
|
|
288
|
+
...(sessions !== undefined ? { sessions } : {}),
|
|
289
|
+
partialFills: hasOwn(given, 'partialFills')
|
|
290
|
+
? given['partialFills']
|
|
291
|
+
: base.partialFills,
|
|
292
|
+
queue: hasOwn(given, 'queue')
|
|
293
|
+
? cloneJson(given['queue'])
|
|
294
|
+
: { ...base.queue },
|
|
295
|
+
timeInForce: hasOwn(given, 'timeInForce')
|
|
296
|
+
? cloneJson(given['timeInForce'])
|
|
297
|
+
: { ...base.timeInForce },
|
|
298
|
+
margin: hasOwn(given, 'margin')
|
|
299
|
+
? cloneJson(given['margin'])
|
|
300
|
+
: { ...base.margin },
|
|
301
|
+
};
|
|
302
|
+
// The assembled whole passes the same guard every engine applies — one law for both paths.
|
|
303
|
+
requireExecutionPolicy(functionName, 'input', assembled);
|
|
304
|
+
return freezePolicy(assembled);
|
|
305
|
+
},
|
|
306
|
+
});
|
|
307
|
+
/** The JSON-safe projection of a policy every result carries under `assumptions.execution`. */
|
|
308
|
+
export function describeExecutionPolicy(policy) {
|
|
309
|
+
requireExecutionPolicy('describeExecutionPolicy', 'policy', policy);
|
|
310
|
+
return {
|
|
311
|
+
label: policy.label,
|
|
312
|
+
realism: policy.realism,
|
|
313
|
+
observation: policy.observation,
|
|
314
|
+
fill: { label: policy.fill.label, version: policy.fill.version },
|
|
315
|
+
ambiguity: policy.ambiguity,
|
|
316
|
+
costs: {
|
|
317
|
+
commission: policy.costs.commission.label,
|
|
318
|
+
slippage: policy.costs.slippage.label,
|
|
319
|
+
spread: policy.costs.spread?.label ?? null,
|
|
320
|
+
marketImpact: policy.costs.marketImpact?.label ?? null,
|
|
321
|
+
latencySessions: policy.costs.latency?.sessions ?? null,
|
|
322
|
+
participation: policy.costs.participation ?? null,
|
|
323
|
+
borrow: policy.costs.borrow?.label ?? null,
|
|
324
|
+
},
|
|
325
|
+
staleQuotes: { ...policy.staleQuotes },
|
|
326
|
+
lockedCrossed: policy.lockedCrossed,
|
|
327
|
+
sessions: {
|
|
328
|
+
halts: policy.sessions?.halts?.length ?? 0,
|
|
329
|
+
priceLimits: policy.sessions?.priceLimits?.length ?? 0,
|
|
330
|
+
auction: policy.sessions?.auction ?? null,
|
|
331
|
+
},
|
|
332
|
+
partialFills: policy.partialFills,
|
|
333
|
+
queue: policy.queue.model,
|
|
334
|
+
timeInForce: { ...policy.timeInForce },
|
|
335
|
+
margin: { ...policy.margin },
|
|
336
|
+
};
|
|
337
|
+
}
|
|
338
|
+
// The shipped cost factories are re-exported from the execution subpath so a declared policy can
|
|
339
|
+
// be written from one import.
|
|
340
|
+
export { borrow, fees, slippage };
|
|
341
|
+
//# sourceMappingURL=policy.js.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
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