@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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/**
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* `@insiderfinance/totalfinance/backtest` — a vectorized research engine and an event-driven execution simulator
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* (spec §16). Both return the same `BacktestResult` with an `assumptions` echo (capital, fills,
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* costs, slippage, calendar — dx §2.5) and **implementation-risk diagnostics** (look-ahead,
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* alignment) so a backtest's hidden modelling assumptions are visible.
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*
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* Browser-safe; depends only on `@insiderfinance/totalfinance/core`, `@insiderfinance/totalfinance/math`, and `@insiderfinance/totalfinance/performance`.
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*/
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9
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export { vectorized, equityToReturns } from './vectorized.js';
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10
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export type { VectorizedOptions, RebalanceRule } from './vectorized.js';
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11
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export { gtSeries, ltSeries, crossOverSeries, crossUnderSeries, latchSeries } from './signals.js';
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12
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export type { EnvelopeSignal, SeriesSignal } from './signals.js';
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13
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export { SimulatedBroker, brokers } from './broker.js';
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14
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export type { OrderSide, OrderType, TimeInForce } from '../../core/dist/index.js';
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15
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export type { OrderRequest, Order, OrderStatus, CorporateAction, BrokerConfig, OptionContractSpecification, OptionSettlement, OptionSettlementStyle, ExerciseOptionInput, } from './broker.js';
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16
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export { eventDriven, crossOver, crossUnder } from './event-driven.js';
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17
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export type { EventDrivenOptions, StrategyContext, TradeOptions, Indicator, IndicatorHandle, BarField, } from './event-driven.js';
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18
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export { fees, slippage, borrow } from './costs.js';
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19
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export type { CostModel, SlippageModel, BorrowModel } from './costs.js';
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20
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export { walkForward } from './walk-forward.js';
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21
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export type { WalkForwardOptions, WalkForwardWindow, WalkForwardWindowResult, WalkForwardResult, } from './walk-forward.js';
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22
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export { tearSheet, returnStatistics, attribution, monteCarloResample } from './tearsheet.js';
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export type { TearSheet, TearSheetOptions, TradeStatistics, ReturnStatistics, ReturnStatisticsReport, SymbolAttribution, AttributionReport, MonteCarloResampleResult, MonteCarloResampleReport, } from './tearsheet.js';
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24
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export { checkDataAlignment } from './diagnostics.js';
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25
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+
export { BENCHMARK_FIXTURE_VERSION, toEquityPoints } from './types.js';
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26
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export type { Bar, BacktestResult, BacktestAssumptions, EquityPoint, ImplementationRisk, Trade, Position, } from './types.js';
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27
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export { crossSectionalBacktest, crossSectionalBacktestGrid, crossSectionalPurgedFolds, crossSectionalWalkForward, } from './cross-sectional/index.js';
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28
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+
export { createPortfolioStepper, portfolioBacktest } from './portfolio/index.js';
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29
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+
export { agentBaselines, createTradingEnvironment, environmentEpisode, runAgentBench, runEnvironmentEpisode, scoreAgentTranscript, } from './environment/index.js';
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export type { EnvironmentAction, EnvironmentObservation, AgentBenchReport, AgentTranscriptScore, EnvironmentEpisode, EnvironmentEpisodeInput, EnvironmentEpisodeResult, EnvironmentStepResult, TradingEnvironment, TradingEnvironmentDefinition, } from './environment/index.js';
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export type { PortfolioBacktestRequest, PortfolioBacktestResult, PortfolioStepper, PortfolioStepperRequest, PortfolioStepFrame, InstrumentSpecification, InstrumentAdapter, } from './portfolio/index.js';
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32
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export type { CrossSectionalBacktestGridRequest, CrossSectionalBacktestGridResult, GridVariation, GridVariationRow, CrossSectionalOutOfSampleResult, CrossSectionalPurgedFoldsRequest, CrossSectionalWalkForwardRequest, OutOfSampleAssumptions, OutOfSampleDiagnostics, OutOfSampleHygiene, OutOfSampleWindowRow, SessionSpan, AttributionRow, BenchmarkComparison, CrossSectionalAssumptions, CrossSectionalAttribution, CrossSectionalBacktestRequest, CrossSectionalBacktestResult, CrossSectionalDataset, CrossSectionalDiagnostics, CrossSectionalSignal, HoldingReason, HoldingRow, Neutrality, PortfolioConstruction, RebalanceFrequency, RebalanceGoal, RebalanceRow, RebalanceSchedule, ShortSideSelection, SideSelection, SignalContext, SignalRow, WeightContext, WeightingMethod, } from './cross-sectional/index.js';
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//# sourceMappingURL=index.d.ts.map
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1
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{"version":3,"file":"index.d.ts","sourceRoot":"","sources":["../src/index.ts"],"names":[],"mappings":"AAAA;;;;;;;GAOG;AAEH,OAAO,EAAE,UAAU,EAAE,eAAe,EAAE,MAAM,iBAAiB,CAAC;AAC9D,YAAY,EAAE,iBAAiB,EAAE,aAAa,EAAE,MAAM,iBAAiB,CAAC;AAExE,OAAO,EAAE,QAAQ,EAAE,QAAQ,EAAE,eAAe,EAAE,gBAAgB,EAAE,WAAW,EAAE,MAAM,cAAc,CAAC;AAClG,YAAY,EAAE,cAAc,EAAE,YAAY,EAAE,MAAM,cAAc,CAAC;AAKjE,OAAO,EAAE,eAAe,EAAE,OAAO,EAAE,MAAM,aAAa,CAAC;AAEvD,YAAY,EAAE,SAAS,EAAE,SAAS,EAAE,WAAW,EAAE,MAAM,0BAAoB,CAAC;AAC5E,YAAY,EACV,YAAY,EACZ,KAAK,EACL,WAAW,EACX,eAAe,EACf,YAAY,EACZ,2BAA2B,EAC3B,gBAAgB,EAChB,qBAAqB,EACrB,mBAAmB,GACpB,MAAM,aAAa,CAAC;AAErB,OAAO,EAAE,WAAW,EAAE,SAAS,EAAE,UAAU,EAAE,MAAM,mBAAmB,CAAC;AACvE,YAAY,EACV,kBAAkB,EAClB,eAAe,EACf,YAAY,EACZ,SAAS,EACT,eAAe,EACf,QAAQ,GACT,MAAM,mBAAmB,CAAC;AAE3B,OAAO,EAAE,IAAI,EAAE,QAAQ,EAAE,MAAM,EAAE,MAAM,YAAY,CAAC;AACpD,YAAY,EAAE,SAAS,EAAE,aAAa,EAAE,WAAW,EAAE,MAAM,YAAY,CAAC;AAExE,OAAO,EAAE,WAAW,EAAE,MAAM,mBAAmB,CAAC;AAChD,YAAY,EACV,kBAAkB,EAClB,iBAAiB,EACjB,uBAAuB,EACvB,iBAAiB,GAClB,MAAM,mBAAmB,CAAC;AAE3B,OAAO,EAAE,SAAS,EAAE,gBAAgB,EAAE,WAAW,EAAE,kBAAkB,EAAE,MAAM,gBAAgB,CAAC;AAC9F,YAAY,EACV,SAAS,EACT,gBAAgB,EAChB,eAAe,EACf,gBAAgB,EAChB,sBAAsB,EACtB,iBAAiB,EACjB,iBAAiB,EACjB,wBAAwB,EACxB,wBAAwB,GACzB,MAAM,gBAAgB,CAAC;AAExB,OAAO,EAAE,kBAAkB,EAAE,MAAM,kBAAkB,CAAC;AAEtD,OAAO,EAAE,yBAAyB,EAAE,cAAc,EAAE,MAAM,YAAY,CAAC;AACvE,YAAY,EACV,GAAG,EACH,cAAc,EACd,mBAAmB,EACnB,WAAW,EACX,kBAAkB,EAClB,KAAK,EACL,QAAQ,GACT,MAAM,YAAY,CAAC;AAIpB,OAAO,EACL,sBAAsB,EACtB,0BAA0B,EAC1B,yBAAyB,EACzB,yBAAyB,GAC1B,MAAM,4BAA4B,CAAC;AAEpC,OAAO,EAAE,sBAAsB,EAAE,iBAAiB,EAAE,MAAM,sBAAsB,CAAC;AAEjF,OAAO,EACL,cAAc,EACd,wBAAwB,EACxB,kBAAkB,EAClB,aAAa,EACb,qBAAqB,EACrB,oBAAoB,GACrB,MAAM,wBAAwB,CAAC;AAChC,YAAY,EACV,iBAAiB,EACjB,sBAAsB,EACtB,gBAAgB,EAChB,oBAAoB,EACpB,kBAAkB,EAClB,uBAAuB,EACvB,wBAAwB,EACxB,qBAAqB,EACrB,kBAAkB,EAClB,4BAA4B,GAC7B,MAAM,wBAAwB,CAAC;AAChC,YAAY,EACV,wBAAwB,EACxB,uBAAuB,EACvB,gBAAgB,EAChB,uBAAuB,EACvB,kBAAkB,EAClB,uBAAuB,EACvB,iBAAiB,GAClB,MAAM,sBAAsB,CAAC;AAC9B,YAAY,EACV,iCAAiC,EACjC,gCAAgC,EAChC,aAAa,EACb,gBAAgB,EAChB,+BAA+B,EAC/B,gCAAgC,EAChC,gCAAgC,EAChC,sBAAsB,EACtB,sBAAsB,EACtB,kBAAkB,EAClB,oBAAoB,EACpB,WAAW,EACX,cAAc,EACd,mBAAmB,EACnB,yBAAyB,EACzB,yBAAyB,EACzB,6BAA6B,EAC7B,4BAA4B,EAC5B,qBAAqB,EACrB,yBAAyB,EACzB,oBAAoB,EACpB,aAAa,EACb,UAAU,EACV,UAAU,EACV,qBAAqB,EACrB,kBAAkB,EAClB,aAAa,EACb,YAAY,EACZ,iBAAiB,EACjB,kBAAkB,EAClB,aAAa,EACb,aAAa,EACb,SAAS,EACT,aAAa,EACb,eAAe,GAChB,MAAM,4BAA4B,CAAC"}
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/**
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* `@insiderfinance/totalfinance/backtest` — a vectorized research engine and an event-driven execution simulator
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* (spec §16). Both return the same `BacktestResult` with an `assumptions` echo (capital, fills,
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* costs, slippage, calendar — dx §2.5) and **implementation-risk diagnostics** (look-ahead,
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* alignment) so a backtest's hidden modelling assumptions are visible.
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*
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* Browser-safe; depends only on `@insiderfinance/totalfinance/core`, `@insiderfinance/totalfinance/math`, and `@insiderfinance/totalfinance/performance`.
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*/
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export { vectorized, equityToReturns } from './vectorized.js';
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export { gtSeries, ltSeries, crossOverSeries, crossUnderSeries, latchSeries } from './signals.js';
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// The eponymous `backtest` namespace object was DELETED (P3.3): it duplicated the module's
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// own exports one level down (umbrella users saw `backtest.backtest`). Use the module namespace:
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// `import * as backtest from '@insiderfinance/totalfinance/backtest'`.
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export { SimulatedBroker, brokers } from './broker.js';
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export { eventDriven, crossOver, crossUnder } from './event-driven.js';
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export { fees, slippage, borrow } from './costs.js';
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export { walkForward } from './walk-forward.js';
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export { tearSheet, returnStatistics, attribution, monteCarloResample } from './tearsheet.js';
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export { checkDataAlignment } from './diagnostics.js';
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export { BENCHMARK_FIXTURE_VERSION, toEquityPoints } from './types.js';
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// Stage 4.6 (FC8) — the point-in-time cross-sectional engine is the package's first-call verb; its
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// grammar lives on `./cross-sectional` and the same function object is re-exported here.
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export { crossSectionalBacktest, crossSectionalBacktestGrid, crossSectionalPurgedFolds, crossSectionalWalkForward, } from './cross-sectional/index.js';
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// Stage 4.6 slice 5 (FC8) — the ledger-backed multi-asset simulator; its grammar lives on `./portfolio`.
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export { createPortfolioStepper, portfolioBacktest } from './portfolio/index.js';
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// Stage 7B.1 (AT4) — the trading-agent environment over the portfolio engine; its grammar lives on `./environment`.
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export { agentBaselines, createTradingEnvironment, environmentEpisode, runAgentBench, runEnvironmentEpisode, scoreAgentTranscript, } from './environment/index.js';
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//# sourceMappingURL=index.js.map
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{"version":3,"file":"index.js","sourceRoot":"","sources":["../src/index.ts"],"names":[],"mappings":"AAAA;;;;;;;GAOG;AAEH,OAAO,EAAE,UAAU,EAAE,eAAe,EAAE,MAAM,iBAAiB,CAAC;AAG9D,OAAO,EAAE,QAAQ,EAAE,QAAQ,EAAE,eAAe,EAAE,gBAAgB,EAAE,WAAW,EAAE,MAAM,cAAc,CAAC;AAGlG,2FAA2F;AAC3F,iGAAiG;AACjG,uEAAuE;AACvE,OAAO,EAAE,eAAe,EAAE,OAAO,EAAE,MAAM,aAAa,CAAC;AAevD,OAAO,EAAE,WAAW,EAAE,SAAS,EAAE,UAAU,EAAE,MAAM,mBAAmB,CAAC;AAUvE,OAAO,EAAE,IAAI,EAAE,QAAQ,EAAE,MAAM,EAAE,MAAM,YAAY,CAAC;AAGpD,OAAO,EAAE,WAAW,EAAE,MAAM,mBAAmB,CAAC;AAQhD,OAAO,EAAE,SAAS,EAAE,gBAAgB,EAAE,WAAW,EAAE,kBAAkB,EAAE,MAAM,gBAAgB,CAAC;AAa9F,OAAO,EAAE,kBAAkB,EAAE,MAAM,kBAAkB,CAAC;AAEtD,OAAO,EAAE,yBAAyB,EAAE,cAAc,EAAE,MAAM,YAAY,CAAC;AAWvE,mGAAmG;AACnG,yFAAyF;AACzF,OAAO,EACL,sBAAsB,EACtB,0BAA0B,EAC1B,yBAAyB,EACzB,yBAAyB,GAC1B,MAAM,4BAA4B,CAAC;AACpC,yGAAyG;AACzG,OAAO,EAAE,sBAAsB,EAAE,iBAAiB,EAAE,MAAM,sBAAsB,CAAC;AACjF,oHAAoH;AACpH,OAAO,EACL,cAAc,EACd,wBAAwB,EACxB,kBAAkB,EAClB,aAAa,EACb,qBAAqB,EACrB,oBAAoB,GACrB,MAAM,wBAAwB,CAAC"}
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/**
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2
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+
* Chain access helpers for the options backtester: resolve snapshot times, compute days-to-expiry,
|
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3
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* list and select expiries, and bridge the declarative entry rule onto `strategyFromChain` — or, for
|
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4
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* the multi-expiry structures (Stage 4.6), onto `@insiderfinance/totalfinance/strategy`'s calendar and diagonal
|
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* constructors with the near leg chosen by delta and the far leg by days.
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*/
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import { type EpochMs, type PriceSource, type OptionQuote } from '../../../core/dist/index.js';
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import { type Position } from '../../../strategy/dist/index.js';
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import type { ChainSnapshot, DaysToExpiryTarget, EntryRule, MultiExpirySelection, MultiExpiryStructure } from './types.js';
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/**
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* Resolve a snapshot's `asOf` to epoch ms through core's valuation-instant door: epoch ms or a zoned
|
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12
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+
* datetime. A bare date is refused with the fix — an end-of-day chain is observed at the close, so
|
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13
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+
* pass `usEquitySessionInstant(date, 'close')`.
|
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+
*/
|
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15
|
+
export declare function snapshotAsOf(snap: ChainSnapshot, functionName: string): EpochMs;
|
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+
/**
|
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* Calendar days from `asOf` (its America/New_York market DATE) to an ISO expiry — the
|
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* trader-standard DTE. The day boundary is the market's, not UTC's: a 21:30 ET snapshot is already
|
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* tomorrow in UTC and would otherwise count one day short.
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*/
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export declare function daysToExpiry(asOfMs: EpochMs, expiry: string): number;
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/** Distinct expiries present in a snapshot's quotes, ascending. */
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export declare function listExpiries(snap: ChainSnapshot): string[];
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/**
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* The listed expiry whose DTE is nearest `dte.target` within `[min, max]`, or `null` when no listed
|
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* expiry falls in range (the caller discloses the skip — never fabricates a fill).
|
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*/
|
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export declare function nearestExpiryByDaysToExpiry(snap: ChainSnapshot, asOfMs: EpochMs, target: DaysToExpiryTarget): {
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expiry: string;
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daysToExpiry: number;
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} | null;
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/** The signed quantity a sizing rule resolves to (validated positive). */
|
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export declare function resolveQuantity(sizing: EntryRule['sizing']): number | 'margin';
|
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/** True for the calendar/diagonal structures (Stage 4.6). */
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export declare function isMultiExpiryStructure(structure: string): structure is MultiExpiryStructure;
|
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+
/**
|
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* Build a calendar / diagonal / double diagonal from the chain: the short near leg by |delta| on the
|
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* near expiry, the long far leg on the far expiry at the same strike (calendar) or `width` away
|
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* (diagonal: a call diagonal's long strike is `width` above, a put diagonal's `width` below).
|
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*/
|
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export declare function buildMultiExpiryPosition(structure: MultiExpiryStructure, select: MultiExpirySelection, snap: ChainSnapshot, asOfMs: EpochMs, quantity: number, price: PriceSource): {
|
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position: Position;
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quotes: (OptionQuote | null)[];
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} | {
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skip: string;
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};
|
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/**
|
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48
|
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* The chain row each option leg was filled from, aligned to `position.legs` (`null` for a stock
|
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* leg or a contract the snapshot does not list exactly once) — the fill policy's usability checks
|
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|
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* walk the legs in the structure's order.
|
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|
+
*/
|
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|
+
export declare function quotesForLegs(position: Position, snap: ChainSnapshot, positionExpiry?: string): (OptionQuote | null)[];
|
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|
+
/**
|
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54
|
+
* Build the entry position from a snapshot: pick the expiry by DTE, then either run the caller's
|
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* `build` escape hatch, or map the declarative `structure` + `select` onto `strategyFromChain` (or
|
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* the multi-expiry constructors). Returns the skip reason when no position could be built — the
|
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* engine discloses it. `quotes` are the chain rows the legs were filled from (a `build` position has
|
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* none), in leg order, for the fill policy's usability checks.
|
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*/
|
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|
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export declare function buildEntryPosition(entry: EntryRule, snap: ChainSnapshot, asOfMs: EpochMs, quantity: number, ctxBuild: () => Position | null): {
|
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position: Position;
|
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quotes: (OptionQuote | null)[];
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} | {
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skip: string;
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};
|
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/** Guard a chain snapshot's shape at the boundary (teaching error, not a raw crash). */
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export declare function requireSnapshot(snap: unknown, index: number, functionName: string): asserts snap is ChainSnapshot;
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{"version":3,"file":"chain.d.ts","sourceRoot":"","sources":["../../src/options/chain.ts"],"names":[],"mappings":"AAAA;;;;;GAKG;AAEH,OAAO,EACL,KAAK,OAAO,EAGZ,KAAK,WAAW,EAKhB,KAAK,WAAW,EACjB,MAAM,6BAAoB,CAAC;AAC5B,OAAO,EAEL,KAAK,QAAQ,EAOd,MAAM,iCAAwB,CAAC;AAChC,OAAO,KAAK,EACV,aAAa,EACb,kBAAkB,EAClB,SAAS,EACT,oBAAoB,EACpB,oBAAoB,EACrB,MAAM,YAAY,CAAC;AAIpB;;;;GAIG;AACH,wBAAgB,YAAY,CAAC,IAAI,EAAE,aAAa,EAAE,YAAY,EAAE,MAAM,GAAG,OAAO,CAE/E;AAED;;;;GAIG;AACH,wBAAgB,YAAY,CAAC,MAAM,EAAE,OAAO,EAAE,MAAM,EAAE,MAAM,GAAG,MAAM,CAGpE;AAED,mEAAmE;AACnE,wBAAgB,YAAY,CAAC,IAAI,EAAE,aAAa,GAAG,MAAM,EAAE,CAI1D;AAED;;;GAGG;AACH,wBAAgB,2BAA2B,CACzC,IAAI,EAAE,aAAa,EACnB,MAAM,EAAE,OAAO,EACf,MAAM,EAAE,kBAAkB,GACzB;IAAE,MAAM,EAAE,MAAM,CAAC;IAAC,YAAY,EAAE,MAAM,CAAA;CAAE,GAAG,IAAI,CAkBjD;AAED,0EAA0E;AAC1E,wBAAgB,eAAe,CAAC,MAAM,EAAE,SAAS,CAAC,QAAQ,CAAC,GAAG,MAAM,GAAG,QAAQ,CAI9E;AAUD,6DAA6D;AAC7D,wBAAgB,sBAAsB,CAAC,SAAS,EAAE,MAAM,GAAG,SAAS,IAAI,oBAAoB,CAE3F;AA4DD;;;;GAIG;AACH,wBAAgB,wBAAwB,CACtC,SAAS,EAAE,oBAAoB,EAC/B,MAAM,EAAE,oBAAoB,EAC5B,IAAI,EAAE,aAAa,EACnB,MAAM,EAAE,OAAO,EACf,QAAQ,EAAE,MAAM,EAChB,KAAK,EAAE,WAAW,GACjB;IAAE,QAAQ,EAAE,QAAQ,CAAC;IAAC,MAAM,EAAE,CAAC,WAAW,GAAG,IAAI,CAAC,EAAE,CAAA;CAAE,GAAG;IAAE,IAAI,EAAE,MAAM,CAAA;CAAE,CAoI3E;AAED;;;;GAIG;AACH,wBAAgB,aAAa,CAC3B,QAAQ,EAAE,QAAQ,EAClB,IAAI,EAAE,aAAa,EACnB,cAAc,CAAC,EAAE,MAAM,GACtB,CAAC,WAAW,GAAG,IAAI,CAAC,EAAE,CAOxB;AAED;;;;;;GAMG;AACH,wBAAgB,kBAAkB,CAChC,KAAK,EAAE,SAAS,EAChB,IAAI,EAAE,aAAa,EACnB,MAAM,EAAE,OAAO,EACf,QAAQ,EAAE,MAAM,EAChB,QAAQ,EAAE,MAAM,QAAQ,GAAG,IAAI,GAC9B;IAAE,QAAQ,EAAE,QAAQ,CAAC;IAAC,MAAM,EAAE,CAAC,WAAW,GAAG,IAAI,CAAC,EAAE,CAAA;CAAE,GAAG;IAAE,IAAI,EAAE,MAAM,CAAA;CAAE,CAyC3E;AAED,wFAAwF;AACxF,wBAAgB,eAAe,CAC7B,IAAI,EAAE,OAAO,EACb,KAAK,EAAE,MAAM,EACb,YAAY,EAAE,MAAM,GACnB,OAAO,CAAC,IAAI,IAAI,aAAa,CAc/B"}
|
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|
|
|
1
|
+
/**
|
|
2
|
+
* Chain access helpers for the options backtester: resolve snapshot times, compute days-to-expiry,
|
|
3
|
+
* list and select expiries, and bridge the declarative entry rule onto `strategyFromChain` — or, for
|
|
4
|
+
* the multi-expiry structures (Stage 4.6), onto `@insiderfinance/totalfinance/strategy`'s calendar and diagonal
|
|
5
|
+
* constructors with the near leg chosen by delta and the far leg by days.
|
|
6
|
+
*/
|
|
7
|
+
import { InputError, ErrorCode, isoDateToEpochMs, resolveValuationAsOf, selectQuotePrice, usEquityMarketDateUtcMs, } from '../../../core/dist/index.js';
|
|
8
|
+
import { calendarCallSpread, calendarPutSpread, diagonalCallSpread, diagonalPutSpread, doubleDiagonal, strategyFromChain, } from '../../../strategy/dist/index.js';
|
|
9
|
+
const DAY_MS = 86_400_000;
|
|
10
|
+
/**
|
|
11
|
+
* Resolve a snapshot's `asOf` to epoch ms through core's valuation-instant door: epoch ms or a zoned
|
|
12
|
+
* datetime. A bare date is refused with the fix — an end-of-day chain is observed at the close, so
|
|
13
|
+
* pass `usEquitySessionInstant(date, 'close')`.
|
|
14
|
+
*/
|
|
15
|
+
export function snapshotAsOf(snap, functionName) {
|
|
16
|
+
return resolveValuationAsOf(snap.asOf, functionName);
|
|
17
|
+
}
|
|
18
|
+
/**
|
|
19
|
+
* Calendar days from `asOf` (its America/New_York market DATE) to an ISO expiry — the
|
|
20
|
+
* trader-standard DTE. The day boundary is the market's, not UTC's: a 21:30 ET snapshot is already
|
|
21
|
+
* tomorrow in UTC and would otherwise count one day short.
|
|
22
|
+
*/
|
|
23
|
+
export function daysToExpiry(asOfMs, expiry) {
|
|
24
|
+
const asOfDateMs = usEquityMarketDateUtcMs(asOfMs);
|
|
25
|
+
return Math.round((isoDateToEpochMs(expiry) - asOfDateMs) / DAY_MS);
|
|
26
|
+
}
|
|
27
|
+
/** Distinct expiries present in a snapshot's quotes, ascending. */
|
|
28
|
+
export function listExpiries(snap) {
|
|
29
|
+
const set = new Set();
|
|
30
|
+
for (const q of snap.quotes)
|
|
31
|
+
set.add(q.contract.expiry);
|
|
32
|
+
return [...set].sort();
|
|
33
|
+
}
|
|
34
|
+
/**
|
|
35
|
+
* The listed expiry whose DTE is nearest `dte.target` within `[min, max]`, or `null` when no listed
|
|
36
|
+
* expiry falls in range (the caller discloses the skip — never fabricates a fill).
|
|
37
|
+
*/
|
|
38
|
+
export function nearestExpiryByDaysToExpiry(snap, asOfMs, target) {
|
|
39
|
+
// Opening an already-expired (or same-bar-settling) expiry is degenerate — it would settle the
|
|
40
|
+
// instant it opens. Skip `dte ≤ 0` unless the caller explicitly options into it via `dte.min ≤ 0`.
|
|
41
|
+
const allowExpired = target.min !== undefined && target.min <= 0;
|
|
42
|
+
let best = null;
|
|
43
|
+
for (const expiry of listExpiries(snap)) {
|
|
44
|
+
const d = daysToExpiry(asOfMs, expiry);
|
|
45
|
+
if (!allowExpired && d <= 0)
|
|
46
|
+
continue;
|
|
47
|
+
if (target.min !== undefined && d < target.min)
|
|
48
|
+
continue;
|
|
49
|
+
if (target.max !== undefined && d > target.max)
|
|
50
|
+
continue;
|
|
51
|
+
if (best === null ||
|
|
52
|
+
Math.abs(d - target.target) < Math.abs(best.daysToExpiry - target.target)) {
|
|
53
|
+
best = { expiry, daysToExpiry: d };
|
|
54
|
+
}
|
|
55
|
+
}
|
|
56
|
+
return best;
|
|
57
|
+
}
|
|
58
|
+
/** The signed quantity a sizing rule resolves to (validated positive). */
|
|
59
|
+
export function resolveQuantity(sizing) {
|
|
60
|
+
if (sizing === undefined)
|
|
61
|
+
return 1;
|
|
62
|
+
if ('quantity' in sizing)
|
|
63
|
+
return sizing.quantity;
|
|
64
|
+
return 'margin';
|
|
65
|
+
}
|
|
66
|
+
const MULTI_EXPIRY = new Set([
|
|
67
|
+
'calendarCallSpread',
|
|
68
|
+
'calendarPutSpread',
|
|
69
|
+
'diagonalCallSpread',
|
|
70
|
+
'diagonalPutSpread',
|
|
71
|
+
'doubleDiagonal',
|
|
72
|
+
]);
|
|
73
|
+
/** True for the calendar/diagonal structures (Stage 4.6). */
|
|
74
|
+
export function isMultiExpiryStructure(structure) {
|
|
75
|
+
return MULTI_EXPIRY.has(structure);
|
|
76
|
+
}
|
|
77
|
+
/** The quotes of one expiry and right, with a finite delta, |delta| nearest the target. */
|
|
78
|
+
function nearestByAbsDelta(rows, expiry, right, target, label) {
|
|
79
|
+
let best = null;
|
|
80
|
+
let bestDistance = Number.POSITIVE_INFINITY;
|
|
81
|
+
let seen = 0;
|
|
82
|
+
for (const q of rows) {
|
|
83
|
+
if (q.contract.expiry !== expiry || q.contract.type !== right)
|
|
84
|
+
continue;
|
|
85
|
+
seen += 1;
|
|
86
|
+
const delta = q.greeks?.delta;
|
|
87
|
+
if (typeof delta !== 'number' || !Number.isFinite(delta))
|
|
88
|
+
continue;
|
|
89
|
+
const distance = Math.abs(Math.abs(delta) - target);
|
|
90
|
+
if (distance < bestDistance) {
|
|
91
|
+
bestDistance = distance;
|
|
92
|
+
best = q;
|
|
93
|
+
}
|
|
94
|
+
}
|
|
95
|
+
if (best === null) {
|
|
96
|
+
throw new InputError(seen === 0
|
|
97
|
+
? `no ${right} quotes listed for ${expiry} (${label})`
|
|
98
|
+
: `the ${expiry} ${right} quotes carry no finite delta — delta selection needs one per quote (${label})`, { code: ErrorCode.InputOutOfRange, context: { expiry, right, target } });
|
|
99
|
+
}
|
|
100
|
+
return best;
|
|
101
|
+
}
|
|
102
|
+
/** The quote of one expiry, right, and strike; `null` when none is listed. */
|
|
103
|
+
function atStrike(rows, expiry, right, strike) {
|
|
104
|
+
const matches = rows.filter((q) => q.contract.expiry === expiry && q.contract.type === right && q.contract.strike === strike);
|
|
105
|
+
return matches.length === 1 ? matches[0] : null;
|
|
106
|
+
}
|
|
107
|
+
function premiumOf(quote, source, label) {
|
|
108
|
+
const price = selectQuotePrice(quote, source);
|
|
109
|
+
if (price === undefined || !Number.isFinite(price)) {
|
|
110
|
+
throw new InputError(`${label}: the quote carries no usable '${source}' price`, {
|
|
111
|
+
code: ErrorCode.InputOutOfRange,
|
|
112
|
+
context: { strike: quote.contract.strike, expiry: quote.contract.expiry },
|
|
113
|
+
});
|
|
114
|
+
}
|
|
115
|
+
return price;
|
|
116
|
+
}
|
|
117
|
+
/**
|
|
118
|
+
* Build a calendar / diagonal / double diagonal from the chain: the short near leg by |delta| on the
|
|
119
|
+
* near expiry, the long far leg on the far expiry at the same strike (calendar) or `width` away
|
|
120
|
+
* (diagonal: a call diagonal's long strike is `width` above, a put diagonal's `width` below).
|
|
121
|
+
*/
|
|
122
|
+
export function buildMultiExpiryPosition(structure, select, snap, asOfMs, quantity, price) {
|
|
123
|
+
const near = nearestExpiryByDaysToExpiry(snap, asOfMs, select.nearDaysToExpiry);
|
|
124
|
+
if (near === null) {
|
|
125
|
+
return {
|
|
126
|
+
skip: `no listed near expiry within DTE [${select.nearDaysToExpiry.min ?? '−∞'}, ${select.nearDaysToExpiry.max ?? '∞'}] near ${select.nearDaysToExpiry.target}`,
|
|
127
|
+
};
|
|
128
|
+
}
|
|
129
|
+
const far = nearestExpiryByDaysToExpiry(snap, asOfMs, select.farDaysToExpiry);
|
|
130
|
+
if (far === null) {
|
|
131
|
+
return {
|
|
132
|
+
skip: `no listed far expiry within DTE [${select.farDaysToExpiry.min ?? '−∞'}, ${select.farDaysToExpiry.max ?? '∞'}] near ${select.farDaysToExpiry.target}`,
|
|
133
|
+
};
|
|
134
|
+
}
|
|
135
|
+
if (far.expiry <= near.expiry) {
|
|
136
|
+
return {
|
|
137
|
+
skip: `the far expiry ${far.expiry} is not later than the near expiry ${near.expiry} — widen farDaysToExpiry`,
|
|
138
|
+
};
|
|
139
|
+
}
|
|
140
|
+
const isCalendar = structure === 'calendarCallSpread' || structure === 'calendarPutSpread';
|
|
141
|
+
if (isCalendar && select.width !== undefined) {
|
|
142
|
+
throw new InputError(`buildMultiExpiryPosition: a ${structure} has one strike — omit select.width (a diagonal carries the width).`, { code: ErrorCode.InputUnknownField, context: { field: 'select.width' } });
|
|
143
|
+
}
|
|
144
|
+
if (!isCalendar && !(typeof select.width === 'number' && select.width > 0)) {
|
|
145
|
+
throw new InputError(`buildMultiExpiryPosition: a ${structure} needs select.width > 0 (the far leg's strike distance).`, {
|
|
146
|
+
code: ErrorCode.InputMissingField,
|
|
147
|
+
context: { field: 'select.width' },
|
|
148
|
+
});
|
|
149
|
+
}
|
|
150
|
+
try {
|
|
151
|
+
const side = (right) => {
|
|
152
|
+
const shortQuote = nearestByAbsDelta(snap.quotes, near.expiry, right, select.shortDelta, `${structure} short ${right}`);
|
|
153
|
+
const shortStrike = shortQuote.contract.strike;
|
|
154
|
+
const longStrike = isCalendar
|
|
155
|
+
? shortStrike
|
|
156
|
+
: right === 'call'
|
|
157
|
+
? shortStrike + select.width
|
|
158
|
+
: shortStrike - select.width;
|
|
159
|
+
const longQuote = atStrike(snap.quotes, far.expiry, right, longStrike);
|
|
160
|
+
if (longQuote === null) {
|
|
161
|
+
throw new InputError(`side: no ${far.expiry} ${right} listed at strike ${longStrike} for the far leg of the ${structure}`, {
|
|
162
|
+
code: ErrorCode.InputOutOfRange,
|
|
163
|
+
context: { expiry: far.expiry, right, strike: longStrike },
|
|
164
|
+
});
|
|
165
|
+
}
|
|
166
|
+
return {
|
|
167
|
+
shortStrike,
|
|
168
|
+
shortPremium: premiumOf(shortQuote, price, `${structure} short ${right}`),
|
|
169
|
+
longStrike,
|
|
170
|
+
longPremium: premiumOf(longQuote, price, `${structure} long ${right}`),
|
|
171
|
+
};
|
|
172
|
+
};
|
|
173
|
+
switch (structure) {
|
|
174
|
+
case 'calendarCallSpread':
|
|
175
|
+
case 'calendarPutSpread': {
|
|
176
|
+
const right = structure === 'calendarCallSpread' ? 'call' : 'put';
|
|
177
|
+
const s = side(right);
|
|
178
|
+
const build = right === 'call' ? calendarCallSpread : calendarPutSpread;
|
|
179
|
+
const position = build({
|
|
180
|
+
strike: s.shortStrike,
|
|
181
|
+
nearExpiry: near.expiry,
|
|
182
|
+
shortPremium: s.shortPremium,
|
|
183
|
+
farExpiry: far.expiry,
|
|
184
|
+
longPremium: s.longPremium,
|
|
185
|
+
quantity,
|
|
186
|
+
});
|
|
187
|
+
return { position, quotes: quotesForLegs(position, snap) };
|
|
188
|
+
}
|
|
189
|
+
case 'diagonalCallSpread':
|
|
190
|
+
case 'diagonalPutSpread': {
|
|
191
|
+
const right = structure === 'diagonalCallSpread' ? 'call' : 'put';
|
|
192
|
+
const s = side(right);
|
|
193
|
+
const build = right === 'call' ? diagonalCallSpread : diagonalPutSpread;
|
|
194
|
+
const position = build({
|
|
195
|
+
shortStrike: s.shortStrike,
|
|
196
|
+
shortPremium: s.shortPremium,
|
|
197
|
+
nearExpiry: near.expiry,
|
|
198
|
+
longStrike: s.longStrike,
|
|
199
|
+
longPremium: s.longPremium,
|
|
200
|
+
farExpiry: far.expiry,
|
|
201
|
+
quantity,
|
|
202
|
+
});
|
|
203
|
+
return { position, quotes: quotesForLegs(position, snap) };
|
|
204
|
+
}
|
|
205
|
+
case 'doubleDiagonal': {
|
|
206
|
+
const call = side('call');
|
|
207
|
+
const put = side('put');
|
|
208
|
+
const position = doubleDiagonal({
|
|
209
|
+
nearExpiry: near.expiry,
|
|
210
|
+
farExpiry: far.expiry,
|
|
211
|
+
call: {
|
|
212
|
+
shortStrike: call.shortStrike,
|
|
213
|
+
shortPremium: call.shortPremium,
|
|
214
|
+
longStrike: call.longStrike,
|
|
215
|
+
longPremium: call.longPremium,
|
|
216
|
+
},
|
|
217
|
+
put: {
|
|
218
|
+
shortStrike: put.shortStrike,
|
|
219
|
+
shortPremium: put.shortPremium,
|
|
220
|
+
longStrike: put.longStrike,
|
|
221
|
+
longPremium: put.longPremium,
|
|
222
|
+
},
|
|
223
|
+
quantity,
|
|
224
|
+
});
|
|
225
|
+
return { position, quotes: quotesForLegs(position, snap) };
|
|
226
|
+
}
|
|
227
|
+
}
|
|
228
|
+
}
|
|
229
|
+
catch (err) {
|
|
230
|
+
if (err instanceof InputError)
|
|
231
|
+
return { skip: err.message };
|
|
232
|
+
throw err;
|
|
233
|
+
}
|
|
234
|
+
}
|
|
235
|
+
/**
|
|
236
|
+
* The chain row each option leg was filled from, aligned to `position.legs` (`null` for a stock
|
|
237
|
+
* leg or a contract the snapshot does not list exactly once) — the fill policy's usability checks
|
|
238
|
+
* walk the legs in the structure's order.
|
|
239
|
+
*/
|
|
240
|
+
export function quotesForLegs(position, snap, positionExpiry) {
|
|
241
|
+
return position.legs.map((leg) => {
|
|
242
|
+
if (leg.kind === 'stock')
|
|
243
|
+
return null;
|
|
244
|
+
const expiry = leg.expiry ?? positionExpiry;
|
|
245
|
+
if (expiry === undefined)
|
|
246
|
+
return null;
|
|
247
|
+
return atStrike(snap.quotes, expiry, leg.kind, leg.strike);
|
|
248
|
+
});
|
|
249
|
+
}
|
|
250
|
+
/**
|
|
251
|
+
* Build the entry position from a snapshot: pick the expiry by DTE, then either run the caller's
|
|
252
|
+
* `build` escape hatch, or map the declarative `structure` + `select` onto `strategyFromChain` (or
|
|
253
|
+
* the multi-expiry constructors). Returns the skip reason when no position could be built — the
|
|
254
|
+
* engine discloses it. `quotes` are the chain rows the legs were filled from (a `build` position has
|
|
255
|
+
* none), in leg order, for the fill policy's usability checks.
|
|
256
|
+
*/
|
|
257
|
+
export function buildEntryPosition(entry, snap, asOfMs, quantity, ctxBuild) {
|
|
258
|
+
// The escape hatch owns everything (expiry, strikes, structure).
|
|
259
|
+
if ('build' in entry) {
|
|
260
|
+
const position = ctxBuild();
|
|
261
|
+
return position ? { position, quotes: [] } : { skip: 'entry.build returned null' };
|
|
262
|
+
}
|
|
263
|
+
if (isMultiExpiryStructure(entry.structure)) {
|
|
264
|
+
return buildMultiExpiryPosition(entry.structure, entry.select, snap, asOfMs, quantity, entry.price ?? 'mid');
|
|
265
|
+
}
|
|
266
|
+
const chosen = nearestExpiryByDaysToExpiry(snap, asOfMs, entry.daysToExpiry);
|
|
267
|
+
if (chosen === null) {
|
|
268
|
+
return {
|
|
269
|
+
skip: `no listed expiry within DTE [${entry.daysToExpiry.min ?? '−∞'}, ${entry.daysToExpiry.max ?? '∞'}] near ${entry.daysToExpiry.target}`,
|
|
270
|
+
};
|
|
271
|
+
}
|
|
272
|
+
const common = {
|
|
273
|
+
expiry: chosen.expiry,
|
|
274
|
+
quantity,
|
|
275
|
+
price: entry.price ?? 'mid',
|
|
276
|
+
spot: snap.underlyingPrice,
|
|
277
|
+
};
|
|
278
|
+
// The declarative structure maps 1:1 onto strategyFromChain's option grammar.
|
|
279
|
+
const options = { type: entry.structure, ...entry.select, ...common };
|
|
280
|
+
try {
|
|
281
|
+
const built = strategyFromChain(snap.quotes, options);
|
|
282
|
+
return { position: built.position, quotes: quotesForLegs(built.position, snap, chosen.expiry) };
|
|
283
|
+
}
|
|
284
|
+
catch (err) {
|
|
285
|
+
// A chain that can't satisfy the selection (no strike at the target delta, missing deltas, …)
|
|
286
|
+
// is a disclosed skip, never a fabricated fill. Non-QuantErrors still propagate (real bugs).
|
|
287
|
+
if (err instanceof InputError)
|
|
288
|
+
return { skip: err.message };
|
|
289
|
+
throw err;
|
|
290
|
+
}
|
|
291
|
+
}
|
|
292
|
+
/** Guard a chain snapshot's shape at the boundary (teaching error, not a raw crash). */
|
|
293
|
+
export function requireSnapshot(snap, index, functionName) {
|
|
294
|
+
const s = snap;
|
|
295
|
+
if (s === null ||
|
|
296
|
+
typeof s !== 'object' ||
|
|
297
|
+
(typeof s.asOf !== 'number' && typeof s.asOf !== 'string') ||
|
|
298
|
+
typeof s.underlyingPrice !== 'number' ||
|
|
299
|
+
!Array.isArray(s.quotes)) {
|
|
300
|
+
throw new InputError(`${functionName}: chains[${index}] must be a ChainSnapshot { asOf, underlyingPrice, quotes: OptionQuote[] }.`, { code: ErrorCode.InputWrongType, context: { index } });
|
|
301
|
+
}
|
|
302
|
+
}
|
|
303
|
+
//# sourceMappingURL=chain.js.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
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@@ -0,0 +1,28 @@
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1
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+
/**
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2
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+
* The chain-driven options-strategy backtest engine over a position BOOK (Stage 4.6, FC8 Decision 5).
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3
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+
*
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4
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+
* Composes proven primitives — `strategyFromChain` and the calendar/diagonal constructors (entry),
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5
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+
* `Position.value()` (marking + per-leg greeks), `optionsMargin` / `aggregateGreeks` / `scenarioGrid`
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6
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+
* (sizing and the pre-trade limits) — over a time series of `ChainSnapshot`s. Several rules may hold
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7
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+
* several trades at once; every fill, settlement, and adjustment is a portfolio-ledger event and the
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8
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+
* reported equity reconciles to the ledger's NAV. No look-ahead (each snapshot sees only its own
|
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9
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+
* chain), no silent degradation (an unbuildable entry discloses and skips; a rejected entry is a row),
|
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10
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+
* and every result carries the `assumptions` + `diagnostics` envelope. With one rule and the default
|
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11
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+
* book of one, the engine is exactly the shipped single-position backtester.
|
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12
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+
*/
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13
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+
import type { OptionsBacktestConfig, OptionsBacktestResult } from './types.js';
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14
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+
/** Decision 9: open positions one book may hold. */
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15
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+
export declare const OPTIONS_BOOK_CEILING = 10000;
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16
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+
/**
|
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17
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+
* Run a chain-driven options-strategy backtest over a position book. See
|
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18
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+
* `docs/specs/options-backtest.md` and `docs/specs/portfolio-scale-backtesting.md` (Decision 5).
|
|
19
|
+
*/
|
|
20
|
+
/**
|
|
21
|
+
* The closed guard for `optionsBacktest` (Stage 4.6): the generated closed-request spec over the
|
|
22
|
+
* whole declaration, then the hand laws — the iterable `chains`, the rules and their unique ids, the
|
|
23
|
+
* book's bounds, the limits, the fill and freshness policies, the corporate actions, the dividends.
|
|
24
|
+
* `optionsBacktest` calls it first; the run artifacts call it before storing a request.
|
|
25
|
+
*/
|
|
26
|
+
export declare function requireOptionsBacktestConfig(functionName: string, label: string, value: unknown): void;
|
|
27
|
+
export declare function optionsBacktest(config: OptionsBacktestConfig): OptionsBacktestResult;
|
|
28
|
+
//# sourceMappingURL=engine.d.ts.map
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|
@@ -0,0 +1 @@
|
|
|
1
|
+
{"version":3,"file":"engine.d.ts","sourceRoot":"","sources":["../../src/options/engine.ts"],"names":[],"mappings":"AAAA;;;;;;;;;;;GAWG;AAkDH,OAAO,KAAK,EAeV,qBAAqB,EACrB,qBAAqB,EAQtB,MAAM,YAAY,CAAC;AAUpB,oDAAoD;AACpD,eAAO,MAAM,oBAAoB,QAAS,CAAC;AAkV3C;;;GAGG;AACH;;;;;GAKG;AACH,wBAAgB,4BAA4B,CAC1C,YAAY,EAAE,MAAM,EACpB,KAAK,EAAE,MAAM,EACb,KAAK,EAAE,OAAO,GACb,IAAI,CAwJN;AAED,wBAAgB,eAAe,CAAC,MAAM,EAAE,qBAAqB,GAAG,qBAAqB,CAqmDpF"}
|