@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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if (value === undefined)
|
|
26
|
+
throw missingFieldError(functionName, path, exampleCall);
|
|
27
|
+
ensureFiniteWhenPresent(value, path, functionName);
|
|
28
|
+
return value;
|
|
29
|
+
}
|
|
30
|
+
function requireTimestamp(path, value) {
|
|
31
|
+
const result = requireNumber(path, value);
|
|
32
|
+
if (!Number.isSafeInteger(result) || result < 0) {
|
|
33
|
+
throw new InputError(`${functionName}: ${path} must be a non-negative safe-integer epoch-millisecond value.`, {
|
|
34
|
+
code: ErrorCode.InputOutOfRange,
|
|
35
|
+
context: { function: functionName, field: path, value: result },
|
|
36
|
+
});
|
|
37
|
+
}
|
|
38
|
+
return result;
|
|
39
|
+
}
|
|
40
|
+
function requireNonEmptyString(path, value) {
|
|
41
|
+
if (typeof value !== 'string' || value.trim().length === 0) {
|
|
42
|
+
throw new InputError(`${functionName}: ${path} must be a non-empty string.`, {
|
|
43
|
+
code: ErrorCode.InputWrongType,
|
|
44
|
+
context: { function: functionName, field: path },
|
|
45
|
+
});
|
|
46
|
+
}
|
|
47
|
+
return value;
|
|
48
|
+
}
|
|
49
|
+
function requireDate(path, value) {
|
|
50
|
+
const result = requireNonEmptyString(path, value);
|
|
51
|
+
try {
|
|
52
|
+
isoDateToEpochMs(result);
|
|
53
|
+
}
|
|
54
|
+
catch (error) {
|
|
55
|
+
if (!(error instanceof InputError))
|
|
56
|
+
throw error;
|
|
57
|
+
throw new InputError(`${functionName}: ${path} must be a strict YYYY-MM-DD calendar date. ${error.message}`, {
|
|
58
|
+
code: error.code,
|
|
59
|
+
context: { function: functionName, field: path, value: result },
|
|
60
|
+
});
|
|
61
|
+
}
|
|
62
|
+
return result;
|
|
63
|
+
}
|
|
64
|
+
function boundedArrays(value, fields) {
|
|
65
|
+
const arrays = {};
|
|
66
|
+
let total = 0;
|
|
67
|
+
for (const field of fields) {
|
|
68
|
+
const array = value[field];
|
|
69
|
+
const path = `input.${field}`;
|
|
70
|
+
if (!Array.isArray(array)) {
|
|
71
|
+
throw new InputError(`${functionName}: ${path} must be an array.`, {
|
|
72
|
+
code: ErrorCode.InputWrongType,
|
|
73
|
+
context: { function: functionName, field: path },
|
|
74
|
+
});
|
|
75
|
+
}
|
|
76
|
+
total += array.length;
|
|
77
|
+
if (total > MAXIMUM_ROWS) {
|
|
78
|
+
throw new InputError(`${functionName}: ${path} exceeds the shared ${MAXIMUM_ROWS}-row input budget; supply only the relevant universe and history.`, {
|
|
79
|
+
code: ErrorCode.InputOutOfRange,
|
|
80
|
+
context: {
|
|
81
|
+
function: functionName,
|
|
82
|
+
field: path,
|
|
83
|
+
maximumRows: MAXIMUM_ROWS,
|
|
84
|
+
totalRows: total,
|
|
85
|
+
},
|
|
86
|
+
});
|
|
87
|
+
}
|
|
88
|
+
arrays[field] = array;
|
|
89
|
+
}
|
|
90
|
+
return arrays;
|
|
91
|
+
}
|
|
92
|
+
function mapRows(rows, path, parse) {
|
|
93
|
+
const result = [];
|
|
94
|
+
for (let index = 0; index < rows.length; index++) {
|
|
95
|
+
// An inherited element cannot fill a sparse own slot. Do not use map/forEach: they skip holes.
|
|
96
|
+
if (!Object.prototype.hasOwnProperty.call(rows, index)) {
|
|
97
|
+
requireArgumentObject(functionName, `${path}[${index}]`, undefined);
|
|
98
|
+
}
|
|
99
|
+
result.push(parse(rows[index], index));
|
|
100
|
+
}
|
|
101
|
+
return result;
|
|
102
|
+
}
|
|
103
|
+
function requireUnique(rows, path, identity) {
|
|
104
|
+
const seen = new Set();
|
|
105
|
+
rows.forEach((row, index) => {
|
|
106
|
+
const key = identity(row);
|
|
107
|
+
if (seen.has(key)) {
|
|
108
|
+
throw new InputError(`${functionName}: ${path}[${index}] duplicates the identity ${JSON.stringify(key)}; ambiguous inputs fail closed.`, {
|
|
109
|
+
code: ErrorCode.InputOutOfRange,
|
|
110
|
+
context: { function: functionName, field: `${path}[${index}]`, identity: key },
|
|
111
|
+
});
|
|
112
|
+
}
|
|
113
|
+
seen.add(key);
|
|
114
|
+
});
|
|
115
|
+
}
|
|
116
|
+
return {
|
|
117
|
+
requireObject,
|
|
118
|
+
requireFields,
|
|
119
|
+
requireNumber,
|
|
120
|
+
requireTimestamp,
|
|
121
|
+
requireNonEmptyString,
|
|
122
|
+
requireDate,
|
|
123
|
+
boundedArrays,
|
|
124
|
+
mapRows,
|
|
125
|
+
requireUnique,
|
|
126
|
+
};
|
|
127
|
+
}
|
|
128
|
+
export function compareText(left, right) {
|
|
129
|
+
return left < right ? -1 : left > right ? 1 : 0;
|
|
130
|
+
}
|
|
131
|
+
/** Preserve the historical stable sum, rescaling only when a finite collection's sum overflows. */
|
|
132
|
+
function stableMean(values) {
|
|
133
|
+
const total = stableSum(values);
|
|
134
|
+
if (Number.isFinite(total))
|
|
135
|
+
return total / values.length;
|
|
136
|
+
let scale = 0;
|
|
137
|
+
for (const value of values)
|
|
138
|
+
scale = Math.max(scale, Math.abs(value));
|
|
139
|
+
const normalizedTotal = stableSum(values.map((value) => value / scale));
|
|
140
|
+
const normalizedMean = normalizedTotal / values.length;
|
|
141
|
+
return normalizedMean !== 0 || normalizedTotal === 0
|
|
142
|
+
? normalizedMean * scale
|
|
143
|
+
: normalizedTotal * (scale / values.length);
|
|
144
|
+
}
|
|
145
|
+
/**
|
|
146
|
+
* Sector policy, deliberately independent of core's display-oriented epsilon-nudged round.
|
|
147
|
+
* toFixed rounds the actual double to a decimal grid without first multiplying by 1e8 (which
|
|
148
|
+
* could itself round a just-below-half input onto the tie). Its magnitude tie rule is away from
|
|
149
|
+
* zero for either sign. At >=1e21 it emits the unchanged number's round-tripping representation:
|
|
150
|
+
* every such double is already integral. MAX_VALUE therefore survives, and subnormals become 0.
|
|
151
|
+
*/
|
|
152
|
+
function roundSectorReturn(value) {
|
|
153
|
+
const rounded = Number(value.toFixed(8));
|
|
154
|
+
return Object.is(rounded, -0) ? 0 : rounded;
|
|
155
|
+
}
|
|
156
|
+
/**
|
|
157
|
+
* Named financial operands; private to sector implementation/tests, not a package entrypoint.
|
|
158
|
+
* Subtract before dividing to preserve small price moves. Valid public closes are positive, so
|
|
159
|
+
* their difference cannot overflow; the split fallback also keeps this helper correct for finite
|
|
160
|
+
* signed operands whose difference overflows but whose ratio/return is representable.
|
|
161
|
+
* Unrepresentable returns remain non-finite here and are refused by the audited public boundary.
|
|
162
|
+
*/
|
|
163
|
+
export function sectorSimpleReturn({ targetClose, previousClose, }) {
|
|
164
|
+
const difference = targetClose - previousClose;
|
|
165
|
+
const value = Number.isFinite(difference)
|
|
166
|
+
? difference / previousClose
|
|
167
|
+
: targetClose / previousClose - 1;
|
|
168
|
+
return Object.is(value, -0) ? 0 : value;
|
|
169
|
+
}
|
|
170
|
+
/** Both APIs share the same mean, rounding, identity ordering, coverage counts and rank assignment. */
|
|
171
|
+
export function aggregateSectors(input) {
|
|
172
|
+
const sectors = [...input.groups]
|
|
173
|
+
.filter((group) => group.members.length > 0)
|
|
174
|
+
.map((group) => {
|
|
175
|
+
const rounded = roundSectorReturn(stableMean(group.members.map(input.memberReturn)));
|
|
176
|
+
return {
|
|
177
|
+
sectorId: group.sectorId,
|
|
178
|
+
sectorName: group.sectorName,
|
|
179
|
+
periodReturn: Object.is(rounded, -0) ? 0 : rounded,
|
|
180
|
+
rank: 0,
|
|
181
|
+
eligibleSecurityCount: group.eligibleSecurityCount,
|
|
182
|
+
includedSecurityCount: group.members.length,
|
|
183
|
+
excludedSecurityCount: group.eligibleSecurityCount - group.members.length,
|
|
184
|
+
members: group.members,
|
|
185
|
+
};
|
|
186
|
+
})
|
|
187
|
+
.sort((left, right) => right.periodReturn - left.periodReturn ||
|
|
188
|
+
compareText(left.sectorId, right.sectorId) ||
|
|
189
|
+
compareText(left.sectorName, right.sectorName));
|
|
190
|
+
let rank = 0;
|
|
191
|
+
let previous;
|
|
192
|
+
sectors.forEach((sector, index) => {
|
|
193
|
+
if (previous === undefined || sector.periodReturn !== previous)
|
|
194
|
+
rank = index + 1;
|
|
195
|
+
sector.rank = rank;
|
|
196
|
+
previous = sector.periodReturn;
|
|
197
|
+
});
|
|
198
|
+
return sectors;
|
|
199
|
+
}
|
|
200
|
+
/** Summaries use existing detailed blocker/reason discriminants as stable warning codes. */
|
|
201
|
+
export function sectorWarnings(input) {
|
|
202
|
+
return [
|
|
203
|
+
...input.blockers.map((blocker) => ({
|
|
204
|
+
code: `performance.${blocker}`,
|
|
205
|
+
message: `No sector returns: ${blocker}.`,
|
|
206
|
+
severity: 'warn',
|
|
207
|
+
})),
|
|
208
|
+
...(input.reasons ?? []).map(({ reason, count }) => ({
|
|
209
|
+
code: `performance.${reason}`,
|
|
210
|
+
message: `${count} security exclusions: ${reason}.`,
|
|
211
|
+
severity: 'warn',
|
|
212
|
+
context: { count },
|
|
213
|
+
})),
|
|
214
|
+
];
|
|
215
|
+
}
|
|
216
|
+
//# sourceMappingURL=sector-performance-internal.js.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
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@@ -0,0 +1,288 @@
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1
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/**
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2
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+
* Vendor-neutral sector returns: supplied same-period returns or an audited completed-session snapshot.
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3
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+
* Pure compute only: no provider aliases, universe inference, I/O, cache, or system clock.
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4
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+
*/
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5
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+
import { type QuantWarning } from '../../core/dist/index.js';
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6
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+
import { POLICY_VERSION } from './sector-performance-internal.js';
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7
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+
/** The selected fields of one same-period return observation. */
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8
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+
export interface SectorPerformanceMemberResult {
|
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9
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+
securityId: string;
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10
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+
sectorId: string;
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11
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+
sectorName: string;
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12
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+
/** Decimal simple return (0.01 = +1%), at least -1. No daily/annual horizon is inferred. */
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13
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+
periodReturn: number;
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14
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+
}
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15
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+
/** A supplied decimal return over the SAME caller-chosen period and comparable return basis. */
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16
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+
export interface SectorPerformanceMember extends SectorPerformanceMemberResult {
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17
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+
/** Extra observation metadata is accepted, not traversed or copied into the report. */
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18
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+
[key: string]: unknown;
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19
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+
}
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20
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+
/** The simple on-ramp needs no invented price, calendar, classification or source lineage. */
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21
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+
export interface SectorPerformanceInput {
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22
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+
/** Dense observations with unique securityId; at most 1,000,000 rows. Empty is disclosed. */
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23
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+
members: readonly SectorPerformanceMember[];
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24
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+
}
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25
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+
export interface SectorPerformanceSectorResult {
|
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26
|
+
sectorId: string;
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|
27
|
+
sectorName: string;
|
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28
|
+
/** Equal-security mean, rounded once to eight decimal-return places. */
|
|
29
|
+
periodReturn: number;
|
|
30
|
+
/** Descending competition rank on rounded returns. */
|
|
31
|
+
rank: number;
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|
32
|
+
includedSecurityCount: number;
|
|
33
|
+
members: SectorPerformanceMemberResult[];
|
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34
|
+
}
|
|
35
|
+
export interface SectorPerformanceAssumptions {
|
|
36
|
+
policyVersion: typeof POLICY_VERSION;
|
|
37
|
+
returnBasis: string;
|
|
38
|
+
weighting: string;
|
|
39
|
+
rounding: string;
|
|
40
|
+
rankingAndTies: string;
|
|
41
|
+
}
|
|
42
|
+
/** Rich report accepted directly by createAnalysisArtifact; raw calculation needs no artifact. */
|
|
43
|
+
export type SectorPerformanceReport = {
|
|
44
|
+
policyVersion: typeof POLICY_VERSION;
|
|
45
|
+
assumptions: Readonly<SectorPerformanceAssumptions>;
|
|
46
|
+
sectors: SectorPerformanceSectorResult[];
|
|
47
|
+
diagnostics: {
|
|
48
|
+
warnings: QuantWarning[];
|
|
49
|
+
status: 'complete' | 'empty';
|
|
50
|
+
inputMemberCount: number;
|
|
51
|
+
includedSecurityCount: number;
|
|
52
|
+
sectorCount: number;
|
|
53
|
+
};
|
|
54
|
+
};
|
|
55
|
+
/**
|
|
56
|
+
* Equal-weight sectors from same-period decimal returns. Rows are open observations, the request
|
|
57
|
+
* is closed. Inputs are copied, never mutated; identities, not ticker aliases, determine membership.
|
|
58
|
+
*
|
|
59
|
+
* @example
|
|
60
|
+
* sectorPerformance({ members: [{ securityId: 'A', sectorId: 'technology', sectorName: 'Technology', periodReturn: 0.01 }] })
|
|
61
|
+
*/
|
|
62
|
+
export declare function sectorPerformance(input: SectorPerformanceInput): SectorPerformanceReport;
|
|
63
|
+
/** A caller-nominated eligible security and listing. Ticker decoration is not used as identity. */
|
|
64
|
+
export interface SectorPerformanceUniverseMember {
|
|
65
|
+
/** Harmless caller decoration is accepted but is not copied into selected-input lineage. */
|
|
66
|
+
[key: string]: unknown;
|
|
67
|
+
/** Stable identity for the supplied universe membership decision. */
|
|
68
|
+
universeMembershipId: string;
|
|
69
|
+
/** Stable security identity; sector returns receive one equal weight per security. */
|
|
70
|
+
securityId: string;
|
|
71
|
+
/** Stable listing identity used for exact close joins. */
|
|
72
|
+
listingId: string;
|
|
73
|
+
}
|
|
74
|
+
/** One caller-supplied completed market session. */
|
|
75
|
+
export interface SectorPerformanceCompletedSession {
|
|
76
|
+
/** Harmless caller decoration is accepted but is not copied into selected-input lineage. */
|
|
77
|
+
[key: string]: unknown;
|
|
78
|
+
sessionId: string;
|
|
79
|
+
/** Strict `YYYY-MM-DD` session date. */
|
|
80
|
+
sessionDate: string;
|
|
81
|
+
/** When the caller considered the session complete. */
|
|
82
|
+
completedAtTimestampMs: number;
|
|
83
|
+
}
|
|
84
|
+
/** One effective-dated, bitemporal sector-classification observation. */
|
|
85
|
+
export interface SectorClassificationObservation {
|
|
86
|
+
/** Harmless caller decoration is accepted but is not copied into selected-input lineage. */
|
|
87
|
+
[key: string]: unknown;
|
|
88
|
+
classificationObservationId: string;
|
|
89
|
+
securityId: string;
|
|
90
|
+
taxonomyId: string;
|
|
91
|
+
taxonomyVersion: string;
|
|
92
|
+
/** Inclusive strict `YYYY-MM-DD` boundary. */
|
|
93
|
+
effectiveFromSessionDate: string;
|
|
94
|
+
/** Exclusive strict `YYYY-MM-DD` boundary, or `null` while the state remains effective. */
|
|
95
|
+
effectiveToSessionDate: string | null;
|
|
96
|
+
/** `null` together with `sectorName` explicitly records an unclassified state. */
|
|
97
|
+
sectorId: string | null;
|
|
98
|
+
/** `null` together with `sectorId` explicitly records an unclassified state. */
|
|
99
|
+
sectorName: string | null;
|
|
100
|
+
sourceId: string;
|
|
101
|
+
sourceTimestampMs: number;
|
|
102
|
+
knownAtTimestampMs: number;
|
|
103
|
+
}
|
|
104
|
+
/** One exact-session split-adjusted close observation. */
|
|
105
|
+
export interface SectorPerformanceCloseObservation {
|
|
106
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/** Harmless caller decoration is accepted but is not copied into selected-input lineage. */
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[key: string]: unknown;
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closeObservationId: string;
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securityId: string;
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listingId: string;
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sessionId: string;
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/** Positive split-adjusted close in `currency`. */
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splitAdjustedClose: number;
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currency: string;
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/** Both return legs must use the same caller-declared adjustment version. */
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adjustmentVersion: string;
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/** A stale exact-session observation is disclosed but never used. */
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quality: 'final' | 'stale';
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sourceId: string;
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sourceTimestampMs: number;
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knownAtTimestampMs: number;
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}
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/** Explicit point-in-time and session-completion cutoffs. All comparisons are inclusive. */
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export interface SectorPerformanceCutoffs {
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sourceCutoffTimestampMs: number;
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knowledgeCutoffTimestampMs: number;
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sessionCompletedCutoffTimestampMs: number;
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}
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/** The classification taxonomy selected for this calculation. */
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export interface SectorPerformanceTaxonomy {
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taxonomyId: string;
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taxonomyVersion: string;
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}
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/**
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* Complete, caller-supplied input to the pure calculation. No policy argument is needed: the
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* implemented version is stamped in the report. The four dense arrays share a 1,000,000-row
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137
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* synchronous work ceiling, checked before any observation is accessed.
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*/
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export interface SectorPerformanceSnapshotInput {
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/** Exact requested session date. A non-session date produces an empty diagnostic report. */
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targetSessionDate: string;
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/** Caller-declared calendar identity; TotalFinance does not infer holidays or sessions. */
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marketCalendarId: string;
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classificationTaxonomy: SectorPerformanceTaxonomy;
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cutoffs: SectorPerformanceCutoffs;
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/** Exactly one nominated listing per eligible security for the target session. */
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eligibleUniverse: readonly SectorPerformanceUniverseMember[];
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completedSessions: readonly SectorPerformanceCompletedSession[];
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classifications: readonly SectorClassificationObservation[];
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splitAdjustedCloses: readonly SectorPerformanceCloseObservation[];
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}
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/** The immutable semantics echoed by every result. */
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export interface SectorPerformanceSnapshotAssumptions {
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policyVersion: typeof POLICY_VERSION;
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eligibility: string;
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sessionSelection: string;
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temporalSelection: string;
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classification: string;
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returnBasis: string;
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weighting: string;
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missingAndStale: string;
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rounding: string;
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rankingAndTies: string;
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cacheAndFreshness: string;
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165
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}
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166
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/** Selected completed-session lineage. */
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167
|
+
export interface SectorPerformanceSessionLineage {
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168
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sessionId: string;
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169
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sessionDate: string;
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170
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completedAtTimestampMs: number;
|
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171
|
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}
|
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172
|
+
/** Selected classification lineage sufficient to replay a member's sector assignment. */
|
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173
|
+
export interface SectorPerformanceClassificationLineage {
|
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174
|
+
classificationObservationId: string;
|
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175
|
+
securityId: string;
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176
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+
taxonomyId: string;
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177
|
+
taxonomyVersion: string;
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178
|
+
effectiveFromSessionDate: string;
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179
|
+
effectiveToSessionDate: string | null;
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180
|
+
sectorId: string | null;
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181
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+
sectorName: string | null;
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|
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sourceId: string;
|
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183
|
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sourceTimestampMs: number;
|
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184
|
+
knownAtTimestampMs: number;
|
|
185
|
+
}
|
|
186
|
+
/** Assigned classification lineage carried by every included member. */
|
|
187
|
+
export interface SectorPerformanceAssignedClassificationLineage extends SectorPerformanceClassificationLineage {
|
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188
|
+
sectorId: string;
|
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189
|
+
sectorName: string;
|
|
190
|
+
}
|
|
191
|
+
/** Selected close lineage sufficient to replay one return leg. */
|
|
192
|
+
export interface SectorPerformanceCloseLineage {
|
|
193
|
+
closeObservationId: string;
|
|
194
|
+
securityId: string;
|
|
195
|
+
listingId: string;
|
|
196
|
+
sessionId: string;
|
|
197
|
+
splitAdjustedClose: number;
|
|
198
|
+
currency: string;
|
|
199
|
+
adjustmentVersion: string;
|
|
200
|
+
quality: 'final' | 'stale';
|
|
201
|
+
sourceId: string;
|
|
202
|
+
sourceTimestampMs: number;
|
|
203
|
+
knownAtTimestampMs: number;
|
|
204
|
+
}
|
|
205
|
+
/** One included security and every selected input that contributed to its return. */
|
|
206
|
+
export interface SectorPerformanceSnapshotMemberResult {
|
|
207
|
+
universeMembershipId: string;
|
|
208
|
+
securityId: string;
|
|
209
|
+
listingId: string;
|
|
210
|
+
/** Unrounded decimal simple return for this security. */
|
|
211
|
+
dailyReturn: number;
|
|
212
|
+
classification: SectorPerformanceAssignedClassificationLineage;
|
|
213
|
+
previousClose: SectorPerformanceCloseLineage;
|
|
214
|
+
targetClose: SectorPerformanceCloseLineage;
|
|
215
|
+
}
|
|
216
|
+
/** Why a nominated member could not contribute; reasons are emitted in this declared order. */
|
|
217
|
+
export type SectorPerformanceExclusionReason = 'classification-missing' | 'classification-after-cutoff' | 'classification-unassigned' | 'previous-close-missing' | 'previous-close-after-cutoff' | 'previous-close-stale' | 'target-close-missing' | 'target-close-after-cutoff' | 'target-close-stale' | 'currency-mismatch' | 'adjustment-version-mismatch';
|
|
218
|
+
/** Explicit partial lineage for a nominated security excluded from calculation. */
|
|
219
|
+
export interface SectorPerformanceExclusion {
|
|
220
|
+
universeMembershipId: string;
|
|
221
|
+
securityId: string;
|
|
222
|
+
listingId: string;
|
|
223
|
+
reasons: SectorPerformanceExclusionReason[];
|
|
224
|
+
classification?: SectorPerformanceClassificationLineage;
|
|
225
|
+
previousClose?: SectorPerformanceCloseLineage;
|
|
226
|
+
targetClose?: SectorPerformanceCloseLineage;
|
|
227
|
+
}
|
|
228
|
+
/** One canonical sector result. No provider compatibility alias is part of this contract. */
|
|
229
|
+
export interface SectorPerformanceSnapshotSectorResult {
|
|
230
|
+
sectorId: string;
|
|
231
|
+
sectorName: string;
|
|
232
|
+
/** Equal-security arithmetic mean, in decimal return units, rounded once to eight places. */
|
|
233
|
+
dailyReturn: number;
|
|
234
|
+
/** Descending competition rank (`1, 1, 3`) on the rounded sector return. */
|
|
235
|
+
rank: number;
|
|
236
|
+
eligibleSecurityCount: number;
|
|
237
|
+
includedSecurityCount: number;
|
|
238
|
+
excludedSecurityCount: number;
|
|
239
|
+
members: SectorPerformanceSnapshotMemberResult[];
|
|
240
|
+
}
|
|
241
|
+
/** A calculation-level reason that no complete sector result could be produced. */
|
|
242
|
+
export type SectorPerformanceBlocker = 'target-session-not-completed' | 'previous-completed-session-unavailable' | 'eligible-universe-empty' | 'no-includable-members';
|
|
243
|
+
/** Deterministic count of one exclusion reason. */
|
|
244
|
+
export interface SectorPerformanceReasonCount {
|
|
245
|
+
reason: SectorPerformanceExclusionReason;
|
|
246
|
+
count: number;
|
|
247
|
+
}
|
|
248
|
+
/** Input, coverage, and exclusion diagnostics for the calculation. */
|
|
249
|
+
export interface SectorPerformanceSnapshotDiagnostics {
|
|
250
|
+
warnings: QuantWarning[];
|
|
251
|
+
status: 'complete' | 'partial' | 'empty';
|
|
252
|
+
blockers: SectorPerformanceBlocker[];
|
|
253
|
+
inputCounts: {
|
|
254
|
+
eligibleUniverse: number;
|
|
255
|
+
completedSessions: number;
|
|
256
|
+
classifications: number;
|
|
257
|
+
splitAdjustedCloses: number;
|
|
258
|
+
};
|
|
259
|
+
eligibleSecurityCount: number;
|
|
260
|
+
includedSecurityCount: number;
|
|
261
|
+
excludedSecurityCount: number;
|
|
262
|
+
sectorCount: number;
|
|
263
|
+
reasonCounts: SectorPerformanceReasonCount[];
|
|
264
|
+
}
|
|
265
|
+
/** Canonical, replayable result of one requested daily sector-performance calculation. */
|
|
266
|
+
export type SectorPerformanceSnapshotReport = {
|
|
267
|
+
policyVersion: typeof POLICY_VERSION;
|
|
268
|
+
assumptions: Readonly<SectorPerformanceSnapshotAssumptions>;
|
|
269
|
+
targetSessionDate: string;
|
|
270
|
+
marketCalendarId: string;
|
|
271
|
+
classificationTaxonomy: SectorPerformanceTaxonomy;
|
|
272
|
+
cutoffs: SectorPerformanceCutoffs;
|
|
273
|
+
selectedSessions: {
|
|
274
|
+
target: SectorPerformanceSessionLineage | null;
|
|
275
|
+
previous: SectorPerformanceSessionLineage | null;
|
|
276
|
+
};
|
|
277
|
+
sectors: SectorPerformanceSnapshotSectorResult[];
|
|
278
|
+
exclusions: SectorPerformanceExclusion[];
|
|
279
|
+
diagnostics: SectorPerformanceSnapshotDiagnostics;
|
|
280
|
+
};
|
|
281
|
+
/**
|
|
282
|
+
* Calculate one target session's audited sector returns from governed inputs.
|
|
283
|
+
*
|
|
284
|
+
* The function is deterministic and pure: it performs no I/O, reads no clock, mutates no input,
|
|
285
|
+
* and never infers a universe, session, classification, or price.
|
|
286
|
+
*/
|
|
287
|
+
export declare function sectorPerformanceSnapshot(input: SectorPerformanceSnapshotInput): SectorPerformanceSnapshotReport;
|
|
288
|
+
//# sourceMappingURL=sector-performance.d.ts.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
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