@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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import { CONVENTIONS_VERSION, ErrorCode, InputError, ensureKnownKeys, requireArgumentArray, requireArgumentObject, requireRepresentableResult, resolveAsOf, sideOf, } from '../../core/dist/index.js';
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|
+
import { QUANTITY_DUST, convertWithQuotes, deepFreeze, ownValue, requireCurrencyCode, requireCurrencyPairQuoteShape, requireEpochMsField, requireFiniteNumberField, requireIdentityString, requirePositiveNumberField, setOwnValue, } from './internal.js';
|
|
24
|
+
import { requireInstrumentClassification } from './pnl.js';
|
|
25
|
+
import { CASH_ASSET_CLASS, expandTargets, requireInvestmentPolicy, resolvePolicyTargets, } from './policy-grammar.js';
|
|
26
|
+
// ---------------------------------------------------------------------------------------------------
|
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27
|
+
// Constants
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28
|
+
// ---------------------------------------------------------------------------------------------------
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29
|
+
const INPUT_KEYS = [
|
|
30
|
+
'policy',
|
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31
|
+
'asOf',
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|
32
|
+
'baseCurrency',
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|
33
|
+
'netAssetValue',
|
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34
|
+
'prices',
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|
35
|
+
'currencyConversions',
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|
36
|
+
'currentHoldings',
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37
|
+
'contractMultipliers',
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|
38
|
+
'instrumentClassification',
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|
39
|
+
'lotSizes',
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|
40
|
+
'defaultLotSize',
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|
41
|
+
'minimumNotional',
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42
|
+
'cashReserve',
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|
43
|
+
'transactionCosts',
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|
44
|
+
];
|
|
45
|
+
const PRICE_KEYS = ['price', 'currency'];
|
|
46
|
+
const COST_KEYS = [
|
|
47
|
+
'commissionPerTrade',
|
|
48
|
+
'commissionPerUnit',
|
|
49
|
+
'spreadBasisPoints',
|
|
50
|
+
'slippageBasisPoints',
|
|
51
|
+
];
|
|
52
|
+
/** Lot rounding nudges the quotient by this before truncating, so 399.9999999996 lots reads as 400. */
|
|
53
|
+
const LOT_EPSILON = 1e-9;
|
|
54
|
+
/** Funding comparisons tolerate this fraction of NAV of float noise. */
|
|
55
|
+
const AMOUNT_TOLERANCE_FRACTION = 1e-9;
|
|
56
|
+
const PRICING_CONVENTION = 'Prices are the caller’s prices[instrumentId] in the stated currency, converted to the base ' +
|
|
57
|
+
'currency with currencyConversions (direct: multiply by quotePerBase; inverted: divide — FC5 ' +
|
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58
|
+
'convertCurrency arithmetic). Target notional = targetWeight × netAssetValue; current weight = ' +
|
|
59
|
+
'currentHoldings × price in base ÷ netAssetValue; current cash = netAssetValue − Σ holding ' +
|
|
60
|
+
'values. The cash the plan intends to hold is cashReserve + cash target × netAssetValue; buys are ' +
|
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61
|
+
'funded by current cash + sells − that amount, and an unfunded plan is reported infeasible, ' +
|
|
62
|
+
'never scaled.';
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|
63
|
+
const EXAMPLE_CALL = "allocatePortfolio({ policy: { targets: [{ group: { instrumentId: 'SPY' }, weight: 0.6 }, { group: { instrumentId: 'AGG' }, weight: 0.3 }, { group: { assetClass: 'cash' }, weight: 0.1 }] }, asOf: '2026-08-29', baseCurrency: 'USD', netAssetValue: 100_000, prices: { SPY: { price: 150, currency: 'USD' }, AGG: { price: 100, currency: 'USD' } }, defaultLotSize: 1 })";
|
|
64
|
+
function requireNonNegativeField(functionName, field, value) {
|
|
65
|
+
requireFiniteNumberField(functionName, field, value);
|
|
66
|
+
if (value < 0) {
|
|
67
|
+
throw new InputError(`${functionName}: ${field} must be ≥ 0. Received ${value}.`, {
|
|
68
|
+
code: ErrorCode.InputOutOfRange,
|
|
69
|
+
context: { function: functionName, field },
|
|
70
|
+
});
|
|
71
|
+
}
|
|
72
|
+
return value;
|
|
73
|
+
}
|
|
74
|
+
/** Validate the lot-size / minimum-notional / cost grammar (package-internal; shared). */
|
|
75
|
+
export function requireAllocationSizing(functionName, input) {
|
|
76
|
+
const lotSizes = {};
|
|
77
|
+
if (input.lotSizes !== undefined) {
|
|
78
|
+
requireArgumentObject(functionName, 'lotSizes', input.lotSizes);
|
|
79
|
+
for (const instrumentId of Object.keys(input.lotSizes).sort()) {
|
|
80
|
+
requireIdentityString(functionName, 'lotSizes key', instrumentId);
|
|
81
|
+
const lotSize = ownValue(input.lotSizes, instrumentId);
|
|
82
|
+
requirePositiveNumberField(functionName, `lotSizes['${instrumentId}']`, lotSize, 'a lot size is the smallest tradable quantity increment');
|
|
83
|
+
setOwnValue(lotSizes, instrumentId, lotSize);
|
|
84
|
+
}
|
|
85
|
+
}
|
|
86
|
+
let defaultLotSize = null;
|
|
87
|
+
if (input.defaultLotSize !== undefined) {
|
|
88
|
+
requirePositiveNumberField(functionName, 'defaultLotSize', input.defaultLotSize, 'a lot size is the smallest tradable quantity increment');
|
|
89
|
+
defaultLotSize = input.defaultLotSize;
|
|
90
|
+
}
|
|
91
|
+
let minimumNotional = null;
|
|
92
|
+
if (input.minimumNotional !== undefined) {
|
|
93
|
+
minimumNotional = requireNonNegativeField(functionName, 'minimumNotional', input.minimumNotional);
|
|
94
|
+
}
|
|
95
|
+
const transactionCosts = {
|
|
96
|
+
commissionPerTrade: 0,
|
|
97
|
+
commissionPerUnit: 0,
|
|
98
|
+
spreadBasisPoints: 0,
|
|
99
|
+
slippageBasisPoints: 0,
|
|
100
|
+
};
|
|
101
|
+
if (input.transactionCosts !== undefined) {
|
|
102
|
+
requireArgumentObject(functionName, 'transactionCosts', input.transactionCosts);
|
|
103
|
+
ensureKnownKeys(functionName, 'transactionCosts', input.transactionCosts, COST_KEYS);
|
|
104
|
+
for (const key of COST_KEYS) {
|
|
105
|
+
const value = input.transactionCosts[key];
|
|
106
|
+
if (value !== undefined) {
|
|
107
|
+
transactionCosts[key] = requireNonNegativeField(functionName, `transactionCosts.${key}`, value);
|
|
108
|
+
}
|
|
109
|
+
}
|
|
110
|
+
}
|
|
111
|
+
return { lotSizes, defaultLotSize, minimumNotional, transactionCosts };
|
|
112
|
+
}
|
|
113
|
+
/** The lot size that applies to an instrument, or `null` when neither grammar covers it. */
|
|
114
|
+
export function lotSizeFor(sizing, instrumentId) {
|
|
115
|
+
return ownValue(sizing.lotSizes, instrumentId) ?? sizing.defaultLotSize;
|
|
116
|
+
}
|
|
117
|
+
/**
|
|
118
|
+
* Round a signed quantity TOWARD ZERO to a whole number of lots (a short quantity's magnitude
|
|
119
|
+
* shrinks too). The quotient is nudged by 1e-9 lots before truncation so float noise below a whole
|
|
120
|
+
* lot never drops a lot. Never returns −0.
|
|
121
|
+
*/
|
|
122
|
+
export function roundTowardZeroToLot(quantity, lotSize) {
|
|
123
|
+
if (lotSize === null)
|
|
124
|
+
return quantity;
|
|
125
|
+
const lots = quantity / lotSize;
|
|
126
|
+
const rounded = Math.trunc(lots + Math.sign(lots) * LOT_EPSILON) * lotSize;
|
|
127
|
+
return rounded === 0 ? 0 : rounded;
|
|
128
|
+
}
|
|
129
|
+
/** The cost model: commission per trade + per unit, spread and slippage in basis points of |notional|. */
|
|
130
|
+
export function estimateTradeCost(costs, quantity, notionalInBaseCurrency) {
|
|
131
|
+
const magnitude = Math.abs(quantity);
|
|
132
|
+
const notional = Math.abs(notionalInBaseCurrency);
|
|
133
|
+
const commission = magnitude === 0 ? 0 : costs.commissionPerTrade + costs.commissionPerUnit * magnitude;
|
|
134
|
+
const spread = (costs.spreadBasisPoints * notional) / 10_000;
|
|
135
|
+
const slippage = (costs.slippageBasisPoints * notional) / 10_000;
|
|
136
|
+
return { commission, spread, slippage, total: commission + spread + slippage };
|
|
137
|
+
}
|
|
138
|
+
/** Prose statement of the cost model actually applied (string-typed by design). */
|
|
139
|
+
export function describeCostModel(costs) {
|
|
140
|
+
const terms = [];
|
|
141
|
+
if (costs.commissionPerTrade !== 0)
|
|
142
|
+
terms.push(`${costs.commissionPerTrade} base currency per non-zero trade`);
|
|
143
|
+
if (costs.commissionPerUnit !== 0)
|
|
144
|
+
terms.push(`${costs.commissionPerUnit} base currency per unit traded (× |quantity|)`);
|
|
145
|
+
if (costs.spreadBasisPoints !== 0)
|
|
146
|
+
terms.push(`spread ${costs.spreadBasisPoints} basis points × |notional| ÷ 10 000`);
|
|
147
|
+
if (costs.slippageBasisPoints !== 0)
|
|
148
|
+
terms.push(`slippage ${costs.slippageBasisPoints} basis points × |notional| ÷ 10 000`);
|
|
149
|
+
return terms.length === 0
|
|
150
|
+
? 'No transactionCosts were supplied: every estimated cost is 0 (costs are estimates in base currency and are never deducted from the plan’s cash).'
|
|
151
|
+
: `Estimated cost per trade = ${terms.join(' + ')}; costs are estimates in base currency and are never deducted from the plan’s cash.`;
|
|
152
|
+
}
|
|
153
|
+
/** Prose statement of the rounding convention actually applied (string-typed by design). */
|
|
154
|
+
export function describeRounding(sizing, fractionalInstruments) {
|
|
155
|
+
const perInstrument = Object.keys(sizing.lotSizes).sort();
|
|
156
|
+
const parts = [
|
|
157
|
+
'Target quantities round TOWARD ZERO to the instrument’s lot size (a short target rounds toward zero too, so its magnitude shrinks); each rounding residual is reported per instrument and stays in cash.',
|
|
158
|
+
];
|
|
159
|
+
parts.push(perInstrument.length === 0
|
|
160
|
+
? 'No per-instrument lotSizes were supplied.'
|
|
161
|
+
: `Per-instrument lot sizes: ${perInstrument.map((id) => `${id}=${String(ownValue(sizing.lotSizes, id))}`).join(', ')}.`);
|
|
162
|
+
parts.push(sizing.defaultLotSize === null
|
|
163
|
+
? 'No defaultLotSize was supplied.'
|
|
164
|
+
: `defaultLotSize ${sizing.defaultLotSize} applies to every other instrument.`);
|
|
165
|
+
if (fractionalInstruments.length > 0) {
|
|
166
|
+
parts.push(`Neither covers ${fractionalInstruments.join(', ')}: their quantities are left fractional (unrounded).`);
|
|
167
|
+
}
|
|
168
|
+
parts.push(sizing.minimumNotional === null
|
|
169
|
+
? 'No minimumNotional was supplied: no trade is treated as dust.'
|
|
170
|
+
: `A trade with |notional| below minimumNotional ${sizing.minimumNotional} is dust: skipped, listed, and its instrument reported at its current quantity.`);
|
|
171
|
+
return parts.join(' ');
|
|
172
|
+
}
|
|
173
|
+
// ---------------------------------------------------------------------------------------------------
|
|
174
|
+
// Validation
|
|
175
|
+
// ---------------------------------------------------------------------------------------------------
|
|
176
|
+
function requirePrices(functionName, value) {
|
|
177
|
+
if (value === undefined) {
|
|
178
|
+
throw new InputError(`${functionName}: prices is required — a quantity is a notional divided by a price, and TotalFinance never fetches one.\n e.g. ${EXAMPLE_CALL}`, { code: ErrorCode.InputMissingField, context: { function: functionName, field: 'prices' } });
|
|
179
|
+
}
|
|
180
|
+
requireArgumentObject(functionName, 'prices', value);
|
|
181
|
+
const map = value;
|
|
182
|
+
const out = {};
|
|
183
|
+
for (const instrumentId of Object.keys(map).sort()) {
|
|
184
|
+
const path = `prices['${instrumentId}']`;
|
|
185
|
+
requireIdentityString(functionName, 'prices key', instrumentId);
|
|
186
|
+
const row = ownValue(map, instrumentId);
|
|
187
|
+
requireArgumentObject(functionName, path, row);
|
|
188
|
+
ensureKnownKeys(functionName, path, row, PRICE_KEYS);
|
|
189
|
+
const record = row;
|
|
190
|
+
requireFiniteNumberField(functionName, `${path}.price`, record['price']);
|
|
191
|
+
requireCurrencyCode(functionName, `${path}.currency`, record['currency']);
|
|
192
|
+
setOwnValue(out, instrumentId, { price: record['price'], currency: record['currency'] });
|
|
193
|
+
}
|
|
194
|
+
return out;
|
|
195
|
+
}
|
|
196
|
+
function requireHoldings(functionName, value) {
|
|
197
|
+
if (value === undefined)
|
|
198
|
+
return {};
|
|
199
|
+
requireArgumentObject(functionName, 'currentHoldings', value);
|
|
200
|
+
const map = value;
|
|
201
|
+
const out = {};
|
|
202
|
+
for (const instrumentId of Object.keys(map).sort()) {
|
|
203
|
+
requireIdentityString(functionName, 'currentHoldings key', instrumentId);
|
|
204
|
+
const quantity = ownValue(map, instrumentId);
|
|
205
|
+
requireFiniteNumberField(functionName, `currentHoldings['${instrumentId}']`, quantity);
|
|
206
|
+
setOwnValue(out, instrumentId, quantity);
|
|
207
|
+
}
|
|
208
|
+
return out;
|
|
209
|
+
}
|
|
210
|
+
function requireMultipliers(functionName, value) {
|
|
211
|
+
if (value === undefined)
|
|
212
|
+
return {};
|
|
213
|
+
requireArgumentObject(functionName, 'contractMultipliers', value);
|
|
214
|
+
const map = value;
|
|
215
|
+
const out = {};
|
|
216
|
+
for (const instrumentId of Object.keys(map).sort()) {
|
|
217
|
+
requireIdentityString(functionName, 'contractMultipliers key', instrumentId);
|
|
218
|
+
requirePositiveNumberField(functionName, `contractMultipliers['${instrumentId}']`, ownValue(map, instrumentId), 'units of the underlying per unit of quantity');
|
|
219
|
+
setOwnValue(out, instrumentId, ownValue(map, instrumentId));
|
|
220
|
+
}
|
|
221
|
+
return out;
|
|
222
|
+
}
|
|
223
|
+
function compareIds(a, b) {
|
|
224
|
+
return a < b ? -1 : a > b ? 1 : 0;
|
|
225
|
+
}
|
|
226
|
+
/** Deterministic order for unresolved rows: key, then reason. */
|
|
227
|
+
export function sortUnresolved(rows) {
|
|
228
|
+
return [...rows].sort((a, b) => compareIds(a.key, b.key) || compareIds(a.reason, b.reason));
|
|
229
|
+
}
|
|
230
|
+
// ---------------------------------------------------------------------------------------------------
|
|
231
|
+
// The head
|
|
232
|
+
// ---------------------------------------------------------------------------------------------------
|
|
233
|
+
/**
|
|
234
|
+
* Turn a policy's target weights into executable quantities at `asOf` — see the module comment for
|
|
235
|
+
* the laws. A proposal built on this is a PLAN: nothing here executes anything.
|
|
236
|
+
*
|
|
237
|
+
* @example
|
|
238
|
+
* ```ts
|
|
239
|
+
* import { allocatePortfolio } from '@insiderfinance/totalfinance/portfolio/policy';
|
|
240
|
+
*
|
|
241
|
+
* const plan = allocatePortfolio({
|
|
242
|
+
* policy: {
|
|
243
|
+
* targets: [
|
|
244
|
+
* { group: { instrumentId: 'SPY' }, weight: 0.6 },
|
|
245
|
+
* { group: { instrumentId: 'AGG' }, weight: 0.3 },
|
|
246
|
+
* { group: { assetClass: 'cash' }, weight: 0.1 },
|
|
247
|
+
* ],
|
|
248
|
+
* },
|
|
249
|
+
* asOf: '2026-08-29',
|
|
250
|
+
* baseCurrency: 'USD',
|
|
251
|
+
* netAssetValue: 100_000,
|
|
252
|
+
* prices: { SPY: { price: 150, currency: 'USD' }, AGG: { price: 100, currency: 'USD' } },
|
|
253
|
+
* defaultLotSize: 1,
|
|
254
|
+
* });
|
|
255
|
+
* plan.trades; // buy 400 SPY, buy 300 AGG; plan.cash.residualAmount === 0
|
|
256
|
+
* ```
|
|
257
|
+
*/
|
|
258
|
+
export function allocatePortfolio(input) {
|
|
259
|
+
const functionName = 'allocatePortfolio';
|
|
260
|
+
requireArgumentObject(functionName, 'input', input);
|
|
261
|
+
ensureKnownKeys(functionName, 'input', input, INPUT_KEYS);
|
|
262
|
+
if (input.policy === undefined) {
|
|
263
|
+
throw new InputError(`${functionName}: policy is required — the targets are the caller's goals.\n e.g. ${EXAMPLE_CALL}`, { code: ErrorCode.InputMissingField, context: { function: functionName, field: 'policy' } });
|
|
264
|
+
}
|
|
265
|
+
const policy = requireInvestmentPolicy(functionName, 'policy', input.policy);
|
|
266
|
+
if (input.asOf === undefined) {
|
|
267
|
+
throw new InputError(`${functionName}: asOf is required — targets are dated (a model's tactical/glide-path sets resolve at an instant) and TotalFinance never reads the system clock.\n e.g. ${EXAMPLE_CALL}`, { code: ErrorCode.InputMissingField, context: { function: functionName, field: 'asOf' } });
|
|
268
|
+
}
|
|
269
|
+
const asOf = resolveAsOf(input.asOf, functionName);
|
|
270
|
+
requireEpochMsField(functionName, 'asOf', asOf);
|
|
271
|
+
requireCurrencyCode(functionName, 'baseCurrency', input.baseCurrency);
|
|
272
|
+
const baseCurrency = input.baseCurrency;
|
|
273
|
+
if (policy.model !== undefined && policy.model.baseCurrency !== baseCurrency) {
|
|
274
|
+
throw new InputError(`${functionName}: policy.model '${policy.model.modelId}' v${policy.model.version} is stated in ${policy.model.baseCurrency}, but baseCurrency is ${baseCurrency} — a model's weights are shares of a NAV in its own currency.`, {
|
|
275
|
+
code: ErrorCode.InputOutOfRange,
|
|
276
|
+
context: { function: functionName, field: 'policy.model.baseCurrency' },
|
|
277
|
+
});
|
|
278
|
+
}
|
|
279
|
+
requirePositiveNumberField(functionName, 'netAssetValue', input.netAssetValue, 'weights are shares of a positive net asset value');
|
|
280
|
+
const netAssetValue = input.netAssetValue;
|
|
281
|
+
const prices = requirePrices(functionName, input.prices);
|
|
282
|
+
const quotes = [];
|
|
283
|
+
if (input.currencyConversions !== undefined) {
|
|
284
|
+
requireArgumentArray(functionName, 'currencyConversions', input.currencyConversions);
|
|
285
|
+
input.currencyConversions.forEach((quote, index) => {
|
|
286
|
+
requireCurrencyPairQuoteShape(functionName, `currencyConversions[${index}]`, quote);
|
|
287
|
+
quotes.push(quote);
|
|
288
|
+
});
|
|
289
|
+
}
|
|
290
|
+
const currentHoldings = requireHoldings(functionName, input.currentHoldings);
|
|
291
|
+
const contractMultipliers = requireMultipliers(functionName, input.contractMultipliers);
|
|
292
|
+
const multiplierOf = (instrumentId) => ownValue(contractMultipliers, instrumentId) ?? 1;
|
|
293
|
+
const classification = requireInstrumentClassification(functionName, input.instrumentClassification);
|
|
294
|
+
const sizing = requireAllocationSizing(functionName, input);
|
|
295
|
+
const cashReserve = input.cashReserve === undefined
|
|
296
|
+
? 0
|
|
297
|
+
: requireNonNegativeField(functionName, 'cashReserve', input.cashReserve);
|
|
298
|
+
const warnings = [];
|
|
299
|
+
const resolved = resolvePolicyTargets(functionName, policy, asOf);
|
|
300
|
+
// ---- the universe: priced ∪ held ∪ instrument targets ∪ sleeve members ----
|
|
301
|
+
const universe = new Set([...Object.keys(prices), ...Object.keys(currentHoldings)]);
|
|
302
|
+
for (const target of resolved.targets) {
|
|
303
|
+
if (target.group.instrumentId !== undefined)
|
|
304
|
+
universe.add(target.group.instrumentId);
|
|
305
|
+
}
|
|
306
|
+
const sleeves = policy.model?.sleeves ?? [];
|
|
307
|
+
for (const sleeve of sleeves) {
|
|
308
|
+
for (const member of sleeve.members ?? [])
|
|
309
|
+
universe.add(member.instrumentId);
|
|
310
|
+
}
|
|
311
|
+
// ---- prices in base currency ----
|
|
312
|
+
const quotesUsed = new Map();
|
|
313
|
+
const priceInBase = new Map();
|
|
314
|
+
const instrumentCurrency = {};
|
|
315
|
+
for (const instrumentId of Object.keys(prices).sort()) {
|
|
316
|
+
const row = ownValue(prices, instrumentId);
|
|
317
|
+
setOwnValue(instrumentCurrency, instrumentId, row.currency);
|
|
318
|
+
if (row.currency === baseCurrency) {
|
|
319
|
+
priceInBase.set(instrumentId, row.price);
|
|
320
|
+
continue;
|
|
321
|
+
}
|
|
322
|
+
const { convertedAmount, quoteUsed } = convertWithQuotes({
|
|
323
|
+
functionName,
|
|
324
|
+
amount: row.price,
|
|
325
|
+
fromCurrency: row.currency,
|
|
326
|
+
toCurrency: baseCurrency,
|
|
327
|
+
quotes,
|
|
328
|
+
subject: `prices['${instrumentId}'] (${row.currency})`,
|
|
329
|
+
});
|
|
330
|
+
// Echo a COPY — freezing the result must never freeze the caller's own quote objects.
|
|
331
|
+
quotesUsed.set(`${quoteUsed.baseCurrency}/${quoteUsed.quoteCurrency}`, { ...quoteUsed });
|
|
332
|
+
priceInBase.set(instrumentId, convertedAmount);
|
|
333
|
+
}
|
|
334
|
+
// ---- current weights (held AND priced) ----
|
|
335
|
+
const currentWeights = {};
|
|
336
|
+
let currentHoldingsValue = 0;
|
|
337
|
+
for (const instrumentId of Object.keys(currentHoldings)) {
|
|
338
|
+
const base = priceInBase.get(instrumentId);
|
|
339
|
+
if (base === undefined)
|
|
340
|
+
continue;
|
|
341
|
+
const value = ownValue(currentHoldings, instrumentId) * base * multiplierOf(instrumentId);
|
|
342
|
+
setOwnValue(currentWeights, instrumentId, value / netAssetValue);
|
|
343
|
+
currentHoldingsValue += value;
|
|
344
|
+
}
|
|
345
|
+
const expanded = expandTargets(functionName, {
|
|
346
|
+
targets: resolved.targets,
|
|
347
|
+
universe: [...universe],
|
|
348
|
+
instrumentClassification: classification,
|
|
349
|
+
instrumentCurrency,
|
|
350
|
+
currentWeights,
|
|
351
|
+
sleeves,
|
|
352
|
+
withinGroupAllocation: policy.withinGroupAllocation,
|
|
353
|
+
defaultDriftBand: policy.driftBand,
|
|
354
|
+
});
|
|
355
|
+
const unresolved = [...expanded.unresolved];
|
|
356
|
+
warnings.push(...expanded.warnings);
|
|
357
|
+
// ---- cash: the target and the reserve are both honoured ----
|
|
358
|
+
const cashTargetWeight = expanded.cashTarget?.targetWeight ?? 0;
|
|
359
|
+
if (expanded.cashTarget === null && unresolved.length === 0) {
|
|
360
|
+
// Cannot happen by the expansion law (a null cash target always comes with an unresolved
|
|
361
|
+
// row), but a missing goal must never silently become 0.
|
|
362
|
+
unresolved.push({
|
|
363
|
+
key: `assetClass:${CASH_ASSET_CLASS}`,
|
|
364
|
+
group: { assetClass: CASH_ASSET_CLASS },
|
|
365
|
+
reason: "the expansion produced no cash target — declare { assetClass: 'cash' }.",
|
|
366
|
+
});
|
|
367
|
+
}
|
|
368
|
+
const targetCashAmount = cashReserve + cashTargetWeight * netAssetValue;
|
|
369
|
+
const tolerance = netAssetValue * AMOUNT_TOLERANCE_FRACTION;
|
|
370
|
+
if (netAssetValue - targetCashAmount < -tolerance) {
|
|
371
|
+
unresolved.push({
|
|
372
|
+
key: `assetClass:${CASH_ASSET_CLASS}`,
|
|
373
|
+
group: { assetClass: CASH_ASSET_CLASS },
|
|
374
|
+
reason: `the cash reserve ${cashReserve} plus the cash target ${cashTargetWeight} × ${netAssetValue} = ${targetCashAmount} exceed the net asset value — nothing is investable. Lower cashReserve or the cash target.`,
|
|
375
|
+
});
|
|
376
|
+
}
|
|
377
|
+
// ---- per-instrument sizing ----
|
|
378
|
+
const restricted = new Set(policy.restrictedInstruments ?? []);
|
|
379
|
+
const allowed = policy.allowedInstruments === undefined ? null : new Set(policy.allowedInstruments);
|
|
380
|
+
const allocations = [];
|
|
381
|
+
const trades = [];
|
|
382
|
+
const dust = [];
|
|
383
|
+
const fractional = [];
|
|
384
|
+
const idle = [];
|
|
385
|
+
let buys = 0;
|
|
386
|
+
let sells = 0;
|
|
387
|
+
let grossTraded = 0;
|
|
388
|
+
let estimatedTransactionCost = 0;
|
|
389
|
+
for (const target of expanded.instrumentTargets) {
|
|
390
|
+
const instrumentId = target.instrumentId;
|
|
391
|
+
const weight = target.targetWeight;
|
|
392
|
+
const held = ownValue(currentHoldings, instrumentId) ?? 0;
|
|
393
|
+
const priceRow = ownValue(prices, instrumentId);
|
|
394
|
+
const active = weight !== 0 || held !== 0;
|
|
395
|
+
if (priceRow === undefined) {
|
|
396
|
+
if (active) {
|
|
397
|
+
unresolved.push({
|
|
398
|
+
key: `instrumentId:${instrumentId}`,
|
|
399
|
+
group: { instrumentId },
|
|
400
|
+
reason: `no price for '${instrumentId}' — its target ${weight} of NAV${held !== 0 ? ` and its ${held} held units` : ''} cannot be sized. Add prices['${instrumentId}'] = { price, currency }.`,
|
|
401
|
+
});
|
|
402
|
+
}
|
|
403
|
+
else {
|
|
404
|
+
idle.push(instrumentId);
|
|
405
|
+
}
|
|
406
|
+
continue;
|
|
407
|
+
}
|
|
408
|
+
if (priceRow.price <= 0 && active) {
|
|
409
|
+
unresolved.push({
|
|
410
|
+
key: `instrumentId:${instrumentId}`,
|
|
411
|
+
group: { instrumentId },
|
|
412
|
+
reason: `cannot size against a non-positive price: prices['${instrumentId}'].price is ${priceRow.price}.`,
|
|
413
|
+
});
|
|
414
|
+
continue;
|
|
415
|
+
}
|
|
416
|
+
if (weight !== 0 && restricted.has(instrumentId)) {
|
|
417
|
+
unresolved.push({
|
|
418
|
+
key: `instrumentId:${instrumentId}`,
|
|
419
|
+
group: { instrumentId },
|
|
420
|
+
reason: `'${instrumentId}' is in policy.restrictedInstruments but its targets give it ${weight} of NAV (${target.sourceGroups.join(', ')}) — a restricted instrument cannot carry a target.`,
|
|
421
|
+
});
|
|
422
|
+
continue;
|
|
423
|
+
}
|
|
424
|
+
if (weight !== 0 && allowed !== null && !allowed.has(instrumentId)) {
|
|
425
|
+
unresolved.push({
|
|
426
|
+
key: `instrumentId:${instrumentId}`,
|
|
427
|
+
group: { instrumentId },
|
|
428
|
+
reason: `'${instrumentId}' is not in policy.allowedInstruments but its targets give it ${weight} of NAV (${target.sourceGroups.join(', ')}) — add it to allowedInstruments or restate the targets.`,
|
|
429
|
+
});
|
|
430
|
+
continue;
|
|
431
|
+
}
|
|
432
|
+
const base = priceInBase.get(instrumentId) * multiplierOf(instrumentId);
|
|
433
|
+
const targetNotional = weight * netAssetValue;
|
|
434
|
+
const unroundedQuantity = targetNotional / base;
|
|
435
|
+
const lotSize = lotSizeFor(sizing, instrumentId);
|
|
436
|
+
if (lotSize === null && unroundedQuantity !== 0)
|
|
437
|
+
fractional.push(instrumentId);
|
|
438
|
+
const targetQuantity = roundTowardZeroToLot(unroundedQuantity, lotSize);
|
|
439
|
+
const roundingResidualNotional = (unroundedQuantity - targetQuantity) * base;
|
|
440
|
+
let tradeQuantity = targetQuantity - held;
|
|
441
|
+
if (Math.abs(tradeQuantity) <= QUANTITY_DUST)
|
|
442
|
+
tradeQuantity = 0;
|
|
443
|
+
const tradeNotional = tradeQuantity * base;
|
|
444
|
+
const isDust = tradeQuantity !== 0 &&
|
|
445
|
+
sizing.minimumNotional !== null &&
|
|
446
|
+
Math.abs(tradeNotional) < sizing.minimumNotional;
|
|
447
|
+
const side = tradeQuantity === 0 ? 'buy' : sideOf(tradeQuantity);
|
|
448
|
+
if (isDust) {
|
|
449
|
+
dust.push({
|
|
450
|
+
instrumentId,
|
|
451
|
+
tradeNotional,
|
|
452
|
+
reason: `the ${side} of ${Math.abs(tradeQuantity)} ${instrumentId} (|notional| ${Math.abs(tradeNotional)}) is below minimumNotional ${sizing.minimumNotional} — skipped; '${instrumentId}' stays at ${held} and the ${Math.abs(tradeNotional)} ${side === 'buy' ? 'stays in cash' : 'is not raised'}.`,
|
|
453
|
+
});
|
|
454
|
+
}
|
|
455
|
+
else if (tradeQuantity !== 0) {
|
|
456
|
+
const cost = estimateTradeCost(sizing.transactionCosts, tradeQuantity, tradeNotional);
|
|
457
|
+
trades.push({
|
|
458
|
+
instrumentId,
|
|
459
|
+
side,
|
|
460
|
+
quantity: Math.abs(tradeQuantity),
|
|
461
|
+
estimatedNotional: Math.abs(tradeNotional),
|
|
462
|
+
currency: priceRow.currency,
|
|
463
|
+
estimatedCost: cost.total,
|
|
464
|
+
});
|
|
465
|
+
estimatedTransactionCost += cost.total;
|
|
466
|
+
if (tradeQuantity > 0)
|
|
467
|
+
buys += tradeNotional;
|
|
468
|
+
else
|
|
469
|
+
sells += -tradeNotional;
|
|
470
|
+
grossTraded += Math.abs(tradeNotional);
|
|
471
|
+
}
|
|
472
|
+
const postQuantity = isDust ? held : targetQuantity;
|
|
473
|
+
allocations.push({
|
|
474
|
+
instrumentId,
|
|
475
|
+
targetWeight: weight,
|
|
476
|
+
targetNotional,
|
|
477
|
+
price: priceRow.price,
|
|
478
|
+
currency: priceRow.currency,
|
|
479
|
+
priceInBaseCurrency: base,
|
|
480
|
+
contractMultiplier: multiplierOf(instrumentId),
|
|
481
|
+
currentQuantity: held,
|
|
482
|
+
targetQuantity,
|
|
483
|
+
tradeQuantity: isDust ? 0 : tradeQuantity,
|
|
484
|
+
tradeNotional: isDust ? 0 : tradeNotional,
|
|
485
|
+
lotSize,
|
|
486
|
+
roundingResidualNotional,
|
|
487
|
+
achievedWeight: (postQuantity * base) / netAssetValue,
|
|
488
|
+
dust: isDust,
|
|
489
|
+
sourceGroups: [...target.sourceGroups],
|
|
490
|
+
implied: target.implied,
|
|
491
|
+
});
|
|
492
|
+
}
|
|
493
|
+
if (idle.length > 0) {
|
|
494
|
+
warnings.push(`${idle.length} instrument${idle.length === 1 ? ' has' : 's have'} no price row, no target, and no holding — nothing to size: ${idle.join(', ')}.`);
|
|
495
|
+
}
|
|
496
|
+
// ---- cash conservation ----
|
|
497
|
+
const currentCash = netAssetValue - currentHoldingsValue;
|
|
498
|
+
const postTradeCash = currentCash - buys + sells;
|
|
499
|
+
const residualAmount = postTradeCash - targetCashAmount;
|
|
500
|
+
const fundable = currentCash + sells - targetCashAmount;
|
|
501
|
+
const buysFunded = buys <= fundable + tolerance;
|
|
502
|
+
if (!buysFunded) {
|
|
503
|
+
warnings.push(`buys of ${buys} exceed the ${fundable} fundable (current cash ${currentCash} + sells ${sells} − intended cash ${targetCashAmount}) by ${buys - fundable} — the plan is infeasible as stated; nothing was scaled. Lower the targets, the cashReserve, or the cash target.`);
|
|
504
|
+
}
|
|
505
|
+
const sortedUnresolved = sortUnresolved(unresolved);
|
|
506
|
+
const feasible = sortedUnresolved.length === 0 && buysFunded;
|
|
507
|
+
allocations.sort((a, b) => compareIds(a.instrumentId, b.instrumentId));
|
|
508
|
+
trades.sort((a, b) => compareIds(a.instrumentId, b.instrumentId));
|
|
509
|
+
dust.sort((a, b) => compareIds(a.instrumentId, b.instrumentId));
|
|
510
|
+
return deepFreeze(requireRepresentableResult(functionName, {
|
|
511
|
+
asOf,
|
|
512
|
+
baseCurrency,
|
|
513
|
+
netAssetValue,
|
|
514
|
+
allocations,
|
|
515
|
+
cash: {
|
|
516
|
+
targetWeight: cashTargetWeight,
|
|
517
|
+
reserve: cashReserve,
|
|
518
|
+
targetAmount: targetCashAmount,
|
|
519
|
+
residualAmount,
|
|
520
|
+
achievedWeight: postTradeCash / netAssetValue,
|
|
521
|
+
},
|
|
522
|
+
trades,
|
|
523
|
+
dust,
|
|
524
|
+
estimatedTransactionCost,
|
|
525
|
+
turnover: grossTraded / netAssetValue,
|
|
526
|
+
unresolved: sortedUnresolved,
|
|
527
|
+
feasible,
|
|
528
|
+
assumptions: {
|
|
529
|
+
conventionsVersion: CONVENTIONS_VERSION,
|
|
530
|
+
targetSource: resolved.source,
|
|
531
|
+
rounding: describeRounding(sizing, fractional.sort()),
|
|
532
|
+
costModel: describeCostModel(sizing.transactionCosts),
|
|
533
|
+
pricing: PRICING_CONVENTION,
|
|
534
|
+
currencyConversionsUsed: [...quotesUsed.keys()].sort().map((key) => quotesUsed.get(key)),
|
|
535
|
+
},
|
|
536
|
+
diagnostics: {
|
|
537
|
+
warnings,
|
|
538
|
+
instrumentCount: allocations.length,
|
|
539
|
+
tradeCount: trades.length,
|
|
540
|
+
dustCount: dust.length,
|
|
541
|
+
unresolvedCount: sortedUnresolved.length,
|
|
542
|
+
},
|
|
543
|
+
}));
|
|
544
|
+
}
|
|
545
|
+
//# sourceMappingURL=allocation.js.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
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