@insiderfinance/totalfinance 0.1.0

package/modules/portfolio/dist/trade/plan.js

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+/**
+ * `normalizeTradePlan` (Decision 3): an intent or a rebalance proposal becomes the one executable
+ * plan — orders in the frozen execution grammar, a target weight sized to whole units at the mark,
+ * reference prices from the market snapshot, the FC7 trade rows for estimates, the source named,
+ * and a content hash over the body. Nothing here places an order.
+ */
+import { ErrorCode, InputError, ensureKnownKeys, isOccOptionSymbol, requireArgumentObject, resolveAsOf, } from '../../../core/dist/index.js';
+import { contentHash, readMarketSnapshot } from '../../../core/dist/artifacts/index.js';
+import { deepFreeze, hasOwnKey, requireEpochMsField, requireIdentityString } from '../internal.js';
+import { TRADE_PLAN_KIND } from '../rebalance.js';
+import { portfolioSnapshot } from '../snapshot.js';
+import { requirePortfolioStateShape } from '../state.js';
+import { EXECUTION_PLAN_KIND, EXECUTION_PLAN_SCHEMA_VERSION, } from './types.js';
+import { conversionsField, hasPresentKey, refuse, requirePreflightInstrument, requireTradeIntent, stringList, } from './validate.js';
+const FN = 'normalizeTradePlan';
+const INPUT_KEYS = [
+    'intent',
+    'proposal',
+    'portfolio',
+    'market',
+    'asOf',
+    'accountId',
+    'instruments',
+    'currencyConversions',
+    'rationale',
+    'evidence',
+];
+/** The reference price and currency for an instrument at the snapshot, or null without a spot. */
+export function spotPriceOf(market, instrumentId) {
+    const spot = market.observations.spots?.[instrumentId];
+    if (spot === undefined || !(spot.price > 0))
+        return null;
+    return { price: spot.price, currency: spot.currency ?? null };
+}
+/**
+ * The reference price for an instrument: the snapshot's spot when it has one at a positive price,
+ * else null (a limit price stands in only without one). The snapshot is read through its own door.
+ */
+export function referencePriceOf(market, instrumentId) {
+    const { snapshot } = readMarketSnapshot({ snapshot: market });
+    requireIdentityString('referencePriceOf', 'instrumentId', instrumentId);
+    return spotPriceOf(snapshot, instrumentId);
+}
+/**
+ * An OCC option symbol without a declared contract multiplier is refused, never defaulted. A spot
+ * (or a description that omits the field) says nothing about the contract size, and the share
+ * default of 1 would size, estimate and preflight a 100-share contract at 1% of its cash value.
+ * Plain instruments keep the share default; the plan row discloses the multiplier it used.
+ */
+function requireDeclaredMultiplier(functionName, instrumentId, knownFrom) {
+    if (!isOccOptionSymbol(instrumentId))
+        return;
+    refuse(functionName, `instruments['${instrumentId}'].contractMultiplier`, `is required: '${instrumentId}' is an OCC option symbol ${knownFrom === 'instruments'
+        ? 'described without a contract multiplier'
+        : 'known only from a market spot'}, and the share default of 1 would value each contract at one share. Describe it in input.instruments with its currency and contractMultiplier (100 for a standard US equity option).`, ErrorCode.InputMissingField);
+}
+/** What preflight and the broker know about an instrument: the ledger's position first, then the caller's description, then the spot. */
+export function resolveInstrument(functionName, portfolio, accountId, instruments, market, instrumentId) {
+    const held = portfolio.accounts[accountId]?.positions[instrumentId];
+    if (held !== undefined) {
+        return {
+            currency: held.currency,
+            contractMultiplier: held.contractMultiplier,
+            assetClass: null,
+            source: 'ledger position',
+        };
+    }
+    const described = instruments?.[instrumentId];
+    if (described !== undefined) {
+        if (described.contractMultiplier === undefined)
+            requireDeclaredMultiplier(functionName, instrumentId, 'instruments');
+        return {
+            currency: described.currency,
+            contractMultiplier: described.contractMultiplier ?? 1,
+            assetClass: described.assetClass ?? null,
+            source: 'instruments',
+        };
+    }
+    const spot = spotPriceOf(market, instrumentId);
+    if (spot !== null && spot.currency !== null) {
+        requireDeclaredMultiplier(functionName, instrumentId, 'market spot');
+        return {
+            currency: spot.currency,
+            contractMultiplier: 1,
+            assetClass: null,
+            source: 'market spot',
+        };
+    }
+    return null;
+}
+/**
+ * B5 — the plan's combos: every comboId the orders carry, its legs in plan order, and the net limit
+ * the intent gave it (a combo without terms fills its legs at their own prices). The intent guard
+ * already refused a one-leg combo, so a combo here always has at least two legs.
+ */
+function combosOf(orders, terms) {
+    const legs = new Map();
+    for (const order of orders) {
+        if (order.comboId === undefined)
+            continue;
+        legs.set(order.comboId, [...(legs.get(order.comboId) ?? []), order.orderId]);
+    }
+    const byId = new Map((terms ?? []).map((combo) => [combo.comboId, combo]));
+    return [...legs.entries()].map(([comboId, orderIds]) => {
+        const net = byId.get(comboId)?.netLimitPrice;
+        return { comboId, orderIds, ...(net !== undefined ? { netLimitPrice: net } : {}) };
+    });
+}
+export function normalizeTradePlan(input) {
+    requireArgumentObject(FN, 'input', input);
+    ensureKnownKeys(FN, 'input', input, INPUT_KEYS);
+    const hasIntent = hasPresentKey(input, 'intent');
+    const hasProposal = hasPresentKey(input, 'proposal');
+    if (hasIntent === hasProposal)
+        refuse(FN, 'input', 'must carry exactly one of intent or proposal.', hasIntent ? ErrorCode.InputUnknownField : ErrorCode.InputMissingField);
+    requirePortfolioStateShape(FN, 'input.portfolio', input.portfolio);
+    const { snapshot: market } = readMarketSnapshot({ snapshot: input.market });
+    const asOf = resolveAsOf(input.asOf, FN);
+    if (hasPresentKey(input, 'accountId'))
+        requireIdentityString(FN, 'input.accountId', input.accountId);
+    if (hasPresentKey(input, 'instruments')) {
+        requireArgumentObject(FN, 'input.instruments', input.instruments);
+        for (const [id, spec] of Object.entries(input.instruments))
+            requirePreflightInstrument(FN, `input.instruments.${id}`, spec);
+    }
+    if (hasPresentKey(input, 'rationale') && typeof input.rationale !== 'string')
+        refuse(FN, 'input.rationale', 'must be a string.', ErrorCode.InputWrongType);
+    const evidence = hasPresentKey(input, 'evidence')
+        ? stringList(FN, 'input.evidence', input.evidence)
+        : [];
+    const conversions = hasPresentKey(input, 'currencyConversions')
+        ? conversionsField(FN, input.currencyConversions)
+        : [];
+    const portfolio = input.portfolio;
+    let accountId;
+    let sourceOrders;
+    let intentCombos;
+    let source;
+    let economicHash;
+    let rationale;
+    if (hasIntent) {
+        const intent = requireTradeIntent(FN, 'input.intent', input.intent);
+        accountId = input.accountId ?? intent.accountId;
+        if (input.accountId !== undefined && input.accountId !== intent.accountId)
+            refuse(FN, 'input.accountId', `is '${input.accountId}' but the intent names '${intent.accountId}' — one account per plan.`);
+        const nav = portfolioSnapshot({
+            portfolio,
+            asOf,
+            market,
+            ...(conversions.length > 0 ? { currencyConversions: conversions } : {}),
+        }).netAssetValue;
+        sourceOrders = intent.orders.map((order, i) => {
+            const reference = spotPriceOf(market, order.instrumentId);
+            let quantity = order.quantity;
+            if (quantity === undefined) {
+                if (reference === null)
+                    refuse(FN, `input.intent.orders[${i}]`, `sizes a notional weight of ${order.instrumentId} but the market snapshot has no spot for it.`, ErrorCode.PortfolioMarkUnavailable);
+                const resolved = resolveInstrument(FN, portfolio, accountId, input.instruments, market, order.instrumentId);
+                const multiplier = resolved?.contractMultiplier ?? 1;
+                quantity = Math.floor((order.notionalWeight * nav) / (reference.price * multiplier));
+                if (!Number.isFinite(quantity) || quantity > Number.MAX_SAFE_INTEGER)
+                    refuse(FN, `input.intent.orders[${i}].notionalWeight`, `sizes to a quantity that cannot be represented (${order.notionalWeight} of NAV ${nav} at ${reference.price} × ${multiplier}); the mark is degenerate or the weight is absurd.`);
+                if (!(quantity > 0))
+                    refuse(FN, `input.intent.orders[${i}].notionalWeight`, `sizes to no whole unit of ${order.instrumentId} at ${reference.price} on NAV ${nav}.`);
+            }
+            return {
+                instrumentId: order.instrumentId,
+                side: order.side,
+                quantity,
+                type: order.type,
+                ...(order.limitPrice !== undefined ? { limitPrice: order.limitPrice } : {}),
+                ...(order.stopPrice !== undefined ? { stopPrice: order.stopPrice } : {}),
+                ...(order.timeInForce !== undefined ? { timeInForce: order.timeInForce } : {}),
+                ...(order.comboId !== undefined ? { comboId: order.comboId } : {}),
+            };
+        });
+        intentCombos = intent.combos;
+        const { rationale: intentRationale, ...intentBody } = intent;
+        void intentBody;
+        source = { kind: 'intent', intentHash: contentHash(intent) };
+        // The economic body: free text and evidence are metadata and never change an order id.
+        const { rationale: _rationale, evidence: _evidence, ...economic } = intent;
+        economicHash = contentHash(economic);
+        rationale = input.rationale ?? intentRationale;
+        if (intent.evidence !== undefined)
+            for (const id of intent.evidence)
+                if (!evidence.includes(id))
+                    evidence.push(id);
+    }
+    else {
+        const proposal = input.proposal;
+        requireArgumentObject(FN, 'input.proposal', proposal);
+        if (proposal.kind !== TRADE_PLAN_KIND)
+            refuse(FN, 'input.proposal.kind', `must be '${TRADE_PLAN_KIND}' (proposePortfolioRebalance's plan).`, ErrorCode.InputInvalidEnum);
+        requireIdentityString(FN, 'input.proposal.contentHash', proposal.contentHash);
+        if (!Array.isArray(proposal.trades) || proposal.trades.length === 0)
+            refuse(FN, 'input.proposal.trades', 'must hold at least one trade.', ErrorCode.InputWrongType);
+        const accounts = new Set(proposal.trades.map((t) => t.accountId));
+        if (accounts.size !== 1)
+            refuse(FN, 'input.proposal.trades', `span ${accounts.size} accounts — one account per plan.`);
+        accountId = input.accountId ?? proposal.trades[0].accountId;
+        if (accountId !== proposal.trades[0].accountId)
+            refuse(FN, 'input.accountId', `is '${accountId}' but the proposal trades '${proposal.trades[0].accountId}'.`);
+        sourceOrders = proposal.trades.map((t) => ({
+            instrumentId: t.instrumentId,
+            side: t.side,
+            quantity: t.quantity,
+            type: 'market',
+        }));
+        source = {
+            kind: 'rebalance-proposal',
+            planHash: proposal.contentHash,
+            policyContentHash: proposal.policyContentHash,
+        };
+        economicHash = proposal.contentHash;
+        rationale = input.rationale;
+    }
+    const trades = [];
+    /** Order ids are unique per source (the intent's or the proposal's hash), so one economic intent submits once. */
+    const sourcePrefix = economicHash.replace(/^sha256:/, '').slice(0, 12);
+    const orders = [];
+    const seen = new Set();
+    sourceOrders.forEach((order, i) => {
+        const key = `${order.instrumentId}#${order.side}#${order.type}#${order.limitPrice ?? ''}#${order.stopPrice ?? ''}`;
+        if (seen.has(key))
+            refuse(FN, `orders[${i}]`, `duplicates an earlier ${order.side} of ${order.instrumentId} — merge the lines or give them different terms.`, ErrorCode.TradePlanInvalid);
+        seen.add(key);
+        const resolved = resolveInstrument(FN, portfolio, accountId, input.instruments, market, order.instrumentId);
+        const reference = spotPriceOf(market, order.instrumentId);
+        if (resolved === null)
+            refuse(FN, `orders[${i}].instrumentId`, `'${order.instrumentId}' is unknown — not held, not in input.instruments, and without a spot in the market snapshot.`, ErrorCode.TradePlanInvalid);
+        const price = reference?.price ?? order.limitPrice ?? null;
+        if (price === null)
+            refuse(FN, `orders[${i}].instrumentId`, `'${order.instrumentId}' has no reference price — no spot in the market snapshot and no limit price.`, ErrorCode.PortfolioMarkUnavailable);
+        const estimatedNotional = order.quantity * price * resolved.contractMultiplier;
+        if (!Number.isFinite(estimatedNotional))
+            refuse(FN, `orders[${i}].quantity`, `× ${price} × ${resolved.contractMultiplier} overflows to a non-finite notional; a plan never carries an unrepresentable trade.`);
+        trades.push({
+            accountId,
+            instrumentId: order.instrumentId,
+            side: order.side,
+            quantity: order.quantity,
+            currency: resolved.currency,
+            referencePricePerUnit: price,
+            contractMultiplier: resolved.contractMultiplier,
+            estimatedNotional,
+        });
+        orders.push({
+            orderId: `plan:${sourcePrefix}:${i + 1}:${order.instrumentId}:${order.side}`,
+            instrumentId: order.instrumentId,
+            side: order.side,
+            quantity: order.quantity,
+            type: order.type,
+            ...(order.limitPrice !== undefined ? { limitPrice: order.limitPrice } : {}),
+            ...(order.stopPrice !== undefined ? { stopPrice: order.stopPrice } : {}),
+            ...(order.timeInForce !== undefined ? { timeInForce: order.timeInForce } : {}),
+            plannedTimestampMs: asOf,
+            ...(order.comboId !== undefined ? { comboId: order.comboId } : {}),
+        });
+    });
+    const combos = combosOf(orders, intentCombos);
+    const body = {
+        kind: EXECUTION_PLAN_KIND,
+        schemaVersion: EXECUTION_PLAN_SCHEMA_VERSION,
+        accountId,
+        asOf,
+        baseCurrency: portfolio.baseCurrency,
+        ...(portfolio.portfolioId !== undefined ? { portfolioId: portfolio.portfolioId } : {}),
+        orders,
+        combos,
+        trades,
+        source,
+        ...(rationale !== undefined ? { rationale } : {}),
+        evidence: [...evidence],
+    };
+    const withHash = { ...body, contentHash: contentHash(body) };
+    requireEpochMsField(FN, 'plan.asOf', withHash.asOf);
+    if (!hasOwnKey(withHash, 'contentHash'))
+        throw new InputError(`${FN}: the plan lost its content hash — an engine invariant failed.`, {
+            code: ErrorCode.InputWrongShape,
+            context: { function: FN },
+        });
+    return deepFreeze(withHash);
+}
+//# sourceMappingURL=plan.js.map

package/modules/portfolio/dist/trade/plan.js.map

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package/modules/portfolio/dist/trade/policy.d.ts

@@ -0,0 +1,5 @@
+import type { MergeTradePoliciesInput, PolicyCheck, PolicyDecision, TradePolicy } from './types.js';
+/** The stricter of every policy given: the minimum of each bound, the intersection of each allow list, the stricter unverifiable handling. */
+export declare function mergeTradePolicies(input: MergeTradePoliciesInput): TradePolicy;
+export declare function decideFromChecks(checks: readonly PolicyCheck[], onUnverifiable: 'require-approval' | 'deny'): PolicyDecision;
+//# sourceMappingURL=policy.d.ts.map

package/modules/portfolio/dist/trade/policy.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"policy.d.ts","sourceRoot":"","sources":["../../src/trade/policy.ts"],"names":[],"mappings":"AASA,OAAO,KAAK,EAAE,uBAAuB,EAAE,WAAW,EAAE,cAAc,EAAE,WAAW,EAAE,MAAM,YAAY,CAAC;AA8CpG,8IAA8I;AAC9I,wBAAgB,kBAAkB,CAAC,KAAK,EAAE,uBAAuB,GAAG,WAAW,CAyD9E;AAKD,wBAAgB,gBAAgB,CAC9B,MAAM,EAAE,SAAS,WAAW,EAAE,EAC9B,cAAc,EAAE,kBAAkB,GAAG,MAAM,GAC1C,cAAc,CA+BhB"}

package/modules/portfolio/dist/trade/policy.js

@@ -0,0 +1,133 @@
+/**
+ * The structured trade policy (Decision 4): a deterministic function of the plan, the states, and
+ * the policy that returns checks with verdicts and one decision; `mergeTradePolicies` composes two
+ * policies into the stricter one — a hosted policy can never silently weaken a user's.
+ */
+import { ErrorCode, ensureKnownKeys, requireArgumentObject } from '../../../core/dist/index.js';
+import { deepFreeze } from '../internal.js';
+import { refuse, requirePolicyCheck, requireTradePolicy } from './validate.js';
+const MERGE_FN = 'mergeTradePolicies';
+function minimum(a, b) {
+    if (a === undefined)
+        return b;
+    if (b === undefined)
+        return a;
+    return Math.min(a, b);
+}
+function maximum(a, b) {
+    if (a === undefined)
+        return b;
+    if (b === undefined)
+        return a;
+    return Math.max(a, b);
+}
+function intersect(a, b) {
+    if (a === undefined)
+        return b === undefined ? undefined : [...b];
+    if (b === undefined)
+        return [...a];
+    return a.filter((v) => b.includes(v));
+}
+function mergeLimits(a, b) {
+    if (a === undefined && b === undefined)
+        return undefined;
+    const x = a ?? {};
+    const y = b ?? {};
+    const out = {};
+    for (const key of [
+        'maximumPositionWeight',
+        'maximumGrossLeverage',
+        'maximumDrawdown',
+        'maximumDailyLoss',
+        'maximumDaysToLiquidate',
+    ]) {
+        const v = minimum(x[key], y[key]);
+        if (v !== undefined)
+            out[key] = v;
+    }
+    const settled = maximum(x.minimumSettledCash, y.minimumSettledCash);
+    if (settled !== undefined)
+        out.minimumSettledCash = settled;
+    const groups = [...(x.maximumGroupWeights ?? []), ...(y.maximumGroupWeights ?? [])];
+    if (groups.length > 0)
+        out.maximumGroupWeights = groups;
+    return out;
+}
+/** The stricter of every policy given: the minimum of each bound, the intersection of each allow list, the stricter unverifiable handling. */
+export function mergeTradePolicies(input) {
+    requireArgumentObject(MERGE_FN, 'input', input);
+    ensureKnownKeys(MERGE_FN, 'input', input, ['policies']);
+    if (!Array.isArray(input.policies) || input.policies.length === 0)
+        refuse(MERGE_FN, 'input.policies', 'must hold at least one policy.');
+    const policies = input.policies.map((p, i) => requireTradePolicy(MERGE_FN, `input.policies[${i}]`, p));
+    let merged = { ...policies[0] };
+    for (const next of policies.slice(1)) {
+        const out = { mode: 'paper' };
+        const limits = mergeLimits(merged.limits, next.limits);
+        if (limits !== undefined)
+            out.limits = limits;
+        for (const key of ['allowedAccounts', 'allowedAssetClasses', 'allowedInstruments']) {
+            const v = intersect(merged[key], next[key]);
+            if (v !== undefined)
+                out[key] = v;
+        }
+        const types = intersect(merged.allowedOrderTypes, next.allowedOrderTypes);
+        if (types !== undefined)
+            out.allowedOrderTypes = types;
+        for (const key of [
+            'maximumOrderQuantity',
+            'maximumOrderNotional',
+            'maximumEstimatedCost',
+            'maximumSlippageBps',
+            'maximumParticipation',
+            'marketMaximumAgeMs',
+            'maximumTurnover',
+        ]) {
+            const v = minimum(merged[key], next[key]);
+            if (v !== undefined)
+                out[key] = v;
+        }
+        if (merged.allowUndefinedRiskOptions !== undefined ||
+            next.allowUndefinedRiskOptions !== undefined)
+            out.allowUndefinedRiskOptions =
+                (merged.allowUndefinedRiskOptions ?? false) && (next.allowUndefinedRiskOptions ?? false);
+        const notional = minimum(merged.requireApprovalAbove?.notional, next.requireApprovalAbove?.notional);
+        const quantity = minimum(merged.requireApprovalAbove?.quantity, next.requireApprovalAbove?.quantity);
+        if (notional !== undefined || quantity !== undefined)
+            out.requireApprovalAbove = {
+                ...(notional !== undefined ? { notional } : {}),
+                ...(quantity !== undefined ? { quantity } : {}),
+            };
+        if (merged.onUnverifiable === 'deny' || next.onUnverifiable === 'deny')
+            out.onUnverifiable = 'deny';
+        else if (merged.onUnverifiable !== undefined || next.onUnverifiable !== undefined)
+            out.onUnverifiable = 'require-approval';
+        merged = out;
+    }
+    return deepFreeze(merged);
+}
+/** The decision the checks imply (Decision 3): allow only when every check passes; deny on any failure; otherwise approval. */
+const DECIDE = 'decideFromChecks';
+export function decideFromChecks(checks, onUnverifiable) {
+    if (!Array.isArray(checks))
+        refuse(DECIDE, 'checks', 'must be an array of policy checks', ErrorCode.InputWrongType);
+    if (checks.length === 0)
+        refuse(DECIDE, 'checks', 'is empty; a decision needs at least one check — an allow never comes from no evidence');
+    checks.forEach((check, index) => requirePolicyCheck(DECIDE, `checks[${index}]`, check));
+    if (onUnverifiable !== 'require-approval' && onUnverifiable !== 'deny')
+        refuse(DECIDE, 'onUnverifiable', `must be 'require-approval' or 'deny'. Received ${JSON.stringify(onUnverifiable)}`, ErrorCode.InputInvalidEnum);
+    const failed = checks.filter((c) => c.verdict === 'fail');
+    const unverifiable = checks.filter((c) => c.verdict === 'unverifiable');
+    const approval = checks.filter((c) => c.verdict === 'require-approval');
+    const rows = [...checks];
+    if (failed.length > 0 || (unverifiable.length > 0 && onUnverifiable === 'deny'))
+        return { verdict: 'deny', checks: rows };
+    if (approval.length > 0 || unverifiable.length > 0)
+        return {
+            verdict: 'require-approval',
+            checks: rows,
+            requiredScope: approval.length > 0 ? 'trade:approve' : 'trade:approve (unverifiable evidence disclosed)',
+        };
+    return { verdict: 'allow', checks: rows };
+}
+//# sourceMappingURL=policy.js.map

package/modules/portfolio/dist/trade/policy.js.map

@@ -0,0 +1 @@
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package/modules/portfolio/dist/trade/preflight.d.ts

@@ -0,0 +1,3 @@
+import { type PreflightReport, type PreflightTradePlanInput } from './types.js';
+export declare function preflightTradePlan(input: PreflightTradePlanInput): PreflightReport;
+//# sourceMappingURL=preflight.d.ts.map

package/modules/portfolio/dist/trade/preflight.d.ts.map

@@ -0,0 +1 @@
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