@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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* `preflightTradePlan` (Decision 3): the plan against the ledger, the market, and the policy — the
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'market',
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+
'asOf',
|
|
25
|
+
'policy',
|
|
26
|
+
'instruments',
|
|
27
|
+
'currencyConversions',
|
|
28
|
+
'openOrders',
|
|
29
|
+
'costs',
|
|
30
|
+
'averageDailyVolumes',
|
|
31
|
+
'session',
|
|
32
|
+
'monitorState',
|
|
33
|
+
];
|
|
34
|
+
const FILL_CONVENTION = 'every order fills in full at its reference price (the market spot, or the limit price without a spot) plus the declared slippage, at the preflight instant; the after-state is the ledger fold of those fills';
|
|
35
|
+
const DECISION_CONVENTION = "allow only when every check passes; deny when any check fails (or any is unverifiable under onUnverifiable 'deny'); otherwise require-approval with the unverifiable evidence disclosed";
|
|
36
|
+
export function preflightTradePlan(input) {
|
|
37
|
+
requireArgumentObject(FN, 'input', input);
|
|
38
|
+
ensureKnownKeys(FN, 'input', input, INPUT_KEYS);
|
|
39
|
+
const plan = requireExecutionPlan(FN, 'input.plan', input.plan);
|
|
40
|
+
requirePortfolioStateShape(FN, 'input.portfolio', input.portfolio);
|
|
41
|
+
const { snapshot: market } = readMarketSnapshot({ snapshot: input.market });
|
|
42
|
+
const asOf = resolveAsOf(input.asOf, FN);
|
|
43
|
+
const policy = requireTradePolicy(FN, 'input.policy', input.policy);
|
|
44
|
+
if (hasPresentKey(input, 'instruments')) {
|
|
45
|
+
requireArgumentObject(FN, 'input.instruments', input.instruments);
|
|
46
|
+
for (const [id, spec] of Object.entries(input.instruments))
|
|
47
|
+
requirePreflightInstrument(FN, `input.instruments.${id}`, spec);
|
|
48
|
+
}
|
|
49
|
+
const openOrders = hasPresentKey(input, 'openOrders')
|
|
50
|
+
? (() => {
|
|
51
|
+
if (!Array.isArray(input.openOrders))
|
|
52
|
+
refuse(FN, 'input.openOrders', 'must be an array of orders.');
|
|
53
|
+
return input.openOrders.map((row, i) => requireTradeOrder(FN, `input.openOrders[${i}]`, row));
|
|
54
|
+
})()
|
|
55
|
+
: [];
|
|
56
|
+
const rates = {
|
|
57
|
+
commissionBps: 0,
|
|
58
|
+
commissionPerOrder: 0,
|
|
59
|
+
spreadBps: 0,
|
|
60
|
+
slippageBps: 0,
|
|
61
|
+
...(hasPresentKey(input, 'costs')
|
|
62
|
+
? requirePreflightCostRates(FN, 'input.costs', input.costs)
|
|
63
|
+
: {}),
|
|
64
|
+
};
|
|
65
|
+
if (hasPresentKey(input, 'averageDailyVolumes')) {
|
|
66
|
+
requireArgumentObject(FN, 'input.averageDailyVolumes', input.averageDailyVolumes);
|
|
67
|
+
for (const [id, v] of Object.entries(input.averageDailyVolumes))
|
|
68
|
+
if (typeof v !== 'number' || !(v > 0))
|
|
69
|
+
refuse(FN, `input.averageDailyVolumes.${id}`, 'must be a positive number.');
|
|
70
|
+
}
|
|
71
|
+
if (hasPresentKey(input, 'session')) {
|
|
72
|
+
requireArgumentObject(FN, 'input.session', input.session);
|
|
73
|
+
ensureKnownKeys(FN, 'input.session', input.session, ['open', 'halted']);
|
|
74
|
+
if (typeof input.session.open !== 'boolean')
|
|
75
|
+
refuse(FN, 'input.session.open', 'must be a boolean.');
|
|
76
|
+
if (hasPresentKey(input.session, 'halted')) {
|
|
77
|
+
if (!Array.isArray(input.session.halted))
|
|
78
|
+
refuse(FN, 'input.session.halted', 'must be an array of instrument ids.');
|
|
79
|
+
input.session.halted.forEach((id, i) => requireIdentityString(FN, `input.session.halted[${i}]`, id));
|
|
80
|
+
}
|
|
81
|
+
}
|
|
82
|
+
const previousMonitorState = hasPresentKey(input, 'monitorState')
|
|
83
|
+
? input.monitorState
|
|
84
|
+
: null;
|
|
85
|
+
const conversions = hasPresentKey(input, 'currencyConversions')
|
|
86
|
+
? conversionsField(FN, input.currencyConversions)
|
|
87
|
+
: [];
|
|
88
|
+
const portfolio = input.portfolio;
|
|
89
|
+
const warnings = [];
|
|
90
|
+
const checks = [];
|
|
91
|
+
const check = (name, verdict, value, limit, detail) => {
|
|
92
|
+
checks.push({ name, verdict, value, limit, detail });
|
|
93
|
+
};
|
|
94
|
+
// ---- the plan against the account and the policy's allow lists ----------------------------------
|
|
95
|
+
if (policy.allowedAccounts !== undefined)
|
|
96
|
+
check('account', policy.allowedAccounts.includes(plan.accountId) ? 'pass' : 'fail', plan.accountId, policy.allowedAccounts.join(', '), `the plan trades account '${plan.accountId}'`);
|
|
97
|
+
const account = portfolio.accounts[plan.accountId];
|
|
98
|
+
if (account === undefined)
|
|
99
|
+
check('account-known', 'fail', plan.accountId, null, `the ledger has no account '${plan.accountId}'`);
|
|
100
|
+
else
|
|
101
|
+
check('account-known', 'pass', plan.accountId, null, 'the ledger holds the account');
|
|
102
|
+
// ---- market age ----------------------------------------------------------------------------------
|
|
103
|
+
const ageMs = asOf - market.asOf;
|
|
104
|
+
if (policy.marketMaximumAgeMs !== undefined)
|
|
105
|
+
check('market-age', ageMs <= policy.marketMaximumAgeMs ? 'pass' : 'fail', ageMs, policy.marketMaximumAgeMs, `the market snapshot is ${ageMs} ms old at the preflight instant`);
|
|
106
|
+
else
|
|
107
|
+
check('market-age', 'pass', ageMs, null, 'no marketMaximumAgeMs declared; the age is reported');
|
|
108
|
+
// ---- the orders, one by one ----------------------------------------------------------------------
|
|
109
|
+
const before = portfolioSnapshot({
|
|
110
|
+
portfolio,
|
|
111
|
+
asOf,
|
|
112
|
+
market,
|
|
113
|
+
...(conversions.length > 0 ? { currencyConversions: conversions } : {}),
|
|
114
|
+
});
|
|
115
|
+
const nav = before.netAssetValue;
|
|
116
|
+
const fills = [];
|
|
117
|
+
let tradedNotional = 0;
|
|
118
|
+
let commission = 0;
|
|
119
|
+
let spread = 0;
|
|
120
|
+
let slippage = 0;
|
|
121
|
+
const instrumentSources = {};
|
|
122
|
+
const heldAfter = new Map();
|
|
123
|
+
for (const position of Object.values(account?.positions ?? {}))
|
|
124
|
+
heldAfter.set(position.instrumentId, position.quantity);
|
|
125
|
+
const openKeys = new Set(openOrders.map((o) => `${o.instrumentId}#${o.side}`));
|
|
126
|
+
// ---- undefined risk (B5): judged on the after-state — of the order, or of its whole combo -------
|
|
127
|
+
const contractOf = (id) => account?.positions[id]?.contract ?? input.instruments?.[id]?.contract;
|
|
128
|
+
const multiplierOf = (id) => account?.positions[id]?.contractMultiplier ?? input.instruments?.[id]?.contractMultiplier ?? 1;
|
|
129
|
+
const judgeUndefinedRisk = (at, orders) => {
|
|
130
|
+
if (policy.allowUndefinedRiskOptions ?? false)
|
|
131
|
+
return;
|
|
132
|
+
const options = [];
|
|
133
|
+
for (const [id, held] of heldAfter) {
|
|
134
|
+
const contract = contractOf(id);
|
|
135
|
+
if (contract?.kind === 'option' && held !== 0)
|
|
136
|
+
options.push({ id, held, contract, units: Math.abs(held) * multiplierOf(id) });
|
|
137
|
+
}
|
|
138
|
+
const longs = options
|
|
139
|
+
.filter((position) => position.held > 0)
|
|
140
|
+
.sort((a, b) => a.contract.expiryTimestampMs - b.contract.expiryTimestampMs ||
|
|
141
|
+
(a.id < b.id ? -1 : a.id > b.id ? 1 : 0));
|
|
142
|
+
// Longest-dated shorts have the fewest eligible hedges. Consume each long/stock unit once;
|
|
143
|
+
// existing shorts compete for the same capacity as the proposed orders.
|
|
144
|
+
const shorts = options
|
|
145
|
+
.filter((position) => position.held < 0)
|
|
146
|
+
.sort((a, b) => b.contract.expiryTimestampMs - a.contract.expiryTimestampMs ||
|
|
147
|
+
(a.id < b.id ? -1 : a.id > b.id ? 1 : 0));
|
|
148
|
+
const stock = new Map();
|
|
149
|
+
for (const short of shorts) {
|
|
150
|
+
const { contract } = short;
|
|
151
|
+
let remaining = short.units;
|
|
152
|
+
for (const long of longs) {
|
|
153
|
+
if (long.contract.type !== contract.type ||
|
|
154
|
+
long.contract.underlyingInstrumentId !== contract.underlyingInstrumentId ||
|
|
155
|
+
long.contract.expiryTimestampMs < contract.expiryTimestampMs)
|
|
156
|
+
continue;
|
|
157
|
+
const used = Math.min(remaining, long.units);
|
|
158
|
+
remaining -= used;
|
|
159
|
+
long.units -= used;
|
|
160
|
+
}
|
|
161
|
+
const longUnits = short.units - remaining;
|
|
162
|
+
let stockUnits = 0;
|
|
163
|
+
if (contract.type === 'call') {
|
|
164
|
+
const id = contract.underlyingInstrumentId;
|
|
165
|
+
const available = stock.get(id) ?? Math.max(0, heldAfter.get(id) ?? 0);
|
|
166
|
+
stockUnits = Math.min(remaining, available);
|
|
167
|
+
remaining -= stockUnits;
|
|
168
|
+
stock.set(id, available - stockUnits);
|
|
169
|
+
}
|
|
170
|
+
const covered = remaining <= short.units * 1e-12;
|
|
171
|
+
const order = orders.find((candidate) => candidate.instrumentId === short.id);
|
|
172
|
+
// Also report newly uncovered existing shorts (e.g. selling their stock/option hedge).
|
|
173
|
+
if (order === undefined && covered)
|
|
174
|
+
continue;
|
|
175
|
+
const scope = orders[0]?.comboId === undefined ? 'the order' : `combo ${orders[0].comboId}`;
|
|
176
|
+
const label = order === undefined
|
|
177
|
+
? `${at}.positions[${JSON.stringify(short.id)}]`
|
|
178
|
+
: `orders[${plan.orders.indexOf(order)}]`;
|
|
179
|
+
check(`${label}.undefined-risk`, covered ? 'pass' : 'fail', short.held, 0, covered
|
|
180
|
+
? `a short ${contract.type} covered by ${longUnits} units of same-or-later-dated long ${contract.type}s and ${stockUnits} underlying units after ${scope} (defined risk; each hedge allocated once)`
|
|
181
|
+
: `${scope} leaves ${remaining} option units uncovered and the policy does not allow undefined risk`);
|
|
182
|
+
}
|
|
183
|
+
};
|
|
184
|
+
const comboLegsLeft = new Map(plan.combos.map((combo) => [combo.comboId, combo.orderIds.length]));
|
|
185
|
+
const pendingRisk = [];
|
|
186
|
+
plan.orders.forEach((order, i) => {
|
|
187
|
+
const at = `orders[${i}]`;
|
|
188
|
+
const resolved = resolveInstrument(FN, portfolio, plan.accountId, input.instruments, market, order.instrumentId);
|
|
189
|
+
const reference = spotPriceOf(market, order.instrumentId);
|
|
190
|
+
const price = reference?.price ?? order.limitPrice ?? null;
|
|
191
|
+
if (resolved === null || price === null) {
|
|
192
|
+
check(`${at}.instrument`, 'fail', order.instrumentId, null, `'${order.instrumentId}' cannot be valued — no ledger position, no instruments entry, no spot`);
|
|
193
|
+
return;
|
|
194
|
+
}
|
|
195
|
+
check(`${at}.instrument`, 'pass', order.instrumentId, null, `resolved from the ${resolved.source}`);
|
|
196
|
+
if (policy.allowedInstruments !== undefined)
|
|
197
|
+
check(`${at}.allowed-instrument`, policy.allowedInstruments.includes(order.instrumentId) ? 'pass' : 'fail', order.instrumentId, policy.allowedInstruments.join(', '), "the policy's instrument allow list");
|
|
198
|
+
if (policy.allowedAssetClasses !== undefined) {
|
|
199
|
+
const assetClass = resolved.assetClass;
|
|
200
|
+
if (assetClass === null)
|
|
201
|
+
check(`${at}.allowed-asset-class`, 'unverifiable', null, policy.allowedAssetClasses.join(', '), `no asset class is known for '${order.instrumentId}' — describe it in input.instruments`);
|
|
202
|
+
else
|
|
203
|
+
check(`${at}.allowed-asset-class`, policy.allowedAssetClasses.includes(assetClass) ? 'pass' : 'fail', assetClass, policy.allowedAssetClasses.join(', '), "the policy's asset-class allow list");
|
|
204
|
+
}
|
|
205
|
+
if (policy.allowedOrderTypes !== undefined)
|
|
206
|
+
check(`${at}.order-type`, policy.allowedOrderTypes.includes(order.type) ? 'pass' : 'fail', order.type, policy.allowedOrderTypes.join(', '), "the policy's order-type allow list");
|
|
207
|
+
if (openKeys.has(`${order.instrumentId}#${order.side}`))
|
|
208
|
+
check(`${at}.duplicate`, 'fail', `${order.side} ${order.instrumentId}`, null, 'an open order already works this side of the instrument');
|
|
209
|
+
else
|
|
210
|
+
check(`${at}.duplicate`, 'pass', `${order.side} ${order.instrumentId}`, null, 'no open order conflicts');
|
|
211
|
+
if (input.session !== undefined) {
|
|
212
|
+
const halted = input.session.halted?.includes(order.instrumentId) ?? false;
|
|
213
|
+
check(`${at}.session`, input.session.open && !halted ? 'pass' : 'fail', halted ? 'halted' : input.session.open ? 'open' : 'closed', 'open', 'the trading session at the instant');
|
|
214
|
+
}
|
|
215
|
+
const multiplier = resolved.contractMultiplier;
|
|
216
|
+
const notional = order.quantity * price * multiplier;
|
|
217
|
+
if (policy.maximumOrderQuantity !== undefined)
|
|
218
|
+
check(`${at}.quantity`, order.quantity <= policy.maximumOrderQuantity ? 'pass' : 'fail', order.quantity, policy.maximumOrderQuantity, 'maximumOrderQuantity');
|
|
219
|
+
if (policy.maximumOrderNotional !== undefined)
|
|
220
|
+
check(`${at}.notional`, notional <= policy.maximumOrderNotional ? 'pass' : 'fail', notional, policy.maximumOrderNotional, 'maximumOrderNotional (instrument currency)');
|
|
221
|
+
if (policy.requireApprovalAbove !== undefined) {
|
|
222
|
+
const above = (policy.requireApprovalAbove.notional !== undefined &&
|
|
223
|
+
notional > policy.requireApprovalAbove.notional) ||
|
|
224
|
+
(policy.requireApprovalAbove.quantity !== undefined &&
|
|
225
|
+
order.quantity > policy.requireApprovalAbove.quantity);
|
|
226
|
+
if (above)
|
|
227
|
+
check(`${at}.approval`, 'require-approval', notional, policy.requireApprovalAbove.notional ?? policy.requireApprovalAbove.quantity ?? null, 'above the requireApprovalAbove threshold');
|
|
228
|
+
}
|
|
229
|
+
if (policy.maximumParticipation !== undefined) {
|
|
230
|
+
const volume = input.averageDailyVolumes?.[order.instrumentId];
|
|
231
|
+
if (volume === undefined)
|
|
232
|
+
check(`${at}.participation`, 'unverifiable', null, policy.maximumParticipation, `no averageDailyVolumes entry for '${order.instrumentId}'`);
|
|
233
|
+
else
|
|
234
|
+
check(`${at}.participation`, order.quantity / volume <= policy.maximumParticipation ? 'pass' : 'fail', order.quantity / volume, policy.maximumParticipation, 'quantity ÷ average daily volume');
|
|
235
|
+
}
|
|
236
|
+
// the hypothetical fill, at the reference price plus the declared slippage
|
|
237
|
+
const direction = signOf(order.side);
|
|
238
|
+
const fillPrice = price * (1 + (direction * (rates.slippageBps + rates.spreadBps)) / 10_000);
|
|
239
|
+
const orderCommission = (notional * rates.commissionBps) / 10_000 + rates.commissionPerOrder;
|
|
240
|
+
const orderSpread = (notional * rates.spreadBps) / 10_000;
|
|
241
|
+
const orderSlippage = (notional * rates.slippageBps) / 10_000;
|
|
242
|
+
tradedNotional += notional;
|
|
243
|
+
commission += orderCommission;
|
|
244
|
+
spread += orderSpread;
|
|
245
|
+
slippage += orderSlippage;
|
|
246
|
+
const contract = contractOf(order.instrumentId);
|
|
247
|
+
let riskOrders = [];
|
|
248
|
+
if (order.comboId === undefined)
|
|
249
|
+
riskOrders = [order];
|
|
250
|
+
else {
|
|
251
|
+
pendingRisk.push(order);
|
|
252
|
+
const left = (comboLegsLeft.get(order.comboId) ?? 0) - 1;
|
|
253
|
+
comboLegsLeft.set(order.comboId, left);
|
|
254
|
+
if (left === 0)
|
|
255
|
+
riskOrders = pendingRisk.filter((pending) => pending.comboId === order.comboId);
|
|
256
|
+
}
|
|
257
|
+
if (riskOrders.length > 0) {
|
|
258
|
+
for (const pending of riskOrders)
|
|
259
|
+
heldAfter.set(pending.instrumentId, (heldAfter.get(pending.instrumentId) ?? 0) + signOf(pending.side) * pending.quantity);
|
|
260
|
+
judgeUndefinedRisk(at, riskOrders);
|
|
261
|
+
}
|
|
262
|
+
instrumentSources[order.instrumentId] = resolved.source;
|
|
263
|
+
fills.push({
|
|
264
|
+
fillId: `preflight:${plan.contentHash}:${i + 1}`,
|
|
265
|
+
accountId: plan.accountId,
|
|
266
|
+
instrumentId: order.instrumentId,
|
|
267
|
+
side: order.side,
|
|
268
|
+
quantity: order.quantity,
|
|
269
|
+
pricePerUnit: fillPrice,
|
|
270
|
+
currency: resolved.currency,
|
|
271
|
+
filledTimestampMs: asOf,
|
|
272
|
+
orderId: order.orderId,
|
|
273
|
+
...(multiplier !== 1 ? { contractMultiplier: multiplier } : {}),
|
|
274
|
+
...(contract !== undefined ? { contract, contractMultiplier: multiplier } : {}),
|
|
275
|
+
...(orderCommission > 0 ? { costs: { commission: orderCommission } } : {}),
|
|
276
|
+
...(orderSlippage + orderSpread > 0
|
|
277
|
+
? { executionPriceAdjustment: orderSlippage + orderSpread }
|
|
278
|
+
: {}),
|
|
279
|
+
});
|
|
280
|
+
});
|
|
281
|
+
// ---- the plan as a whole -------------------------------------------------------------------------
|
|
282
|
+
const totalCost = commission + spread + slippage;
|
|
283
|
+
const turnover = nav > 0 ? tradedNotional / nav : 0;
|
|
284
|
+
if (policy.maximumEstimatedCost !== undefined)
|
|
285
|
+
check('estimated-cost', totalCost <= policy.maximumEstimatedCost ? 'pass' : 'fail', totalCost, policy.maximumEstimatedCost, 'commission + spread + slippage at the declared rates');
|
|
286
|
+
if (policy.maximumSlippageBps !== undefined)
|
|
287
|
+
check('slippage', rates.slippageBps <= policy.maximumSlippageBps ? 'pass' : 'fail', rates.slippageBps, policy.maximumSlippageBps, 'the declared slippage rate');
|
|
288
|
+
if (policy.maximumTurnover !== undefined)
|
|
289
|
+
check('turnover', turnover <= policy.maximumTurnover ? 'pass' : 'fail', turnover, policy.maximumTurnover, 'traded notional ÷ NAV before the plan');
|
|
290
|
+
// ---- the after-state: the ledger's own fold of the hypothetical fills --------------------------
|
|
291
|
+
const sourceId = `preflight:${plan.contentHash}`;
|
|
292
|
+
const events = fills.flatMap((fill) => portfolioEventsFromFill({ fill, sourceId, recordedTimestampMs: asOf }));
|
|
293
|
+
let afterState = portfolio;
|
|
294
|
+
let afterSnapshot = before;
|
|
295
|
+
let alerts = [];
|
|
296
|
+
let monitorState = previousMonitorState;
|
|
297
|
+
const cashBefore = before.totalCashBaseCurrencyValue;
|
|
298
|
+
if (events.length > 0 &&
|
|
299
|
+
checks.every((c) => !c.name.endsWith('.instrument') || c.verdict === 'pass')) {
|
|
300
|
+
afterState = applyPortfolioEvents({ previousState: portfolio, events });
|
|
301
|
+
afterSnapshot = portfolioSnapshot({
|
|
302
|
+
portfolio: afterState,
|
|
303
|
+
asOf,
|
|
304
|
+
market,
|
|
305
|
+
...(conversions.length > 0 ? { currencyConversions: conversions } : {}),
|
|
306
|
+
});
|
|
307
|
+
if (afterSnapshot.totalCashBaseCurrencyValue < 0)
|
|
308
|
+
check('cash', 'fail', afterSnapshot.totalCashBaseCurrencyValue, 0, `the plan would leave base-currency cash at ${afterSnapshot.totalCashBaseCurrencyValue.toFixed(2)} (from ${cashBefore.toFixed(2)})`);
|
|
309
|
+
else
|
|
310
|
+
check('cash', 'pass', afterSnapshot.totalCashBaseCurrencyValue, 0, 'cash stays non-negative after the plan');
|
|
311
|
+
if (policy.limits !== undefined && Object.keys(policy.limits).length > 0) {
|
|
312
|
+
const monitor = monitorPortfolio({
|
|
313
|
+
portfolio: afterState,
|
|
314
|
+
market,
|
|
315
|
+
asOf,
|
|
316
|
+
...(conversions.length > 0 ? { currencyConversions: conversions } : {}),
|
|
317
|
+
policy: { limits: policy.limits },
|
|
318
|
+
previousState: previousMonitorState,
|
|
319
|
+
...(policy.marketMaximumAgeMs !== undefined
|
|
320
|
+
? { marketStalenessLimitMs: policy.marketMaximumAgeMs }
|
|
321
|
+
: {}),
|
|
322
|
+
...(input.averageDailyVolumes !== undefined
|
|
323
|
+
? { averageDailyVolumes: input.averageDailyVolumes }
|
|
324
|
+
: {}),
|
|
325
|
+
});
|
|
326
|
+
alerts = monitor.alerts.filter((a) => a.state === 'raised' || a.state === 'active');
|
|
327
|
+
monitorState = monitor.state;
|
|
328
|
+
for (const alert of alerts)
|
|
329
|
+
check(`limits.${alert.family}`, 'fail', alert.value, alert.threshold, alert.message);
|
|
330
|
+
for (const family of monitor.evaluated.filter((e) => e.status === 'skipped')) {
|
|
331
|
+
const declared = (family.family === 'liquidity' && policy.limits.maximumDaysToLiquidate !== undefined) ||
|
|
332
|
+
(family.family === 'stale-market-data' && policy.marketMaximumAgeMs !== undefined);
|
|
333
|
+
if (declared)
|
|
334
|
+
check(`limits.${family.family}`, 'unverifiable', null, null, family.reason ?? 'the monitor could not evaluate the family');
|
|
335
|
+
}
|
|
336
|
+
if (alerts.length === 0)
|
|
337
|
+
check('limits', 'pass', null, null, `the monitor raised no alert on the after-state (${monitor.evaluated.filter((e) => e.status === 'evaluated').length} families evaluated)`);
|
|
338
|
+
}
|
|
339
|
+
}
|
|
340
|
+
const decision = decideFromChecks(checks, policy.onUnverifiable ?? 'require-approval');
|
|
341
|
+
const unverifiable = checks.filter((c) => c.verdict === 'unverifiable').map((c) => c.name);
|
|
342
|
+
const body = {
|
|
343
|
+
kind: PREFLIGHT_REPORT_KIND,
|
|
344
|
+
schemaVersion: PREFLIGHT_REPORT_SCHEMA_VERSION,
|
|
345
|
+
asOf,
|
|
346
|
+
planHash: plan.contentHash,
|
|
347
|
+
portfolioHash: contentHash(portfolio),
|
|
348
|
+
marketHash: contentHash(market),
|
|
349
|
+
marketAsOf: market.asOf,
|
|
350
|
+
before,
|
|
351
|
+
after: afterSnapshot,
|
|
352
|
+
hypotheticalFills: fills,
|
|
353
|
+
hypotheticalEvents: events,
|
|
354
|
+
estimates: { tradedNotional, commission, spread, slippage, totalCost, turnover },
|
|
355
|
+
checks,
|
|
356
|
+
alerts,
|
|
357
|
+
decision,
|
|
358
|
+
unverifiable,
|
|
359
|
+
monitorState,
|
|
360
|
+
assumptions: {
|
|
361
|
+
conventionsVersion: CONVENTIONS_VERSION,
|
|
362
|
+
policyContentHash: contentHash(policy),
|
|
363
|
+
mode: 'paper',
|
|
364
|
+
costRates: rates,
|
|
365
|
+
fillConvention: FILL_CONVENTION,
|
|
366
|
+
instrumentSources,
|
|
367
|
+
decisionConvention: DECISION_CONVENTION,
|
|
368
|
+
},
|
|
369
|
+
diagnostics: {
|
|
370
|
+
engine: 'trade-preflight',
|
|
371
|
+
method: 'hypothetical-fold',
|
|
372
|
+
converged: true,
|
|
373
|
+
warnings,
|
|
374
|
+
checkCount: checks.length,
|
|
375
|
+
failedCount: checks.filter((c) => c.verdict === 'fail').length,
|
|
376
|
+
unverifiableCount: unverifiable.length,
|
|
377
|
+
},
|
|
378
|
+
};
|
|
379
|
+
return deepFreeze({ ...body, contentHash: contentHash(body) });
|
|
380
|
+
}
|
|
381
|
+
//# sourceMappingURL=preflight.js.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
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CAAC;IACF,OAAO,UAAU,CAAC,EAAE,GAAG,IAAI,EAAE,WAAW,EAAE,WAAW,CAAC,IAAI,CAAC,EAAqB,CAAC,CAAC;AACpF,CAAC"}
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@@ -0,0 +1,8 @@
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1
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+
import { type ReconcileExecutionInput, type ReconciliationReport } from './types.js';
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2
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+
/**
|
|
3
|
+
* Reconcile an execution (Decision 8). Pure: the journal (events or a folded state), the ledger,
|
|
4
|
+
* the fills, and the optional external snapshot are inputs; the tolerance is explicit; the result is
|
|
5
|
+
* a content-addressed `totalfinance.reconciliation-report`.
|
|
6
|
+
*/
|
|
7
|
+
export declare function reconcileExecution(input: ReconcileExecutionInput): ReconciliationReport;
|
|
8
|
+
//# sourceMappingURL=reconcile.d.ts.map
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@@ -0,0 +1 @@
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|
|
1
|
+
{"version":3,"file":"reconcile.d.ts","sourceRoot":"","sources":["../../src/trade/reconcile.ts"],"names":[],"mappings":"AAuBA,OAAO,EAKL,KAAK,uBAAuB,EAG5B,KAAK,oBAAoB,EAC1B,MAAM,YAAY,CAAC;AA4DpB;;;;GAIG;AACH,wBAAgB,kBAAkB,CAAC,KAAK,EAAE,uBAAuB,GAAG,oBAAoB,CAkLvF"}
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