@insiderfinance/totalfinance 0.1.0
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- package/LICENSE +201 -0
- package/README.md +339 -0
- package/STABILITY.md +23 -0
- package/modules/backtest/dist/artifacts.d.ts +23 -0
- package/modules/backtest/dist/artifacts.d.ts.map +1 -0
- package/modules/backtest/dist/artifacts.js +22 -0
- package/modules/backtest/dist/artifacts.js.map +1 -0
- package/modules/backtest/dist/broker.d.ts +265 -0
- package/modules/backtest/dist/broker.d.ts.map +1 -0
- package/modules/backtest/dist/broker.js +1228 -0
- package/modules/backtest/dist/broker.js.map +1 -0
- package/modules/backtest/dist/costs.d.ts +67 -0
- package/modules/backtest/dist/costs.d.ts.map +1 -0
- package/modules/backtest/dist/costs.js +171 -0
- package/modules/backtest/dist/costs.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/engine.d.ts +21 -0
- package/modules/backtest/dist/cross-sectional/engine.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/engine.js +1399 -0
- package/modules/backtest/dist/cross-sectional/engine.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/folds.d.ts +134 -0
- package/modules/backtest/dist/cross-sectional/folds.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/folds.js +375 -0
- package/modules/backtest/dist/cross-sectional/folds.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/grid.d.ts +142 -0
- package/modules/backtest/dist/cross-sectional/grid.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/grid.js +394 -0
- package/modules/backtest/dist/cross-sectional/grid.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/index.d.ts +18 -0
- package/modules/backtest/dist/cross-sectional/index.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/index.js +15 -0
- package/modules/backtest/dist/cross-sectional/index.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/types.d.ts +331 -0
- package/modules/backtest/dist/cross-sectional/types.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/types.js +12 -0
- package/modules/backtest/dist/cross-sectional/types.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/validate.d.ts +22 -0
- package/modules/backtest/dist/cross-sectional/validate.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/validate.js +489 -0
- package/modules/backtest/dist/cross-sectional/validate.js.map +1 -0
- package/modules/backtest/dist/diagnostics.d.ts +16 -0
- package/modules/backtest/dist/diagnostics.d.ts.map +1 -0
- package/modules/backtest/dist/diagnostics.js +63 -0
- package/modules/backtest/dist/diagnostics.js.map +1 -0
- package/modules/backtest/dist/environment/bench.d.ts +34 -0
- package/modules/backtest/dist/environment/bench.d.ts.map +1 -0
- package/modules/backtest/dist/environment/bench.js +724 -0
- package/modules/backtest/dist/environment/bench.js.map +1 -0
- package/modules/backtest/dist/environment/environment.d.ts +5 -0
- package/modules/backtest/dist/environment/environment.d.ts.map +1 -0
- package/modules/backtest/dist/environment/environment.js +618 -0
- package/modules/backtest/dist/environment/environment.js.map +1 -0
- package/modules/backtest/dist/environment/episode.d.ts +4 -0
- package/modules/backtest/dist/environment/episode.d.ts.map +1 -0
- package/modules/backtest/dist/environment/episode.js +121 -0
- package/modules/backtest/dist/environment/episode.js.map +1 -0
- package/modules/backtest/dist/environment/episodes.d.ts +14 -0
- package/modules/backtest/dist/environment/episodes.d.ts.map +1 -0
- package/modules/backtest/dist/environment/episodes.js +644 -0
- package/modules/backtest/dist/environment/episodes.js.map +1 -0
- package/modules/backtest/dist/environment/features.d.ts +31 -0
- package/modules/backtest/dist/environment/features.d.ts.map +1 -0
- package/modules/backtest/dist/environment/features.js +157 -0
- package/modules/backtest/dist/environment/features.js.map +1 -0
- package/modules/backtest/dist/environment/index.d.ts +14 -0
- package/modules/backtest/dist/environment/index.d.ts.map +1 -0
- package/modules/backtest/dist/environment/index.js +12 -0
- package/modules/backtest/dist/environment/index.js.map +1 -0
- package/modules/backtest/dist/environment/limits.d.ts +63 -0
- package/modules/backtest/dist/environment/limits.d.ts.map +1 -0
- package/modules/backtest/dist/environment/limits.js +253 -0
- package/modules/backtest/dist/environment/limits.js.map +1 -0
- package/modules/backtest/dist/environment/reward.d.ts +5 -0
- package/modules/backtest/dist/environment/reward.d.ts.map +1 -0
- package/modules/backtest/dist/environment/reward.js +80 -0
- package/modules/backtest/dist/environment/reward.js.map +1 -0
- package/modules/backtest/dist/environment/types.d.ts +540 -0
- package/modules/backtest/dist/environment/types.d.ts.map +1 -0
- package/modules/backtest/dist/environment/types.js +2 -0
- package/modules/backtest/dist/environment/types.js.map +1 -0
- package/modules/backtest/dist/environment/validate.d.ts +23 -0
- package/modules/backtest/dist/environment/validate.d.ts.map +1 -0
- package/modules/backtest/dist/environment/validate.js +264 -0
- package/modules/backtest/dist/environment/validate.js.map +1 -0
- package/modules/backtest/dist/event-driven.d.ts +111 -0
- package/modules/backtest/dist/event-driven.d.ts.map +1 -0
- package/modules/backtest/dist/event-driven.js +325 -0
- package/modules/backtest/dist/event-driven.js.map +1 -0
- package/modules/backtest/dist/execution/conformance.d.ts +33 -0
- package/modules/backtest/dist/execution/conformance.d.ts.map +1 -0
- package/modules/backtest/dist/execution/conformance.js +269 -0
- package/modules/backtest/dist/execution/conformance.js.map +1 -0
- package/modules/backtest/dist/execution/fill-models.d.ts +35 -0
- package/modules/backtest/dist/execution/fill-models.d.ts.map +1 -0
- package/modules/backtest/dist/execution/fill-models.js +375 -0
- package/modules/backtest/dist/execution/fill-models.js.map +1 -0
- package/modules/backtest/dist/execution/fill-order.d.ts +55 -0
- package/modules/backtest/dist/execution/fill-order.d.ts.map +1 -0
- package/modules/backtest/dist/execution/fill-order.js +156 -0
- package/modules/backtest/dist/execution/fill-order.js.map +1 -0
- package/modules/backtest/dist/execution/index.d.ts +33 -0
- package/modules/backtest/dist/execution/index.d.ts.map +1 -0
- package/modules/backtest/dist/execution/index.js +27 -0
- package/modules/backtest/dist/execution/index.js.map +1 -0
- package/modules/backtest/dist/execution/intrabar.d.ts +46 -0
- package/modules/backtest/dist/execution/intrabar.d.ts.map +1 -0
- package/modules/backtest/dist/execution/intrabar.js +130 -0
- package/modules/backtest/dist/execution/intrabar.js.map +1 -0
- package/modules/backtest/dist/execution/normalized.d.ts +56 -0
- package/modules/backtest/dist/execution/normalized.d.ts.map +1 -0
- package/modules/backtest/dist/execution/normalized.js +154 -0
- package/modules/backtest/dist/execution/normalized.js.map +1 -0
- package/modules/backtest/dist/execution/policy.d.ts +84 -0
- package/modules/backtest/dist/execution/policy.d.ts.map +1 -0
- package/modules/backtest/dist/execution/policy.js +341 -0
- package/modules/backtest/dist/execution/policy.js.map +1 -0
- package/modules/backtest/dist/execution/types.d.ts +217 -0
- package/modules/backtest/dist/execution/types.d.ts.map +1 -0
- package/modules/backtest/dist/execution/types.js +8 -0
- package/modules/backtest/dist/execution/types.js.map +1 -0
- package/modules/backtest/dist/execution/validate.d.ts +35 -0
- package/modules/backtest/dist/execution/validate.d.ts.map +1 -0
- package/modules/backtest/dist/execution/validate.js +666 -0
- package/modules/backtest/dist/execution/validate.js.map +1 -0
- package/modules/backtest/dist/generated/validation-specs.d.ts +12 -0
- package/modules/backtest/dist/generated/validation-specs.d.ts.map +1 -0
- package/modules/backtest/dist/generated/validation-specs.js +1129 -0
- package/modules/backtest/dist/generated/validation-specs.js.map +1 -0
- package/modules/backtest/dist/index.d.ts +33 -0
- package/modules/backtest/dist/index.d.ts.map +1 -0
- package/modules/backtest/dist/index.js +28 -0
- package/modules/backtest/dist/index.js.map +1 -0
- package/modules/backtest/dist/options/chain.d.ts +68 -0
- package/modules/backtest/dist/options/chain.d.ts.map +1 -0
- package/modules/backtest/dist/options/chain.js +303 -0
- package/modules/backtest/dist/options/chain.js.map +1 -0
- package/modules/backtest/dist/options/engine.d.ts +28 -0
- package/modules/backtest/dist/options/engine.d.ts.map +1 -0
- package/modules/backtest/dist/options/engine.js +1859 -0
- package/modules/backtest/dist/options/engine.js.map +1 -0
- package/modules/backtest/dist/options/index.d.ts +23 -0
- package/modules/backtest/dist/options/index.d.ts.map +1 -0
- package/modules/backtest/dist/options/index.js +21 -0
- package/modules/backtest/dist/options/index.js.map +1 -0
- package/modules/backtest/dist/options/tearsheet.d.ts +77 -0
- package/modules/backtest/dist/options/tearsheet.d.ts.map +1 -0
- package/modules/backtest/dist/options/tearsheet.js +205 -0
- package/modules/backtest/dist/options/tearsheet.js.map +1 -0
- package/modules/backtest/dist/options/types.d.ts +571 -0
- package/modules/backtest/dist/options/types.d.ts.map +1 -0
- package/modules/backtest/dist/options/types.js +19 -0
- package/modules/backtest/dist/options/types.js.map +1 -0
- package/modules/backtest/dist/paper/index.d.ts +13 -0
- package/modules/backtest/dist/paper/index.d.ts.map +1 -0
- package/modules/backtest/dist/paper/index.js +12 -0
- package/modules/backtest/dist/paper/index.js.map +1 -0
- package/modules/backtest/dist/paper/paper.d.ts +8 -0
- package/modules/backtest/dist/paper/paper.d.ts.map +1 -0
- package/modules/backtest/dist/paper/paper.js +950 -0
- package/modules/backtest/dist/paper/paper.js.map +1 -0
- package/modules/backtest/dist/paper/types.d.ts +190 -0
- package/modules/backtest/dist/paper/types.d.ts.map +1 -0
- package/modules/backtest/dist/paper/types.js +3 -0
- package/modules/backtest/dist/paper/types.js.map +1 -0
- package/modules/backtest/dist/paper/validate.d.ts +9 -0
- package/modules/backtest/dist/paper/validate.d.ts.map +1 -0
- package/modules/backtest/dist/paper/validate.js +112 -0
- package/modules/backtest/dist/paper/validate.js.map +1 -0
- package/modules/backtest/dist/portfolio/adapters.d.ts +37 -0
- package/modules/backtest/dist/portfolio/adapters.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/adapters.js +555 -0
- package/modules/backtest/dist/portfolio/adapters.js.map +1 -0
- package/modules/backtest/dist/portfolio/engine.d.ts +35 -0
- package/modules/backtest/dist/portfolio/engine.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/engine.js +1300 -0
- package/modules/backtest/dist/portfolio/engine.js.map +1 -0
- package/modules/backtest/dist/portfolio/index.d.ts +12 -0
- package/modules/backtest/dist/portfolio/index.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/index.js +11 -0
- package/modules/backtest/dist/portfolio/index.js.map +1 -0
- package/modules/backtest/dist/portfolio/types.d.ts +418 -0
- package/modules/backtest/dist/portfolio/types.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/types.js +8 -0
- package/modules/backtest/dist/portfolio/types.js.map +1 -0
- package/modules/backtest/dist/portfolio/validate.d.ts +26 -0
- package/modules/backtest/dist/portfolio/validate.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/validate.js +556 -0
- package/modules/backtest/dist/portfolio/validate.js.map +1 -0
- package/modules/backtest/dist/run-artifacts.d.ts +425 -0
- package/modules/backtest/dist/run-artifacts.d.ts.map +1 -0
- package/modules/backtest/dist/run-artifacts.js +1843 -0
- package/modules/backtest/dist/run-artifacts.js.map +1 -0
- package/modules/backtest/dist/signals.d.ts +110 -0
- package/modules/backtest/dist/signals.d.ts.map +1 -0
- package/modules/backtest/dist/signals.js +207 -0
- package/modules/backtest/dist/signals.js.map +1 -0
- package/modules/backtest/dist/tearsheet.d.ts +126 -0
- package/modules/backtest/dist/tearsheet.d.ts.map +1 -0
- package/modules/backtest/dist/tearsheet.js +266 -0
- package/modules/backtest/dist/tearsheet.js.map +1 -0
- package/modules/backtest/dist/types.d.ts +175 -0
- package/modules/backtest/dist/types.d.ts.map +1 -0
- package/modules/backtest/dist/types.js +29 -0
- package/modules/backtest/dist/types.js.map +1 -0
- package/modules/backtest/dist/validate.d.ts +13 -0
- package/modules/backtest/dist/validate.d.ts.map +1 -0
- package/modules/backtest/dist/validate.js +37 -0
- package/modules/backtest/dist/validate.js.map +1 -0
- package/modules/backtest/dist/vectorized.d.ts +53 -0
- package/modules/backtest/dist/vectorized.d.ts.map +1 -0
- package/modules/backtest/dist/vectorized.js +383 -0
- package/modules/backtest/dist/vectorized.js.map +1 -0
- package/modules/backtest/dist/walk-forward.d.ts +57 -0
- package/modules/backtest/dist/walk-forward.d.ts.map +1 -0
- package/modules/backtest/dist/walk-forward.js +125 -0
- package/modules/backtest/dist/walk-forward.js.map +1 -0
- package/modules/backtest/etc/backtest.api.md +139 -0
- package/modules/backtest/src/artifacts.ts +54 -0
- package/modules/backtest/src/broker.ts +1529 -0
- package/modules/backtest/src/costs.ts +225 -0
- package/modules/backtest/src/cross-sectional/engine.ts +1608 -0
- package/modules/backtest/src/cross-sectional/folds.ts +718 -0
- package/modules/backtest/src/cross-sectional/grid.ts +646 -0
- package/modules/backtest/src/cross-sectional/index.ts +76 -0
- package/modules/backtest/src/cross-sectional/types.ts +363 -0
- package/modules/backtest/src/cross-sectional/validate.ts +906 -0
- package/modules/backtest/src/diagnostics.ts +66 -0
- package/modules/backtest/src/environment/bench.ts +1022 -0
- package/modules/backtest/src/environment/environment.ts +766 -0
- package/modules/backtest/src/environment/episode.ts +146 -0
- package/modules/backtest/src/environment/episodes.ts +786 -0
- package/modules/backtest/src/environment/features.ts +184 -0
- package/modules/backtest/src/environment/index.ts +79 -0
- package/modules/backtest/src/environment/limits.ts +383 -0
- package/modules/backtest/src/environment/reward.ts +98 -0
- package/modules/backtest/src/environment/types.ts +595 -0
- package/modules/backtest/src/environment/validate.ts +415 -0
- package/modules/backtest/src/event-driven.ts +528 -0
- package/modules/backtest/src/execution/conformance.ts +346 -0
- package/modules/backtest/src/execution/fill-models.ts +410 -0
- package/modules/backtest/src/execution/fill-order.ts +261 -0
- package/modules/backtest/src/execution/index.ts +91 -0
- package/modules/backtest/src/execution/intrabar.ts +185 -0
- package/modules/backtest/src/execution/normalized.ts +216 -0
- package/modules/backtest/src/execution/policy.ts +447 -0
- package/modules/backtest/src/execution/types.ts +239 -0
- package/modules/backtest/src/execution/validate.ts +889 -0
- package/modules/backtest/src/generated/validation-specs.ts +1132 -0
- package/modules/backtest/src/index.ts +157 -0
- package/modules/backtest/src/options/chain.ts +410 -0
- package/modules/backtest/src/options/engine.ts +2240 -0
- package/modules/backtest/src/options/index.ts +68 -0
- package/modules/backtest/src/options/tearsheet.ts +327 -0
- package/modules/backtest/src/options/types.ts +573 -0
- package/modules/backtest/src/paper/index.ts +27 -0
- package/modules/backtest/src/paper/paper.ts +1288 -0
- package/modules/backtest/src/paper/types.ts +221 -0
- package/modules/backtest/src/paper/validate.ts +168 -0
- package/modules/backtest/src/portfolio/adapters.ts +651 -0
- package/modules/backtest/src/portfolio/engine.ts +1518 -0
- package/modules/backtest/src/portfolio/index.ts +64 -0
- package/modules/backtest/src/portfolio/types.ts +456 -0
- package/modules/backtest/src/portfolio/validate.ts +861 -0
- package/modules/backtest/src/run-artifacts.ts +2873 -0
- package/modules/backtest/src/signals.ts +267 -0
- package/modules/backtest/src/tearsheet.ts +425 -0
- package/modules/backtest/src/types.ts +200 -0
- package/modules/backtest/src/validate.ts +43 -0
- package/modules/backtest/src/vectorized.ts +541 -0
- package/modules/backtest/src/walk-forward.ts +215 -0
- package/modules/calendars/dist/cboe.d.ts +15 -0
- package/modules/calendars/dist/cboe.d.ts.map +1 -0
- package/modules/calendars/dist/cboe.js +16 -0
- package/modules/calendars/dist/cboe.js.map +1 -0
- package/modules/calendars/dist/crypto.d.ts +15 -0
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- package/modules/calendars/dist/crypto.js +16 -0
- package/modules/calendars/dist/crypto.js.map +1 -0
- package/modules/calendars/dist/expirations.d.ts +35 -0
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- package/modules/calendars/dist/nyse.d.ts +11 -0
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- package/modules/calendars/src/us-market.ts +86 -0
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- package/modules/cli/src/exit-codes.ts +21 -0
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- package/modules/commodities/src/internal.ts +6 -0
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- package/modules/core/dist/artifacts/analysis-artifact.d.ts +140 -0
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/**
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* `@insiderfinance/totalfinance/backtest/portfolio` — the ledger-backed multi-asset simulator (Stage 4.6, FC8
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3
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+
* Decision 6). `portfolioBacktest` folds every fill, flow, lifecycle fact, and liquidation through
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4
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+
* `@insiderfinance/totalfinance/portfolio`'s reducer; the eight built-in instrument adapters (and a caller's own,
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5
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+
* proven by `assertInstrumentAdapterConformance`) say how each kind marks, what lifecycle facts it
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6
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+
* emits, and how its fills settle.
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7
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+
*/
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8
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export { createPortfolioStepper, portfolioBacktest } from './engine.js';
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export { accruedFromTerms, adapterFor, assertInstrumentAdapterConformance, instrumentAdapters, splitShares, } from './adapters.js';
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export { PORTFOLIO_CALENDARS, PORTFOLIO_INSTRUMENT_CEILING, PORTFOLIO_ROW_CEILING, requireAccountingPolicy, requireInstrumentSpecification, requirePortfolioBacktestRequest, requirePortfolioMarketData, requirePortfolioStepperRequest, } from './validate.js';
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11
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export type { AccountingPolicy, AssetClass, CouponRecord, CouponTerms, DatedCurrencyPairQuote, DividendRecord, ExternalFlowRecord, FillTerms, ForwardRateRecord, ForwardTerms, FundingRateRecord, InstrumentAdapter, InstrumentKind, InstrumentSpecification, LatestObservations, LifecycleFacts, LifecycleInput, LiquidationRow, MarkInput, MarkOutcome, OrderRecord, OrderSource, PortfolioBacktestAssumptions, PortfolioBacktestDiagnostics, PortfolioBacktestRequest, PortfolioBacktestResult, PortfolioMarketData, PortfolioStepFrame, PortfolioStepper, PortfolioStepperRequest, PortfolioStrategy, RebalanceSchedule, RejectionRow, RollTerms, SessionContext, SessionPosition, } from './types.js';
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//# sourceMappingURL=index.d.ts.map
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@@ -0,0 +1 @@
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{"version":3,"file":"index.d.ts","sourceRoot":"","sources":["../../src/portfolio/index.ts"],"names":[],"mappings":"AAAA;;;;;;GAMG;AAEH,OAAO,EAAE,sBAAsB,EAAE,iBAAiB,EAAE,MAAM,aAAa,CAAC;AACxE,OAAO,EACL,gBAAgB,EAChB,UAAU,EACV,kCAAkC,EAClC,kBAAkB,EAClB,WAAW,GACZ,MAAM,eAAe,CAAC;AACvB,OAAO,EACL,mBAAmB,EACnB,4BAA4B,EAC5B,qBAAqB,EACrB,uBAAuB,EACvB,8BAA8B,EAC9B,+BAA+B,EAC/B,0BAA0B,EAC1B,8BAA8B,GAC/B,MAAM,eAAe,CAAC;AACvB,YAAY,EACV,gBAAgB,EAChB,UAAU,EACV,YAAY,EACZ,WAAW,EACX,sBAAsB,EACtB,cAAc,EACd,kBAAkB,EAClB,SAAS,EACT,iBAAiB,EACjB,YAAY,EACZ,iBAAiB,EACjB,iBAAiB,EACjB,cAAc,EACd,uBAAuB,EACvB,kBAAkB,EAClB,cAAc,EACd,cAAc,EACd,cAAc,EACd,SAAS,EACT,WAAW,EACX,WAAW,EACX,WAAW,EACX,4BAA4B,EAC5B,4BAA4B,EAC5B,wBAAwB,EACxB,uBAAuB,EACvB,mBAAmB,EACnB,kBAAkB,EAClB,gBAAgB,EAChB,uBAAuB,EACvB,iBAAiB,EACjB,iBAAiB,EACjB,YAAY,EACZ,SAAS,EACT,cAAc,EACd,eAAe,GAChB,MAAM,YAAY,CAAC"}
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@@ -0,0 +1,11 @@
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|
1
|
+
/**
|
|
2
|
+
* `@insiderfinance/totalfinance/backtest/portfolio` — the ledger-backed multi-asset simulator (Stage 4.6, FC8
|
|
3
|
+
* Decision 6). `portfolioBacktest` folds every fill, flow, lifecycle fact, and liquidation through
|
|
4
|
+
* `@insiderfinance/totalfinance/portfolio`'s reducer; the eight built-in instrument adapters (and a caller's own,
|
|
5
|
+
* proven by `assertInstrumentAdapterConformance`) say how each kind marks, what lifecycle facts it
|
|
6
|
+
* emits, and how its fills settle.
|
|
7
|
+
*/
|
|
8
|
+
export { createPortfolioStepper, portfolioBacktest } from './engine.js';
|
|
9
|
+
export { accruedFromTerms, adapterFor, assertInstrumentAdapterConformance, instrumentAdapters, splitShares, } from './adapters.js';
|
|
10
|
+
export { PORTFOLIO_CALENDARS, PORTFOLIO_INSTRUMENT_CEILING, PORTFOLIO_ROW_CEILING, requireAccountingPolicy, requireInstrumentSpecification, requirePortfolioBacktestRequest, requirePortfolioMarketData, requirePortfolioStepperRequest, } from './validate.js';
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+
//# sourceMappingURL=index.js.map
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@@ -0,0 +1 @@
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1
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{"version":3,"file":"index.js","sourceRoot":"","sources":["../../src/portfolio/index.ts"],"names":[],"mappings":"AAAA;;;;;;GAMG;AAEH,OAAO,EAAE,sBAAsB,EAAE,iBAAiB,EAAE,MAAM,aAAa,CAAC;AACxE,OAAO,EACL,gBAAgB,EAChB,UAAU,EACV,kCAAkC,EAClC,kBAAkB,EAClB,WAAW,GACZ,MAAM,eAAe,CAAC;AACvB,OAAO,EACL,mBAAmB,EACnB,4BAA4B,EAC5B,qBAAqB,EACrB,uBAAuB,EACvB,8BAA8B,EAC9B,+BAA+B,EAC/B,0BAA0B,EAC1B,8BAA8B,GAC/B,MAAM,eAAe,CAAC"}
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/**
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* `@insiderfinance/totalfinance/backtest/portfolio` — types for `portfolioBacktest`, the ledger-backed multi-asset
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* simulator (Stage 4.6, FC8 Decision 6). Every fill, flow, lifecycle fact, and liquidation is a
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* portfolio event folded through `@insiderfinance/totalfinance/portfolio`'s reducer; the equity at every mark is the
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* ledger's net asset value.
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*/
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import type { Bar, CorporateAction, Diagnostics, EpochMs, OrderBook, Quote, Trade } from '../../../core/dist/index.js';
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import type { QuantWarning } from '../../../core/dist/index.js';
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import type { MarketSnapshot } from '../../../core/dist/artifacts/index.js';
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import type { AllocationTarget, CurrencyPairQuote, DerivativeContractTerms, InstrumentClassification, InvestmentPolicy, LotReliefPolicy, ModelPortfolio, NormalizedFill, PortfolioEvent, PortfolioEventEnvelope, PortfolioLedgerSnapshot, PortfolioPnlResult, PortfolioSnapshotResult, PortfolioState, PortfolioTimelineResult, PortfolioValuationMark, RebalanceScope } from '../../../portfolio/dist/index.js';
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import type { PerformanceSummary } from '../../../performance/dist/index.js';
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import type { EquityPoint } from '../types.js';
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import type { ExecutionPolicy, ExecutionPolicyDescription, OrderIntent } from '../execution/types.js';
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import type { ChainSnapshot, MissingMarkCause } from '../options/types.js';
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import type { RebalanceFrequency } from '../cross-sectional/types.js';
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import type { WarningCode } from '../../../core/dist/index.js';
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/** The instrument kinds with a built-in adapter, plus `custom`. */
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export type InstrumentKind = 'equity' | 'etf' | 'option' | 'future' | 'fx-forward' | 'crypto-spot' | 'crypto-perpetual' | 'bond' | 'custom';
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/** The asset classes the accounting's settlement table and the classifications name. */
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export type AssetClass = InstrumentKind | 'cash';
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/** A bond's coupon terms — accrued interest is computed from these, never fetched. */
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export interface CouponTerms {
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/** Annual coupon rate, decimal (0.05 = 5%). */
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annualRate: number;
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/** Coupons per year (1, 2, 4, 12). */
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paymentsPerYear: number;
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/** Face value per unit of quantity (default 1). */
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faceValuePerUnit?: number;
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/** Accrual day count (default `'ACT/365F'`). */
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dayCount?: 'ACT/365F' | '30/360';
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/** Dated date / first accrual date, `YYYY-MM-DD`. */
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issueDate: string;
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/** Maturity, `YYYY-MM-DD`; principal redeems at the face value on this date. */
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maturityDate: string;
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}
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/** A forward contract on a currency pair, marked from a caller-supplied forward-rate series. */
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export interface ForwardTerms {
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maturityTimestampMs: EpochMs;
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/** The currency bought forward (one unit of quantity = one unit of this currency). */
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baseCurrency: string;
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/** The currency paid, at `contractRate` per base unit. */
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quoteCurrency: string;
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contractRate: number;
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}
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/** A future's declared roll: the successor contract and how many sessions before expiry to roll. */
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export interface RollTerms {
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toInstrumentId: string;
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sessionsBeforeExpiry: number;
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}
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export interface InstrumentSpecification {
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kind: InstrumentKind;
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/** The trading and mark currency. */
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currency: string;
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/** Units of the underlying per unit of quantity (an option's 100, a futures contract size); default 1. */
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contractMultiplier?: number;
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/** REQUIRED for `option`, `future`, and `crypto-perpetual` — the ledger stores the terms on the position. */
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contract?: DerivativeContractTerms;
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/** Default: the kind. */
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assetClass?: AssetClass;
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classification?: InstrumentClassification;
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/** REQUIRED for `custom`; refused for a built-in kind. */
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adapter?: InstrumentAdapter;
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/** `future`: the declared roll. */
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roll?: RollTerms;
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/** `bond`: the coupon terms. */
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coupon?: CouponTerms;
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/** `fx-forward`: the contract. */
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forward?: ForwardTerms;
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}
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/** The latest observation of each kind at or before the instant, per instrument. */
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export interface LatestObservations {
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bar?: Bar;
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quote?: Quote;
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trade?: Trade;
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orderBook?: OrderBook;
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/** The option contract's chain quote at the instant (options). */
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chainQuote?: ChainSnapshot['quotes'][number];
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/** The underlying's spot at the instant (options), from the chain snapshot. */
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underlyingPrice?: number;
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/** The forward rate at the instant (fx-forward). */
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forwardRate?: number;
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}
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export interface MarkInput {
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instrumentId: string;
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specification: InstrumentSpecification;
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asOf: EpochMs;
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latest: LatestObservations;
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/** The previous mark, when one exists. */
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previous: {
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pricePerUnit: number;
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source: string;
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} | null;
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}
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export type MarkOutcome = {
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pricePerUnit: number;
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source: string;
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} | {
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unavailable: MissingMarkCause;
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};
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export interface DividendRecord {
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/** The instrument the dividend is paid on. */
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instrumentId: string;
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exDate: string;
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/** Per unit of quantity, > 0. */
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amount: number;
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/** Default: the ex-date. */
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payDate?: string;
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}
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export interface CouponRecord {
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instrumentId: string;
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paymentDate: string;
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/** Per unit of quantity, > 0. */
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amountPerUnit: number;
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}
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export interface FundingRateRecord {
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instrumentId: string;
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timestampMs: EpochMs;
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/** The funding rate for the interval ending at the instant; positive = longs pay shorts. */
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fundingRate: number;
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}
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export interface ForwardRateRecord {
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instrumentId: string;
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timestampMs: EpochMs;
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/** Quote currency per base unit for the instrument's maturity. */
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forwardRate: number;
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}
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/** A dated FX quote to the base currency. */
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export interface DatedCurrencyPairQuote {
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timestampMs: EpochMs;
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baseCurrency: string;
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quoteCurrency: string;
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quotePerBase: number;
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}
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/** The facts an adapter's lifecycle sees for one instrument in `(previousAsOf, asOf]`. */
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export interface LifecycleFacts {
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dividends: readonly DividendRecord[];
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coupons: readonly CouponRecord[];
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fundingRates: readonly FundingRateRecord[];
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corporateActions: readonly CorporateAction[];
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}
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export interface LifecycleInput {
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instrumentId: string;
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specification: InstrumentSpecification;
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asOf: EpochMs;
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previousAsOf: EpochMs | null;
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/** The held position, or `null` when flat. */
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held: {
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quantity: number;
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contractMultiplier: number;
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} | null;
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/** The instrument's mark at the instant, when one exists. */
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mark: {
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pricePerUnit: number;
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source: string;
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} | null;
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/** The underlying's mark at the instant (options, futures, perpetuals), when one exists. */
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underlyingMark: number | null;
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facts: LifecycleFacts;
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/** True when this instant is the last one the run sees. */
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last: boolean;
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}
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/** The fill terms an adapter stamps on every fill of its instrument. */
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export type FillTerms = Pick<NormalizedFill, 'settlementStyle' | 'contractMultiplier' | 'contract'>;
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/**
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* An instrument adapter: how the instrument marks, which lifecycle facts it emits (as FC7 event
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* PAYLOADS — the engine envelopes them with ids, the source, and the instant), and how its fills
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* settle. Pure and deterministic; `assertInstrumentAdapterConformance` proves it.
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*/
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export interface InstrumentAdapter {
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readonly kind: string;
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readonly version: string;
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mark(input: MarkInput): MarkOutcome;
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lifecycle(input: LifecycleInput): PortfolioEvent[];
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fillTerms(specification: InstrumentSpecification): FillTerms;
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/** Accrued interest per unit at the instant (bonds); omitted = none. */
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accrued?(input: {
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specification: InstrumentSpecification;
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asOf: EpochMs;
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}): number;
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}
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export interface AccountingPolicy {
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baseCurrency: string;
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initialCash: readonly {
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currency: string;
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amount: number;
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}[];
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/** Default `'fifo'`. */
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lotRelief?: LotReliefPolicy;
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/** Settlement lag per asset class; default equities/etf/option/bond `'T+1'`, everything else `'T+0'`. */
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settlement?: Partial<Record<AssetClass, 'T+0' | 'T+1' | 'T+2'>>;
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}
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export interface PortfolioMarketData {
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bars?: readonly Bar[];
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quotes?: readonly Quote[];
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trades?: readonly Trade[];
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orderBooks?: readonly OrderBook[];
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optionChains?: readonly ChainSnapshot[];
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/** Dated quotes to the base currency; REQUIRED when any instrument's currency ≠ baseCurrency. */
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fxRates?: readonly DatedCurrencyPairQuote[];
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/** Forward-rate series per fx-forward instrument. */
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forwardRates?: readonly ForwardRateRecord[];
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fundingRates?: readonly FundingRateRecord[];
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corporateActions?: readonly CorporateAction[];
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dividends?: readonly DividendRecord[];
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coupons?: readonly CouponRecord[];
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}
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export interface SessionPosition {
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instrumentId: string;
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quantity: number;
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contractMultiplier: number;
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/** `quantity × mark × multiplier` in the base currency, signed; null while the instrument has no mark (Stage 7B.1). */
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baseCurrencyMarketValue: number | null;
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/** The mark per unit at the instant, or `null` when unavailable. */
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markPricePerUnit: number | null;
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currency: string;
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}
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/** What a direct strategy sees at a decision instant. */
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export interface SessionContext {
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asOf: EpochMs;
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index: number;
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netAssetValue: number;
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cash: readonly {
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currency: string;
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amount: number;
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}[];
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positions: readonly SessionPosition[];
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/** The latest observations per instrument at the instant. */
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observations: Readonly<Record<string, LatestObservations>>;
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/** Each instrument's mark at the instant from its adapter, or null when the adapter has none (Stage 7B.1). */
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marks: Readonly<Record<string, {
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pricePerUnit: number;
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source: string;
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} | null>>;
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instruments: Readonly<Record<string, InstrumentSpecification>>;
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}
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/** The FC7 valuation inputs at an instant — what `portfolioSnapshot` and `monitorPortfolio` take (Stage 7B.1). */
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export interface PortfolioValuationInputs {
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asOf: EpochMs;
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portfolio: PortfolioState;
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market: MarketSnapshot;
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currencyConversions: CurrencyPairQuote[];
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snapshot: PortfolioSnapshotResult;
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}
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export interface RebalanceSchedule {
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frequency: RebalanceFrequency;
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}
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export type PortfolioStrategy = {
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/** A model artifact or inline targets, proposed on the schedule through `proposePortfolioRebalance`. */
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model: ModelPortfolio | readonly AllocationTarget[];
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schedule: RebalanceSchedule;
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policy?: InvestmentPolicy;
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/** Default `'to-target'`. */
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scope?: RebalanceScope;
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} | {
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/** Direct TypeScript; the run is not replayable. */
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onSession: (context: SessionContext) => readonly OrderIntent[];
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};
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export interface ExternalFlowRecord {
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timestampMs: EpochMs;
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/** Contribution (> 0) or withdrawal (< 0). */
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amount: number;
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currency: string;
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}
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/** Everything a run needs except who decides the orders — the stepper's request (Stage 7B.1). */
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export interface PortfolioStepperRequest {
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accounting: AccountingPolicy;
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instruments: Readonly<Record<string, InstrumentSpecification>>;
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marketData: PortfolioMarketData;
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execution?: ExecutionPolicy;
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externalFlows?: readonly ExternalFlowRecord[];
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/** A calendar name (`'NYSE'`, `'CBOE'`, `'ALWAYS_OPEN'`): sessions and settlement days. */
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calendar?: string;
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window?: {
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fromTimestampMs?: EpochMs;
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toTimestampMs?: EpochMs;
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};
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periodsPerYear?: number;
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/** Seeds only the bootstrap confidence intervals. */
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seed?: number;
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}
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export interface PortfolioBacktestRequest extends PortfolioStepperRequest {
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strategy: PortfolioStrategy;
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}
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export type OrderSource = 'strategy' | 'lifecycle' | 'liquidation';
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export interface OrderRecord {
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orderId: string;
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asOf: EpochMs;
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instrumentId: string;
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side: 'buy' | 'sell';
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quantity: number;
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type: OrderIntent['type'];
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source: OrderSource;
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outcome: 'filled' | 'partial' | 'unfilled';
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filledQuantity: number;
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reason: string | null;
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}
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export interface RejectionRow {
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298
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+
asOf: EpochMs;
|
|
299
|
+
orderId: string | null;
|
|
300
|
+
instrumentId: string;
|
|
301
|
+
/** `backtest.limit_rejected` | the fill model's unfilled reason | `backtest.stale_quote` … */
|
|
302
|
+
code: string;
|
|
303
|
+
detail: string;
|
|
304
|
+
}
|
|
305
|
+
export interface LiquidationRow {
|
|
306
|
+
asOf: EpochMs;
|
|
307
|
+
policy: 'close-largest-loss' | 'pro-rata';
|
|
308
|
+
instrumentId: string;
|
|
309
|
+
quantity: number;
|
|
310
|
+
shortfall: number;
|
|
311
|
+
code: typeof WarningCode.BacktestForcedLiquidation;
|
|
312
|
+
}
|
|
313
|
+
export interface PortfolioBacktestAssumptions {
|
|
314
|
+
conventionsVersion: string;
|
|
315
|
+
baseCurrency: string;
|
|
316
|
+
lotRelief: LotReliefPolicy;
|
|
317
|
+
settlement: Record<string, 'T+0' | 'T+1' | 'T+2'>;
|
|
318
|
+
calendar: string | null;
|
|
319
|
+
sessionConvention: string;
|
|
320
|
+
markConvention: string;
|
|
321
|
+
strategy: {
|
|
322
|
+
kind: 'model';
|
|
323
|
+
modelId: string | null;
|
|
324
|
+
targets: number;
|
|
325
|
+
frequency: RebalanceFrequency;
|
|
326
|
+
scope: RebalanceScope;
|
|
327
|
+
} | {
|
|
328
|
+
kind: 'callback';
|
|
329
|
+
replayable: false;
|
|
330
|
+
}
|
|
331
|
+
/** The orders came from a stepper's caller step by step (Stage 7B.1). */
|
|
332
|
+
| {
|
|
333
|
+
kind: 'external';
|
|
334
|
+
replayable: false;
|
|
335
|
+
};
|
|
336
|
+
execution: ExecutionPolicyDescription;
|
|
337
|
+
instruments: Array<{
|
|
338
|
+
instrumentId: string;
|
|
339
|
+
kind: InstrumentKind;
|
|
340
|
+
adapter: {
|
|
341
|
+
kind: string;
|
|
342
|
+
version: string;
|
|
343
|
+
};
|
|
344
|
+
currency: string;
|
|
345
|
+
}>;
|
|
346
|
+
periodsPerYear: number;
|
|
347
|
+
seed: number | null;
|
|
348
|
+
window: {
|
|
349
|
+
fromTimestampMs: EpochMs | null;
|
|
350
|
+
toTimestampMs: EpochMs | null;
|
|
351
|
+
};
|
|
352
|
+
ledger: {
|
|
353
|
+
sourceId: string;
|
|
354
|
+
accountId: string;
|
|
355
|
+
};
|
|
356
|
+
replayable: boolean;
|
|
357
|
+
}
|
|
358
|
+
export interface PortfolioBacktestDiagnostics extends Diagnostics {
|
|
359
|
+
sessionCount: number;
|
|
360
|
+
orderCount: number;
|
|
361
|
+
fillCount: number;
|
|
362
|
+
rejectionCount: number;
|
|
363
|
+
liquidationCount: number;
|
|
364
|
+
lifecycleEventCount: number;
|
|
365
|
+
externalFlowCount: number;
|
|
366
|
+
markCount: number;
|
|
367
|
+
/** The ledger NAV minus the engine's equity at the worst mark — always 0 within 1e-6. */
|
|
368
|
+
reconciliationResidual: number;
|
|
369
|
+
}
|
|
370
|
+
export interface PortfolioBacktestResult {
|
|
371
|
+
ledger: PortfolioLedgerSnapshot;
|
|
372
|
+
timeline: PortfolioTimelineResult | null;
|
|
373
|
+
pnl: PortfolioPnlResult | null;
|
|
374
|
+
orders: OrderRecord[];
|
|
375
|
+
fills: NormalizedFill[];
|
|
376
|
+
rejections: RejectionRow[];
|
|
377
|
+
liquidations: LiquidationRow[];
|
|
378
|
+
events: PortfolioEventEnvelope[];
|
|
379
|
+
valuationMarks: PortfolioValuationMark[];
|
|
380
|
+
points: EquityPoint[];
|
|
381
|
+
returns: number[];
|
|
382
|
+
performance: PerformanceSummary;
|
|
383
|
+
finalValue: number;
|
|
384
|
+
runId: string;
|
|
385
|
+
assumptions: PortfolioBacktestAssumptions;
|
|
386
|
+
diagnostics: PortfolioBacktestDiagnostics;
|
|
387
|
+
}
|
|
388
|
+
/** The rows one closed instant appended (Stage 7B.1): what the step did, in the engine's own grammar. */
|
|
389
|
+
export interface PortfolioStepFrame {
|
|
390
|
+
asOf: EpochMs;
|
|
391
|
+
index: number;
|
|
392
|
+
/** The ledger's net asset value after the step, in the base currency. */
|
|
393
|
+
netAssetValue: number;
|
|
394
|
+
orders: OrderRecord[];
|
|
395
|
+
fills: NormalizedFill[];
|
|
396
|
+
rejections: RejectionRow[];
|
|
397
|
+
liquidations: LiquidationRow[];
|
|
398
|
+
/** Every portfolio event folded during the step — lifecycle, flows, fills, liquidations. */
|
|
399
|
+
events: PortfolioEventEnvelope[];
|
|
400
|
+
warnings: QuantWarning[];
|
|
401
|
+
}
|
|
402
|
+
/** `portfolioBacktest`'s loop driven from outside (Stage 7B.1, Decision 2). */
|
|
403
|
+
export interface PortfolioStepper {
|
|
404
|
+
readonly runId: string;
|
|
405
|
+
/** The decision instants, ascending — the same instants `portfolioBacktest` would step. */
|
|
406
|
+
readonly instants: readonly EpochMs[];
|
|
407
|
+
/** Lifecycle facts and external flows due at the instant, then the session context. */
|
|
408
|
+
open(index: number): SessionContext;
|
|
409
|
+
/** The orders through the execution policy, the margin check, the valuation mark, the equity. */
|
|
410
|
+
close(index: number, orders: readonly OrderIntent[]): PortfolioStepFrame;
|
|
411
|
+
/** The session context at the last closed instant — the state after its orders, margin, and mark. */
|
|
412
|
+
context(): SessionContext;
|
|
413
|
+
/** The ledger state, the market snapshot, the conversions, and the valued snapshot at the last closed instant. */
|
|
414
|
+
valuation(): PortfolioValuationInputs;
|
|
415
|
+
/** The same result `portfolioBacktest` returns, over the instants closed so far. */
|
|
416
|
+
finish(): PortfolioBacktestResult;
|
|
417
|
+
}
|
|
418
|
+
//# sourceMappingURL=types.d.ts.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
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@@ -0,0 +1,8 @@
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1
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/**
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2
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* `@insiderfinance/totalfinance/backtest/portfolio` — types for `portfolioBacktest`, the ledger-backed multi-asset
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3
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+
* simulator (Stage 4.6, FC8 Decision 6). Every fill, flow, lifecycle fact, and liquidation is a
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4
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+
* portfolio event folded through `@insiderfinance/totalfinance/portfolio`'s reducer; the equity at every mark is the
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5
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* ledger's net asset value.
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6
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*/
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7
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+
export {};
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8
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//# sourceMappingURL=types.js.map
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@@ -0,0 +1 @@
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1
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{"version":3,"file":"types.js","sourceRoot":"","sources":["../../src/portfolio/types.ts"],"names":[],"mappings":"AAAA;;;;;GAKG"}
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@@ -0,0 +1,26 @@
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1
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+
/**
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2
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+
* The closed guard for `portfolioBacktest` (Stage 4.6, FC8 Decision 6): every member of the request
|
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3
|
+
* is validated before a single instant runs — unknown keys, `null` where omission is meant, wrong
|
|
4
|
+
* types, invalid enums, non-finite numbers, an instrument without the terms its kind needs, a
|
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5
|
+
* strategy that is not exactly one of its two forms, row sets above the ceiling.
|
|
6
|
+
*/
|
|
7
|
+
import { requireOrderIntent } from '../execution/validate.js';
|
|
8
|
+
import type { CouponTerms, AccountingPolicy, InstrumentSpecification, PortfolioBacktestRequest, PortfolioMarketData, PortfolioStepperRequest } from './types.js';
|
|
9
|
+
/** Decision 9: rows one run may read per row set. */
|
|
10
|
+
export declare const PORTFOLIO_ROW_CEILING = 5000000;
|
|
11
|
+
/** The coupon terms of a bond — the accrual and the redemption come from these alone. */
|
|
12
|
+
export declare function requireCouponTerms(functionName: string, field: string, value: unknown): CouponTerms;
|
|
13
|
+
/** Decision 9: instruments one run may hold. */
|
|
14
|
+
export declare const PORTFOLIO_INSTRUMENT_CEILING = 50000;
|
|
15
|
+
export declare const PORTFOLIO_CALENDARS: readonly ["NYSE", "CBOE", "ALWAYS_OPEN"];
|
|
16
|
+
export declare function requireAccountingPolicy(functionName: string, field: string, value: unknown): AccountingPolicy;
|
|
17
|
+
export declare function requireInstrumentSpecification(functionName: string, field: string, value: unknown): InstrumentSpecification;
|
|
18
|
+
export declare function requirePortfolioMarketData(functionName: string, field: string, value: unknown): PortfolioMarketData;
|
|
19
|
+
export declare function requirePortfolioBacktestRequest(functionName: string, label: string, value: unknown): PortfolioBacktestRequest;
|
|
20
|
+
/**
|
|
21
|
+
* The stepper's request (Stage 7B.1): `portfolioBacktest`'s request without a strategy — the orders
|
|
22
|
+
* come from `close()`. A `strategy` member teaches which verb wants it.
|
|
23
|
+
*/
|
|
24
|
+
export declare function requirePortfolioStepperRequest(functionName: string, label: string, value: unknown): PortfolioStepperRequest;
|
|
25
|
+
export { requireOrderIntent };
|
|
26
|
+
//# sourceMappingURL=validate.d.ts.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
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|