@insiderfinance/totalfinance 0.1.0

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Files changed (2495) hide show
  1. package/LICENSE +201 -0
  2. package/README.md +339 -0
  3. package/STABILITY.md +23 -0
  4. package/modules/backtest/dist/artifacts.d.ts +23 -0
  5. package/modules/backtest/dist/artifacts.d.ts.map +1 -0
  6. package/modules/backtest/dist/artifacts.js +22 -0
  7. package/modules/backtest/dist/artifacts.js.map +1 -0
  8. package/modules/backtest/dist/broker.d.ts +265 -0
  9. package/modules/backtest/dist/broker.d.ts.map +1 -0
  10. package/modules/backtest/dist/broker.js +1228 -0
  11. package/modules/backtest/dist/broker.js.map +1 -0
  12. package/modules/backtest/dist/costs.d.ts +67 -0
  13. package/modules/backtest/dist/costs.d.ts.map +1 -0
  14. package/modules/backtest/dist/costs.js +171 -0
  15. package/modules/backtest/dist/costs.js.map +1 -0
  16. package/modules/backtest/dist/cross-sectional/engine.d.ts +21 -0
  17. package/modules/backtest/dist/cross-sectional/engine.d.ts.map +1 -0
  18. package/modules/backtest/dist/cross-sectional/engine.js +1399 -0
  19. package/modules/backtest/dist/cross-sectional/engine.js.map +1 -0
  20. package/modules/backtest/dist/cross-sectional/folds.d.ts +134 -0
  21. package/modules/backtest/dist/cross-sectional/folds.d.ts.map +1 -0
  22. package/modules/backtest/dist/cross-sectional/folds.js +375 -0
  23. package/modules/backtest/dist/cross-sectional/folds.js.map +1 -0
  24. package/modules/backtest/dist/cross-sectional/grid.d.ts +142 -0
  25. package/modules/backtest/dist/cross-sectional/grid.d.ts.map +1 -0
  26. package/modules/backtest/dist/cross-sectional/grid.js +394 -0
  27. package/modules/backtest/dist/cross-sectional/grid.js.map +1 -0
  28. package/modules/backtest/dist/cross-sectional/index.d.ts +18 -0
  29. package/modules/backtest/dist/cross-sectional/index.d.ts.map +1 -0
  30. package/modules/backtest/dist/cross-sectional/index.js +15 -0
  31. package/modules/backtest/dist/cross-sectional/index.js.map +1 -0
  32. package/modules/backtest/dist/cross-sectional/types.d.ts +331 -0
  33. package/modules/backtest/dist/cross-sectional/types.d.ts.map +1 -0
  34. package/modules/backtest/dist/cross-sectional/types.js +12 -0
  35. package/modules/backtest/dist/cross-sectional/types.js.map +1 -0
  36. package/modules/backtest/dist/cross-sectional/validate.d.ts +22 -0
  37. package/modules/backtest/dist/cross-sectional/validate.d.ts.map +1 -0
  38. package/modules/backtest/dist/cross-sectional/validate.js +489 -0
  39. package/modules/backtest/dist/cross-sectional/validate.js.map +1 -0
  40. package/modules/backtest/dist/diagnostics.d.ts +16 -0
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  42. package/modules/backtest/dist/diagnostics.js +63 -0
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  44. package/modules/backtest/dist/environment/bench.d.ts +34 -0
  45. package/modules/backtest/dist/environment/bench.d.ts.map +1 -0
  46. package/modules/backtest/dist/environment/bench.js +724 -0
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  48. package/modules/backtest/dist/environment/environment.d.ts +5 -0
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  50. package/modules/backtest/dist/environment/environment.js +618 -0
  51. package/modules/backtest/dist/environment/environment.js.map +1 -0
  52. package/modules/backtest/dist/environment/episode.d.ts +4 -0
  53. package/modules/backtest/dist/environment/episode.d.ts.map +1 -0
  54. package/modules/backtest/dist/environment/episode.js +121 -0
  55. package/modules/backtest/dist/environment/episode.js.map +1 -0
  56. package/modules/backtest/dist/environment/episodes.d.ts +14 -0
  57. package/modules/backtest/dist/environment/episodes.d.ts.map +1 -0
  58. package/modules/backtest/dist/environment/episodes.js +644 -0
  59. package/modules/backtest/dist/environment/episodes.js.map +1 -0
  60. package/modules/backtest/dist/environment/features.d.ts +31 -0
  61. package/modules/backtest/dist/environment/features.d.ts.map +1 -0
  62. package/modules/backtest/dist/environment/features.js +157 -0
  63. package/modules/backtest/dist/environment/features.js.map +1 -0
  64. package/modules/backtest/dist/environment/index.d.ts +14 -0
  65. package/modules/backtest/dist/environment/index.d.ts.map +1 -0
  66. package/modules/backtest/dist/environment/index.js +12 -0
  67. package/modules/backtest/dist/environment/index.js.map +1 -0
  68. package/modules/backtest/dist/environment/limits.d.ts +63 -0
  69. package/modules/backtest/dist/environment/limits.d.ts.map +1 -0
  70. package/modules/backtest/dist/environment/limits.js +253 -0
  71. package/modules/backtest/dist/environment/limits.js.map +1 -0
  72. package/modules/backtest/dist/environment/reward.d.ts +5 -0
  73. package/modules/backtest/dist/environment/reward.d.ts.map +1 -0
  74. package/modules/backtest/dist/environment/reward.js +80 -0
  75. package/modules/backtest/dist/environment/reward.js.map +1 -0
  76. package/modules/backtest/dist/environment/types.d.ts +540 -0
  77. package/modules/backtest/dist/environment/types.d.ts.map +1 -0
  78. package/modules/backtest/dist/environment/types.js +2 -0
  79. package/modules/backtest/dist/environment/types.js.map +1 -0
  80. package/modules/backtest/dist/environment/validate.d.ts +23 -0
  81. package/modules/backtest/dist/environment/validate.d.ts.map +1 -0
  82. package/modules/backtest/dist/environment/validate.js +264 -0
  83. package/modules/backtest/dist/environment/validate.js.map +1 -0
  84. package/modules/backtest/dist/event-driven.d.ts +111 -0
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  86. package/modules/backtest/dist/event-driven.js +325 -0
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  88. package/modules/backtest/dist/execution/conformance.d.ts +33 -0
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  91. package/modules/backtest/dist/execution/conformance.js.map +1 -0
  92. package/modules/backtest/dist/execution/fill-models.d.ts +35 -0
  93. package/modules/backtest/dist/execution/fill-models.d.ts.map +1 -0
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  95. package/modules/backtest/dist/execution/fill-models.js.map +1 -0
  96. package/modules/backtest/dist/execution/fill-order.d.ts +55 -0
  97. package/modules/backtest/dist/execution/fill-order.d.ts.map +1 -0
  98. package/modules/backtest/dist/execution/fill-order.js +156 -0
  99. package/modules/backtest/dist/execution/fill-order.js.map +1 -0
  100. package/modules/backtest/dist/execution/index.d.ts +33 -0
  101. package/modules/backtest/dist/execution/index.d.ts.map +1 -0
  102. package/modules/backtest/dist/execution/index.js +27 -0
  103. package/modules/backtest/dist/execution/index.js.map +1 -0
  104. package/modules/backtest/dist/execution/intrabar.d.ts +46 -0
  105. package/modules/backtest/dist/execution/intrabar.d.ts.map +1 -0
  106. package/modules/backtest/dist/execution/intrabar.js +130 -0
  107. package/modules/backtest/dist/execution/intrabar.js.map +1 -0
  108. package/modules/backtest/dist/execution/normalized.d.ts +56 -0
  109. package/modules/backtest/dist/execution/normalized.d.ts.map +1 -0
  110. package/modules/backtest/dist/execution/normalized.js +154 -0
  111. package/modules/backtest/dist/execution/normalized.js.map +1 -0
  112. package/modules/backtest/dist/execution/policy.d.ts +84 -0
  113. package/modules/backtest/dist/execution/policy.d.ts.map +1 -0
  114. package/modules/backtest/dist/execution/policy.js +341 -0
  115. package/modules/backtest/dist/execution/policy.js.map +1 -0
  116. package/modules/backtest/dist/execution/types.d.ts +217 -0
  117. package/modules/backtest/dist/execution/types.d.ts.map +1 -0
  118. package/modules/backtest/dist/execution/types.js +8 -0
  119. package/modules/backtest/dist/execution/types.js.map +1 -0
  120. package/modules/backtest/dist/execution/validate.d.ts +35 -0
  121. package/modules/backtest/dist/execution/validate.d.ts.map +1 -0
  122. package/modules/backtest/dist/execution/validate.js +666 -0
  123. package/modules/backtest/dist/execution/validate.js.map +1 -0
  124. package/modules/backtest/dist/generated/validation-specs.d.ts +12 -0
  125. package/modules/backtest/dist/generated/validation-specs.d.ts.map +1 -0
  126. package/modules/backtest/dist/generated/validation-specs.js +1129 -0
  127. package/modules/backtest/dist/generated/validation-specs.js.map +1 -0
  128. package/modules/backtest/dist/index.d.ts +33 -0
  129. package/modules/backtest/dist/index.d.ts.map +1 -0
  130. package/modules/backtest/dist/index.js +28 -0
  131. package/modules/backtest/dist/index.js.map +1 -0
  132. package/modules/backtest/dist/options/chain.d.ts +68 -0
  133. package/modules/backtest/dist/options/chain.d.ts.map +1 -0
  134. package/modules/backtest/dist/options/chain.js +303 -0
  135. package/modules/backtest/dist/options/chain.js.map +1 -0
  136. package/modules/backtest/dist/options/engine.d.ts +28 -0
  137. package/modules/backtest/dist/options/engine.d.ts.map +1 -0
  138. package/modules/backtest/dist/options/engine.js +1859 -0
  139. package/modules/backtest/dist/options/engine.js.map +1 -0
  140. package/modules/backtest/dist/options/index.d.ts +23 -0
  141. package/modules/backtest/dist/options/index.d.ts.map +1 -0
  142. package/modules/backtest/dist/options/index.js +21 -0
  143. package/modules/backtest/dist/options/index.js.map +1 -0
  144. package/modules/backtest/dist/options/tearsheet.d.ts +77 -0
  145. package/modules/backtest/dist/options/tearsheet.d.ts.map +1 -0
  146. package/modules/backtest/dist/options/tearsheet.js +205 -0
  147. package/modules/backtest/dist/options/tearsheet.js.map +1 -0
  148. package/modules/backtest/dist/options/types.d.ts +571 -0
  149. package/modules/backtest/dist/options/types.d.ts.map +1 -0
  150. package/modules/backtest/dist/options/types.js +19 -0
  151. package/modules/backtest/dist/options/types.js.map +1 -0
  152. package/modules/backtest/dist/paper/index.d.ts +13 -0
  153. package/modules/backtest/dist/paper/index.d.ts.map +1 -0
  154. package/modules/backtest/dist/paper/index.js +12 -0
  155. package/modules/backtest/dist/paper/index.js.map +1 -0
  156. package/modules/backtest/dist/paper/paper.d.ts +8 -0
  157. package/modules/backtest/dist/paper/paper.d.ts.map +1 -0
  158. package/modules/backtest/dist/paper/paper.js +950 -0
  159. package/modules/backtest/dist/paper/paper.js.map +1 -0
  160. package/modules/backtest/dist/paper/types.d.ts +190 -0
  161. package/modules/backtest/dist/paper/types.d.ts.map +1 -0
  162. package/modules/backtest/dist/paper/types.js +3 -0
  163. package/modules/backtest/dist/paper/types.js.map +1 -0
  164. package/modules/backtest/dist/paper/validate.d.ts +9 -0
  165. package/modules/backtest/dist/paper/validate.d.ts.map +1 -0
  166. package/modules/backtest/dist/paper/validate.js +112 -0
  167. package/modules/backtest/dist/paper/validate.js.map +1 -0
  168. package/modules/backtest/dist/portfolio/adapters.d.ts +37 -0
  169. package/modules/backtest/dist/portfolio/adapters.d.ts.map +1 -0
  170. package/modules/backtest/dist/portfolio/adapters.js +555 -0
  171. package/modules/backtest/dist/portfolio/adapters.js.map +1 -0
  172. package/modules/backtest/dist/portfolio/engine.d.ts +35 -0
  173. package/modules/backtest/dist/portfolio/engine.d.ts.map +1 -0
  174. package/modules/backtest/dist/portfolio/engine.js +1300 -0
  175. package/modules/backtest/dist/portfolio/engine.js.map +1 -0
  176. package/modules/backtest/dist/portfolio/index.d.ts +12 -0
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  180. package/modules/backtest/dist/portfolio/types.d.ts +418 -0
  181. package/modules/backtest/dist/portfolio/types.d.ts.map +1 -0
  182. package/modules/backtest/dist/portfolio/types.js +8 -0
  183. package/modules/backtest/dist/portfolio/types.js.map +1 -0
  184. package/modules/backtest/dist/portfolio/validate.d.ts +26 -0
  185. package/modules/backtest/dist/portfolio/validate.d.ts.map +1 -0
  186. package/modules/backtest/dist/portfolio/validate.js +556 -0
  187. package/modules/backtest/dist/portfolio/validate.js.map +1 -0
  188. package/modules/backtest/dist/run-artifacts.d.ts +425 -0
  189. package/modules/backtest/dist/run-artifacts.d.ts.map +1 -0
  190. package/modules/backtest/dist/run-artifacts.js +1843 -0
  191. package/modules/backtest/dist/run-artifacts.js.map +1 -0
  192. package/modules/backtest/dist/signals.d.ts +110 -0
  193. package/modules/backtest/dist/signals.d.ts.map +1 -0
  194. package/modules/backtest/dist/signals.js +207 -0
  195. package/modules/backtest/dist/signals.js.map +1 -0
  196. package/modules/backtest/dist/tearsheet.d.ts +126 -0
  197. package/modules/backtest/dist/tearsheet.d.ts.map +1 -0
  198. package/modules/backtest/dist/tearsheet.js +266 -0
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  200. package/modules/backtest/dist/types.d.ts +175 -0
  201. package/modules/backtest/dist/types.d.ts.map +1 -0
  202. package/modules/backtest/dist/types.js +29 -0
  203. package/modules/backtest/dist/types.js.map +1 -0
  204. package/modules/backtest/dist/validate.d.ts +13 -0
  205. package/modules/backtest/dist/validate.d.ts.map +1 -0
  206. package/modules/backtest/dist/validate.js +37 -0
  207. package/modules/backtest/dist/validate.js.map +1 -0
  208. package/modules/backtest/dist/vectorized.d.ts +53 -0
  209. package/modules/backtest/dist/vectorized.d.ts.map +1 -0
  210. package/modules/backtest/dist/vectorized.js +383 -0
  211. package/modules/backtest/dist/vectorized.js.map +1 -0
  212. package/modules/backtest/dist/walk-forward.d.ts +57 -0
  213. package/modules/backtest/dist/walk-forward.d.ts.map +1 -0
  214. package/modules/backtest/dist/walk-forward.js +125 -0
  215. package/modules/backtest/dist/walk-forward.js.map +1 -0
  216. package/modules/backtest/etc/backtest.api.md +139 -0
  217. package/modules/backtest/src/artifacts.ts +54 -0
  218. package/modules/backtest/src/broker.ts +1529 -0
  219. package/modules/backtest/src/costs.ts +225 -0
  220. package/modules/backtest/src/cross-sectional/engine.ts +1608 -0
  221. package/modules/backtest/src/cross-sectional/folds.ts +718 -0
  222. package/modules/backtest/src/cross-sectional/grid.ts +646 -0
  223. package/modules/backtest/src/cross-sectional/index.ts +76 -0
  224. package/modules/backtest/src/cross-sectional/types.ts +363 -0
  225. package/modules/backtest/src/cross-sectional/validate.ts +906 -0
  226. package/modules/backtest/src/diagnostics.ts +66 -0
  227. package/modules/backtest/src/environment/bench.ts +1022 -0
  228. package/modules/backtest/src/environment/environment.ts +766 -0
  229. package/modules/backtest/src/environment/episode.ts +146 -0
  230. package/modules/backtest/src/environment/episodes.ts +786 -0
  231. package/modules/backtest/src/environment/features.ts +184 -0
  232. package/modules/backtest/src/environment/index.ts +79 -0
  233. package/modules/backtest/src/environment/limits.ts +383 -0
  234. package/modules/backtest/src/environment/reward.ts +98 -0
  235. package/modules/backtest/src/environment/types.ts +595 -0
  236. package/modules/backtest/src/environment/validate.ts +415 -0
  237. package/modules/backtest/src/event-driven.ts +528 -0
  238. package/modules/backtest/src/execution/conformance.ts +346 -0
  239. package/modules/backtest/src/execution/fill-models.ts +410 -0
  240. package/modules/backtest/src/execution/fill-order.ts +261 -0
  241. package/modules/backtest/src/execution/index.ts +91 -0
  242. package/modules/backtest/src/execution/intrabar.ts +185 -0
  243. package/modules/backtest/src/execution/normalized.ts +216 -0
  244. package/modules/backtest/src/execution/policy.ts +447 -0
  245. package/modules/backtest/src/execution/types.ts +239 -0
  246. package/modules/backtest/src/execution/validate.ts +889 -0
  247. package/modules/backtest/src/generated/validation-specs.ts +1132 -0
  248. package/modules/backtest/src/index.ts +157 -0
  249. package/modules/backtest/src/options/chain.ts +410 -0
  250. package/modules/backtest/src/options/engine.ts +2240 -0
  251. package/modules/backtest/src/options/index.ts +68 -0
  252. package/modules/backtest/src/options/tearsheet.ts +327 -0
  253. package/modules/backtest/src/options/types.ts +573 -0
  254. package/modules/backtest/src/paper/index.ts +27 -0
  255. package/modules/backtest/src/paper/paper.ts +1288 -0
  256. package/modules/backtest/src/paper/types.ts +221 -0
  257. package/modules/backtest/src/paper/validate.ts +168 -0
  258. package/modules/backtest/src/portfolio/adapters.ts +651 -0
  259. package/modules/backtest/src/portfolio/engine.ts +1518 -0
  260. package/modules/backtest/src/portfolio/index.ts +64 -0
  261. package/modules/backtest/src/portfolio/types.ts +456 -0
  262. package/modules/backtest/src/portfolio/validate.ts +861 -0
  263. package/modules/backtest/src/run-artifacts.ts +2873 -0
  264. package/modules/backtest/src/signals.ts +267 -0
  265. package/modules/backtest/src/tearsheet.ts +425 -0
  266. package/modules/backtest/src/types.ts +200 -0
  267. package/modules/backtest/src/validate.ts +43 -0
  268. package/modules/backtest/src/vectorized.ts +541 -0
  269. package/modules/backtest/src/walk-forward.ts +215 -0
  270. package/modules/calendars/dist/cboe.d.ts +15 -0
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  298. package/modules/calendars/etc/calendars.api.md +22 -0
  299. package/modules/calendars/src/cboe.ts +17 -0
  300. package/modules/calendars/src/crypto.ts +17 -0
  301. package/modules/calendars/src/expirations.ts +200 -0
  302. package/modules/calendars/src/index.ts +23 -0
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1
+ /**
2
+ * Point-in-time universe vocabulary (Stage 4.6, FC8 Decision 3) — owned here because research owns
3
+ * universe identity and eligibility; a simulator reads these and never redefines them.
4
+ *
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+ * - A universe is a HISTORY of membership intervals, not a snapshot: a name is a member from
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+ * `fromTimestampMs` (inclusive) until `toTimestampMs` (exclusive). An exit says why, and a
7
+ * `delisted` exit carries the return a holder earned from the last available price to the exit
8
+ * so a backtest can book the fact instead of silently surviving it.
9
+ * - Eligibility at an instant is the SAME law screening applies: an observation is visible only
10
+ * when its `availableTimestampMs` is at or before the decision instant (minus an explicit lag in
11
+ * trading sessions), and one instrument resolves to its latest available version.
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+ *
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+ * Everything is deterministic, clock-free, and JSON-safe; nothing mutates a caller array.
14
+ */
15
+ import { type EpochMs } from '../../core/dist/index.js';
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+ import { type FieldDefinition, type UniverseObservation } from './observations.js';
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+ export type UniverseExitReason = 'removed' | 'delisted' | 'merged' | 'other';
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+ /** One membership interval of one instrument. Half-open: `[fromTimestampMs, toTimestampMs)`. */
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+ export interface UniverseMember {
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+ instrumentId: string;
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+ /** First instant the name is a member (inclusive). */
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+ fromTimestampMs: EpochMs;
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+ /** First instant it is no longer a member (exclusive); omitted = still a member. */
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+ toTimestampMs?: EpochMs;
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+ exitReason?: UniverseExitReason;
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+ /**
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+ * The simple return a holder earned from the last available price to the exit — a delisting
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+ * return (−1 for a total loss). Required by a simulator when `exitReason` is `'delisted'` and a
29
+ * position is open; recorded here so the fact travels with the universe, not the strategy.
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+ */
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+ delistingReturn?: number;
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+ }
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+ export interface UniverseHistory {
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+ universeId: string;
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+ members: readonly UniverseMember[];
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+ }
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+ /**
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+ * Validate a {@link UniverseHistory} at a public boundary: a closed record whose members are
39
+ * closed records with finite instants, a half-open non-empty interval each, a declared exit
40
+ * reason whenever an exit instant is given, a finite delisting return ≥ −1 only beside an exit,
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+ * and no two overlapping intervals for one instrument (a name cannot be a member twice at once).
42
+ */
43
+ export declare function requireUniverseHistory(functionName: string, label: string, history: UniverseHistory): void;
44
+ export interface UniverseMembershipAtInput {
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+ universeHistory: UniverseHistory;
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+ /** The decision instant. */
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+ asOf: EpochMs;
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+ /**
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+ * The previous decision instant. When given, `additions` and `exits` describe what changed in
50
+ * `(previousAsOf, asOf]`; when omitted both are empty and only `instrumentIds` is meaningful.
51
+ */
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+ previousAsOf?: EpochMs;
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+ }
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+ export interface UniverseExit {
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+ instrumentId: string;
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+ exitTimestampMs: EpochMs;
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+ exitReason: UniverseExitReason | null;
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+ delistingReturn: number | null;
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+ }
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+ export interface UniverseMembershipAtResult {
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+ assumptions: {
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+ universeId: string;
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+ asOf: EpochMs;
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+ previousAsOf: EpochMs | null;
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+ membershipRule: 'fromTimestampMs <= asOf < toTimestampMs';
66
+ };
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+ diagnostics: {
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+ warnings: string[];
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+ memberCount: number;
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+ additionCount: number;
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+ exitCount: number;
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+ };
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+ /** Members at `asOf`, `instrumentId` ascending. */
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+ instrumentIds: string[];
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+ /** Names whose membership began in `(previousAsOf, asOf]`, ascending. */
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+ additions: string[];
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+ /** Names whose membership ended in `(previousAsOf, asOf]`, ascending by id then instant. */
78
+ exits: UniverseExit[];
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+ }
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+ /**
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+ * Who is in the universe at an instant, and — against a previous instant — who joined and who
82
+ * left (with the exit reason and any delisting return). The membership rule is the half-open
83
+ * interval; ties are impossible because one instant is either inside an interval or not.
84
+ */
85
+ export declare function universeMembershipAt(input: UniverseMembershipAtInput): UniverseMembershipAtResult;
86
+ export interface EligibilityLag {
87
+ /** How many trading sessions before `asOf` the data must have been available. */
88
+ tradingSessions: number;
89
+ /**
90
+ * The session instants the caller's dataset knows, ascending — the lag counts sessions in this
91
+ * index, never calendar days, so a weekend or holiday is not a session.
92
+ */
93
+ sessionTimestamps: readonly EpochMs[];
94
+ }
95
+ export interface EligibleObservationsAtInput {
96
+ observations: readonly UniverseObservation[];
97
+ fieldDefinitions: readonly FieldDefinition[];
98
+ asOf: EpochMs;
99
+ /** Omitted = no lag: availability at or before `asOf` is enough. */
100
+ lag?: EligibilityLag;
101
+ /** When given, only members of this universe at `asOf` are eligible. */
102
+ universeHistory?: UniverseHistory;
103
+ }
104
+ export interface EligibleObservationsAtResult {
105
+ assumptions: {
106
+ asOf: EpochMs;
107
+ /** The instant availability is measured against: `asOf`, or the lagged session instant. */
108
+ availabilityCutoffMs: EpochMs;
109
+ lagTradingSessions: number;
110
+ universeId: string | null;
111
+ versionResolution: 'latest available at or before the cutoff per instrument';
112
+ };
113
+ diagnostics: {
114
+ warnings: string[];
115
+ suppliedCount: number;
116
+ eligibleCount: number;
117
+ excludedCount: number;
118
+ exclusionReasons: Record<string, number>;
119
+ };
120
+ /** One observation per eligible instrument, `instrumentId` ascending. */
121
+ observations: UniverseObservation[];
122
+ }
123
+ /**
124
+ * The observations a decision at `asOf` may see: available at or before the cutoff (an explicit
125
+ * session lag moves the cutoff back through the caller's session index), the latest version per
126
+ * instrument, and — when a universe history is given — members at `asOf` only. Shifting a row's
127
+ * `availableTimestampMs` past the cutoff removes it; the acceptance law every FC3 screen already
128
+ * satisfies, exposed for the simulators.
129
+ */
130
+ export declare function eligibleObservationsAt(input: EligibleObservationsAtInput): EligibleObservationsAtResult;
131
+ //# sourceMappingURL=universe.d.ts.map
@@ -0,0 +1 @@
1
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@@ -0,0 +1,294 @@
1
+ /**
2
+ * Point-in-time universe vocabulary (Stage 4.6, FC8 Decision 3) — owned here because research owns
3
+ * universe identity and eligibility; a simulator reads these and never redefines them.
4
+ *
5
+ * - A universe is a HISTORY of membership intervals, not a snapshot: a name is a member from
6
+ * `fromTimestampMs` (inclusive) until `toTimestampMs` (exclusive). An exit says why, and a
7
+ * `delisted` exit carries the return a holder earned from the last available price to the exit
8
+ * so a backtest can book the fact instead of silently surviving it.
9
+ * - Eligibility at an instant is the SAME law screening applies: an observation is visible only
10
+ * when its `availableTimestampMs` is at or before the decision instant (minus an explicit lag in
11
+ * trading sessions), and one instrument resolves to its latest available version.
12
+ *
13
+ * Everything is deterministic, clock-free, and JSON-safe; nothing mutates a caller array.
14
+ */
15
+ import { ErrorCode, InputError, ensureKnownKeys, requireArgumentObject, } from '../../core/dist/index.js';
16
+ import { requireBoundaryName, requireFieldDefinitions, requirePathLabel, requireUniverseObservations, } from './observations.js';
17
+ import { resolveLatestAvailableObservations } from './point-in-time.js';
18
+ const HISTORY_KEYS = ['universeId', 'members'];
19
+ const MEMBER_KEYS = [
20
+ 'instrumentId',
21
+ 'fromTimestampMs',
22
+ 'toTimestampMs',
23
+ 'exitReason',
24
+ 'delistingReturn',
25
+ ];
26
+ const EXIT_REASONS = ['removed', 'delisted', 'merged', 'other'];
27
+ const EXAMPLE_HISTORY = "{ universeId: 'us-large-cap', members: [{ instrumentId: 'AAPL', fromTimestampMs: 1735689600000 }, { instrumentId: 'XYZ', fromTimestampMs: 1735689600000, toTimestampMs: 1751328000000, exitReason: 'delisted', delistingReturn: -0.4 }] }";
28
+ // ---------------------------------------------------------------------------------------------------
29
+ // Validation
30
+ // ---------------------------------------------------------------------------------------------------
31
+ function isEpochMs(value) {
32
+ return typeof value === 'number' && Number.isFinite(value);
33
+ }
34
+ /**
35
+ * Validate a {@link UniverseHistory} at a public boundary: a closed record whose members are
36
+ * closed records with finite instants, a half-open non-empty interval each, a declared exit
37
+ * reason whenever an exit instant is given, a finite delisting return ≥ −1 only beside an exit,
38
+ * and no two overlapping intervals for one instrument (a name cannot be a member twice at once).
39
+ */
40
+ export function requireUniverseHistory(functionName, label, history) {
41
+ requireBoundaryName(functionName);
42
+ requirePathLabel(functionName, 'label', label);
43
+ requireArgumentObject(functionName, label, history);
44
+ ensureKnownKeys(functionName, label, history, HISTORY_KEYS);
45
+ if (typeof history.universeId !== 'string' || history.universeId.length === 0) {
46
+ throw new InputError(`${functionName}: ${label}.universeId must be a non-empty string — a universe without an identity is a list without a source.\n e.g. ${EXAMPLE_HISTORY}`, { code: ErrorCode.InputWrongType, context: { field: `${label}.universeId` } });
47
+ }
48
+ if (!Array.isArray(history.members)) {
49
+ throw new InputError(`${functionName}: ${label}.members must be an array of membership intervals (it may be empty).\n e.g. ${EXAMPLE_HISTORY}`, { code: ErrorCode.InputWrongType, context: { field: `${label}.members` } });
50
+ }
51
+ const intervals = new Map();
52
+ history.members.forEach((member, index) => {
53
+ const path = `${label}.members[${index}]`;
54
+ requireArgumentObject(functionName, path, member);
55
+ ensureKnownKeys(functionName, path, member, MEMBER_KEYS);
56
+ if (typeof member.instrumentId !== 'string' || member.instrumentId.length === 0) {
57
+ throw new InputError(`${functionName}: ${path}.instrumentId must be a non-empty string.`, {
58
+ code: ErrorCode.InputWrongType,
59
+ context: { field: `${path}.instrumentId` },
60
+ });
61
+ }
62
+ if (!isEpochMs(member.fromTimestampMs)) {
63
+ throw new InputError(`${functionName}: ${path}.fromTimestampMs must be a finite epoch-ms number (the first instant the name is a member).`, { code: ErrorCode.InputWrongType, context: { field: `${path}.fromTimestampMs` } });
64
+ }
65
+ let to = Number.POSITIVE_INFINITY;
66
+ if (member.toTimestampMs !== undefined) {
67
+ if (!isEpochMs(member.toTimestampMs)) {
68
+ throw new InputError(`${functionName}: ${path}.toTimestampMs must be a finite epoch-ms number (the first instant the name is NOT a member) or omitted while it is still a member.`, { code: ErrorCode.InputWrongType, context: { field: `${path}.toTimestampMs` } });
69
+ }
70
+ if (member.toTimestampMs <= member.fromTimestampMs) {
71
+ throw new InputError(`${functionName}: ${path}.toTimestampMs (${member.toTimestampMs}) must be after fromTimestampMs (${member.fromTimestampMs}) — the interval is half-open [from, to) and cannot be empty.`, { code: ErrorCode.InputOutOfRange, context: { field: `${path}.toTimestampMs` } });
72
+ }
73
+ to = member.toTimestampMs;
74
+ }
75
+ if (member.exitReason !== undefined) {
76
+ if (!EXIT_REASONS.includes(member.exitReason)) {
77
+ throw new InputError(`${functionName}: ${path}.exitReason must be one of ${EXIT_REASONS.map((r) => `'${r}'`).join(' | ')}. Received ${JSON.stringify(member.exitReason)}.`, { code: ErrorCode.InputInvalidEnum, context: { field: `${path}.exitReason` } });
78
+ }
79
+ if (member.toTimestampMs === undefined) {
80
+ throw new InputError(`${functionName}: ${path}.exitReason is given but ${path}.toTimestampMs is not — an exit needs an exit instant.`, { code: ErrorCode.InputMissingField, context: { field: `${path}.toTimestampMs` } });
81
+ }
82
+ }
83
+ if (member.delistingReturn !== undefined) {
84
+ if (typeof member.delistingReturn !== 'number' || !Number.isFinite(member.delistingReturn)) {
85
+ throw new InputError(`${functionName}: ${path}.delistingReturn must be a finite simple return (−1 is a total loss).`, { code: ErrorCode.InputWrongType, context: { field: `${path}.delistingReturn` } });
86
+ }
87
+ if (member.delistingReturn < -1) {
88
+ throw new InputError(`${functionName}: ${path}.delistingReturn (${member.delistingReturn}) is below −1 — a holder cannot lose more than the position.`, { code: ErrorCode.InputOutOfRange, context: { field: `${path}.delistingReturn` } });
89
+ }
90
+ if (member.exitReason !== 'delisted') {
91
+ throw new InputError(`${functionName}: ${path}.delistingReturn is given but ${path}.exitReason is ${member.exitReason === undefined ? 'absent' : `'${member.exitReason}'`} — a delisting return describes a 'delisted' exit only.`, { code: ErrorCode.InputOutOfRange, context: { field: `${path}.delistingReturn` } });
92
+ }
93
+ }
94
+ const list = intervals.get(member.instrumentId) ?? [];
95
+ for (const other of list) {
96
+ if (member.fromTimestampMs < other.to && other.from < to) {
97
+ throw new InputError(`${functionName}: ${path} overlaps ${other.path} for '${member.instrumentId}' — a name cannot be a member of one universe twice at the same instant; split the history into disjoint intervals.`, { code: ErrorCode.InputOutOfRange, context: { field: path } });
98
+ }
99
+ }
100
+ list.push({ from: member.fromTimestampMs, to, path });
101
+ intervals.set(member.instrumentId, list);
102
+ });
103
+ }
104
+ const MEMBERSHIP_KEYS = ['universeHistory', 'asOf', 'previousAsOf'];
105
+ /**
106
+ * Who is in the universe at an instant, and — against a previous instant — who joined and who
107
+ * left (with the exit reason and any delisting return). The membership rule is the half-open
108
+ * interval; ties are impossible because one instant is either inside an interval or not.
109
+ */
110
+ export function universeMembershipAt(input) {
111
+ const functionName = 'universeMembershipAt';
112
+ requireArgumentObject(functionName, 'input', input);
113
+ ensureKnownKeys(functionName, 'input', input, MEMBERSHIP_KEYS);
114
+ requireUniverseHistory(functionName, 'input.universeHistory', input.universeHistory);
115
+ if (!isEpochMs(input.asOf)) {
116
+ throw new InputError(`${functionName}: input.asOf must be a finite epoch-ms number.`, {
117
+ code: ErrorCode.InputWrongType,
118
+ context: { field: 'asOf' },
119
+ });
120
+ }
121
+ if (input.previousAsOf !== undefined) {
122
+ if (!isEpochMs(input.previousAsOf)) {
123
+ throw new InputError(`${functionName}: input.previousAsOf must be a finite epoch-ms number.`, {
124
+ code: ErrorCode.InputWrongType,
125
+ context: { field: 'previousAsOf' },
126
+ });
127
+ }
128
+ if (input.previousAsOf >= input.asOf) {
129
+ throw new InputError(`${functionName}: input.previousAsOf (${input.previousAsOf}) must be before input.asOf (${input.asOf}) — the change window is (previousAsOf, asOf].`, { code: ErrorCode.InputOutOfRange, context: { field: 'previousAsOf' } });
130
+ }
131
+ }
132
+ const { asOf } = input;
133
+ const previous = input.previousAsOf;
134
+ const members = new Set();
135
+ const additions = new Set();
136
+ const exits = [];
137
+ for (const member of input.universeHistory.members) {
138
+ const to = member.toTimestampMs ?? Number.POSITIVE_INFINITY;
139
+ if (member.fromTimestampMs <= asOf && asOf < to)
140
+ members.add(member.instrumentId);
141
+ if (previous !== undefined) {
142
+ if (member.fromTimestampMs > previous && member.fromTimestampMs <= asOf) {
143
+ additions.add(member.instrumentId);
144
+ }
145
+ if (to > previous && to <= asOf) {
146
+ exits.push({
147
+ instrumentId: member.instrumentId,
148
+ exitTimestampMs: to,
149
+ exitReason: member.exitReason ?? null,
150
+ delistingReturn: member.delistingReturn ?? null,
151
+ });
152
+ }
153
+ }
154
+ }
155
+ const byId = (a, b) => (a < b ? -1 : a > b ? 1 : 0);
156
+ exits.sort((a, b) => byId(a.instrumentId, b.instrumentId) || a.exitTimestampMs - b.exitTimestampMs);
157
+ const warnings = [];
158
+ for (const exit of exits) {
159
+ if (exit.exitReason === 'delisted' && exit.delistingReturn === null) {
160
+ warnings.push(`'${exit.instrumentId}' was delisted at ${exit.exitTimestampMs} without a delistingReturn — a simulator holding it must refuse rather than assume the exit value.`);
161
+ }
162
+ }
163
+ return {
164
+ assumptions: {
165
+ universeId: input.universeHistory.universeId,
166
+ asOf,
167
+ previousAsOf: previous ?? null,
168
+ membershipRule: 'fromTimestampMs <= asOf < toTimestampMs',
169
+ },
170
+ diagnostics: {
171
+ warnings,
172
+ memberCount: members.size,
173
+ additionCount: additions.size,
174
+ exitCount: exits.length,
175
+ },
176
+ instrumentIds: [...members].sort(byId),
177
+ additions: [...additions].sort(byId),
178
+ exits,
179
+ };
180
+ }
181
+ const ELIGIBLE_KEYS = [
182
+ 'observations',
183
+ 'fieldDefinitions',
184
+ 'asOf',
185
+ 'lag',
186
+ 'universeHistory',
187
+ ];
188
+ const LAG_KEYS = ['tradingSessions', 'sessionTimestamps'];
189
+ /** The library-wide ceiling on a count that sizes work (the count-safety law). */
190
+ const MAXIMUM_LAG_SESSIONS = 100_000;
191
+ /**
192
+ * The observations a decision at `asOf` may see: available at or before the cutoff (an explicit
193
+ * session lag moves the cutoff back through the caller's session index), the latest version per
194
+ * instrument, and — when a universe history is given — members at `asOf` only. Shifting a row's
195
+ * `availableTimestampMs` past the cutoff removes it; the acceptance law every FC3 screen already
196
+ * satisfies, exposed for the simulators.
197
+ */
198
+ export function eligibleObservationsAt(input) {
199
+ const functionName = 'eligibleObservationsAt';
200
+ requireArgumentObject(functionName, 'input', input);
201
+ ensureKnownKeys(functionName, 'input', input, ELIGIBLE_KEYS);
202
+ const definitions = requireFieldDefinitions(functionName, input.fieldDefinitions);
203
+ requireUniverseObservations(functionName, input.observations, definitions);
204
+ if (!isEpochMs(input.asOf)) {
205
+ throw new InputError(`${functionName}: input.asOf must be a finite epoch-ms number.`, {
206
+ code: ErrorCode.InputWrongType,
207
+ context: { field: 'asOf' },
208
+ });
209
+ }
210
+ let cutoff = input.asOf;
211
+ let lagSessions = 0;
212
+ if (input.lag !== undefined) {
213
+ requireArgumentObject(functionName, 'input.lag', input.lag);
214
+ ensureKnownKeys(functionName, 'input.lag', input.lag, LAG_KEYS);
215
+ const { tradingSessions, sessionTimestamps } = input.lag;
216
+ if (!Number.isSafeInteger(tradingSessions) ||
217
+ tradingSessions < 0 ||
218
+ tradingSessions > MAXIMUM_LAG_SESSIONS) {
219
+ throw new InputError(`${functionName}: input.lag.tradingSessions must be an integer in [0, ${MAXIMUM_LAG_SESSIONS}]. Received ${String(tradingSessions)}.`, { code: ErrorCode.InputOutOfRange, context: { field: 'lag.tradingSessions' } });
220
+ }
221
+ if (!Array.isArray(sessionTimestamps)) {
222
+ throw new InputError(`${functionName}: input.lag.sessionTimestamps must be an ascending array of session instants — a lag counts sessions in the dataset's own index, never calendar days.`, { code: ErrorCode.InputWrongType, context: { field: 'lag.sessionTimestamps' } });
223
+ }
224
+ sessionTimestamps.forEach((instant, index) => {
225
+ if (!isEpochMs(instant)) {
226
+ throw new InputError(`${functionName}: input.lag.sessionTimestamps[${index}] must be a finite epoch-ms number.`, { code: ErrorCode.InputWrongType, context: { field: `lag.sessionTimestamps[${index}]` } });
227
+ }
228
+ if (index > 0 && instant <= sessionTimestamps[index - 1]) {
229
+ throw new InputError(`${functionName}: input.lag.sessionTimestamps must be strictly ascending; [${index}] (${instant}) does not follow [${index - 1}] (${String(sessionTimestamps[index - 1])}).`, {
230
+ code: ErrorCode.InputOutOfRange,
231
+ context: { field: `lag.sessionTimestamps[${index}]` },
232
+ });
233
+ }
234
+ });
235
+ lagSessions = tradingSessions;
236
+ if (tradingSessions > 0) {
237
+ // The session at or before asOf, then `tradingSessions` sessions earlier in the index.
238
+ let position = -1;
239
+ for (let i = 0; i < sessionTimestamps.length; i += 1) {
240
+ if (sessionTimestamps[i] <= input.asOf)
241
+ position = i;
242
+ else
243
+ break;
244
+ }
245
+ const lagged = position - tradingSessions;
246
+ if (position < 0 || lagged < 0) {
247
+ throw new InputError(`${functionName}: a lag of ${tradingSessions} trading session${tradingSessions === 1 ? '' : 's'} before asOf (${input.asOf}) reaches before the first session in input.lag.sessionTimestamps — extend the session index or lower the lag.`, { code: ErrorCode.InputOutOfRange, context: { field: 'lag.tradingSessions' } });
248
+ }
249
+ cutoff = sessionTimestamps[lagged];
250
+ }
251
+ }
252
+ let universeId = null;
253
+ let members = null;
254
+ if (input.universeHistory !== undefined) {
255
+ const membership = universeMembershipAt({
256
+ universeHistory: input.universeHistory,
257
+ asOf: input.asOf,
258
+ });
259
+ universeId = membership.assumptions.universeId;
260
+ members = new Set(membership.instrumentIds);
261
+ }
262
+ const exclusionReasons = {};
263
+ const addExclusion = (reason) => {
264
+ exclusionReasons[reason] = (exclusionReasons[reason] ?? 0) + 1;
265
+ };
266
+ const resolved = resolveLatestAvailableObservations(input.observations, cutoff, addExclusion);
267
+ const eligible = members === null
268
+ ? resolved
269
+ : resolved.filter((observation) => {
270
+ const isMember = members.has(observation.instrumentId);
271
+ if (!isMember)
272
+ addExclusion('not-a-universe-member-at-asOf');
273
+ return isMember;
274
+ });
275
+ const excludedCount = Object.values(exclusionReasons).reduce((sum, count) => sum + count, 0);
276
+ return {
277
+ assumptions: {
278
+ asOf: input.asOf,
279
+ availabilityCutoffMs: cutoff,
280
+ lagTradingSessions: lagSessions,
281
+ universeId,
282
+ versionResolution: 'latest available at or before the cutoff per instrument',
283
+ },
284
+ diagnostics: {
285
+ warnings: [],
286
+ suppliedCount: input.observations.length,
287
+ eligibleCount: eligible.length,
288
+ excludedCount,
289
+ exclusionReasons,
290
+ },
291
+ observations: eligible,
292
+ };
293
+ }
294
+ //# sourceMappingURL=universe.js.map
@@ -0,0 +1 @@
1
+ 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+ # @insiderfinance/totalfinance/research — public API
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+
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+ > Generated by `tools/api-report`. Do not edit by hand. Run `pnpm api:update` after intentional
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+ > public API changes; `pnpm api:check` fails on undocumented drift.
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+
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+ ## Exports (102)
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+
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+ - `const CANONICAL_FACTOR_RECIPES`: Readonly<Record<string, FactorRecipe>>
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+ - `function aggregateEventStudies`: (input: AggregateEventStudiesInput) => AggregateEventStudiesResult
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+ - `function alignEventWindows`: (input: AlignEventWindowsInput) => AlignEventWindowsResult
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+ - `function compositeFactorScore`: (input: CompositeFactorScoreInput) => CompositeFactorScoreResult
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+ - `function eligibleObservationsAt`: (input: EligibleObservationsAtInput) => EligibleObservationsAtResult
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+ - `function eventStudy`: (input: EventStudyInput) => EventStudyResult
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+ - `function factorDecay`: (input: FactorDecayInput) => FactorDecayResult
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+ - `function factorSpreadReturn`: (input: FactorSpreadReturnInput) => FactorSpreadReturnResult
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+ - `function factorTurnover`: (input: FactorTurnoverInput) => FactorTurnoverResult
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+ - `function formQuantilePortfolios`: (input: FormQuantilePortfoliosInput) => FormQuantilePortfoliosResult
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+ - `function informationCoefficient`: (input: InformationCoefficientInput) => InformationCoefficientResult
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+ - `function neutralizeFactor`: (input: NeutralizeFactorInput) => NeutralizeFactorResult
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+ - `function rankUniverse`: (input: RankUniverseInput) => RankUniverseResult
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+ - `function requireDefinitionsMap`: (functionName: string, definitions: Map<string, FieldDefinition>) => void
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+ - `function requireFieldDefinitions`: (functionName: string, fieldDefinitions: readonly FieldDefinition[]) => Map<string, FieldDefinition>
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+ - `function requireMarketEvent`: (functionName: string, path: string, event: MarketEvent) => void
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+ - `function requireReturnObservations`: (functionName: string, label: string, observations: readonly ReturnObservation[]) => void
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+ - `function requireScreenFilter`: (functionName: string, path: string, filter: ScreenFilter, definitions: Map<string, FieldDefinition>) => void
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+ - `function requireUniverseHistory`: (functionName: string, label: string, history: UniverseHistory) => void
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+ - `function requireUniverseObservation`: (functionName: string, path: string, observation: UniverseObservation, definitions: Map<string, FieldDefinition>) => void
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+ - `function requireUniverseObservations`: (functionName: string, observations: readonly UniverseObservation[], definitions: Map<string, FieldDefinition>) => void
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+ - `function scoreUniverse`: (input: ScoreUniverseInput) => ScoreUniverseResult
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+ - `function screenUniverse`: (input: ScreenUniverseInput) => ScreenUniverseResult
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+ - `function standardizeFactor`: (input: StandardizeFactorInput) => StandardizeFactorResult
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+ - `function universeMembershipAt`: (input: UniverseMembershipAtInput) => UniverseMembershipAtResult
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+ - `function winsorizeFactor`: (input: WinsorizeFactorInput) => WinsorizeFactorResult
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+ - `interface AbnormalReturnRow`: AbnormalReturnRow
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+ - `interface AggregateEventStudiesAssumptions`: AggregateEventStudiesAssumptions
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+ - `interface AggregateEventStudiesInput`: AggregateEventStudiesInput
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+ - `interface AggregateEventStudiesResult`: AggregateEventStudiesResult
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+ - `interface AlignedEventWindow`: AlignedEventWindow
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+ - `interface AlignedSessionRow`: AlignedSessionRow
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+ - `interface AlignEventWindowsInput`: AlignEventWindowsInput
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+ - `interface AlignEventWindowsResult`: AlignEventWindowsResult
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+ - `interface AverageAbnormalReturnRow`: AverageAbnormalReturnRow
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+ - `interface CompositeComponent`: CompositeComponent
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+ - `interface CompositeFactorScoreInput`: CompositeFactorScoreInput
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+ - `interface CompositeFactorScoreResult`: CompositeFactorScoreResult
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+ - `interface EligibilityLag`: EligibilityLag
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+ - `interface EligibleObservationsAtInput`: EligibleObservationsAtInput
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+ - `interface EligibleObservationsAtResult`: EligibleObservationsAtResult
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+ - `interface EventMarketModel`: EventMarketModel
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+ - `interface EventStudyAssumptions`: EventStudyAssumptions
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+ - `interface EventStudyDiagnostics`: EventStudyDiagnostics
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+ - `interface EventStudyEventResult`: EventStudyEventResult
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+ - `interface EventStudyInput`: EventStudyInput
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+ - `interface EventStudyResult`: EventStudyResult
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+ - `interface ExpectedReturnContext`: ExpectedReturnContext
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+ - `interface FactorCoverage`: FactorCoverage
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+ - `interface FactorDecayInput`: FactorDecayInput
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+ - `interface FactorDecayResult`: FactorDecayResult
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+ - `interface FactorEntry`: FactorEntry
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+ - `interface FactorRecipe`: FactorRecipe
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+ - `interface FactorRecipeFeature`: FactorRecipeFeature
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+ - `interface FactorSpreadReturnInput`: FactorSpreadReturnInput
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+ - `interface FactorSpreadReturnResult`: FactorSpreadReturnResult
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+ - `interface FactorTurnoverInput`: FactorTurnoverInput
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+ - `interface FactorTurnoverResult`: FactorTurnoverResult
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+ - `interface FieldDefinition`: FieldDefinition
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+ - `interface FormQuantilePortfoliosInput`: FormQuantilePortfoliosInput
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+ - `interface FormQuantilePortfoliosResult`: FormQuantilePortfoliosResult
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+ - `interface InformationCoefficientInput`: InformationCoefficientInput
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+ - `interface InformationCoefficientResult`: InformationCoefficientResult
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+ - `interface MarketEvent`: MarketEvent
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+ - `interface MarketReturnObservation`: MarketReturnObservation
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+ - `interface NeutralizeFactorInput`: NeutralizeFactorInput
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+ - `interface NeutralizeFactorResult`: NeutralizeFactorResult
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+ - `interface RankUniverseInput`: RankUniverseInput
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+ - `interface RankUniverseResult`: RankUniverseResult
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+ - `interface ReturnObservation`: ReturnObservation
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+ - `interface ScoreComponent`: ScoreComponent
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+ - `interface ScoreUniverseInput`: ScoreUniverseInput
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+ - `interface ScoreUniverseResult`: ScoreUniverseResult
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+ - `interface ScreenedRow`: ScreenedRow
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+ - `interface ScreenOrdering`: ScreenOrdering
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+ - `interface ScreenUniverseInput`: ScreenUniverseInput
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+ - `interface ScreenUniverseResult`: ScreenUniverseResult
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+ - `interface StandardizeFactorInput`: StandardizeFactorInput
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+ - `interface StandardizeFactorResult`: StandardizeFactorResult
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+ - `interface TradingSessionWindow`: TradingSessionWindow
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+ - `interface UniverseExit`: UniverseExit
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+ - `interface UniverseHistory`: UniverseHistory
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+ - `interface UniverseMember`: UniverseMember
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+ - `interface UniverseMembershipAtInput`: UniverseMembershipAtInput
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+ - `interface UniverseMembershipAtResult`: UniverseMembershipAtResult
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+ - `interface UniverseObservation`: UniverseObservation
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+ - `interface WinsorizeFactorInput`: WinsorizeFactorInput
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+ - `interface WinsorizeFactorResult`: WinsorizeFactorResult
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+ - `type ComparisonOperator`: ComparisonOperator
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+ - `type CumulativeConvention`: CumulativeConvention
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+ - `type EventStudySessionPolicy`: EventStudySessionPolicy
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+ - `type ExpectedReturnModelInput`: ExpectedReturnModelInput
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+ - `type FieldKind`: FieldKind
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+ - `type IdentityComparisonOperator`: IdentityComparisonOperator
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+ - `type MissingValuePolicy`: MissingValuePolicy
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+ - `type ObservedValue`: ObservedValue
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+ - `type OrderingComparisonOperator`: OrderingComparisonOperator
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+ - `type OverlappingEventPolicy`: OverlappingEventPolicy
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+ - `type RankTiePolicy`: RankTiePolicy
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+ - `type ScreenFilter`: ScreenFilter
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+ - `type UniverseExitReason`: UniverseExitReason
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+ - `type WinsorizationMethod`: WinsorizationMethod