@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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* Point-in-time universe vocabulary (Stage 4.6, FC8 Decision 3) — owned here because research owns
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* universe identity and eligibility; a simulator reads these and never redefines them.
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*
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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
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* `delisted` exit carries the return a holder earned from the last available price to the exit
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* so a backtest can book the fact instead of silently surviving it.
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* - Eligibility at an instant is the SAME law screening applies: an observation is visible only
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* when its `availableTimestampMs` is at or before the decision instant (minus an explicit lag in
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* 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.
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*/
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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
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* 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
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* closed records with finite instants, a half-open non-empty interval each, a declared exit
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* 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).
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*/
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export declare function requireUniverseHistory(functionName: string, label: string, history: UniverseHistory): void;
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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
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* `(previousAsOf, asOf]`; when omitted both are empty and only `instrumentIds` is meaningful.
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*/
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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';
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};
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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. */
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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
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* left (with the exit reason and any delisting return). The membership rule is the half-open
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* interval; ties are impossible because one instant is either inside an interval or not.
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*/
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export declare function universeMembershipAt(input: UniverseMembershipAtInput): UniverseMembershipAtResult;
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86
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export interface EligibilityLag {
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87
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/** How many trading sessions before `asOf` the data must have been available. */
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tradingSessions: number;
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/**
|
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90
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* The session instants the caller's dataset knows, ascending — the lag counts sessions in this
|
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91
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* index, never calendar days, so a weekend or holiday is not a session.
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*/
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sessionTimestamps: readonly EpochMs[];
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}
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export interface EligibleObservationsAtInput {
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observations: readonly UniverseObservation[];
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fieldDefinitions: readonly FieldDefinition[];
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asOf: EpochMs;
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/** Omitted = no lag: availability at or before `asOf` is enough. */
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lag?: EligibilityLag;
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/** When given, only members of this universe at `asOf` are eligible. */
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universeHistory?: UniverseHistory;
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}
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export interface EligibleObservationsAtResult {
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assumptions: {
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asOf: EpochMs;
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/** The instant availability is measured against: `asOf`, or the lagged session instant. */
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availabilityCutoffMs: EpochMs;
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lagTradingSessions: number;
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universeId: string | null;
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versionResolution: 'latest available at or before the cutoff per instrument';
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};
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diagnostics: {
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warnings: string[];
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suppliedCount: number;
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eligibleCount: number;
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excludedCount: number;
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exclusionReasons: Record<string, number>;
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};
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/** One observation per eligible instrument, `instrumentId` ascending. */
|
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observations: UniverseObservation[];
|
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}
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/**
|
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* The observations a decision at `asOf` may see: available at or before the cutoff (an explicit
|
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* session lag moves the cutoff back through the caller's session index), the latest version per
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* instrument, and — when a universe history is given — members at `asOf` only. Shifting a row's
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* `availableTimestampMs` past the cutoff removes it; the acceptance law every FC3 screen already
|
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* satisfies, exposed for the simulators.
|
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*/
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export declare function eligibleObservationsAt(input: EligibleObservationsAtInput): EligibleObservationsAtResult;
|
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//# sourceMappingURL=universe.d.ts.map
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|
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@@ -0,0 +1,294 @@
|
|
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1
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+
/**
|
|
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;
|
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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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> 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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## Exports (102)
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- `const CANONICAL_FACTOR_RECIPES`: Readonly<Record<string, FactorRecipe>>
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9
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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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14
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- `function factorDecay`: (input: FactorDecayInput) => FactorDecayResult
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15
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- `function factorSpreadReturn`: (input: FactorSpreadReturnInput) => FactorSpreadReturnResult
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16
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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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19
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- `function neutralizeFactor`: (input: NeutralizeFactorInput) => NeutralizeFactorResult
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20
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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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22
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- `function requireFieldDefinitions`: (functionName: string, fieldDefinitions: readonly FieldDefinition[]) => Map<string, FieldDefinition>
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23
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- `function requireMarketEvent`: (functionName: string, path: string, event: MarketEvent) => void
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24
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- `function requireReturnObservations`: (functionName: string, label: string, observations: readonly ReturnObservation[]) => void
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25
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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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27
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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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31
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- `function standardizeFactor`: (input: StandardizeFactorInput) => StandardizeFactorResult
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32
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- `function universeMembershipAt`: (input: UniverseMembershipAtInput) => UniverseMembershipAtResult
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33
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- `function winsorizeFactor`: (input: WinsorizeFactorInput) => WinsorizeFactorResult
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34
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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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49
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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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70
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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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73
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- `interface NeutralizeFactorInput`: NeutralizeFactorInput
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74
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- `interface NeutralizeFactorResult`: NeutralizeFactorResult
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75
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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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85
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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
|
|
95
|
+
- `interface WinsorizeFactorResult`: WinsorizeFactorResult
|
|
96
|
+
- `type ComparisonOperator`: ComparisonOperator
|
|
97
|
+
- `type CumulativeConvention`: CumulativeConvention
|
|
98
|
+
- `type EventStudySessionPolicy`: EventStudySessionPolicy
|
|
99
|
+
- `type ExpectedReturnModelInput`: ExpectedReturnModelInput
|
|
100
|
+
- `type FieldKind`: FieldKind
|
|
101
|
+
- `type IdentityComparisonOperator`: IdentityComparisonOperator
|
|
102
|
+
- `type MissingValuePolicy`: MissingValuePolicy
|
|
103
|
+
- `type ObservedValue`: ObservedValue
|
|
104
|
+
- `type OrderingComparisonOperator`: OrderingComparisonOperator
|
|
105
|
+
- `type OverlappingEventPolicy`: OverlappingEventPolicy
|
|
106
|
+
- `type RankTiePolicy`: RankTiePolicy
|
|
107
|
+
- `type ScreenFilter`: ScreenFilter
|
|
108
|
+
- `type UniverseExitReason`: UniverseExitReason
|
|
109
|
+
- `type WinsorizationMethod`: WinsorizationMethod
|