@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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24
|
+
* if it had succeeded, and an omitted stockPrice did the same. Optional fields (premiums are
|
|
25
|
+
* deliberately absent from examples) are covered by the name-convention ladder in the null walk.
|
|
26
|
+
*/
|
|
27
|
+
function requireExampleShape(functionName, path, example, input) {
|
|
28
|
+
for (const [key, sample] of Object.entries(example)) {
|
|
29
|
+
const memberPath = path === 'input' ? key : `${path}.${key}`;
|
|
30
|
+
const value = input[key];
|
|
31
|
+
// Missing slots are NOT judged here: a wholly-wrong shape gets the builder's curated
|
|
32
|
+
// wrong_shape teaching (F15 — received-keys echo beats naming one missing field), and the
|
|
33
|
+
// wrapper convicts a missing slot only when the builder SILENTLY accepts it (below).
|
|
34
|
+
if (value === undefined)
|
|
35
|
+
continue;
|
|
36
|
+
if (typeof sample === 'number') {
|
|
37
|
+
// The example shows the bare-strike SHORTHAND; several slots also accept the object leg
|
|
38
|
+
// form ({ strike, premium }) the example cannot witness — a plain object passes here and
|
|
39
|
+
// the null/premium walk covers its members. Primitives other than a finite number teach.
|
|
40
|
+
const isLegObject = value !== null && typeof value === 'object' && !Array.isArray(value);
|
|
41
|
+
if (!isLegObject && (typeof value !== 'number' || !Number.isFinite(value))) {
|
|
42
|
+
throw new InputError(`${functionName}: ${memberPath} must be a finite number (e.g. ${String(sample)}); role slots also accept a leg object \`{ strike, premium? }\`. Received ${value === null ? 'null' : typeof value === 'number' ? String(value) : typeof value}.`, {
|
|
43
|
+
code: ErrorCode.InputWrongType,
|
|
44
|
+
context: { function: functionName, field: memberPath, received: value },
|
|
45
|
+
});
|
|
46
|
+
}
|
|
47
|
+
}
|
|
48
|
+
else if (typeof sample === 'string') {
|
|
49
|
+
if (typeof value !== 'string') {
|
|
50
|
+
throw new InputError(`${functionName}: ${memberPath} must be a string (e.g. ${JSON.stringify(sample)}). Received ${value === null ? 'null' : typeof value}.`, {
|
|
51
|
+
code: ErrorCode.InputWrongType,
|
|
52
|
+
context: { function: functionName, field: memberPath, received: value },
|
|
53
|
+
});
|
|
54
|
+
}
|
|
55
|
+
}
|
|
56
|
+
else if (sample !== null &&
|
|
57
|
+
typeof sample === 'object' &&
|
|
58
|
+
!Array.isArray(sample) &&
|
|
59
|
+
value !== null &&
|
|
60
|
+
typeof value === 'object' &&
|
|
61
|
+
!Array.isArray(value)) {
|
|
62
|
+
requireExampleShape(functionName, memberPath, sample, value);
|
|
63
|
+
}
|
|
64
|
+
}
|
|
65
|
+
}
|
|
66
|
+
/** Optional premium fields share one vocabulary package-wide: a present premium is a finite number. */
|
|
67
|
+
function isPremiumKey(key) {
|
|
68
|
+
return key === 'premium' || key.endsWith('Premium');
|
|
69
|
+
}
|
|
70
|
+
function rejectNullFields(functionName, path, value) {
|
|
71
|
+
if (Array.isArray(value)) {
|
|
72
|
+
for (const [index, element] of value.entries()) {
|
|
73
|
+
rejectNullFields(functionName, `${path}[${String(index)}]`, element);
|
|
74
|
+
}
|
|
75
|
+
return;
|
|
76
|
+
}
|
|
77
|
+
if (value === null || typeof value !== 'object')
|
|
78
|
+
return;
|
|
79
|
+
if (Object.getPrototypeOf(value) !== Object.prototype)
|
|
80
|
+
return;
|
|
81
|
+
for (const [key, member] of Object.entries(value)) {
|
|
82
|
+
const memberPath = path === 'input' ? key : `${path}.${key}`;
|
|
83
|
+
if (member === null) {
|
|
84
|
+
throw new InputError(`${functionName}: ${memberPath} must not be null — omit the field instead. Received null.`, {
|
|
85
|
+
code: ErrorCode.InputWrongType,
|
|
86
|
+
context: { function: functionName, field: memberPath, received: 'null' },
|
|
87
|
+
});
|
|
88
|
+
}
|
|
89
|
+
if (isPremiumKey(key) && (typeof member !== 'number' || !Number.isFinite(member))) {
|
|
90
|
+
throw new InputError(`${functionName}: ${memberPath} must be a finite number when provided — the premium per share in currency units. Received ${typeof member === 'number' ? String(member) : typeof member}.`, {
|
|
91
|
+
code: ErrorCode.InputWrongType,
|
|
92
|
+
context: { function: functionName, field: memberPath, received: member },
|
|
93
|
+
});
|
|
94
|
+
}
|
|
95
|
+
rejectNullFields(functionName, memberPath, member);
|
|
96
|
+
}
|
|
97
|
+
}
|
|
98
|
+
import * as b from './builders.js';
|
|
99
|
+
import * as cal from './calendars.js';
|
|
100
|
+
import { withProvenance } from './position.js';
|
|
101
|
+
import * as s from './strategies.js';
|
|
102
|
+
import { POSITION_CONFIG_KEYS } from './types.js';
|
|
103
|
+
const REGISTRY = [];
|
|
104
|
+
/**
|
|
105
|
+
* Wrap a raw builder: register it, guard its input container centrally (the first-touch law — one
|
|
106
|
+
* guard here covers every named builder), and stamp `constructedAs` on every Position it returns.
|
|
107
|
+
*/
|
|
108
|
+
/**
|
|
109
|
+
* EXACT per-builder input fields (Law 12, D4) — extracted from each builder's input INTERFACE
|
|
110
|
+
* (extends-resolved), so `longCall` does not silently accept `putPremium` and a typo of any
|
|
111
|
+
* field gets a did-you-mean against exactly the fields that builder reads. Regenerate by
|
|
112
|
+
* re-running the interface extraction if a builder's input type changes; the unknown-key sweep
|
|
113
|
+
* fails if a builder accepts a key that is not in its list.
|
|
114
|
+
*/
|
|
115
|
+
const BUILDER_FIELDS = {
|
|
116
|
+
bearCallLadder: ['expiry', 'lower', 'middle', 'quantity', 'upper'],
|
|
117
|
+
bearCallSpread: ['expiry', 'long', 'quantity', 'short'],
|
|
118
|
+
bearPutLadder: ['expiry', 'lower', 'middle', 'quantity', 'upper'],
|
|
119
|
+
bearPutSpread: ['expiry', 'long', 'quantity', 'short'],
|
|
120
|
+
bullCallLadder: ['expiry', 'lower', 'middle', 'quantity', 'upper'],
|
|
121
|
+
bullCallSpread: ['expiry', 'long', 'quantity', 'short'],
|
|
122
|
+
bullPutLadder: ['expiry', 'lower', 'middle', 'quantity', 'upper'],
|
|
123
|
+
bullPutSpread: ['expiry', 'long', 'quantity', 'short'],
|
|
124
|
+
calendarCallSpread: [
|
|
125
|
+
'farExpiry',
|
|
126
|
+
'longPremium',
|
|
127
|
+
'nearExpiry',
|
|
128
|
+
'quantity',
|
|
129
|
+
'shortPremium',
|
|
130
|
+
'strike',
|
|
131
|
+
],
|
|
132
|
+
calendarPutSpread: [
|
|
133
|
+
'farExpiry',
|
|
134
|
+
'longPremium',
|
|
135
|
+
'nearExpiry',
|
|
136
|
+
'quantity',
|
|
137
|
+
'shortPremium',
|
|
138
|
+
'strike',
|
|
139
|
+
],
|
|
140
|
+
callBrokenWing: ['expiry', 'lower', 'middle', 'quantity', 'upper'],
|
|
141
|
+
callRatioBackspread: ['expiry', 'long', 'quantity', 'ratio', 'short'],
|
|
142
|
+
callRatioSpread: ['expiry', 'long', 'quantity', 'ratio', 'short'],
|
|
143
|
+
cashSecuredPut: ['expiry', 'premium', 'quantity', 'strike'],
|
|
144
|
+
collar: ['call', 'expiry', 'put', 'quantity', 'stockPrice'],
|
|
145
|
+
coveredCall: ['expiry', 'premium', 'quantity', 'stockPrice', 'strike'],
|
|
146
|
+
coveredShortStraddle: ['callPremium', 'expiry', 'putPremium', 'quantity', 'stockPrice', 'strike'],
|
|
147
|
+
coveredShortStrangle: ['call', 'expiry', 'put', 'quantity', 'stockPrice'],
|
|
148
|
+
diagonalCallSpread: [
|
|
149
|
+
'farExpiry',
|
|
150
|
+
'longPremium',
|
|
151
|
+
'longStrike',
|
|
152
|
+
'nearExpiry',
|
|
153
|
+
'quantity',
|
|
154
|
+
'shortPremium',
|
|
155
|
+
'shortStrike',
|
|
156
|
+
],
|
|
157
|
+
diagonalPutSpread: [
|
|
158
|
+
'farExpiry',
|
|
159
|
+
'longPremium',
|
|
160
|
+
'longStrike',
|
|
161
|
+
'nearExpiry',
|
|
162
|
+
'quantity',
|
|
163
|
+
'shortPremium',
|
|
164
|
+
'shortStrike',
|
|
165
|
+
],
|
|
166
|
+
doubleDiagonal: ['call', 'farExpiry', 'nearExpiry', 'put', 'quantity'],
|
|
167
|
+
guts: ['expiry', 'lower', 'quantity', 'upper'],
|
|
168
|
+
inverseCallBrokenWing: ['expiry', 'lower', 'middle', 'quantity', 'upper'],
|
|
169
|
+
inverseIronButterfly: ['body', 'callWing', 'expiry', 'putWing', 'quantity'],
|
|
170
|
+
inverseIronCondor: ['callLong', 'callShort', 'expiry', 'putLong', 'putShort', 'quantity'],
|
|
171
|
+
inversePutBrokenWing: ['expiry', 'lower', 'middle', 'quantity', 'upper'],
|
|
172
|
+
ironButterfly: ['body', 'callWing', 'expiry', 'putWing', 'quantity'],
|
|
173
|
+
ironCondor: ['callLong', 'callShort', 'expiry', 'putLong', 'putShort', 'quantity'],
|
|
174
|
+
jadeLizard: ['expiry', 'longCall', 'put', 'quantity', 'shortCall'],
|
|
175
|
+
longCall: ['expiry', 'premium', 'quantity', 'strike'],
|
|
176
|
+
longCallButterfly: ['expiry', 'lower', 'middle', 'quantity', 'upper'],
|
|
177
|
+
longCallCondor: ['expiry', 'k1', 'k2', 'k3', 'k4', 'quantity'],
|
|
178
|
+
longCombo: ['expiry', 'lower', 'quantity', 'upper'],
|
|
179
|
+
longPut: ['expiry', 'premium', 'quantity', 'strike'],
|
|
180
|
+
longPutButterfly: ['expiry', 'lower', 'middle', 'quantity', 'upper'],
|
|
181
|
+
longPutCondor: ['expiry', 'k1', 'k2', 'k3', 'k4', 'quantity'],
|
|
182
|
+
longSyntheticFuture: ['callPremium', 'expiry', 'putPremium', 'quantity', 'strike'],
|
|
183
|
+
protectivePut: ['expiry', 'premium', 'quantity', 'stockPrice', 'strike'],
|
|
184
|
+
putBrokenWing: ['expiry', 'lower', 'middle', 'quantity', 'upper'],
|
|
185
|
+
putRatioBackspread: ['expiry', 'long', 'quantity', 'ratio', 'short'],
|
|
186
|
+
putRatioSpread: ['expiry', 'long', 'quantity', 'ratio', 'short'],
|
|
187
|
+
reverseJadeLizard: ['call', 'expiry', 'longPut', 'quantity', 'shortPut'],
|
|
188
|
+
shortCall: ['expiry', 'premium', 'quantity', 'strike'],
|
|
189
|
+
shortCallButterfly: ['expiry', 'lower', 'middle', 'quantity', 'upper'],
|
|
190
|
+
shortCallCondor: ['expiry', 'k1', 'k2', 'k3', 'k4', 'quantity'],
|
|
191
|
+
shortCombo: ['expiry', 'lower', 'quantity', 'upper'],
|
|
192
|
+
shortGuts: ['expiry', 'lower', 'quantity', 'upper'],
|
|
193
|
+
shortPut: ['expiry', 'premium', 'quantity', 'strike'],
|
|
194
|
+
shortPutButterfly: ['expiry', 'lower', 'middle', 'quantity', 'upper'],
|
|
195
|
+
shortPutCondor: ['expiry', 'k1', 'k2', 'k3', 'k4', 'quantity'],
|
|
196
|
+
shortStraddle: ['callPremium', 'expiry', 'putPremium', 'quantity', 'strike'],
|
|
197
|
+
shortStrangle: ['call', 'expiry', 'put', 'quantity'],
|
|
198
|
+
shortSyntheticFuture: ['callPremium', 'expiry', 'putPremium', 'quantity', 'strike'],
|
|
199
|
+
straddle: ['callPremium', 'expiry', 'putPremium', 'quantity', 'strike'],
|
|
200
|
+
strangle: ['call', 'expiry', 'put', 'quantity'],
|
|
201
|
+
strap: ['callPremium', 'expiry', 'putPremium', 'quantity', 'strike'],
|
|
202
|
+
strip: ['callPremium', 'expiry', 'putPremium', 'quantity', 'strike'],
|
|
203
|
+
syntheticPut: ['expiry', 'premium', 'quantity', 'stockPrice', 'strike'],
|
|
204
|
+
};
|
|
205
|
+
function named(name, description, build, example, multiExpiry = false) {
|
|
206
|
+
const allowed = BUILDER_FIELDS[name] ??
|
|
207
|
+
[...new Set([...Object.keys(example), 'quantity', 'expiry'])];
|
|
208
|
+
const wrapped = (input, config) => {
|
|
209
|
+
if (input === null || typeof input !== 'object') {
|
|
210
|
+
throw wrongShapeError(`strategy.${name}`, `${JSON.stringify(example)} (see listStrategies() for every builder's example input)`, input);
|
|
211
|
+
}
|
|
212
|
+
// Law 12, ordered for the best teaching: when unknown keys accompany MISSING structural
|
|
213
|
+
// slots the caller has the wrong shape entirely — defer to the builder's own curated
|
|
214
|
+
// validateSlots/rejectRetiredKey errors (received-keys echo, retired-key replacements).
|
|
215
|
+
// Unknown keys alongside a complete shape are a typo — did-you-mean here.
|
|
216
|
+
const keys = Object.keys(input);
|
|
217
|
+
const missingStructural = Object.keys(example).some((k) => !keys.includes(k));
|
|
218
|
+
// Retired keys (the nested `premiums` object) and a bare `expiry` on the per-side expiry
|
|
219
|
+
// families (calendars/diagonals teach nearExpiry/farExpiry, R4) have CURATED replacement
|
|
220
|
+
// teaching in the builders — let that fire rather than a generic unknown-field error.
|
|
221
|
+
const hasRetired = keys.includes('premiums') || (keys.includes('expiry') && !allowed.includes('expiry'));
|
|
222
|
+
if (!missingStructural && !hasRetired) {
|
|
223
|
+
ensureKnownKeys(`strategy.${name}`, 'input', input, allowed);
|
|
224
|
+
}
|
|
225
|
+
// The CONFIG argument obeys Law 12 too (D4): `{ premums: 'model' }` must teach, never
|
|
226
|
+
// silently price with user premiums.
|
|
227
|
+
if (config !== null && typeof config === 'object') {
|
|
228
|
+
ensureKnownKeys(`strategy.${name}`, 'config', config, POSITION_CONFIG_KEYS);
|
|
229
|
+
}
|
|
230
|
+
// Null is not omission (the 350c2796 ruling, applied at this ONE gate for every builder):
|
|
231
|
+
// `{ expiry: null }` fell through each builder's `?? default` and silently built an
|
|
232
|
+
// expiry-less position — the silent-default class, arriving as null does in practice
|
|
233
|
+
// (`JSON.stringify(NaN)`, a LEFT JOIN, a producer "clearing" a field). No builder input or
|
|
234
|
+
// config field declares `| null`, so the walk is unconditional; it recurses through plain
|
|
235
|
+
// objects and arrays (`market.dividendYield: null`, a leg's `premium: null`) because a nested
|
|
236
|
+
// null defaults just as silently as a top-level one.
|
|
237
|
+
rejectNullFields(`strategy.${name}`, 'input', input);
|
|
238
|
+
if (config !== null && typeof config === 'object') {
|
|
239
|
+
rejectNullFields(`strategy.${name}`, 'config', config);
|
|
240
|
+
}
|
|
241
|
+
// The example-shape walk LAST, so the curated teaching above (retired keys, did-you-mean,
|
|
242
|
+
// null-is-not-omission) keeps firing for its own classes first.
|
|
243
|
+
requireExampleShape(`strategy.${name}`, 'input', example, input);
|
|
244
|
+
// Provenance rides the config THROUGH the constructor: positions freeze at construction
|
|
245
|
+
// (dx §4.4), so a post-construction defineProperty would throw on the frozen instance.
|
|
246
|
+
const missingKeys = Object.keys(example).filter((key) => input[key] === undefined);
|
|
247
|
+
// Presets name their direction. A negative structure count must not invert that name now
|
|
248
|
+
// that the instrument-first leg constructors intentionally accept signed quantities.
|
|
249
|
+
const quantity = input['quantity'];
|
|
250
|
+
ensureFiniteWhenPresent(quantity, 'quantity', `strategy.${name}`);
|
|
251
|
+
if (quantity !== undefined)
|
|
252
|
+
ensurePositive(quantity, 'quantity', `strategy.${name}`);
|
|
253
|
+
const built = build(input, withProvenance(name, config));
|
|
254
|
+
// A builder that RETURNED with a required slot absent built a NaN position and called it
|
|
255
|
+
// success — the covered family did exactly this with stockPrice. Builders with curated slot
|
|
256
|
+
// validation threw above (their teaching wins); silence is what gets convicted here.
|
|
257
|
+
if (missingKeys.length > 0) {
|
|
258
|
+
throw new InputError(`strategy.${name}: ${missingKeys[0]} is required. A complete call: ${name}(${JSON.stringify(example)}).`, {
|
|
259
|
+
code: ErrorCode.InputMissingField,
|
|
260
|
+
context: { function: `strategy.${name}`, field: missingKeys[0] },
|
|
261
|
+
});
|
|
262
|
+
}
|
|
263
|
+
return built;
|
|
264
|
+
};
|
|
265
|
+
REGISTRY.push({ name, description, multiExpiry, example, builder: wrapped });
|
|
266
|
+
return wrapped;
|
|
267
|
+
}
|
|
268
|
+
// ── single legs ────────────────────────────────────────────────────────────────────────────────
|
|
269
|
+
export const longCall = named('longCall', 'Long a single call.', s.longCall, { strike: 105 });
|
|
270
|
+
export const shortCall = named('shortCall', 'Short a single call.', s.shortCall, { strike: 110 });
|
|
271
|
+
export const longPut = named('longPut', 'Long a single put.', s.longPut, { strike: 100 });
|
|
272
|
+
export const shortPut = named('shortPut', 'Short a single put.', s.shortPut, { strike: 95 });
|
|
273
|
+
export const cashSecuredPut = named('cashSecuredPut', 'Short put (cash-secured — identical payoff; the "secured" is a margin distinction).', s.cashSecuredPut, { strike: 95 });
|
|
274
|
+
// ── verticals ──────────────────────────────────────────────────────────────────────────────────
|
|
275
|
+
export const bullCallSpread = named('bullCallSpread', 'Long lower call, short higher call (debit, bullish, defined risk).', b.bullCallSpread, { long: 100, short: 110 });
|
|
276
|
+
export const bearCallSpread = named('bearCallSpread', 'Short lower call, long higher call (credit, bearish, defined risk).', b.bearCallSpread, { long: 110, short: 100 });
|
|
277
|
+
export const bullPutSpread = named('bullPutSpread', 'Short higher put, long lower put (credit, bullish, defined risk).', b.bullPutSpread, { long: 95, short: 105 });
|
|
278
|
+
export const bearPutSpread = named('bearPutSpread', 'Long higher put, short lower put (debit, bearish, defined risk).', b.bearPutSpread, { long: 105, short: 95 });
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279
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// ── straddles / strangles ──────────────────────────────────────────────────────────────────────
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280
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export const straddle = named('straddle', 'Long call + long put at one strike (long volatility).', b.straddle, { strike: 105 });
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281
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+
export const strangle = named('strangle', 'Long OTM call + long OTM put (long volatility, wider breakevens).', b.strangle, { call: 115, put: 95 });
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282
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+
export const shortStraddle = named('shortStraddle', 'Short call + short put at one strike (short volatility, undefined risk).', s.shortStraddle, { strike: 105 });
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283
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+
export const shortStrangle = named('shortStrangle', 'Short OTM call + short OTM put (short volatility, undefined risk).', s.shortStrangle, { call: 115, put: 95 });
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284
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+
export const strip = named('strip', 'Long 1 call + 2 puts at one strike (volatility, bearish bias).', s.strip, { strike: 105 });
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285
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+
export const strap = named('strap', 'Long 2 calls + 1 put at one strike (volatility, bullish bias).', s.strap, { strike: 105 });
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286
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+
// ── guts / combos / synthetics ─────────────────────────────────────────────────────────────────
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287
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+
export const guts = named('guts', 'Long ITM call (lower) + long ITM put (upper).', s.guts, {
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288
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lower: 95,
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289
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upper: 115,
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290
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+
});
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291
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+
export const shortGuts = named('shortGuts', 'Short ITM call (lower) + short ITM put (upper).', s.shortGuts, { lower: 95, upper: 115 });
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292
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+
export const longCombo = named('longCombo', 'Long upper call + short lower put (synthetic long at split strikes).', s.longCombo, { lower: 95, upper: 115 });
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293
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+
export const shortCombo = named('shortCombo', 'Short upper call + long lower put (synthetic short at split strikes).', s.shortCombo, { lower: 95, upper: 115 });
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294
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export const longSyntheticFuture = named('longSyntheticFuture', 'Long call + short put at one strike (synthetic long stock).', s.longSyntheticFuture, { strike: 105 });
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295
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export const shortSyntheticFuture = named('shortSyntheticFuture', 'Short call + long put at one strike (synthetic short stock).', s.shortSyntheticFuture, { strike: 105 });
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296
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export const syntheticPut = named('syntheticPut', 'Short stock + long call (synthetic long put).', s.syntheticPut, { strike: 105, stockPrice: 105 });
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297
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// ── ladders / broken wings ─────────────────────────────────────────────────────────────────────
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export const bullCallLadder = named('bullCallLadder', 'Long lower call, short middle + upper calls.', s.bullCallLadder, { lower: 100, middle: 110, upper: 120 });
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299
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+
export const bearCallLadder = named('bearCallLadder', 'Short lower call, long middle + upper calls.', s.bearCallLadder, { lower: 100, middle: 110, upper: 120 });
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300
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+
export const bullPutLadder = named('bullPutLadder', 'Short upper put, long middle + lower puts.', s.bullPutLadder, { lower: 90, middle: 100, upper: 110 });
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301
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+
export const bearPutLadder = named('bearPutLadder', 'Long upper put, short middle + lower puts.', s.bearPutLadder, { lower: 90, middle: 100, upper: 110 });
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302
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export const callBrokenWing = named('callBrokenWing', 'Call butterfly with asymmetric wings (skip-strike, directional).', s.callBrokenWing, { lower: 100, middle: 110, upper: 125 });
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303
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export const putBrokenWing = named('putBrokenWing', 'Put butterfly with asymmetric wings (skip-strike, directional).', s.putBrokenWing, { lower: 85, middle: 100, upper: 110 });
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304
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export const inverseCallBrokenWing = named('inverseCallBrokenWing', 'Inverse call broken-wing: short/long·2/short with asymmetric wings.', s.inverseCallBrokenWing, { lower: 100, middle: 110, upper: 125 });
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305
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+
export const inversePutBrokenWing = named('inversePutBrokenWing', 'Inverse put broken-wing: short/long·2/short with asymmetric wings.', s.inversePutBrokenWing, { lower: 85, middle: 100, upper: 110 });
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+
// ── jade lizards ───────────────────────────────────────────────────────────────────────────────
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307
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+
export const jadeLizard = named('jadeLizard', 'Short put + short call spread (credit > call-spread width ⇒ no upside risk).', s.jadeLizard, { put: 95, shortCall: 110, longCall: 115 });
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308
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export const reverseJadeLizard = named('reverseJadeLizard', 'Short call + short put spread (mirror jade lizard).', s.reverseJadeLizard, { call: 115, shortPut: 100, longPut: 95 });
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309
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// ── ratio spreads / backspreads ────────────────────────────────────────────────────────────────
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310
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export const callRatioSpread = named('callRatioSpread', 'Long 1 call, short N further calls (default 1×2).', s.callRatioSpread, { long: 105, short: 115 });
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311
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+
export const putRatioSpread = named('putRatioSpread', 'Long 1 put, short N further puts (default 1×2).', s.putRatioSpread, { long: 105, short: 95 });
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312
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+
export const callRatioBackspread = named('callRatioBackspread', 'Short 1 near call, long N further calls (default 1×2).', s.callRatioBackspread, { long: 115, short: 105 });
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313
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+
export const putRatioBackspread = named('putRatioBackspread', 'Short 1 near put, long N further puts (default 1×2).', s.putRatioBackspread, { long: 95, short: 105 });
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314
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// ── butterflies / condors (single-type) ────────────────────────────────────────────────────────
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315
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export const longCallButterfly = named('longCallButterfly', 'Long/short·2/long calls, symmetric wings (pin risk play).', s.longCallButterfly, { lower: 95, middle: 105, upper: 115 });
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316
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+
export const longPutButterfly = named('longPutButterfly', 'Long/short·2/long puts, symmetric wings.', s.longPutButterfly, { lower: 95, middle: 105, upper: 115 });
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317
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+
export const shortCallButterfly = named('shortCallButterfly', 'Short/long·2/short calls, symmetric wings.', s.shortCallButterfly, { lower: 95, middle: 105, upper: 115 });
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318
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+
export const shortPutButterfly = named('shortPutButterfly', 'Short/long·2/short puts, symmetric wings.', s.shortPutButterfly, { lower: 95, middle: 105, upper: 115 });
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319
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+
export const longCallCondor = named('longCallCondor', 'Long k1/short k2/short k3/long k4 calls (all-call condor).', s.longCallCondor, { k1: 90, k2: 100, k3: 110, k4: 120 });
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320
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+
export const longPutCondor = named('longPutCondor', 'Long k1/short k2/short k3/long k4 puts (all-put condor).', s.longPutCondor, { k1: 90, k2: 100, k3: 110, k4: 120 });
|
|
321
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+
export const shortCallCondor = named('shortCallCondor', 'Short k1/long k2/long k3/short k4 calls.', s.shortCallCondor, { k1: 90, k2: 100, k3: 110, k4: 120 });
|
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322
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+
export const shortPutCondor = named('shortPutCondor', 'Short k1/long k2/long k3/short k4 puts.', s.shortPutCondor, { k1: 90, k2: 100, k3: 110, k4: 120 });
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323
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+
// ── iron structures ────────────────────────────────────────────────────────────────────────────
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324
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+
export const ironCondor = named('ironCondor', 'Short put spread + short call spread (credit, range-bound, defined risk).', b.ironCondor, { putLong: 90, putShort: 95, callShort: 110, callLong: 115 });
|
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325
|
+
export const inverseIronCondor = named('inverseIronCondor', 'Long inner strangle + short outer wings (reverse iron condor).', s.inverseIronCondor, { putLong: 90, putShort: 95, callShort: 110, callLong: 115 });
|
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326
|
+
export const ironButterfly = named('ironButterfly', 'Short ATM straddle + long OTM wings (credit, pin play, defined risk).', s.ironButterfly, { body: { strike: 105 }, putWing: 95, callWing: 115 });
|
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327
|
+
export const inverseIronButterfly = named('inverseIronButterfly', 'Long ATM straddle + short OTM wings (reverse iron butterfly).', s.inverseIronButterfly, { body: { strike: 105 }, putWing: 95, callWing: 115 });
|
|
328
|
+
// ── stock + option combinations ────────────────────────────────────────────────────────────────
|
|
329
|
+
export const coveredCall = named('coveredCall', 'Long 100·q shares + short q calls.', s.coveredCall, { stockPrice: 105, strike: 115 });
|
|
330
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+
export const protectivePut = named('protectivePut', 'Long 100·q shares + long q puts.', s.protectivePut, { stockPrice: 105, strike: 95 });
|
|
331
|
+
export const collar = named('collar', 'Long 100·q shares + long put + short call (bounded both ways).', s.collar, { stockPrice: 105, put: 95, call: 115 });
|
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332
|
+
export const coveredShortStraddle = named('coveredShortStraddle', 'Long 100·q shares + short straddle at one strike.', s.coveredShortStraddle, { stockPrice: 105, strike: 105 });
|
|
333
|
+
export const coveredShortStrangle = named('coveredShortStrangle', 'Long 100·q shares + short strangle at split strikes.', s.coveredShortStrangle, { stockPrice: 105, call: 115, put: 95 });
|
|
334
|
+
// ── multi-expiry (calendars / diagonals) ───────────────────────────────────────────────────────
|
|
335
|
+
const NEAR = '2026-06-19';
|
|
336
|
+
const FAR = '2026-09-18';
|
|
337
|
+
export const calendarCallSpread = named('calendarCallSpread', 'Short near call + long far call at one strike (horizontal).', cal.calendarCallSpread, { strike: 105, nearExpiry: NEAR, farExpiry: FAR }, true);
|
|
338
|
+
export const calendarPutSpread = named('calendarPutSpread', 'Short near put + long far put at one strike (horizontal).', cal.calendarPutSpread, { strike: 105, nearExpiry: NEAR, farExpiry: FAR }, true);
|
|
339
|
+
export const diagonalCallSpread = named('diagonalCallSpread', 'Short near call + long far call at different strikes.', cal.diagonalCallSpread, { shortStrike: 110, nearExpiry: NEAR, longStrike: 100, farExpiry: FAR }, true);
|
|
340
|
+
export const diagonalPutSpread = named('diagonalPutSpread', 'Short near put + long far put at different strikes.', cal.diagonalPutSpread, { shortStrike: 100, nearExpiry: NEAR, longStrike: 110, farExpiry: FAR }, true);
|
|
341
|
+
export const doubleDiagonal = named('doubleDiagonal', 'Short near strangle financing a long far strangle.', cal.doubleDiagonal, {
|
|
342
|
+
nearExpiry: NEAR,
|
|
343
|
+
farExpiry: FAR,
|
|
344
|
+
call: { shortStrike: 110, longStrike: 115 },
|
|
345
|
+
put: { shortStrike: 100, longStrike: 95 },
|
|
346
|
+
}, true);
|
|
347
|
+
/** Every named builder: name, description, multi-expiry flag, and a canonical example input. */
|
|
348
|
+
export function listStrategies() {
|
|
349
|
+
return REGISTRY.map(({ builder: _builder, ...descriptor }) => ({ ...descriptor }));
|
|
350
|
+
}
|
|
351
|
+
export function buildStrategy(request) {
|
|
352
|
+
requireArgumentObject('buildStrategy', 'request', request);
|
|
353
|
+
ensureKnownKeys('buildStrategy', 'request', request, ['name', 'input', 'config']);
|
|
354
|
+
const { name, input, config } = request;
|
|
355
|
+
if (typeof name !== 'string') {
|
|
356
|
+
throw new InputError(`buildStrategy: name must be a strategy name string (e.g. 'ironCondor' — see listStrategies()), got ${name === null ? 'null' : typeof name}.`, { code: ErrorCode.InputWrongType, context: { name } });
|
|
357
|
+
}
|
|
358
|
+
const entry = REGISTRY.find((e) => e.name === name);
|
|
359
|
+
if (entry === undefined) {
|
|
360
|
+
const near = REGISTRY.find((e) => e.name.toLowerCase() === name.toLowerCase());
|
|
361
|
+
throw new InputError(`buildStrategy: unknown strategy '${name}'.${near ? ` Did you mean '${near.name}'?` : ''} listStrategies() returns the full catalog with example inputs.`, {
|
|
362
|
+
code: ErrorCode.InputInvalidEnum,
|
|
363
|
+
context: { name, known: REGISTRY.map((e) => e.name) },
|
|
364
|
+
});
|
|
365
|
+
}
|
|
366
|
+
return entry.builder(input, config);
|
|
367
|
+
}
|
|
368
|
+
/**
|
|
369
|
+
* INTERNAL — the registry with live builders, for the classifier and the round-trip law in CI.
|
|
370
|
+
* Not part of the public surface: apps and agents use `listStrategies()` (the catalog) and
|
|
371
|
+
* `buildStrategy({ name, input })` (dynamic dispatch) instead. Import path: `./manifest.js` only.
|
|
372
|
+
*/
|
|
373
|
+
export function strategyRegistry() {
|
|
374
|
+
return REGISTRY;
|
|
375
|
+
}
|
|
376
|
+
//# sourceMappingURL=manifest.js.map
|
|
@@ -0,0 +1 @@
|
|
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1
|
+
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/**
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* Strategy optimizer (spec §12, roadmap Tier 3) — invert the profit calculator: given a **thesis**
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3
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* (where the trader thinks the underlying lands, by when, and how sure), search structures × strikes ×
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4
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* **expiries** and rank by expected P&L **under that thesis**, not the market's risk-neutral
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* distribution.
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*
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7
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* A thin generalization of `scanStrategies`: for each expiry it reuses the scanner to enumerate + filter
|
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8
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+
* + risk-metric the candidates (with materializable legs), then re-scores each candidate's expected P&L
|
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9
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+
* and probability-of-profit by integrating `Position.pnlAtExpiry` against the trader's thesis density.
|
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10
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+
* No second pricing path. See `docs/specs/strategy-optimizer.md`.
|
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11
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+
*/
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12
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+
import { type Diagnostics, type EpochMs } from '../../core/dist/index.js';
|
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13
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+
import { type KellyBetInput, type KellySizing, type OptionsMarginResult } from '../../risk/dist/sizing.js';
|
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14
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+
import { type ScanCandidate, type ScanObjective, type ScanQuoteRow, type ScanStructure } from './scanner.js';
|
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15
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+
import { type ThesisOutcomeNode } from './thesis-distribution.js';
|
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16
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+
/** The trader's view of the terminal price — a lognormal centered at a target (or drift). */
|
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17
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+
export interface OptimizerThesis {
|
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18
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+
/** Median terminal price (the central view). If omitted, the median is `spot·e^{drift·t}`. */
|
|
19
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+
targetPrice?: number;
|
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20
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+
/** Annualized volatility capturing the trader's UNCERTAINTY (σ_log at expiry = `volatility·√t`). Required, > 0. */
|
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21
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+
volatility: number;
|
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22
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+
/** Annualized drift used when `targetPrice` is omitted (default 0 — a flat view). */
|
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23
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+
drift?: number;
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24
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+
/** Escape hatch: an arbitrary terminal density `p(price, t)` (replaces the lognormal shape). */
|
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25
|
+
pdf?: (price: number, timeToExpiryYears: number) => number;
|
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26
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+
/**
|
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27
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+
* Required with `pdf`: the price range `{ from, to }` covering the density's support. The custom
|
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28
|
+
* density is integrated over exactly this range (not the `volatility` window), so its mass is never
|
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29
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+
* silently truncated. Ignored for the lognormal thesis.
|
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30
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+
*/
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31
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+
pdfRange?: {
|
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32
|
+
from: number;
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33
|
+
to: number;
|
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34
|
+
};
|
|
35
|
+
}
|
|
36
|
+
/** One expiry in the search space: its chain (+ optional pricing `volatility`/`smile`). */
|
|
37
|
+
export interface OptimizerExpiry {
|
|
38
|
+
expiry: string;
|
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39
|
+
chain: ScanQuoteRow[];
|
|
40
|
+
/** Pricing volatility for this expiry (falls back to `options.volatility`). */
|
|
41
|
+
volatility?: number;
|
|
42
|
+
/** Pricing smile for this expiry (falls back to `options.smile`). */
|
|
43
|
+
smile?: (strike: number) => number;
|
|
44
|
+
}
|
|
45
|
+
/** Ranking objective: a thesis-based one, or the scanner's market-implied ones. */
|
|
46
|
+
export type OptimizerObjective = 'thesisExpectedValuePerRisk' | 'thesisExpectedValuePerCapital' | 'thesisExpectedValue' | 'thesisProbabilityOfProfit' | ScanObjective;
|
|
47
|
+
/**
|
|
48
|
+
* Opt-in Kelly sizing for the optimizer: every {@link kellyBet} knob except `edge` (which the optimizer
|
|
49
|
+
* builds from each candidate's thesis outcomes), plus a required `enabled: true` so sizing is a
|
|
50
|
+
* deliberate request, never an accidental default. Omitting `sizing` performs no Kelly work at all.
|
|
51
|
+
*/
|
|
52
|
+
export type OptimizerSizingOptions = Omit<KellyBetInput, 'edge'> & {
|
|
53
|
+
enabled: true;
|
|
54
|
+
};
|
|
55
|
+
/**
|
|
56
|
+
* The Kelly verdict for a candidate (present only when `sizing` was requested): a full {@link KellySizing}
|
|
57
|
+
* on dimensionless (P&L ÷ capital) returns, or a structured `not-admissible` refusal — an unbounded
|
|
58
|
+
* downside under the thesis support (any positive bankroll fraction can cross zero wealth) or a zero
|
|
59
|
+
* capital requirement (the return is undefined).
|
|
60
|
+
*/
|
|
61
|
+
export type OptimizedStrategyKelly = {
|
|
62
|
+
status: 'sized';
|
|
63
|
+
sizing: KellySizing;
|
|
64
|
+
} | {
|
|
65
|
+
status: 'not-admissible';
|
|
66
|
+
reason: 'unbounded-downside' | 'zero-capital';
|
|
67
|
+
};
|
|
68
|
+
/** Options for {@link optimizeStrategy}. */
|
|
69
|
+
export interface OptimizeStrategyOptions {
|
|
70
|
+
spot: number;
|
|
71
|
+
/**
|
|
72
|
+
* Valuation instant — epoch milliseconds or a zoned ISO datetime, the ONE valuation-instant
|
|
73
|
+
* grammar shared with `scanStrategies`, `Position.probability()` and the what-if cube. A bare
|
|
74
|
+
* date is refused everywhere a position is priced: the time of day is the answer for a 0DTE.
|
|
75
|
+
*/
|
|
76
|
+
asOf: EpochMs | string;
|
|
77
|
+
riskFreeRate: number;
|
|
78
|
+
dividendYield?: number;
|
|
79
|
+
/** The multi-expiry search space (≥ 1 expiry). */
|
|
80
|
+
expiries: OptimizerExpiry[];
|
|
81
|
+
thesis: OptimizerThesis;
|
|
82
|
+
/** Default pricing volatility for missing premiums + the scanner's market-implied metrics. */
|
|
83
|
+
volatility?: number;
|
|
84
|
+
/** Default pricing smile (takes precedence over `volatility` for pricing). */
|
|
85
|
+
smile?: (strike: number) => number;
|
|
86
|
+
/** Which structures to enumerate (default: all the scanner's). */
|
|
87
|
+
structures?: ScanStructure[];
|
|
88
|
+
maxWidth?: number;
|
|
89
|
+
/** Keep only candidates whose MARKET-implied PoP ≥ this. */
|
|
90
|
+
minProbabilityOfProfit?: number;
|
|
91
|
+
/** Keep only candidates whose max loss ≤ this (per contract, 100×). */
|
|
92
|
+
maxRisk?: number;
|
|
93
|
+
/** Keep only candidates whose THESIS PoP ≥ this. */
|
|
94
|
+
minThesisProbabilityOfProfit?: number;
|
|
95
|
+
/** Ranking objective (default `'thesisExpectedValuePerRisk'`). */
|
|
96
|
+
objective?: OptimizerObjective;
|
|
97
|
+
/** Top-N across all expiries (default 25). */
|
|
98
|
+
top?: number;
|
|
99
|
+
/** Integration resolution for the thesis metrics (default 801). */
|
|
100
|
+
gridPoints?: number;
|
|
101
|
+
/** Opt-in Kelly sizing. When set, each candidate gains a `kelly` verdict; omit for no Kelly work. */
|
|
102
|
+
sizing?: OptimizerSizingOptions;
|
|
103
|
+
}
|
|
104
|
+
/**
|
|
105
|
+
* The capital (buying-power) a candidate ties up, from Reg-T options margin — an economically honest
|
|
106
|
+
* denominator that is DISTINCT from `|maxLoss|`: a naked short has unbounded max loss yet a finite
|
|
107
|
+
* Reg-T requirement, so it can still be ranked by capital efficiency. This is a static entry
|
|
108
|
+
* buying-power model, not a liquidation or future house-margin model (echoed in `assumptions`).
|
|
109
|
+
*/
|
|
110
|
+
export interface OptimizedStrategyCapital {
|
|
111
|
+
/** Buying-power reduction the account must set aside (per contract, 100×). */
|
|
112
|
+
requirement: number;
|
|
113
|
+
/** How the requirement was derived. */
|
|
114
|
+
method: OptionsMarginResult['method'];
|
|
115
|
+
/** Worst-case expiration loss per contract; `null` when the loss is unbounded (Law 7). */
|
|
116
|
+
maxLoss: number | null;
|
|
117
|
+
/** The Reg-T / conventions assumptions echoed by `optionsMargin`. */
|
|
118
|
+
assumptions: OptionsMarginResult['assumptions'];
|
|
119
|
+
/** The `optionsMargin` diagnostics (e.g. the `risk.unbounded_loss` warning behind a `null` maxLoss). */
|
|
120
|
+
diagnostics: OptionsMarginResult['diagnostics'];
|
|
121
|
+
}
|
|
122
|
+
/** A scanned candidate re-scored under the trader's thesis. */
|
|
123
|
+
export interface OptimizedStrategy extends ScanCandidate {
|
|
124
|
+
expiry: string;
|
|
125
|
+
/** Year fraction to this expiry. */
|
|
126
|
+
timeToExpiryYears: number;
|
|
127
|
+
/** Expected P&L under the thesis (per contract, 100×). */
|
|
128
|
+
thesisExpectedValue: number;
|
|
129
|
+
/** Probability of profit under the thesis. */
|
|
130
|
+
thesisProbabilityOfProfit: number;
|
|
131
|
+
/** `thesisEv / |maxLoss|` (0 when risk is unbounded) — the defined-risk read; never falls back to margin. */
|
|
132
|
+
thesisExpectedValuePerRisk: number;
|
|
133
|
+
/** The candidate's Reg-T buying-power requirement (the honest capital denominator). */
|
|
134
|
+
capital: OptimizedStrategyCapital;
|
|
135
|
+
/** `thesisEv / capital.requirement`; `null` (never `Infinity`) when the requirement is zero. */
|
|
136
|
+
thesisExpectedValuePerCapital: number | null;
|
|
137
|
+
/** Kelly sizing verdict — present only when `sizing` was requested (2B never populates it). */
|
|
138
|
+
kelly?: OptimizedStrategyKelly;
|
|
139
|
+
}
|
|
140
|
+
/** The optimizer read-out. */
|
|
141
|
+
export interface OptimizeStrategyResult {
|
|
142
|
+
/** Top-N candidates across all expiries, ranked by `objective` (descending). */
|
|
143
|
+
candidates: OptimizedStrategy[];
|
|
144
|
+
thesis: {
|
|
145
|
+
median: 'target' | 'drift';
|
|
146
|
+
volatility: number;
|
|
147
|
+
targetPrice?: number;
|
|
148
|
+
drift?: number;
|
|
149
|
+
};
|
|
150
|
+
assumptions: {
|
|
151
|
+
conventionsVersion: string;
|
|
152
|
+
objective: OptimizerObjective;
|
|
153
|
+
expiries: number;
|
|
154
|
+
gridPoints: number;
|
|
155
|
+
};
|
|
156
|
+
diagnostics: Diagnostics;
|
|
157
|
+
}
|
|
158
|
+
/**
|
|
159
|
+
* Whether a candidate's expiration loss is unbounded *under the thesis support* — the admissibility
|
|
160
|
+
* test for Kelly (Wave 6 §2C). Determined from the payoff's asymptotic slope, NOT sampled grid nodes:
|
|
161
|
+
* `optionsMargin` reports `maxLoss: null` exactly when the net-call slope makes the up-tail unbounded
|
|
162
|
+
* as `S → ∞`. A lognormal thesis has support `(0, ∞)`, so that up-tail is reachable ⇒ unbounded. A
|
|
163
|
+
* custom density's finite `[from, to]` support caps the realized loss ⇒ bounded, even for a net-short
|
|
164
|
+
* call. (The down side is always bounded — `S ≥ 0`.)
|
|
165
|
+
*/
|
|
166
|
+
export declare function isUnboundedDownsideUnderSupport(capital: OptimizedStrategyCapital, thesis: OptimizerThesis): boolean;
|
|
167
|
+
/**
|
|
168
|
+
* The Kelly verdict for one candidate (Wave 6 §2C). Refuses an unbounded-downside-under-support or
|
|
169
|
+
* zero-capital position with a structured `not-admissible`; otherwise sizes on DIMENSIONLESS returns
|
|
170
|
+
* (`payoff = node.pnl / capital.requirement` — absolute dollars are never passed to `kellyBet`) and
|
|
171
|
+
* returns the full {@link KellySizing}, every requested cap preserved.
|
|
172
|
+
*/
|
|
173
|
+
export declare function resolveCandidateKelly(input: {
|
|
174
|
+
nodes: readonly ThesisOutcomeNode[];
|
|
175
|
+
capital: OptimizedStrategyCapital;
|
|
176
|
+
thesis: OptimizerThesis;
|
|
177
|
+
sizing: OptimizerSizingOptions;
|
|
178
|
+
}): OptimizedStrategyKelly;
|
|
179
|
+
/**
|
|
180
|
+
* Search structures × strikes × expiries for the best trade under a thesis. Reuses `scanStrategies` per
|
|
181
|
+
* expiry, re-scores each candidate under the thesis density, and ranks across all expiries. See the spec.
|
|
182
|
+
*/
|
|
183
|
+
export declare function optimizeStrategy(options: OptimizeStrategyOptions): OptimizeStrategyResult;
|
|
184
|
+
//# sourceMappingURL=optimizer.d.ts.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
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|