@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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@@ -0,0 +1,247 @@
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1
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+
/**
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2
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+
* Options flow analytics (spec §11.6): NBBO aggressor classification, sweep/block detection,
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3
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+
* multi-leg spread estimation, grouping, and ranking.
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4
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+
*
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5
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+
* Every inferred classification is an ESTIMATE — aggressor side, sweeps, blocks, and spreads are
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6
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+
* heuristics over trade prints and NBBO context, not exchange-confirmed labels. Every result says
|
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7
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* so via `model.limitation` entries in `diagnostics.warnings` (R2 — no hoisted fields).
|
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8
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+
*/
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9
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import { type Assumptions, type Diagnostics, type OptionTrade, type OptionType, type QuantWarning } from '../../core/dist/index.js';
|
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10
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export type AggressorSide = 'buy' | 'sell' | 'unknown';
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/**
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12
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* `provided-or-quotes` is the backwards-compatible rule: supplied buy/sell wins, but unknown or
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13
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* absent classification falls through to quotes. `provided-first` preserves supplied unknowns
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14
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* and uses quotes only when classification is absent. `provided-only` never infers from quotes;
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15
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* `quotes-only` ignores supplied classifications (but still validates their enum).
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*/
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17
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export type FlowClassificationSource = 'provided-or-quotes' | 'provided-first' | 'provided-only' | 'quotes-only';
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/** Lineage of the classification, not a claim that a provider label is exchange-confirmed. */
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19
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export interface FlowClassificationProvenance {
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20
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policy: FlowClassificationSource;
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source: 'provided' | 'quotes' | 'unavailable';
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/** `null` means absent; `'unknown'` means the provider explicitly declined to classify. */
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providedSide: AggressorSide | null;
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reason: 'provided' | 'provided-missing' | 'quotes-missing' | 'quotes-locked-or-crossed' | 'quote-midpoint' | 'quote-rule';
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25
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}
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26
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/** Opening-vs-closing estimate; only a definite `open` (size exceeds prior OI) is inferred. */
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27
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export type OpenCloseEstimate = 'open' | 'unknown';
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28
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export interface FlowOptions {
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29
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/** Classification authority/fallback rule. Default `'provided-or-quotes'` (legacy behavior). */
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30
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classificationSource?: FlowClassificationSource;
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31
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/** A single print is a block at/above this size (contracts). Default 100. */
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32
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blockMinSize?: number;
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33
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/** ...or at/above this premium (price·size·multiplier). Default 100_000. */
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34
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blockMinPremium?: number;
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35
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/** Prints on one contract within this window (ms), same side, count as one sweep. Default 500. */
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36
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+
sweepWindowMs?: number;
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37
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/** Minimum prints to call a cluster a sweep. Default 3. */
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38
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+
sweepMinPrints?: number;
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39
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+
/** Prints on one underlying within this window (ms) across ≥2 contracts form a spread. Default 100. */
|
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40
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+
spreadWindowMs?: number;
|
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41
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+
/** Contract multiplier when a trade omits one. Default 100. */
|
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42
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+
multiplier?: number;
|
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43
|
+
}
|
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44
|
+
export interface ClassifiedTrade {
|
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45
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+
trade: OptionTrade;
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46
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+
underlying: string;
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47
|
+
type: OptionType;
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48
|
+
strike: number;
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49
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+
expiry: string;
|
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50
|
+
/** Supplied or quote-estimated aggressor side, according to classificationProvenance. */
|
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51
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+
side: AggressorSide;
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52
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+
classificationProvenance: FlowClassificationProvenance;
|
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53
|
+
premium: number;
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54
|
+
size: number;
|
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55
|
+
isBlock: boolean;
|
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56
|
+
/** True when the trade prints on its own expiration day (0DTE). */
|
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57
|
+
isZeroDaysToExpiry: boolean;
|
|
58
|
+
/** Opening estimate: `open` when size exceeds prior open interest (definitely new contracts). */
|
|
59
|
+
openClose: OpenCloseEstimate;
|
|
60
|
+
/** Sweep cluster id (undefined when not part of a sweep). */
|
|
61
|
+
sweepId?: number;
|
|
62
|
+
/** Spread group id (undefined when not part of a detected multi-leg spread). */
|
|
63
|
+
spreadId?: number;
|
|
64
|
+
}
|
|
65
|
+
export interface Sweep {
|
|
66
|
+
id: number;
|
|
67
|
+
underlying: string;
|
|
68
|
+
strike: number;
|
|
69
|
+
type: OptionType;
|
|
70
|
+
expiry: string;
|
|
71
|
+
side: AggressorSide;
|
|
72
|
+
prints: number;
|
|
73
|
+
size: number;
|
|
74
|
+
premium: number;
|
|
75
|
+
startTimestampMs: number;
|
|
76
|
+
endTimestampMs: number;
|
|
77
|
+
/** True only if THIS sweep's own prints spanned ≥2 exchanges; false for a timing-only cluster. */
|
|
78
|
+
venueVerified: boolean;
|
|
79
|
+
}
|
|
80
|
+
export interface Spread {
|
|
81
|
+
id: number;
|
|
82
|
+
underlying: string;
|
|
83
|
+
timestampMs: number;
|
|
84
|
+
legs: number;
|
|
85
|
+
/** Net premium: positive = net debit (bought), negative = net credit (sold). */
|
|
86
|
+
netPremium: number;
|
|
87
|
+
/**
|
|
88
|
+
* True only if EVERY leg's aggressor side was estimable (buy/sell). When false, an `unknown`-side
|
|
89
|
+
* leg was excluded from `netPremium`, so the net direction is partial — do not read it as signed.
|
|
90
|
+
*/
|
|
91
|
+
directionKnown: boolean;
|
|
92
|
+
contracts: Array<{
|
|
93
|
+
type: OptionType;
|
|
94
|
+
strike: number;
|
|
95
|
+
expiry: string;
|
|
96
|
+
size: number;
|
|
97
|
+
side: AggressorSide;
|
|
98
|
+
}>;
|
|
99
|
+
}
|
|
100
|
+
export interface FlowGroupKey {
|
|
101
|
+
underlying?: string;
|
|
102
|
+
expiry?: string;
|
|
103
|
+
strike?: number;
|
|
104
|
+
type?: OptionType;
|
|
105
|
+
}
|
|
106
|
+
export interface FlowGroup extends FlowGroupKey {
|
|
107
|
+
trades: number;
|
|
108
|
+
size: number;
|
|
109
|
+
premium: number;
|
|
110
|
+
buyPremium: number;
|
|
111
|
+
sellPremium: number;
|
|
112
|
+
/** Net premium (buy − sell). */
|
|
113
|
+
netPremium: number;
|
|
114
|
+
/**
|
|
115
|
+
* Volume/open-interest ratio when grouped to a single contract with known OI, else `null`
|
|
116
|
+
* (chart-facing rows use JSON-safe `null`, never `undefined` or `NaN` — WS2.12).
|
|
117
|
+
*/
|
|
118
|
+
volumeOpenInterestRatio: number | null;
|
|
119
|
+
}
|
|
120
|
+
export type RankByKey = 'premium' | 'size' | 'netPremium' | 'volumeOpenInterestRatio';
|
|
121
|
+
export interface RankOptions {
|
|
122
|
+
/** Ranking metric (default `'premium'`). */
|
|
123
|
+
by?: RankByKey;
|
|
124
|
+
/** Exclude groups below this aggregate premium. */
|
|
125
|
+
minPremium?: number;
|
|
126
|
+
/** Exclude groups below this volume/open-interest ratio. */
|
|
127
|
+
minVolumeOpenInterestRatio?: number;
|
|
128
|
+
/** Maximum returned groups; a non-negative safe integer. Omit for every group. */
|
|
129
|
+
limit?: number;
|
|
130
|
+
}
|
|
131
|
+
/** Call-vs-put premium/volume summary with put/call ratios (spec §11.6). */
|
|
132
|
+
export interface CallPutPremium {
|
|
133
|
+
callPremium: number;
|
|
134
|
+
putPremium: number;
|
|
135
|
+
callVolume: number;
|
|
136
|
+
putVolume: number;
|
|
137
|
+
/** Put ÷ call traded volume (contracts); `null` when there is no call volume. */
|
|
138
|
+
putCallVolumeRatio: number | null;
|
|
139
|
+
/** Put ÷ call premium ($); `null` when there is no call premium. */
|
|
140
|
+
putCallPremiumRatio: number | null;
|
|
141
|
+
/** Net directional premium across all trades (buy − sell). */
|
|
142
|
+
netPremium: number;
|
|
143
|
+
}
|
|
144
|
+
/**
|
|
145
|
+
* Result of analyzing a stream of option trades. R2 envelope: the rules/windows ride `assumptions`
|
|
146
|
+
* and the heuristic caveats ride `diagnostics.warnings` as `model.limitation` entries — nothing is
|
|
147
|
+
* hoisted top-level.
|
|
148
|
+
*/
|
|
149
|
+
export declare class FlowAnalysis {
|
|
150
|
+
/** Frozen result arrays — an analysis is a snapshot; mutate a copy, never the result. */
|
|
151
|
+
readonly trades: readonly Readonly<ClassifiedTrade>[];
|
|
152
|
+
readonly sweeps: readonly Readonly<Sweep>[];
|
|
153
|
+
readonly spreads: readonly Readonly<Spread>[];
|
|
154
|
+
/** The rules/windows the analysis ran under — echoed so a serialized report is self-interpreting. */
|
|
155
|
+
readonly assumptions: Assumptions<{
|
|
156
|
+
/**
|
|
157
|
+
* The aggressor rule actually applied: the NBBO **quote rule** (at/above ask ⇒ buy, at/below bid
|
|
158
|
+
* ⇒ sell, strictly inside ⇒ compare to the midpoint, AT the midpoint ⇒ `unknown`). It is NOT
|
|
159
|
+
* Lee–Ready, which resolves midpoint prints with a **tick test** against the previous trade —
|
|
160
|
+
* this package never sees a trade's predecessor price, so it declines instead of guessing.
|
|
161
|
+
*/
|
|
162
|
+
nbboRule: 'quote-rule-midpoint-unknown';
|
|
163
|
+
classificationSource: FlowClassificationSource;
|
|
164
|
+
sweepWindowMs: number;
|
|
165
|
+
spreadWindowMs: number;
|
|
166
|
+
sweepMinPrints: number;
|
|
167
|
+
blockMinSize: number;
|
|
168
|
+
blockMinPremium: number;
|
|
169
|
+
multiplier: number;
|
|
170
|
+
/** Whether any print carried an `exchange`, enabling venue-verified sweep detection (WS2.13). */
|
|
171
|
+
venueVerifiedSweeps: boolean;
|
|
172
|
+
}>;
|
|
173
|
+
/** Structured warnings: `model.limitation` caveats plus any data-quality flags. */
|
|
174
|
+
readonly diagnostics: Diagnostics;
|
|
175
|
+
constructor(rawTrades: OptionTrade[], options?: FlowOptions);
|
|
176
|
+
private detectSweeps;
|
|
177
|
+
private detectSpreads;
|
|
178
|
+
/** Blocks: single prints large by size or premium. */
|
|
179
|
+
get blocks(): ClassifiedTrade[];
|
|
180
|
+
/** 0DTE trades: prints on a contract expiring the same calendar day. */
|
|
181
|
+
get zeroDaysToExpiry(): ClassifiedTrade[];
|
|
182
|
+
/** Call-vs-put premium and volume across all trades, with put/call ratios and net premium. */
|
|
183
|
+
callPutPremium(): CallPutPremium;
|
|
184
|
+
/** Aggregate trades into groups keyed by any subset of underlying/expiry/strike/type. */
|
|
185
|
+
groupBy(keys: Array<keyof FlowGroupKey>): FlowGroup[];
|
|
186
|
+
/** Filter and sort groups (default: by premium, descending). */
|
|
187
|
+
rank(groups: FlowGroup[], options?: RankOptions): FlowGroup[];
|
|
188
|
+
}
|
|
189
|
+
/** Analyze a stream of option trades for aggressor, sweeps, blocks, and spreads. */
|
|
190
|
+
export declare function flow(trades: OptionTrade[], options?: FlowOptions): FlowAnalysis;
|
|
191
|
+
/**
|
|
192
|
+
* One directional flow print. `delta` is the option's signed delta at the print — caller-supplied
|
|
193
|
+
* from their own greeks (this package never fabricates greeks), keeping the compute pure.
|
|
194
|
+
*/
|
|
195
|
+
export interface DirectionalFlowTrade {
|
|
196
|
+
type: OptionType;
|
|
197
|
+
/** Estimated aggressor side (e.g. from {@link FlowAnalysis}). */
|
|
198
|
+
side: 'buy' | 'sell';
|
|
199
|
+
/** Trade premium in dollars (`price · size · multiplier`). */
|
|
200
|
+
premium: number;
|
|
201
|
+
/** Signed option delta at the print (calls > 0, puts < 0). */
|
|
202
|
+
delta: number;
|
|
203
|
+
}
|
|
204
|
+
export interface DeltaAdjustedPremium {
|
|
205
|
+
/** Σ |delta|·premium over prints whose directional lean is bullish (bought calls / sold puts). */
|
|
206
|
+
bullishPremium: number;
|
|
207
|
+
/** Σ |delta|·premium over bearish prints (bought puts / sold calls). */
|
|
208
|
+
bearishPremium: number;
|
|
209
|
+
/** `bullishPremium − bearishPremium` — net directional delta-adjusted premium (> 0 = net bullish). */
|
|
210
|
+
netDirectional: number;
|
|
211
|
+
/** Σ |delta|·premium regardless of direction — the total delta-weighted premium. */
|
|
212
|
+
totalDeltaAdjusted: number;
|
|
213
|
+
}
|
|
214
|
+
/**
|
|
215
|
+
* Delta-adjusted (delta-weighted) premium of a set of directional flow prints (spec §11.6, product
|
|
216
|
+
* review §4). Weighting premium by |delta| turns raw premium into an approximate directional
|
|
217
|
+
* exposure: deep-ITM bought calls move the tape far more than lottery-ticket wings of the same
|
|
218
|
+
* premium. A print leans **bullish** when it is a bought call or a sold put and **bearish** when it
|
|
219
|
+
* is a bought put or a sold call. Pure; greeks are an explicit input.
|
|
220
|
+
*/
|
|
221
|
+
export declare function deltaAdjustedPremium(trades: readonly DirectionalFlowTrade[]): DeltaAdjustedPremium;
|
|
222
|
+
export interface Unusualness {
|
|
223
|
+
/** `(value − mean) / stdev` of the baseline; `null` when the baseline is flat (no defined z). */
|
|
224
|
+
zScore: number | null;
|
|
225
|
+
/** Percentile of `value` within the baseline, in `[0, 100]` (share strictly below). */
|
|
226
|
+
percentile: number;
|
|
227
|
+
mean: number;
|
|
228
|
+
/** Sample standard deviation of the baseline. */
|
|
229
|
+
stdev: number;
|
|
230
|
+
/** Applied conventions, echoed (Law 2 report grammar). */
|
|
231
|
+
assumptions: {
|
|
232
|
+
conventionsVersion: string;
|
|
233
|
+
baselineLength: number;
|
|
234
|
+
};
|
|
235
|
+
/** Structured warnings; always present (possibly empty) — a flat baseline explains its null z. */
|
|
236
|
+
diagnostics: {
|
|
237
|
+
warnings: QuantWarning[];
|
|
238
|
+
};
|
|
239
|
+
}
|
|
240
|
+
/**
|
|
241
|
+
* Unusualness of a reading versus a caller-supplied baseline history (spec §11.6, product review §4):
|
|
242
|
+
* the z-score and percentile of `value` against `baseline` (e.g. today's contract volume vs. its
|
|
243
|
+
* trailing daily volumes). The baseline is bring-your-own — this package stores no history. A flat
|
|
244
|
+
* baseline has no defined spread, so the z-score is `null` (never fabricated).
|
|
245
|
+
*/
|
|
246
|
+
export declare function unusualness(value: number, baseline: ArrayLike<number>): Unusualness;
|
|
247
|
+
//# sourceMappingURL=flow.d.ts.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
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