@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.map +1 -0
- package/modules/calendars/dist/expirations.d.ts +35 -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
- package/modules/commodities/src/term-structure.ts +828 -0
- package/modules/core/dist/artifacts/analysis-artifact.d.ts +140 -0
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/** Raw option trade-premium accounting; NOT dealer hedging drift, delta weighting, or P&L. */
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import { CONVENTIONS_VERSION, ErrorCode, InputError, WarningCode, ensureFinite, ensureFiniteWhenPresent, ensureKnownKeys, ensureNonNegative, ensurePositive, isoDateToEpochMs, requireArgumentArray, requireArgumentObject, requireFiniteFields, warning, } from '../../core/dist/index.js';
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import { NYSE, requireCalendar } from '../../calendars/dist/index.js';
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import { flow, } from './flow.js';
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const FN = 'optionFlowDrift';
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const MINUTE = 60_000;
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const DAY = 86_400_000;
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function invalid(field, message, code = ErrorCode.InputOutOfRange) {
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throw new InputError(`${FN}: ${field} ${message}`, { code, context: { function: FN, field } });
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}
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function requireSymbol(value, field) {
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if (typeof value !== 'string' || value.trim() === '') {
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invalid(field, 'must be a non-empty symbol string.', ErrorCode.InputWrongType);
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}
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function requireTimestamp(value, field) {
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invalid(field, 'is required in epoch milliseconds.', ErrorCode.InputMissingField);
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ensureFiniteWhenPresent(value, field, FN);
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if (!Number.isSafeInteger(value) || Math.abs(value) > 8.64e15) {
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invalid(field, 'must be representable integer epoch milliseconds (not seconds or a date string).');
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}
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}
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/** Resolve a calendar's local boundary without using the host timezone or guessing a DST fold. */
|
|
25
|
+
function boundary(dateMs, clock, timezone, field) {
|
|
26
|
+
if (typeof clock !== 'string' ||
|
|
27
|
+
(!/^(?:[01]\d|2[0-3]):[0-5]\d$/.test(clock) &&
|
|
28
|
+
!(field === 'calendar.session.close' && clock === '24:00'))) {
|
|
29
|
+
invalid(field, 'must be HH:MM (close also accepts 24:00).', ErrorCode.InputWrongType);
|
|
30
|
+
}
|
|
31
|
+
const wall = dateMs + (Number(clock.slice(0, 2)) * 60 + Number(clock.slice(3))) * MINUTE;
|
|
32
|
+
let formatter;
|
|
33
|
+
try {
|
|
34
|
+
formatter = new Intl.DateTimeFormat('en-US', {
|
|
35
|
+
timeZone: timezone,
|
|
36
|
+
timeZoneName: 'longOffset',
|
|
37
|
+
});
|
|
38
|
+
}
|
|
39
|
+
catch {
|
|
40
|
+
invalid('calendar.timezone', 'must be a supported IANA timezone.', ErrorCode.InputWrongType);
|
|
41
|
+
}
|
|
42
|
+
const offsetAt = (ms) => {
|
|
43
|
+
const name = formatter
|
|
44
|
+
.formatToParts(new Date(ms))
|
|
45
|
+
.find((p) => p.type === 'timeZoneName')?.value;
|
|
46
|
+
if (name === 'GMT')
|
|
47
|
+
return 0;
|
|
48
|
+
const parts = /^GMT([+-])(\d{2}):(\d{2})(?::(\d{2}))?$/.exec(name ?? '');
|
|
49
|
+
if (!parts)
|
|
50
|
+
invalid('calendar.timezone', 'could not resolve its UTC offset.');
|
|
51
|
+
return ((parts[1] === '-' ? -1 : 1) *
|
|
52
|
+
(Number(parts[2]) * 3_600_000 + Number(parts[3]) * MINUTE + Number(parts[4] ?? 0) * 1000));
|
|
53
|
+
};
|
|
54
|
+
const offsets = new Set([-36, 0, 36].map((hours) => offsetAt(wall + hours * 3_600_000)));
|
|
55
|
+
const candidates = [...offsets]
|
|
56
|
+
.map((offset) => wall - offset)
|
|
57
|
+
.filter((ms) => ms + offsetAt(ms) === wall);
|
|
58
|
+
if (candidates.length !== 1)
|
|
59
|
+
invalid(field, 'is ambiguous or nonexistent in the calendar timezone (DST transition).');
|
|
60
|
+
return candidates[0];
|
|
61
|
+
}
|
|
62
|
+
function empty() {
|
|
63
|
+
return {
|
|
64
|
+
callBuyPremium: 0,
|
|
65
|
+
callSellPremium: 0,
|
|
66
|
+
putBuyPremium: 0,
|
|
67
|
+
putSellPremium: 0,
|
|
68
|
+
callUnknownPremium: 0,
|
|
69
|
+
putUnknownPremium: 0,
|
|
70
|
+
bullishVolume: 0,
|
|
71
|
+
bearishVolume: 0,
|
|
72
|
+
unknownVolume: 0,
|
|
73
|
+
tradeCount: 0,
|
|
74
|
+
classifiedTradeCount: 0,
|
|
75
|
+
};
|
|
76
|
+
}
|
|
77
|
+
function add(acc, print) {
|
|
78
|
+
const call = print.type === 'call';
|
|
79
|
+
if (print.side === 'unknown') {
|
|
80
|
+
if (call)
|
|
81
|
+
acc.callUnknownPremium += print.premium;
|
|
82
|
+
else
|
|
83
|
+
acc.putUnknownPremium += print.premium;
|
|
84
|
+
acc.unknownVolume += print.contracts;
|
|
85
|
+
}
|
|
86
|
+
else {
|
|
87
|
+
if (call && print.side === 'buy')
|
|
88
|
+
acc.callBuyPremium += print.premium;
|
|
89
|
+
else if (call)
|
|
90
|
+
acc.callSellPremium += print.premium;
|
|
91
|
+
else if (print.side === 'buy')
|
|
92
|
+
acc.putBuyPremium += print.premium;
|
|
93
|
+
else
|
|
94
|
+
acc.putSellPremium += print.premium;
|
|
95
|
+
if (call === (print.side === 'buy'))
|
|
96
|
+
acc.bullishVolume += print.contracts;
|
|
97
|
+
else
|
|
98
|
+
acc.bearishVolume += print.contracts;
|
|
99
|
+
acc.classifiedTradeCount++;
|
|
100
|
+
}
|
|
101
|
+
acc.tradeCount++;
|
|
102
|
+
}
|
|
103
|
+
function totals(acc, threshold) {
|
|
104
|
+
const callPremium = acc.callBuyPremium + acc.callSellPremium + acc.callUnknownPremium;
|
|
105
|
+
const putPremium = acc.putBuyPremium + acc.putSellPremium + acc.putUnknownPremium;
|
|
106
|
+
const bullishPremium = acc.callBuyPremium + acc.putSellPremium;
|
|
107
|
+
const bearishPremium = acc.putBuyPremium + acc.callSellPremium;
|
|
108
|
+
const classifiedPremium = bullishPremium + bearishPremium;
|
|
109
|
+
const unknownPremium = acc.callUnknownPremium + acc.putUnknownPremium;
|
|
110
|
+
const totalPremium = classifiedPremium + unknownPremium;
|
|
111
|
+
const callDrift = acc.callBuyPremium - acc.callSellPremium;
|
|
112
|
+
const putDrift = acc.putBuyPremium - acc.putSellPremium;
|
|
113
|
+
const netDirectionalDrift = callDrift - putDrift;
|
|
114
|
+
const netDirectionalVolume = acc.bullishVolume - acc.bearishVolume;
|
|
115
|
+
const classificationCoverage = totalPremium > 0 ? classifiedPremium / totalPremium : null;
|
|
116
|
+
const volumeConfirmation = netDirectionalDrift === 0 || netDirectionalVolume === 0
|
|
117
|
+
? 'none'
|
|
118
|
+
: Math.sign(netDirectionalDrift) === Math.sign(netDirectionalVolume)
|
|
119
|
+
? 'aligned'
|
|
120
|
+
: 'opposed';
|
|
121
|
+
const heuristic = acc.tradeCount === 0 || totalPremium === 0
|
|
122
|
+
? 'no-signal'
|
|
123
|
+
: classificationCoverage < threshold
|
|
124
|
+
? 'low-coverage'
|
|
125
|
+
: volumeConfirmation === 'opposed'
|
|
126
|
+
? 'volume-opposed'
|
|
127
|
+
: callDrift > 0 && putDrift < 0
|
|
128
|
+
? 'bullish-expansion'
|
|
129
|
+
: callDrift < 0 && putDrift > 0
|
|
130
|
+
? 'bearish-expansion'
|
|
131
|
+
: netDirectionalDrift !== 0
|
|
132
|
+
? 'mixed-flow'
|
|
133
|
+
: 'no-signal';
|
|
134
|
+
const result = {
|
|
135
|
+
...acc,
|
|
136
|
+
callPremium,
|
|
137
|
+
putPremium,
|
|
138
|
+
bullishPremium,
|
|
139
|
+
bearishPremium,
|
|
140
|
+
classifiedPremium,
|
|
141
|
+
unknownPremium,
|
|
142
|
+
totalPremium,
|
|
143
|
+
callDrift,
|
|
144
|
+
putDrift,
|
|
145
|
+
netDirectionalDrift,
|
|
146
|
+
callBounds: [callDrift - acc.callUnknownPremium, callDrift + acc.callUnknownPremium],
|
|
147
|
+
putBounds: [putDrift - acc.putUnknownPremium, putDrift + acc.putUnknownPremium],
|
|
148
|
+
netDirectionalBounds: [
|
|
149
|
+
netDirectionalDrift - unknownPremium,
|
|
150
|
+
netDirectionalDrift + unknownPremium,
|
|
151
|
+
],
|
|
152
|
+
classificationCoverage,
|
|
153
|
+
totalVolume: acc.bullishVolume + acc.bearishVolume + acc.unknownVolume,
|
|
154
|
+
netDirectionalVolume,
|
|
155
|
+
unknownTradeCount: acc.tradeCount - acc.classifiedTradeCount,
|
|
156
|
+
volumeConfirmation,
|
|
157
|
+
heuristic,
|
|
158
|
+
};
|
|
159
|
+
// Finite inputs can still overflow products, sums, or bounds. Never emit Infinity/NaN as money.
|
|
160
|
+
for (const [field, value] of Object.entries(result)) {
|
|
161
|
+
if (typeof value === 'number')
|
|
162
|
+
ensureFinite(value, `computed ${field}`, FN);
|
|
163
|
+
if (Array.isArray(value))
|
|
164
|
+
value.forEach((n) => ensureFinite(n, `computed ${field}`, FN));
|
|
165
|
+
}
|
|
166
|
+
return result;
|
|
167
|
+
}
|
|
168
|
+
/**
|
|
169
|
+
* Aggregate observed raw option trading premium for one explicit session. Example:
|
|
170
|
+
* `optionFlowDrift({ trades, session: { date: '2026-06-04' }, config: { symbol: 'SPY' } })`.
|
|
171
|
+
*
|
|
172
|
+
* Each minute/bucket exposes separate `change` and `cumulative` accounting. Buy calls / sell puts
|
|
173
|
+
* map to bullish premium and volume; sell calls / buy puts map to bearish. Unknowns move neither
|
|
174
|
+
* drift nor directional volume, but contribute all their premium to worst-case sign bounds.
|
|
175
|
+
* Classification coverage is a share of premium, NOT a success probability or confidence band.
|
|
176
|
+
* No delta weighting, dealer-position inference, multi-leg netting, fees, P&L, or income prediction.
|
|
177
|
+
* All combined premiums must already use one currency; this operation does not convert FX.
|
|
178
|
+
*
|
|
179
|
+
* Heuristics apply to the SAME window's totals: no prints/zero premium → no-signal; coverage below
|
|
180
|
+
* the threshold → low-coverage; opposing nonzero volume/premium signs → volume-opposed; call > 0
|
|
181
|
+
* and put < 0 → bullish-expansion (reverse → bearish-expansion); remaining nonzero net → mixed-flow.
|
|
182
|
+
* These are descriptive accounting rules, not trading recommendations or measured predictiveness.
|
|
183
|
+
*
|
|
184
|
+
* Session/cutoff and bucket ends are exclusive. A bucket is a completed END-of-interval observation,
|
|
185
|
+
* not a value available at its start. Prices carry forward only from observations in this session;
|
|
186
|
+
* missing prices stay null. Overlay ties prefer underlying trades, then quotes, then option-print
|
|
187
|
+
* underlyingPrice, with last input winning within a source. Caller timestamps must express when
|
|
188
|
+
* data was available; embedded underlyingPrice is assumed available at its option print timestamp.
|
|
189
|
+
* Late vendor corrections/publication delays cannot be reconstructed from these fields alone.
|
|
190
|
+
*
|
|
191
|
+
* Trades are validated even outside scope, then stably sorted without mutation. Repeated explicit
|
|
192
|
+
* IDs fail. ID-less prints identical in the consumed trade fields fail (including sequence/venue);
|
|
193
|
+
* give genuinely distinct identical executions distinct IDs. Vendor metadata stays open. No print
|
|
194
|
+
* is silently deduplicated; malformed data or unrepresentable arithmetic throws typed InputError.
|
|
195
|
+
*/
|
|
196
|
+
export function optionFlowDrift(input) {
|
|
197
|
+
requireArgumentObject(FN, 'input', input);
|
|
198
|
+
ensureKnownKeys(FN, 'input', input, ['trades', 'session', 'config']);
|
|
199
|
+
requireArgumentArray(FN, 'trades', input.trades);
|
|
200
|
+
if (!Array.isArray(input.trades))
|
|
201
|
+
invalid('trades', 'must be an array of option prints.', ErrorCode.InputWrongType);
|
|
202
|
+
requireArgumentObject(FN, 'session', input.session);
|
|
203
|
+
ensureKnownKeys(FN, 'session', input.session, ['date', 'calendar']);
|
|
204
|
+
let dateMs;
|
|
205
|
+
try {
|
|
206
|
+
dateMs = isoDateToEpochMs(input.session.date);
|
|
207
|
+
}
|
|
208
|
+
catch {
|
|
209
|
+
invalid('session.date', 'must be a real ISO YYYY-MM-DD date.', ErrorCode.InputWrongType);
|
|
210
|
+
}
|
|
211
|
+
const calendar = requireCalendar(FN, input.session.calendar === undefined ? NYSE : input.session.calendar);
|
|
212
|
+
const config = input.config === undefined ? {} : input.config;
|
|
213
|
+
requireArgumentObject(FN, 'config', config);
|
|
214
|
+
ensureKnownKeys(FN, 'config', config, [
|
|
215
|
+
'symbol',
|
|
216
|
+
'priceOverlay',
|
|
217
|
+
'bucketMinutes',
|
|
218
|
+
'asOf',
|
|
219
|
+
'classificationSource',
|
|
220
|
+
'multiplier',
|
|
221
|
+
'minimumClassificationCoverage',
|
|
222
|
+
]);
|
|
223
|
+
if (config.symbol !== undefined)
|
|
224
|
+
requireSymbol(config.symbol, 'config.symbol');
|
|
225
|
+
for (const field of [
|
|
226
|
+
'bucketMinutes',
|
|
227
|
+
'asOf',
|
|
228
|
+
'multiplier',
|
|
229
|
+
'minimumClassificationCoverage',
|
|
230
|
+
]) {
|
|
231
|
+
ensureFiniteWhenPresent(config[field], `config.${field}`, FN);
|
|
232
|
+
}
|
|
233
|
+
const bucketMinutes = config.bucketMinutes === undefined ? 5 : config.bucketMinutes;
|
|
234
|
+
if (!Number.isSafeInteger(bucketMinutes) || bucketMinutes < 1 || bucketMinutes > 1440) {
|
|
235
|
+
invalid('config.bucketMinutes', 'must be an integer in [1, 1440].');
|
|
236
|
+
}
|
|
237
|
+
if (config.asOf !== undefined)
|
|
238
|
+
requireTimestamp(config.asOf, 'config.asOf');
|
|
239
|
+
const threshold = config.minimumClassificationCoverage === undefined ? 0.6 : config.minimumClassificationCoverage;
|
|
240
|
+
ensureNonNegative(threshold, 'config.minimumClassificationCoverage', FN);
|
|
241
|
+
if (threshold > 1)
|
|
242
|
+
invalid('config.minimumClassificationCoverage', 'must be in [0, 1].');
|
|
243
|
+
const multiplier = config.multiplier === undefined ? 100 : config.multiplier;
|
|
244
|
+
ensurePositive(multiplier, 'config.multiplier', FN);
|
|
245
|
+
const classificationSource = config.classificationSource === undefined ? 'provided-first' : config.classificationSource;
|
|
246
|
+
const overlay = config.priceOverlay;
|
|
247
|
+
if (overlay !== undefined) {
|
|
248
|
+
requireArgumentObject(FN, 'config.priceOverlay', overlay);
|
|
249
|
+
ensureKnownKeys(FN, 'config.priceOverlay', overlay, ['symbol', 'quotes', 'trades']);
|
|
250
|
+
requireSymbol(overlay.symbol, 'config.priceOverlay.symbol');
|
|
251
|
+
}
|
|
252
|
+
const overlaySymbol = overlay?.symbol ?? config.symbol ?? null;
|
|
253
|
+
const prices = [];
|
|
254
|
+
for (const field of ['quotes', 'trades']) {
|
|
255
|
+
const data = overlay?.[field];
|
|
256
|
+
if (data === undefined)
|
|
257
|
+
continue;
|
|
258
|
+
requireArgumentArray(FN, `config.priceOverlay.${field}`, data);
|
|
259
|
+
if (!Array.isArray(data))
|
|
260
|
+
invalid(`config.priceOverlay.${field}`, 'must be an array.', ErrorCode.InputWrongType);
|
|
261
|
+
Array.from(data).forEach((row, i) => {
|
|
262
|
+
const path = `config.priceOverlay.${field}[${i}]`;
|
|
263
|
+
requireArgumentObject(FN, path, row);
|
|
264
|
+
requireSymbol(row.symbol, `${path}.symbol`);
|
|
265
|
+
requireTimestamp(row.timestampMs, `${path}.timestampMs`);
|
|
266
|
+
requireFiniteFields(FN, row, field === 'quotes' ? ['bid', 'ask'] : ['price', 'size'], {
|
|
267
|
+
path,
|
|
268
|
+
exampleCall: "optionFlowDrift({ trades: [], session: { date: '2026-06-04' }, config: { priceOverlay: { symbol: 'SPY', quotes: [{ symbol: 'SPY', timestampMs: 1780579800000, bid: 599, ask: 601 }], trades: [{ symbol: 'SPY', timestampMs: 1780579800000, price: 600, size: 1 }] } } })",
|
|
269
|
+
});
|
|
270
|
+
let price;
|
|
271
|
+
if (field === 'quotes') {
|
|
272
|
+
const quote = row;
|
|
273
|
+
ensureNonNegative(quote.bid, `${path}.bid`, FN);
|
|
274
|
+
ensureNonNegative(quote.ask, `${path}.ask`, FN);
|
|
275
|
+
// Locked quotes have a usable price, crossed/zero-sided quotes do not.
|
|
276
|
+
if (quote.bid > quote.ask || quote.bid === 0 || quote.ask === 0)
|
|
277
|
+
return;
|
|
278
|
+
price = quote.bid + (quote.ask - quote.bid) / 2;
|
|
279
|
+
}
|
|
280
|
+
else {
|
|
281
|
+
price = row.price;
|
|
282
|
+
ensurePositive(price, `${path}.price`, FN);
|
|
283
|
+
ensurePositive(row.size, `${path}.size`, FN);
|
|
284
|
+
}
|
|
285
|
+
if (row.symbol === overlaySymbol)
|
|
286
|
+
prices.push({
|
|
287
|
+
symbol: row.symbol,
|
|
288
|
+
timestampMs: row.timestampMs,
|
|
289
|
+
price,
|
|
290
|
+
source: field === 'quotes' ? 'underlying-quote-midpoint' : 'underlying-trade',
|
|
291
|
+
priority: field === 'quotes' ? 1 : 2,
|
|
292
|
+
});
|
|
293
|
+
});
|
|
294
|
+
}
|
|
295
|
+
// Use the existing classifier; discard sweep/spread labels, which require later print context.
|
|
296
|
+
const analysis = flow([...input.trades], { classificationSource, multiplier });
|
|
297
|
+
const indexes = new Map();
|
|
298
|
+
const identities = new Set();
|
|
299
|
+
input.trades.forEach((trade, i) => {
|
|
300
|
+
const path = `trades[${i}]`;
|
|
301
|
+
if (trade.id !== undefined)
|
|
302
|
+
requireSymbol(trade.id, `${path}.id`);
|
|
303
|
+
ensureFiniteWhenPresent(trade.sequence, `${path}.sequence`, FN);
|
|
304
|
+
if (trade.sequence !== undefined &&
|
|
305
|
+
(!Number.isSafeInteger(trade.sequence) || trade.sequence < 0)) {
|
|
306
|
+
invalid(`${path}.sequence`, 'must be a non-negative safe integer.');
|
|
307
|
+
}
|
|
308
|
+
if (trade.exchange !== undefined)
|
|
309
|
+
requireSymbol(trade.exchange, `${path}.exchange`);
|
|
310
|
+
ensureFiniteWhenPresent(trade.underlyingPrice, `${path}.underlyingPrice`, FN);
|
|
311
|
+
if (trade.underlyingPrice !== undefined)
|
|
312
|
+
ensurePositive(trade.underlyingPrice, `${path}.underlyingPrice`, FN);
|
|
313
|
+
const c = trade.contract;
|
|
314
|
+
const key = trade.id !== undefined
|
|
315
|
+
? `id:${trade.id}`
|
|
316
|
+
: `print:${JSON.stringify([
|
|
317
|
+
c.underlying,
|
|
318
|
+
c.expiry,
|
|
319
|
+
c.type,
|
|
320
|
+
c.strike,
|
|
321
|
+
c.multiplier ?? multiplier,
|
|
322
|
+
trade.timestampMs,
|
|
323
|
+
trade.sequence,
|
|
324
|
+
trade.exchange,
|
|
325
|
+
trade.price,
|
|
326
|
+
trade.size,
|
|
327
|
+
trade.premium,
|
|
328
|
+
trade.aggressorSide,
|
|
329
|
+
trade.bid,
|
|
330
|
+
trade.ask,
|
|
331
|
+
trade.underlyingPrice,
|
|
332
|
+
])}`;
|
|
333
|
+
if (identities.has(key))
|
|
334
|
+
invalid(path, 'duplicates an ID or an identical ID-less print; supply unique IDs for distinct executions.');
|
|
335
|
+
identities.add(key);
|
|
336
|
+
indexes.set(trade, i);
|
|
337
|
+
if (trade.underlyingPrice !== undefined) {
|
|
338
|
+
if (c.underlying === overlaySymbol)
|
|
339
|
+
prices.push({
|
|
340
|
+
symbol: c.underlying,
|
|
341
|
+
price: trade.underlyingPrice,
|
|
342
|
+
timestampMs: trade.timestampMs,
|
|
343
|
+
source: 'option-trade-underlying',
|
|
344
|
+
priority: 0,
|
|
345
|
+
});
|
|
346
|
+
}
|
|
347
|
+
});
|
|
348
|
+
const day = calendar.session(input.session.date);
|
|
349
|
+
requireArgumentObject(FN, 'calendar.session result', day);
|
|
350
|
+
if (day.date !== input.session.date ||
|
|
351
|
+
typeof day.isBusinessDay !== 'boolean' ||
|
|
352
|
+
typeof day.isHalfDay !== 'boolean') {
|
|
353
|
+
invalid('calendar.session', 'must return the requested date and boolean isBusinessDay/isHalfDay.');
|
|
354
|
+
}
|
|
355
|
+
const open = day.isBusinessDay
|
|
356
|
+
? boundary(dateMs, day.open, calendar.timezone, 'calendar.session.open')
|
|
357
|
+
: null;
|
|
358
|
+
const close = day.isBusinessDay
|
|
359
|
+
? boundary(dateMs, day.close, calendar.timezone, 'calendar.session.close')
|
|
360
|
+
: null;
|
|
361
|
+
if (open !== null && close !== null && (close <= open || close - open > 2 * DAY)) {
|
|
362
|
+
invalid('calendar.session', 'must have close after open and duration at most 48 hours; use 24:00 for next midnight.');
|
|
363
|
+
}
|
|
364
|
+
const end = open === null || close === null ? null : Math.max(open, Math.min(close, config.asOf ?? close));
|
|
365
|
+
const inSession = (ms) => open !== null && end !== null && ms >= open && ms < end;
|
|
366
|
+
const prints = analysis.trades
|
|
367
|
+
.filter((t) => inSession(t.trade.timestampMs) &&
|
|
368
|
+
(config.symbol === undefined || t.underlying === config.symbol))
|
|
369
|
+
.map((t) => ({
|
|
370
|
+
id: t.trade.id ?? null,
|
|
371
|
+
inputIndex: indexes.get(t.trade),
|
|
372
|
+
timestampMs: t.trade.timestampMs,
|
|
373
|
+
underlying: t.underlying,
|
|
374
|
+
type: t.type,
|
|
375
|
+
side: t.side,
|
|
376
|
+
classificationProvenance: { ...t.classificationProvenance },
|
|
377
|
+
premium: t.premium,
|
|
378
|
+
premiumSource: t.trade.premium === undefined ? 'price-size-multiplier' : 'provided',
|
|
379
|
+
multiplier: t.trade.contract.multiplier ?? multiplier,
|
|
380
|
+
contracts: t.size,
|
|
381
|
+
directionalPremium: t.side === 'unknown'
|
|
382
|
+
? 0
|
|
383
|
+
: (t.type === 'call') === (t.side === 'buy')
|
|
384
|
+
? t.premium
|
|
385
|
+
: -t.premium,
|
|
386
|
+
}));
|
|
387
|
+
const observations = prices
|
|
388
|
+
.filter((p) => inSession(p.timestampMs))
|
|
389
|
+
.sort((a, b) => a.timestampMs - b.timestampMs || a.priority - b.priority);
|
|
390
|
+
const build = (width) => {
|
|
391
|
+
if (open === null || close === null || end === null)
|
|
392
|
+
return [];
|
|
393
|
+
const result = [];
|
|
394
|
+
const cumulative = empty();
|
|
395
|
+
let printIndex = 0;
|
|
396
|
+
let priceIndex = 0;
|
|
397
|
+
let lastPrice = null;
|
|
398
|
+
for (let start = open; start < end; start += width) {
|
|
399
|
+
const bucketEnd = Math.min(start + width, end);
|
|
400
|
+
const change = empty();
|
|
401
|
+
const rows = [];
|
|
402
|
+
while (printIndex < prints.length && prints[printIndex].timestampMs < bucketEnd) {
|
|
403
|
+
const print = prints[printIndex++];
|
|
404
|
+
add(change, print);
|
|
405
|
+
add(cumulative, print);
|
|
406
|
+
rows.push({ ...print, classificationProvenance: { ...print.classificationProvenance } });
|
|
407
|
+
}
|
|
408
|
+
while (priceIndex < observations.length &&
|
|
409
|
+
observations[priceIndex].timestampMs < bucketEnd) {
|
|
410
|
+
const { priority: _priority, ...observation } = observations[priceIndex++];
|
|
411
|
+
lastPrice = observation;
|
|
412
|
+
}
|
|
413
|
+
result.push({
|
|
414
|
+
startTimestampMs: start,
|
|
415
|
+
endTimestampMs: bucketEnd,
|
|
416
|
+
partial: bucketEnd < Math.min(start + width, close),
|
|
417
|
+
change: totals(change, threshold),
|
|
418
|
+
cumulative: totals(cumulative, threshold),
|
|
419
|
+
price: lastPrice === null ? null : { ...lastPrice },
|
|
420
|
+
trades: rows,
|
|
421
|
+
});
|
|
422
|
+
}
|
|
423
|
+
return result;
|
|
424
|
+
};
|
|
425
|
+
const minutes = build(MINUTE);
|
|
426
|
+
const buckets = build(bucketMinutes * MINUTE);
|
|
427
|
+
const aggregate = empty();
|
|
428
|
+
prints.forEach((print) => add(aggregate, print));
|
|
429
|
+
return {
|
|
430
|
+
value: {
|
|
431
|
+
session: {
|
|
432
|
+
date: input.session.date,
|
|
433
|
+
isBusinessDay: day.isBusinessDay,
|
|
434
|
+
isHalfDay: day.isHalfDay,
|
|
435
|
+
openTimestampMs: open,
|
|
436
|
+
closeTimestampMs: close,
|
|
437
|
+
endTimestampMs: end,
|
|
438
|
+
},
|
|
439
|
+
minutes,
|
|
440
|
+
buckets,
|
|
441
|
+
summary: totals(aggregate, threshold),
|
|
442
|
+
},
|
|
443
|
+
assumptions: {
|
|
444
|
+
conventionsVersion: CONVENTIONS_VERSION,
|
|
445
|
+
calendar: calendar.name,
|
|
446
|
+
calendarVersion: calendar.version,
|
|
447
|
+
...(config.asOf === undefined ? {} : { asOf: config.asOf }),
|
|
448
|
+
timezone: calendar.timezone,
|
|
449
|
+
sessionDate: input.session.date,
|
|
450
|
+
symbol: config.symbol ?? null,
|
|
451
|
+
priceOverlaySymbol: overlaySymbol,
|
|
452
|
+
bucketMinutes,
|
|
453
|
+
classificationSource,
|
|
454
|
+
multiplier,
|
|
455
|
+
minimumClassificationCoverage: threshold,
|
|
456
|
+
premiumRule: 'provided-else-price-times-size-times-multiplier',
|
|
457
|
+
unknownPolicy: 'zero-drift-full-premium-bounds',
|
|
458
|
+
interval: '[open,min(close,asOf))',
|
|
459
|
+
priceRule: 'in-session-latest-before-bucket-end-no-backfill',
|
|
460
|
+
priceTieBreak: 'underlying-trade-then-quote-then-option-trade-last-input',
|
|
461
|
+
orderPolicy: 'stable-timestamp-sort',
|
|
462
|
+
duplicatePolicy: 'reject-id-or-identical-idless-print',
|
|
463
|
+
coverageMeaning: 'classified-premium-share-not-probability',
|
|
464
|
+
heuristicRule: 'empty-low-coverage-volume-opposed-expansion-mixed',
|
|
465
|
+
},
|
|
466
|
+
diagnostics: {
|
|
467
|
+
warnings: [
|
|
468
|
+
warning(WarningCode.ModelLimitation, 'Raw premium accounting, not dealer hedging drift, delta-adjusted premium, P&L, or income prediction. Directional labels and volume agreement are stated heuristics, not measured predictiveness. Combined premiums must use one currency.', 'info'),
|
|
469
|
+
warning(WarningCode.ModelLimitation, `Classification policy: ${classificationSource}. Provider classifications are unverified; quote-rule estimates use contemporaneous NBBO, with no tick test. Unknown-premium bounds are worst-case sign assignments, not confidence intervals; classification coverage is not a probability.`, 'info'),
|
|
470
|
+
warning(WarningCode.ModelLimitation, 'Bucket values are available at the exclusive interval end, not its start. Prices use only in-session observations before that end, with no future backfill. Timestamps must reflect availability; embedded underlyingPrice is assumed available at its option print timestamp. Staleness, vendor delays and corrections are not modeled.', 'info'),
|
|
471
|
+
],
|
|
472
|
+
},
|
|
473
|
+
};
|
|
474
|
+
}
|
|
475
|
+
//# sourceMappingURL=option-flow-drift.js.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
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