@insiderfinance/totalfinance 0.1.0

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Files changed (2495) hide show
  1. package/LICENSE +201 -0
  2. package/README.md +339 -0
  3. package/STABILITY.md +23 -0
  4. package/modules/backtest/dist/artifacts.d.ts +23 -0
  5. package/modules/backtest/dist/artifacts.d.ts.map +1 -0
  6. package/modules/backtest/dist/artifacts.js +22 -0
  7. package/modules/backtest/dist/artifacts.js.map +1 -0
  8. package/modules/backtest/dist/broker.d.ts +265 -0
  9. package/modules/backtest/dist/broker.d.ts.map +1 -0
  10. package/modules/backtest/dist/broker.js +1228 -0
  11. package/modules/backtest/dist/broker.js.map +1 -0
  12. package/modules/backtest/dist/costs.d.ts +67 -0
  13. package/modules/backtest/dist/costs.d.ts.map +1 -0
  14. package/modules/backtest/dist/costs.js +171 -0
  15. package/modules/backtest/dist/costs.js.map +1 -0
  16. package/modules/backtest/dist/cross-sectional/engine.d.ts +21 -0
  17. package/modules/backtest/dist/cross-sectional/engine.d.ts.map +1 -0
  18. package/modules/backtest/dist/cross-sectional/engine.js +1399 -0
  19. package/modules/backtest/dist/cross-sectional/engine.js.map +1 -0
  20. package/modules/backtest/dist/cross-sectional/folds.d.ts +134 -0
  21. package/modules/backtest/dist/cross-sectional/folds.d.ts.map +1 -0
  22. package/modules/backtest/dist/cross-sectional/folds.js +375 -0
  23. package/modules/backtest/dist/cross-sectional/folds.js.map +1 -0
  24. package/modules/backtest/dist/cross-sectional/grid.d.ts +142 -0
  25. package/modules/backtest/dist/cross-sectional/grid.d.ts.map +1 -0
  26. package/modules/backtest/dist/cross-sectional/grid.js +394 -0
  27. package/modules/backtest/dist/cross-sectional/grid.js.map +1 -0
  28. package/modules/backtest/dist/cross-sectional/index.d.ts +18 -0
  29. package/modules/backtest/dist/cross-sectional/index.d.ts.map +1 -0
  30. package/modules/backtest/dist/cross-sectional/index.js +15 -0
  31. package/modules/backtest/dist/cross-sectional/index.js.map +1 -0
  32. package/modules/backtest/dist/cross-sectional/types.d.ts +331 -0
  33. package/modules/backtest/dist/cross-sectional/types.d.ts.map +1 -0
  34. package/modules/backtest/dist/cross-sectional/types.js +12 -0
  35. package/modules/backtest/dist/cross-sectional/types.js.map +1 -0
  36. package/modules/backtest/dist/cross-sectional/validate.d.ts +22 -0
  37. package/modules/backtest/dist/cross-sectional/validate.d.ts.map +1 -0
  38. package/modules/backtest/dist/cross-sectional/validate.js +489 -0
  39. package/modules/backtest/dist/cross-sectional/validate.js.map +1 -0
  40. package/modules/backtest/dist/diagnostics.d.ts +16 -0
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  42. package/modules/backtest/dist/diagnostics.js +63 -0
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  44. package/modules/backtest/dist/environment/bench.d.ts +34 -0
  45. package/modules/backtest/dist/environment/bench.d.ts.map +1 -0
  46. package/modules/backtest/dist/environment/bench.js +724 -0
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  48. package/modules/backtest/dist/environment/environment.d.ts +5 -0
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  50. package/modules/backtest/dist/environment/environment.js +618 -0
  51. package/modules/backtest/dist/environment/environment.js.map +1 -0
  52. package/modules/backtest/dist/environment/episode.d.ts +4 -0
  53. package/modules/backtest/dist/environment/episode.d.ts.map +1 -0
  54. package/modules/backtest/dist/environment/episode.js +121 -0
  55. package/modules/backtest/dist/environment/episode.js.map +1 -0
  56. package/modules/backtest/dist/environment/episodes.d.ts +14 -0
  57. package/modules/backtest/dist/environment/episodes.d.ts.map +1 -0
  58. package/modules/backtest/dist/environment/episodes.js +644 -0
  59. package/modules/backtest/dist/environment/episodes.js.map +1 -0
  60. package/modules/backtest/dist/environment/features.d.ts +31 -0
  61. package/modules/backtest/dist/environment/features.d.ts.map +1 -0
  62. package/modules/backtest/dist/environment/features.js +157 -0
  63. package/modules/backtest/dist/environment/features.js.map +1 -0
  64. package/modules/backtest/dist/environment/index.d.ts +14 -0
  65. package/modules/backtest/dist/environment/index.d.ts.map +1 -0
  66. package/modules/backtest/dist/environment/index.js +12 -0
  67. package/modules/backtest/dist/environment/index.js.map +1 -0
  68. package/modules/backtest/dist/environment/limits.d.ts +63 -0
  69. package/modules/backtest/dist/environment/limits.d.ts.map +1 -0
  70. package/modules/backtest/dist/environment/limits.js +253 -0
  71. package/modules/backtest/dist/environment/limits.js.map +1 -0
  72. package/modules/backtest/dist/environment/reward.d.ts +5 -0
  73. package/modules/backtest/dist/environment/reward.d.ts.map +1 -0
  74. package/modules/backtest/dist/environment/reward.js +80 -0
  75. package/modules/backtest/dist/environment/reward.js.map +1 -0
  76. package/modules/backtest/dist/environment/types.d.ts +540 -0
  77. package/modules/backtest/dist/environment/types.d.ts.map +1 -0
  78. package/modules/backtest/dist/environment/types.js +2 -0
  79. package/modules/backtest/dist/environment/types.js.map +1 -0
  80. package/modules/backtest/dist/environment/validate.d.ts +23 -0
  81. package/modules/backtest/dist/environment/validate.d.ts.map +1 -0
  82. package/modules/backtest/dist/environment/validate.js +264 -0
  83. package/modules/backtest/dist/environment/validate.js.map +1 -0
  84. package/modules/backtest/dist/event-driven.d.ts +111 -0
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  86. package/modules/backtest/dist/event-driven.js +325 -0
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  88. package/modules/backtest/dist/execution/conformance.d.ts +33 -0
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  91. package/modules/backtest/dist/execution/conformance.js.map +1 -0
  92. package/modules/backtest/dist/execution/fill-models.d.ts +35 -0
  93. package/modules/backtest/dist/execution/fill-models.d.ts.map +1 -0
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  95. package/modules/backtest/dist/execution/fill-models.js.map +1 -0
  96. package/modules/backtest/dist/execution/fill-order.d.ts +55 -0
  97. package/modules/backtest/dist/execution/fill-order.d.ts.map +1 -0
  98. package/modules/backtest/dist/execution/fill-order.js +156 -0
  99. package/modules/backtest/dist/execution/fill-order.js.map +1 -0
  100. package/modules/backtest/dist/execution/index.d.ts +33 -0
  101. package/modules/backtest/dist/execution/index.d.ts.map +1 -0
  102. package/modules/backtest/dist/execution/index.js +27 -0
  103. package/modules/backtest/dist/execution/index.js.map +1 -0
  104. package/modules/backtest/dist/execution/intrabar.d.ts +46 -0
  105. package/modules/backtest/dist/execution/intrabar.d.ts.map +1 -0
  106. package/modules/backtest/dist/execution/intrabar.js +130 -0
  107. package/modules/backtest/dist/execution/intrabar.js.map +1 -0
  108. package/modules/backtest/dist/execution/normalized.d.ts +56 -0
  109. package/modules/backtest/dist/execution/normalized.d.ts.map +1 -0
  110. package/modules/backtest/dist/execution/normalized.js +154 -0
  111. package/modules/backtest/dist/execution/normalized.js.map +1 -0
  112. package/modules/backtest/dist/execution/policy.d.ts +84 -0
  113. package/modules/backtest/dist/execution/policy.d.ts.map +1 -0
  114. package/modules/backtest/dist/execution/policy.js +341 -0
  115. package/modules/backtest/dist/execution/policy.js.map +1 -0
  116. package/modules/backtest/dist/execution/types.d.ts +217 -0
  117. package/modules/backtest/dist/execution/types.d.ts.map +1 -0
  118. package/modules/backtest/dist/execution/types.js +8 -0
  119. package/modules/backtest/dist/execution/types.js.map +1 -0
  120. package/modules/backtest/dist/execution/validate.d.ts +35 -0
  121. package/modules/backtest/dist/execution/validate.d.ts.map +1 -0
  122. package/modules/backtest/dist/execution/validate.js +666 -0
  123. package/modules/backtest/dist/execution/validate.js.map +1 -0
  124. package/modules/backtest/dist/generated/validation-specs.d.ts +12 -0
  125. package/modules/backtest/dist/generated/validation-specs.d.ts.map +1 -0
  126. package/modules/backtest/dist/generated/validation-specs.js +1129 -0
  127. package/modules/backtest/dist/generated/validation-specs.js.map +1 -0
  128. package/modules/backtest/dist/index.d.ts +33 -0
  129. package/modules/backtest/dist/index.d.ts.map +1 -0
  130. package/modules/backtest/dist/index.js +28 -0
  131. package/modules/backtest/dist/index.js.map +1 -0
  132. package/modules/backtest/dist/options/chain.d.ts +68 -0
  133. package/modules/backtest/dist/options/chain.d.ts.map +1 -0
  134. package/modules/backtest/dist/options/chain.js +303 -0
  135. package/modules/backtest/dist/options/chain.js.map +1 -0
  136. package/modules/backtest/dist/options/engine.d.ts +28 -0
  137. package/modules/backtest/dist/options/engine.d.ts.map +1 -0
  138. package/modules/backtest/dist/options/engine.js +1859 -0
  139. package/modules/backtest/dist/options/engine.js.map +1 -0
  140. package/modules/backtest/dist/options/index.d.ts +23 -0
  141. package/modules/backtest/dist/options/index.d.ts.map +1 -0
  142. package/modules/backtest/dist/options/index.js +21 -0
  143. package/modules/backtest/dist/options/index.js.map +1 -0
  144. package/modules/backtest/dist/options/tearsheet.d.ts +77 -0
  145. package/modules/backtest/dist/options/tearsheet.d.ts.map +1 -0
  146. package/modules/backtest/dist/options/tearsheet.js +205 -0
  147. package/modules/backtest/dist/options/tearsheet.js.map +1 -0
  148. package/modules/backtest/dist/options/types.d.ts +571 -0
  149. package/modules/backtest/dist/options/types.d.ts.map +1 -0
  150. package/modules/backtest/dist/options/types.js +19 -0
  151. package/modules/backtest/dist/options/types.js.map +1 -0
  152. package/modules/backtest/dist/paper/index.d.ts +13 -0
  153. package/modules/backtest/dist/paper/index.d.ts.map +1 -0
  154. package/modules/backtest/dist/paper/index.js +12 -0
  155. package/modules/backtest/dist/paper/index.js.map +1 -0
  156. package/modules/backtest/dist/paper/paper.d.ts +8 -0
  157. package/modules/backtest/dist/paper/paper.d.ts.map +1 -0
  158. package/modules/backtest/dist/paper/paper.js +950 -0
  159. package/modules/backtest/dist/paper/paper.js.map +1 -0
  160. package/modules/backtest/dist/paper/types.d.ts +190 -0
  161. package/modules/backtest/dist/paper/types.d.ts.map +1 -0
  162. package/modules/backtest/dist/paper/types.js +3 -0
  163. package/modules/backtest/dist/paper/types.js.map +1 -0
  164. package/modules/backtest/dist/paper/validate.d.ts +9 -0
  165. package/modules/backtest/dist/paper/validate.d.ts.map +1 -0
  166. package/modules/backtest/dist/paper/validate.js +112 -0
  167. package/modules/backtest/dist/paper/validate.js.map +1 -0
  168. package/modules/backtest/dist/portfolio/adapters.d.ts +37 -0
  169. package/modules/backtest/dist/portfolio/adapters.d.ts.map +1 -0
  170. package/modules/backtest/dist/portfolio/adapters.js +555 -0
  171. package/modules/backtest/dist/portfolio/adapters.js.map +1 -0
  172. package/modules/backtest/dist/portfolio/engine.d.ts +35 -0
  173. package/modules/backtest/dist/portfolio/engine.d.ts.map +1 -0
  174. package/modules/backtest/dist/portfolio/engine.js +1300 -0
  175. package/modules/backtest/dist/portfolio/engine.js.map +1 -0
  176. package/modules/backtest/dist/portfolio/index.d.ts +12 -0
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  180. package/modules/backtest/dist/portfolio/types.d.ts +418 -0
  181. package/modules/backtest/dist/portfolio/types.d.ts.map +1 -0
  182. package/modules/backtest/dist/portfolio/types.js +8 -0
  183. package/modules/backtest/dist/portfolio/types.js.map +1 -0
  184. package/modules/backtest/dist/portfolio/validate.d.ts +26 -0
  185. package/modules/backtest/dist/portfolio/validate.d.ts.map +1 -0
  186. package/modules/backtest/dist/portfolio/validate.js +556 -0
  187. package/modules/backtest/dist/portfolio/validate.js.map +1 -0
  188. package/modules/backtest/dist/run-artifacts.d.ts +425 -0
  189. package/modules/backtest/dist/run-artifacts.d.ts.map +1 -0
  190. package/modules/backtest/dist/run-artifacts.js +1843 -0
  191. package/modules/backtest/dist/run-artifacts.js.map +1 -0
  192. package/modules/backtest/dist/signals.d.ts +110 -0
  193. package/modules/backtest/dist/signals.d.ts.map +1 -0
  194. package/modules/backtest/dist/signals.js +207 -0
  195. package/modules/backtest/dist/signals.js.map +1 -0
  196. package/modules/backtest/dist/tearsheet.d.ts +126 -0
  197. package/modules/backtest/dist/tearsheet.d.ts.map +1 -0
  198. package/modules/backtest/dist/tearsheet.js +266 -0
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  200. package/modules/backtest/dist/types.d.ts +175 -0
  201. package/modules/backtest/dist/types.d.ts.map +1 -0
  202. package/modules/backtest/dist/types.js +29 -0
  203. package/modules/backtest/dist/types.js.map +1 -0
  204. package/modules/backtest/dist/validate.d.ts +13 -0
  205. package/modules/backtest/dist/validate.d.ts.map +1 -0
  206. package/modules/backtest/dist/validate.js +37 -0
  207. package/modules/backtest/dist/validate.js.map +1 -0
  208. package/modules/backtest/dist/vectorized.d.ts +53 -0
  209. package/modules/backtest/dist/vectorized.d.ts.map +1 -0
  210. package/modules/backtest/dist/vectorized.js +383 -0
  211. package/modules/backtest/dist/vectorized.js.map +1 -0
  212. package/modules/backtest/dist/walk-forward.d.ts +57 -0
  213. package/modules/backtest/dist/walk-forward.d.ts.map +1 -0
  214. package/modules/backtest/dist/walk-forward.js +125 -0
  215. package/modules/backtest/dist/walk-forward.js.map +1 -0
  216. package/modules/backtest/etc/backtest.api.md +139 -0
  217. package/modules/backtest/src/artifacts.ts +54 -0
  218. package/modules/backtest/src/broker.ts +1529 -0
  219. package/modules/backtest/src/costs.ts +225 -0
  220. package/modules/backtest/src/cross-sectional/engine.ts +1608 -0
  221. package/modules/backtest/src/cross-sectional/folds.ts +718 -0
  222. package/modules/backtest/src/cross-sectional/grid.ts +646 -0
  223. package/modules/backtest/src/cross-sectional/index.ts +76 -0
  224. package/modules/backtest/src/cross-sectional/types.ts +363 -0
  225. package/modules/backtest/src/cross-sectional/validate.ts +906 -0
  226. package/modules/backtest/src/diagnostics.ts +66 -0
  227. package/modules/backtest/src/environment/bench.ts +1022 -0
  228. package/modules/backtest/src/environment/environment.ts +766 -0
  229. package/modules/backtest/src/environment/episode.ts +146 -0
  230. package/modules/backtest/src/environment/episodes.ts +786 -0
  231. package/modules/backtest/src/environment/features.ts +184 -0
  232. package/modules/backtest/src/environment/index.ts +79 -0
  233. package/modules/backtest/src/environment/limits.ts +383 -0
  234. package/modules/backtest/src/environment/reward.ts +98 -0
  235. package/modules/backtest/src/environment/types.ts +595 -0
  236. package/modules/backtest/src/environment/validate.ts +415 -0
  237. package/modules/backtest/src/event-driven.ts +528 -0
  238. package/modules/backtest/src/execution/conformance.ts +346 -0
  239. package/modules/backtest/src/execution/fill-models.ts +410 -0
  240. package/modules/backtest/src/execution/fill-order.ts +261 -0
  241. package/modules/backtest/src/execution/index.ts +91 -0
  242. package/modules/backtest/src/execution/intrabar.ts +185 -0
  243. package/modules/backtest/src/execution/normalized.ts +216 -0
  244. package/modules/backtest/src/execution/policy.ts +447 -0
  245. package/modules/backtest/src/execution/types.ts +239 -0
  246. package/modules/backtest/src/execution/validate.ts +889 -0
  247. package/modules/backtest/src/generated/validation-specs.ts +1132 -0
  248. package/modules/backtest/src/index.ts +157 -0
  249. package/modules/backtest/src/options/chain.ts +410 -0
  250. package/modules/backtest/src/options/engine.ts +2240 -0
  251. package/modules/backtest/src/options/index.ts +68 -0
  252. package/modules/backtest/src/options/tearsheet.ts +327 -0
  253. package/modules/backtest/src/options/types.ts +573 -0
  254. package/modules/backtest/src/paper/index.ts +27 -0
  255. package/modules/backtest/src/paper/paper.ts +1288 -0
  256. package/modules/backtest/src/paper/types.ts +221 -0
  257. package/modules/backtest/src/paper/validate.ts +168 -0
  258. package/modules/backtest/src/portfolio/adapters.ts +651 -0
  259. package/modules/backtest/src/portfolio/engine.ts +1518 -0
  260. package/modules/backtest/src/portfolio/index.ts +64 -0
  261. package/modules/backtest/src/portfolio/types.ts +456 -0
  262. package/modules/backtest/src/portfolio/validate.ts +861 -0
  263. package/modules/backtest/src/run-artifacts.ts +2873 -0
  264. package/modules/backtest/src/signals.ts +267 -0
  265. package/modules/backtest/src/tearsheet.ts +425 -0
  266. package/modules/backtest/src/types.ts +200 -0
  267. package/modules/backtest/src/validate.ts +43 -0
  268. package/modules/backtest/src/vectorized.ts +541 -0
  269. package/modules/backtest/src/walk-forward.ts +215 -0
  270. package/modules/calendars/dist/cboe.d.ts +15 -0
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  298. package/modules/calendars/etc/calendars.api.md +22 -0
  299. package/modules/calendars/src/cboe.ts +17 -0
  300. package/modules/calendars/src/crypto.ts +17 -0
  301. package/modules/calendars/src/expirations.ts +200 -0
  302. package/modules/calendars/src/index.ts +23 -0
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@@ -0,0 +1,191 @@
1
+ /** Supplied-Greek snapshot accounting. No pricing engine, IV inversion, or scenario repricing. */
2
+ import { type Assumptions, type Diagnostics, type OptionContract, type OptionQuote, type OptionQuoteGreeks } from '../../core/dist/index.js';
3
+ import type { GammaUnit } from './exposure.js';
4
+ /**
5
+ * Open observation: the core chain row's Greeks (`OptionQuote.greeks`) with `gamma` and the
6
+ * provenance REQUIRED. Delta and gamma are NOT multiplied by open interest or contract multiplier.
7
+ */
8
+ export interface SuppliedExposureGreeks extends OptionQuoteGreeks {
9
+ /** Signed price delta per underlying unit; never converted to an absolute put delta. */
10
+ delta: number;
11
+ /** Signed change in delta per ONE spot-price point, not per 1% and not dollar gamma. */
12
+ gamma: number;
13
+ provenance: {
14
+ /** Actual provider/model identifier, e.g. 'vendor-feed-v2' or 'bsm-2026-09'. */
15
+ source: string;
16
+ /** Actual Greek observation instant in epoch milliseconds, not report generation time. */
17
+ timestampMs: number;
18
+ model?: string;
19
+ };
20
+ }
21
+ /** Canonical OptionQuote with independently sourced Greeks; harmless decoration is accepted. */
22
+ export interface SuppliedExposureQuote extends OptionQuote {
23
+ /** Actual source of this quote/open-interest snapshot. */
24
+ source: string;
25
+ /** Omit when unavailable. Missing Greeks exclude the row; they are never recomputed. */
26
+ greeks?: SuppliedExposureGreeks;
27
+ }
28
+ /** Explicit OI-position signs, applied ONCE to the supplied signed Greek, independently per metric. */
29
+ export interface SuppliedExposurePositionConvention {
30
+ calls: 1 | -1;
31
+ puts: 1 | -1;
32
+ }
33
+ /** Closed controls. No rate, dividend, pricing-model, or scenario knobs are accepted. */
34
+ export interface SuppliedExposureConfig {
35
+ gexConvention: SuppliedExposurePositionConvention;
36
+ dexConvention: SuppliedExposurePositionConvention;
37
+ /** Output GEX unit: dollar-delta change per +1% spot move or per +1 spot-price point. */
38
+ gammaUnit: GammaUnit;
39
+ /** Inclusive maximum age of quote, Greek, and spot observations, in milliseconds. */
40
+ maximumObservationAgeMs: number;
41
+ /** Explicit fallback only; otherwise every contract must supply a positive multiplier. */
42
+ defaultMultiplier?: number;
43
+ }
44
+ /** Open spot observation plus an explicit report cutoff; all quotes must name this underlying. */
45
+ export interface SuppliedExposureMarket {
46
+ underlying: string;
47
+ spot: number;
48
+ source: string;
49
+ timestampMs: number;
50
+ /** Epoch ms, YYYY-MM-DD (UTC midnight), or a zoned ISO datetime. Never reads the clock. */
51
+ asOf: number | string;
52
+ }
53
+ export interface SuppliedExposureInput {
54
+ quotes: readonly SuppliedExposureQuote[];
55
+ market: SuppliedExposureMarket;
56
+ config: SuppliedExposureConfig;
57
+ }
58
+ export type SuppliedExposureExclusion = 'missingGreeks' | 'missingOpenInterest' | 'expired' | 'staleQuote' | 'futureQuote' | 'staleGreeks' | 'futureGreeks' | 'staleMarket' | 'futureMarket';
59
+ export interface SuppliedExposureContribution {
60
+ /** Original row index; equal contract identities preserve input order. No implicit deduplication. */
61
+ inputIndex: number;
62
+ /** Detached canonical identity and resolved multiplier; unrelated metadata is not copied. */
63
+ contract: OptionContract;
64
+ source: string;
65
+ timestampMs: number;
66
+ greeks: SuppliedExposureGreeks | null;
67
+ openInterest: number | null;
68
+ multiplier: number;
69
+ multiplierSource: 'contract' | 'config.defaultMultiplier';
70
+ gexSign: 1 | -1;
71
+ dexSign: 1 | -1;
72
+ included: boolean;
73
+ exclusionReasons: SuppliedExposureExclusion[];
74
+ /** Null means excluded, not zero exposure. Units are echoed in assumptions. */
75
+ gex: number | null;
76
+ dex: number | null;
77
+ }
78
+ export interface SuppliedExposureTotals {
79
+ /** Net signed exposures across included rows only. An empty sum is NOT measured zero market exposure. */
80
+ gex: number;
81
+ dex: number;
82
+ /** Sum of absolute PER-ROW exposures, before any strike/expiry netting. */
83
+ grossGex: number;
84
+ grossDex: number;
85
+ callGex: number;
86
+ putGex: number;
87
+ callDex: number;
88
+ putDex: number;
89
+ openInterest: number;
90
+ callOpenInterest: number;
91
+ putOpenInterest: number;
92
+ includedQuotes: number;
93
+ }
94
+ export type SuppliedExposureAssumptions = Assumptions<{
95
+ greekSource: 'supplied';
96
+ suppliedDeltaUnit: 'priceDeltaPerUnderlyingUnit';
97
+ suppliedGammaUnit: 'deltaPerSpotPoint';
98
+ suppliedGreekSignPolicy: 'signed-as-provided';
99
+ currencyPolicy: 'caller-aligned-single-currency-no-fx-conversion';
100
+ gammaUnit: GammaUnit;
101
+ dexUnit: 'dollarDelta';
102
+ gexConvention: SuppliedExposurePositionConvention;
103
+ dexConvention: SuppliedExposurePositionConvention;
104
+ maximumObservationAgeMs: number;
105
+ defaultMultiplier: number | null;
106
+ market: SuppliedExposureMarket & {
107
+ asOf: number;
108
+ };
109
+ scenarioRepricing: 'unavailable';
110
+ aggregationPolicy: 'additive-input-rows-no-deduplication';
111
+ }>;
112
+ /** Plain JSON-safe analysis report, directly compatible with saved-analysis report grammar. */
113
+ export type SuppliedExposureReport = {
114
+ contributions: SuppliedExposureContribution[];
115
+ aggregate: SuppliedExposureTotals;
116
+ byStrike: Array<SuppliedExposureTotals & {
117
+ strike: number;
118
+ }>;
119
+ /** Groups economically identical expiry instants, even when labels use different time zones. */
120
+ byExpiry: Array<SuppliedExposureTotals & {
121
+ expiry: string;
122
+ expiresAt: number;
123
+ }>;
124
+ coverage: {
125
+ scope: 'suppliedQuotesOnly';
126
+ status: 'emptyInput' | 'noEligibleQuotes' | 'partialInput' | 'allInputQuotesIncluded';
127
+ totalQuotes: number;
128
+ includedQuotes: number;
129
+ excludedQuotes: number;
130
+ /** Included / supplied rows; null for an empty chain. Not coverage of an unknown full universe. */
131
+ fraction: number | null;
132
+ /** Rows beyond the first matching underlying/type/style/strike/expiry instant, across sources/times. */
133
+ duplicateContractQuotes: number;
134
+ /** Included rows beyond the first included matching identity; these can double-count OI. */
135
+ duplicateIncludedContractQuotes: number;
136
+ /** Counts overlap when a row has several reasons. */
137
+ exclusionCounts: Record<SuppliedExposureExclusion, number>;
138
+ };
139
+ assumptions: SuppliedExposureAssumptions;
140
+ diagnostics: Diagnostics;
141
+ };
142
+ /**
143
+ * Account for caller-supplied signed Greeks at one spot snapshot. GEX is
144
+ * `gamma * openInterest * multiplier * gexSign * spot * (spot * 0.01)` for
145
+ * `per1PercentMove`, or `gamma * openInterest * multiplier * gexSign * spot` for
146
+ * `perPoint`. DEX is `delta * openInterest * multiplier * dexSign * spot`.
147
+ * A negative put delta is used unchanged: a negative DEX position sign reverses it ONCE.
148
+ * Gamma inputs are signed delta-per-spot-point, never dollar gamma or per-contract gamma.
149
+ *
150
+ * Quotes, contracts, Greeks and market observations are open to harmless decoration; the request,
151
+ * config and both convention objects are closed. Only consumed fields are validated/copied.
152
+ * Quote timestamp/source describe the supplied OI snapshot, not a fabricated exchange OI update.
153
+ * Caller must align currency, deliverable basis, source units and non-overlapping OI observations.
154
+ * Repeated underlying/type/style/strike/expiry identities are counted and warned, never silently
155
+ * deduplicated; differing multipliers, sources, timestamps and provider metadata do not hide repeats.
156
+ * Coverage describes only supplied quote rows, not a full market universe. Empty or entirely
157
+ * excluded chains produce empty sums, NOT an estimate that market exposure is zero.
158
+ * Every row is validated, including rows later excluded. Missing OI/Greeks, expired contracts
159
+ * (`expiresAt <= asOf`), future observations (`timestampMs > asOf`) and stale observations
160
+ * (`asOf - timestampMs > maximumObservationAgeMs`) are excluded with retained lineage.
161
+ * Zero OI is a valid included zero contribution. Missing multipliers require an explicit fallback.
162
+ *
163
+ * Contributions sort by expiry instant, strike, call-before-put, then original input index.
164
+ * Aggregates sort numerically by strike/expiry instant and include excluded-only buckets as zero.
165
+ * At most 100,000 dense quote rows and 512 characters per consumed string are accepted; lengths
166
+ * are refused before traversal. Nonrepresentable contributions or aggregates throw InputError.
167
+ * No rate/dividend model is invented and fixed supplied Greeks cannot yield scenario repricing,
168
+ * gamma flips, or model-driven hedging forecasts. Use exposure() for model-based scenarios.
169
+ *
170
+ * @example
171
+ * ```ts
172
+ * import { resolvedExpiry } from '@insiderfinance/totalfinance/core';
173
+ * import { exposureFromGreeks } from '@insiderfinance/totalfinance/structure';
174
+ * const timestampMs = Date.parse('2026-09-01T15:00:00Z');
175
+ * const report = exposureFromGreeks({
176
+ * quotes: [{
177
+ * contract: { underlying: 'SPY', type: 'put', style: 'american', strike: 100,
178
+ * expiry: '2026-09-18', ...resolvedExpiry('2026-09-18'), multiplier: 100 },
179
+ * timestampMs, source: 'chain-feed', openInterest: 10,
180
+ * greeks: { delta: -0.4, gamma: 0.02, provenance: { source: 'greek-feed', timestampMs } },
181
+ * }],
182
+ * market: { underlying: 'SPY', spot: 100, source: 'spot-feed', timestampMs, asOf: timestampMs },
183
+ * config: { gexConvention: { calls: 1, puts: -1 }, dexConvention: { calls: 1, puts: 1 },
184
+ * gammaUnit: 'per1PercentMove', maximumObservationAgeMs: 60000 },
185
+ * });
186
+ * console.assert(report.aggregate.gex === -2000);
187
+ * console.assert(report.aggregate.dex === -40000);
188
+ * ```
189
+ */
190
+ export declare function exposureFromGreeks(input: SuppliedExposureInput): SuppliedExposureReport;
191
+ //# sourceMappingURL=supplied-exposure.d.ts.map
@@ -0,0 +1 @@
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@@ -0,0 +1,421 @@
1
+ /** Supplied-Greek snapshot accounting. No pricing engine, IV inversion, or scenario repricing. */
2
+ import { CONVENTIONS_VERSION, ErrorCode, InputError, WarningCode, assertFiniteValue, ensureEnum, ensureKnownKeys, ensureNonNegative, ensurePositive, requireArgumentObject, requireFiniteFields, resolveValuationAsOf, stableSum, validateResolvedExpiry, warning, } from '../../core/dist/index.js';
3
+ const FN = 'exposureFromGreeks';
4
+ const MAX_QUOTES = 100_000;
5
+ const MAX_TEXT_LENGTH = 512;
6
+ const EXAMPLE = "exposureFromGreeks({ quotes: [], market: { underlying: 'SPY', spot: 100, source: 'feed', timestampMs: 0, asOf: 0 }, config: { gexConvention: { calls: 1, puts: -1 }, dexConvention: { calls: 1, puts: 1 }, gammaUnit: 'per1PercentMove', maximumObservationAgeMs: 60000 } })";
7
+ const REASONS = [
8
+ 'missingGreeks',
9
+ 'missingOpenInterest',
10
+ 'expired',
11
+ 'staleQuote',
12
+ 'futureQuote',
13
+ 'staleGreeks',
14
+ 'futureGreeks',
15
+ 'staleMarket',
16
+ 'futureMarket',
17
+ ];
18
+ function fail(field, message, code = ErrorCode.InputOutOfRange) {
19
+ throw new InputError(`${FN}: ${field} ${message}`, {
20
+ code,
21
+ context: { function: FN, field },
22
+ });
23
+ }
24
+ function textField(value, field) {
25
+ if (typeof value !== 'string') {
26
+ fail(field, 'must be a nonempty source/identity string.', value === undefined ? ErrorCode.InputMissingField : ErrorCode.InputWrongType);
27
+ }
28
+ // Refuse length before scanning caller text.
29
+ if (value.length > MAX_TEXT_LENGTH)
30
+ fail(field, `must contain at most ${MAX_TEXT_LENGTH} characters.`, ErrorCode.OperationInputTooLarge);
31
+ if (value.trim().length === 0)
32
+ fail(field, 'must not be blank.');
33
+ }
34
+ function finiteFields(value, fields, path) {
35
+ requireFiniteFields(FN, value, fields, { path, exampleCall: EXAMPLE });
36
+ }
37
+ function timestamp(value, field) {
38
+ if (!Number.isSafeInteger(value) || Math.abs(value) > 8.64e15) {
39
+ fail(field, 'must be integer epoch milliseconds in the JavaScript Date range.');
40
+ }
41
+ }
42
+ function convention(value, field) {
43
+ requireArgumentObject(FN, field, value);
44
+ ensureKnownKeys(FN, field, value, ['calls', 'puts']);
45
+ for (const side of ['calls', 'puts']) {
46
+ if (value[side] !== 1 && value[side] !== -1)
47
+ fail(`${field}.${side}`, 'must be +1 or -1; signs multiply the supplied signed Greek.', ErrorCode.InputInvalidEnum);
48
+ }
49
+ return { calls: value.calls, puts: value.puts };
50
+ }
51
+ function finiteComputed(value, field) {
52
+ if (!Number.isFinite(value))
53
+ fail(field, 'exceeds finite numeric range; reduce the input magnitudes.');
54
+ return value === 0 ? 0 : value;
55
+ }
56
+ /** Scale only on the exceptional path: finite final exposures can have overflowing intermediates. */
57
+ function exposureProduct(factors, field) {
58
+ if (factors.includes(0))
59
+ return 0;
60
+ let direct = 1;
61
+ let needsScaling = false;
62
+ for (const factor of factors) {
63
+ direct *= factor;
64
+ if (!Number.isFinite(direct) || Math.abs(direct) < 2 ** -1022)
65
+ needsScaling = true;
66
+ }
67
+ if (!needsScaling)
68
+ return direct;
69
+ let mantissa = 1;
70
+ let exponent = 0;
71
+ let sign = 1;
72
+ for (const factor of factors) {
73
+ if (factor < 0)
74
+ sign = -sign;
75
+ const magnitude = Math.abs(factor);
76
+ // log2(MAX_VALUE) rounds to 1024; cap before forming a power of two.
77
+ const power = Math.min(1023, Math.floor(Math.log2(magnitude)));
78
+ mantissa *= magnitude / 2 ** power;
79
+ exponent += power;
80
+ while (mantissa >= 2) {
81
+ mantissa /= 2;
82
+ exponent++;
83
+ }
84
+ while (mantissa < 1) {
85
+ mantissa *= 2;
86
+ exponent--;
87
+ }
88
+ }
89
+ const magnitude = exponent < -1022
90
+ ? mantissa * 2 ** (exponent + 1074) * Number.MIN_VALUE
91
+ : mantissa * 2 ** exponent;
92
+ return finiteComputed(sign * magnitude, field);
93
+ }
94
+ function totals(rows, path) {
95
+ const included = rows.filter((row) => row.included);
96
+ const sum = (select, field) => finiteComputed(stableSum(included.map(select)), `${path}.${field}`);
97
+ return {
98
+ gex: sum((r) => r.gex, 'gex'),
99
+ dex: sum((r) => r.dex, 'dex'),
100
+ grossGex: sum((r) => Math.abs(r.gex), 'grossGex'),
101
+ grossDex: sum((r) => Math.abs(r.dex), 'grossDex'),
102
+ callGex: sum((r) => (r.contract.type === 'call' ? r.gex : 0), 'callGex'),
103
+ putGex: sum((r) => (r.contract.type === 'put' ? r.gex : 0), 'putGex'),
104
+ callDex: sum((r) => (r.contract.type === 'call' ? r.dex : 0), 'callDex'),
105
+ putDex: sum((r) => (r.contract.type === 'put' ? r.dex : 0), 'putDex'),
106
+ openInterest: sum((r) => r.openInterest, 'openInterest'),
107
+ callOpenInterest: sum((r) => (r.contract.type === 'call' ? r.openInterest : 0), 'callOpenInterest'),
108
+ putOpenInterest: sum((r) => (r.contract.type === 'put' ? r.openInterest : 0), 'putOpenInterest'),
109
+ includedQuotes: included.length,
110
+ };
111
+ }
112
+ /**
113
+ * Account for caller-supplied signed Greeks at one spot snapshot. GEX is
114
+ * `gamma * openInterest * multiplier * gexSign * spot * (spot * 0.01)` for
115
+ * `per1PercentMove`, or `gamma * openInterest * multiplier * gexSign * spot` for
116
+ * `perPoint`. DEX is `delta * openInterest * multiplier * dexSign * spot`.
117
+ * A negative put delta is used unchanged: a negative DEX position sign reverses it ONCE.
118
+ * Gamma inputs are signed delta-per-spot-point, never dollar gamma or per-contract gamma.
119
+ *
120
+ * Quotes, contracts, Greeks and market observations are open to harmless decoration; the request,
121
+ * config and both convention objects are closed. Only consumed fields are validated/copied.
122
+ * Quote timestamp/source describe the supplied OI snapshot, not a fabricated exchange OI update.
123
+ * Caller must align currency, deliverable basis, source units and non-overlapping OI observations.
124
+ * Repeated underlying/type/style/strike/expiry identities are counted and warned, never silently
125
+ * deduplicated; differing multipliers, sources, timestamps and provider metadata do not hide repeats.
126
+ * Coverage describes only supplied quote rows, not a full market universe. Empty or entirely
127
+ * excluded chains produce empty sums, NOT an estimate that market exposure is zero.
128
+ * Every row is validated, including rows later excluded. Missing OI/Greeks, expired contracts
129
+ * (`expiresAt <= asOf`), future observations (`timestampMs > asOf`) and stale observations
130
+ * (`asOf - timestampMs > maximumObservationAgeMs`) are excluded with retained lineage.
131
+ * Zero OI is a valid included zero contribution. Missing multipliers require an explicit fallback.
132
+ *
133
+ * Contributions sort by expiry instant, strike, call-before-put, then original input index.
134
+ * Aggregates sort numerically by strike/expiry instant and include excluded-only buckets as zero.
135
+ * At most 100,000 dense quote rows and 512 characters per consumed string are accepted; lengths
136
+ * are refused before traversal. Nonrepresentable contributions or aggregates throw InputError.
137
+ * No rate/dividend model is invented and fixed supplied Greeks cannot yield scenario repricing,
138
+ * gamma flips, or model-driven hedging forecasts. Use exposure() for model-based scenarios.
139
+ *
140
+ * @example
141
+ * ```ts
142
+ * import { resolvedExpiry } from '@insiderfinance/totalfinance/core';
143
+ * import { exposureFromGreeks } from '@insiderfinance/totalfinance/structure';
144
+ * const timestampMs = Date.parse('2026-09-01T15:00:00Z');
145
+ * const report = exposureFromGreeks({
146
+ * quotes: [{
147
+ * contract: { underlying: 'SPY', type: 'put', style: 'american', strike: 100,
148
+ * expiry: '2026-09-18', ...resolvedExpiry('2026-09-18'), multiplier: 100 },
149
+ * timestampMs, source: 'chain-feed', openInterest: 10,
150
+ * greeks: { delta: -0.4, gamma: 0.02, provenance: { source: 'greek-feed', timestampMs } },
151
+ * }],
152
+ * market: { underlying: 'SPY', spot: 100, source: 'spot-feed', timestampMs, asOf: timestampMs },
153
+ * config: { gexConvention: { calls: 1, puts: -1 }, dexConvention: { calls: 1, puts: 1 },
154
+ * gammaUnit: 'per1PercentMove', maximumObservationAgeMs: 60000 },
155
+ * });
156
+ * console.assert(report.aggregate.gex === -2000);
157
+ * console.assert(report.aggregate.dex === -40000);
158
+ * ```
159
+ */
160
+ export function exposureFromGreeks(input) {
161
+ requireArgumentObject(FN, 'input', input);
162
+ ensureKnownKeys(FN, 'input', input, ['quotes', 'market', 'config']);
163
+ const { quotes, market, config } = input;
164
+ if (!Array.isArray(quotes))
165
+ fail('quotes', 'must be a dense array of OptionQuote observations.', ErrorCode.InputWrongType);
166
+ if (quotes.length > MAX_QUOTES)
167
+ fail('quotes', `must contain at most ${MAX_QUOTES} rows.`, ErrorCode.OperationInputTooLarge);
168
+ requireArgumentObject(FN, 'market', market);
169
+ requireArgumentObject(FN, 'config', config);
170
+ ensureKnownKeys(FN, 'config', config, [
171
+ 'gexConvention',
172
+ 'dexConvention',
173
+ 'gammaUnit',
174
+ 'maximumObservationAgeMs',
175
+ 'defaultMultiplier',
176
+ ]);
177
+ const gexConvention = convention(config.gexConvention, 'config.gexConvention');
178
+ const dexConvention = convention(config.dexConvention, 'config.dexConvention');
179
+ ensureEnum(config.gammaUnit, ['per1PercentMove', 'perPoint'], 'config.gammaUnit', FN);
180
+ finiteFields(config, ['maximumObservationAgeMs'], 'config');
181
+ ensureNonNegative(config.maximumObservationAgeMs, 'config.maximumObservationAgeMs', FN);
182
+ if (config.defaultMultiplier !== undefined) {
183
+ finiteFields(config, ['defaultMultiplier'], 'config');
184
+ ensurePositive(config.defaultMultiplier, 'config.defaultMultiplier', FN);
185
+ }
186
+ textField(market.underlying, 'market.underlying');
187
+ textField(market.source, 'market.source');
188
+ finiteFields(market, ['spot', 'timestampMs'], 'market');
189
+ ensurePositive(market.spot, 'market.spot', FN);
190
+ timestamp(market.timestampMs, 'market.timestampMs');
191
+ if (typeof market.asOf === 'string')
192
+ textField(market.asOf, 'market.asOf');
193
+ const asOf = resolveValuationAsOf(market.asOf, FN);
194
+ timestamp(asOf, 'market.asOf');
195
+ const ageStatus = (observed) => observed > asOf ? 'future' : asOf - observed > config.maximumObservationAgeMs ? 'stale' : null;
196
+ const marketStatus = ageStatus(market.timestampMs);
197
+ const contributions = [];
198
+ const seenContracts = new Map();
199
+ let duplicateContractQuotes = 0;
200
+ let duplicateIncludedContractQuotes = 0;
201
+ const exclusionCounts = Object.fromEntries(REASONS.map((reason) => [reason, 0]));
202
+ for (let index = 0; index < quotes.length; index++) {
203
+ const path = `quotes[${index}]`;
204
+ if (!Object.hasOwn(quotes, index))
205
+ fail(path, 'is missing; provide a dense array, not a sparse hole.', ErrorCode.InputMissingField);
206
+ const quote = quotes[index];
207
+ requireArgumentObject(FN, path, quote);
208
+ const contract = quote.contract;
209
+ requireArgumentObject(FN, `${path}.contract`, contract);
210
+ textField(contract.underlying, `${path}.contract.underlying`);
211
+ if (contract.underlying !== market.underlying)
212
+ fail(`${path}.contract.underlying`, 'must match market.underlying; mixed underlying books need separate reports.');
213
+ ensureEnum(contract.type, ['call', 'put'], `${path}.contract.type`, FN);
214
+ ensureEnum(contract.style, ['american', 'european'], `${path}.contract.style`, FN);
215
+ finiteFields(contract, ['strike', 'expiresAt'], `${path}.contract`);
216
+ ensurePositive(contract.strike, `${path}.contract.strike`, FN);
217
+ timestamp(contract.expiresAt, `${path}.contract.expiresAt`);
218
+ textField(contract.expiry, `${path}.contract.expiry`);
219
+ ensureEnum(contract.expiryConvention, ['us-equity-close', 'explicit-instant'], `${path}.contract.expiryConvention`, FN);
220
+ try {
221
+ validateResolvedExpiry(FN, contract.expiry, contract.expiresAt, contract.expiryConvention);
222
+ }
223
+ catch (error) {
224
+ if (error instanceof InputError)
225
+ fail(`${path}.contract.expiry`, error.message, error.code);
226
+ throw error;
227
+ }
228
+ if (contract.multiplier !== undefined) {
229
+ finiteFields(contract, ['multiplier'], `${path}.contract`);
230
+ ensurePositive(contract.multiplier, `${path}.contract.multiplier`, FN);
231
+ }
232
+ const multiplier = contract.multiplier ?? config.defaultMultiplier;
233
+ if (multiplier === undefined)
234
+ fail(`${path}.contract.multiplier`, 'is required unless config.defaultMultiplier is explicit.', ErrorCode.InputMissingField);
235
+ textField(quote.source, `${path}.source`);
236
+ finiteFields(quote, ['timestampMs'], path);
237
+ timestamp(quote.timestampMs, `${path}.timestampMs`);
238
+ if (quote.openInterest !== undefined) {
239
+ finiteFields(quote, ['openInterest'], path);
240
+ if (!Number.isSafeInteger(quote.openInterest) || quote.openInterest < 0)
241
+ fail(`${path}.openInterest`, 'must be a nonnegative safe integer number of contracts.');
242
+ }
243
+ let greeks = null;
244
+ if (quote.greeks !== undefined) {
245
+ finiteFields(quote.greeks, ['delta', 'gamma'], `${path}.greeks`);
246
+ requireArgumentObject(FN, `${path}.greeks.provenance`, quote.greeks.provenance);
247
+ const provenance = quote.greeks.provenance;
248
+ finiteFields(provenance, ['timestampMs'], `${path}.greeks.provenance`);
249
+ timestamp(provenance.timestampMs, `${path}.greeks.provenance.timestampMs`);
250
+ textField(provenance.source, `${path}.greeks.provenance.source`);
251
+ greeks = {
252
+ delta: quote.greeks.delta,
253
+ gamma: quote.greeks.gamma,
254
+ provenance: {
255
+ source: provenance.source,
256
+ timestampMs: provenance.timestampMs,
257
+ ...(provenance.model !== undefined ? { model: provenance.model } : {}),
258
+ },
259
+ };
260
+ }
261
+ const exclusionReasons = [];
262
+ if (greeks === null)
263
+ exclusionReasons.push('missingGreeks');
264
+ if (quote.openInterest === undefined)
265
+ exclusionReasons.push('missingOpenInterest');
266
+ if (contract.expiresAt <= asOf)
267
+ exclusionReasons.push('expired');
268
+ const quoteStatus = ageStatus(quote.timestampMs);
269
+ if (quoteStatus)
270
+ exclusionReasons.push(`${quoteStatus}Quote`);
271
+ const greekStatus = greeks === null ? null : ageStatus(greeks.provenance.timestampMs);
272
+ if (greekStatus)
273
+ exclusionReasons.push(`${greekStatus}Greeks`);
274
+ if (marketStatus)
275
+ exclusionReasons.push(`${marketStatus}Market`);
276
+ for (const reason of exclusionReasons)
277
+ exclusionCounts[reason]++;
278
+ const included = exclusionReasons.length === 0;
279
+ const identity = JSON.stringify([
280
+ contract.underlying,
281
+ contract.type,
282
+ contract.style,
283
+ contract.strike,
284
+ contract.expiresAt,
285
+ ]);
286
+ const previouslyIncluded = seenContracts.get(identity);
287
+ if (previouslyIncluded !== undefined)
288
+ duplicateContractQuotes++;
289
+ if (included && previouslyIncluded === true)
290
+ duplicateIncludedContractQuotes++;
291
+ seenContracts.set(identity, included || previouslyIncluded === true);
292
+ const side = contract.type === 'call' ? 'calls' : 'puts';
293
+ const gexSign = gexConvention[side];
294
+ const dexSign = dexConvention[side];
295
+ let gex = null;
296
+ let dex = null;
297
+ if (included) {
298
+ const gammaFactors = [greeks.gamma, quote.openInterest, multiplier, gexSign, market.spot];
299
+ if (config.gammaUnit === 'per1PercentMove')
300
+ gammaFactors.push(market.spot, 0.01);
301
+ gex = exposureProduct(gammaFactors, `${path}.gex`);
302
+ dex = exposureProduct([greeks.delta, quote.openInterest, multiplier, dexSign, market.spot], `${path}.dex`);
303
+ }
304
+ contributions.push({
305
+ inputIndex: index,
306
+ contract: {
307
+ underlying: contract.underlying,
308
+ type: contract.type,
309
+ style: contract.style,
310
+ strike: contract.strike,
311
+ expiry: contract.expiry,
312
+ expiresAt: contract.expiresAt,
313
+ expiryConvention: contract.expiryConvention,
314
+ multiplier,
315
+ },
316
+ source: quote.source,
317
+ timestampMs: quote.timestampMs,
318
+ greeks,
319
+ openInterest: quote.openInterest ?? null,
320
+ multiplier,
321
+ multiplierSource: contract.multiplier === undefined ? 'config.defaultMultiplier' : 'contract',
322
+ gexSign,
323
+ dexSign,
324
+ included,
325
+ exclusionReasons,
326
+ gex,
327
+ dex,
328
+ });
329
+ }
330
+ contributions.sort((a, b) => a.contract.expiresAt - b.contract.expiresAt ||
331
+ a.contract.strike - b.contract.strike ||
332
+ (a.contract.type === b.contract.type ? 0 : a.contract.type === 'call' ? -1 : 1) ||
333
+ a.inputIndex - b.inputIndex);
334
+ const strikes = new Map();
335
+ const expiries = new Map();
336
+ for (const row of contributions) {
337
+ for (const [groups, key] of [
338
+ [strikes, row.contract.strike],
339
+ [expiries, row.contract.expiresAt],
340
+ ]) {
341
+ const group = groups.get(key);
342
+ if (group)
343
+ group.push(row);
344
+ else
345
+ groups.set(key, [row]);
346
+ }
347
+ }
348
+ const aggregate = totals(contributions, 'aggregate');
349
+ const excludedQuotes = quotes.length - aggregate.includedQuotes;
350
+ const warnings = [
351
+ warning(WarningCode.ModelLimitation, 'Positioning is estimated from supplied signed delta/gamma, open interest and independent GEX/DEX signs, not actual dealer books. Signed Greeks are used unchanged before position signs. No Greeks are recomputed and no scenario repricing is available.', 'info'),
352
+ warning(WarningCode.ModelLimitation, 'Coverage is supplied quote rows only, not the full market. All rows share market.underlying; caller must align a single currency and deliverable basis (no FX conversion). Rows are additive, not deduplicated. Quote source/timestamp identify the supplied OI snapshot, not the exchange OI update or availability time.', 'info'),
353
+ ];
354
+ if (duplicateContractQuotes > 0)
355
+ warnings.push(warning(WarningCode.StructureDuplicateContractQuotes, `${duplicateContractQuotes} repeated contract-identity quote(s); ${duplicateIncludedContractQuotes} repeat an included identity and may double-count open interest. Rows remain additive; select non-overlapping snapshots before calling.`, 'warn', { duplicateContractQuotes, duplicateIncludedContractQuotes }));
356
+ if (excludedQuotes > 0)
357
+ warnings.push(warning(WarningCode.StructureContractsSkipped, `${excludedQuotes} quote(s) excluded; inspect contributions[].exclusionReasons and coverage.exclusionCounts.`, 'warn', { excludedQuotes }));
358
+ if (quotes.length === 0)
359
+ warnings.push(warning(WarningCode.DegenerateInput, 'Empty chain: totals are empty sums and coverage.fraction is null, not measured zero market exposure.', 'info'));
360
+ else if (aggregate.includedQuotes === 0)
361
+ warnings.push(warning(WarningCode.StructureNoEligibleQuotes, 'No supplied quote is eligible: aggregate and bucket zeros are empty sums, not measured zero market exposure. Inspect exclusions.', 'warn'));
362
+ const report = {
363
+ contributions,
364
+ aggregate,
365
+ byStrike: [...strikes.entries()]
366
+ .sort(([a], [b]) => a - b)
367
+ .map(([strike, rows]) => ({ strike, ...totals(rows, `byStrike[${strike}]`) })),
368
+ byExpiry: [...expiries.entries()]
369
+ .sort(([a], [b]) => a - b)
370
+ .map(([expiresAt, rows]) => ({
371
+ expiry: new Date(expiresAt).toISOString(),
372
+ expiresAt,
373
+ ...totals(rows, `byExpiry[${expiresAt}]`),
374
+ })),
375
+ coverage: {
376
+ scope: 'suppliedQuotesOnly',
377
+ status: quotes.length === 0
378
+ ? 'emptyInput'
379
+ : aggregate.includedQuotes === 0
380
+ ? 'noEligibleQuotes'
381
+ : excludedQuotes > 0
382
+ ? 'partialInput'
383
+ : 'allInputQuotesIncluded',
384
+ totalQuotes: quotes.length,
385
+ includedQuotes: aggregate.includedQuotes,
386
+ excludedQuotes,
387
+ fraction: quotes.length === 0 ? null : aggregate.includedQuotes / quotes.length,
388
+ duplicateContractQuotes,
389
+ duplicateIncludedContractQuotes,
390
+ exclusionCounts,
391
+ },
392
+ assumptions: {
393
+ conventionsVersion: CONVENTIONS_VERSION,
394
+ asOf,
395
+ greekSource: 'supplied',
396
+ suppliedDeltaUnit: 'priceDeltaPerUnderlyingUnit',
397
+ suppliedGammaUnit: 'deltaPerSpotPoint',
398
+ suppliedGreekSignPolicy: 'signed-as-provided',
399
+ currencyPolicy: 'caller-aligned-single-currency-no-fx-conversion',
400
+ gammaUnit: config.gammaUnit,
401
+ dexUnit: 'dollarDelta',
402
+ gexConvention,
403
+ dexConvention,
404
+ maximumObservationAgeMs: config.maximumObservationAgeMs,
405
+ defaultMultiplier: config.defaultMultiplier ?? null,
406
+ market: {
407
+ underlying: market.underlying,
408
+ spot: market.spot,
409
+ source: market.source,
410
+ timestampMs: market.timestampMs,
411
+ asOf,
412
+ },
413
+ scenarioRepricing: 'unavailable',
414
+ aggregationPolicy: 'additive-input-rows-no-deduplication',
415
+ },
416
+ diagnostics: { method: 'supplied-greek-accounting', warnings },
417
+ };
418
+ assertFiniteValue(FN, report);
419
+ return report;
420
+ }
421
+ //# sourceMappingURL=supplied-exposure.js.map
@@ -0,0 +1 @@
1
+ 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