@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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package/modules/technical-analysis/dist/features.d.ts ADDED
@@ -0,0 +1,10 @@
1
+ /**
2
+ * Feature-engineering + performance-metric helpers (concept entrypoint).
3
+ *
4
+ * Rolling feature transforms (`./features-ext`) — lag/diff/change, z-score, ranks, rolling
5
+ * regression/quantiles, winsorize, covariance/beta, … — plus performance metrics
6
+ * (`./performance-ext`, e.g. `drawdown`).
7
+ */
8
+ export * from './features-ext.js';
9
+ export * from './performance-ext.js';
10
+ //# sourceMappingURL=features.d.ts.map
package/modules/technical-analysis/dist/features.d.ts.map ADDED
@@ -0,0 +1 @@
1
+ {"version":3,"file":"features.d.ts","sourceRoot":"","sources":["../src/features.ts"],"names":[],"mappings":"AAAA;;;;;;GAMG;AACH,cAAc,mBAAmB,CAAC;AAClC,cAAc,sBAAsB,CAAC"}
package/modules/technical-analysis/dist/features.js ADDED
@@ -0,0 +1,10 @@
1
+ /**
2
+ * Feature-engineering + performance-metric helpers (concept entrypoint).
3
+ *
4
+ * Rolling feature transforms (`./features-ext`) — lag/diff/change, z-score, ranks, rolling
5
+ * regression/quantiles, winsorize, covariance/beta, … — plus performance metrics
6
+ * (`./performance-ext`, e.g. `drawdown`).
7
+ */
8
+ export * from './features-ext.js';
9
+ export * from './performance-ext.js';
10
+ //# sourceMappingURL=features.js.map
package/modules/technical-analysis/dist/features.js.map ADDED
@@ -0,0 +1 @@
1
+ {"version":3,"file":"features.js","sourceRoot":"","sources":["../src/features.ts"],"names":[],"mappings":"AAAA;;;;;;GAMG;AACH,cAAc,mBAAmB,CAAC;AAClC,cAAc,sBAAsB,CAAC"}
package/modules/technical-analysis/dist/framework.d.ts ADDED
@@ -0,0 +1,353 @@
1
+ /**
2
+ * TA series + streaming framework (spec §13.1, §13.4).
3
+ *
4
+ * Two laws enforced here:
5
+ * - Aligned output: batch output length equals input length, with `NaN` (or a NaN-filled record)
6
+ * during warmup, and the result exposes `warmup` (the index of the first real value).
7
+ * - Streaming parity: batch is DERIVED from the stream (`collect`), so batch and stream outputs are
8
+ * identical by construction. Streaming state is serializable via `toJSON()` / `fromJSON()`.
9
+ *
10
+ * Snapshots produced via `indicator.stream(...).toJSON()` are {@link TechnicalAnalysisSnapshot}
11
+ * envelopes: a public `kind` + `schemaVersion` around an opaque `state`. `snapshotOf` stamps the
12
+ * version centrally, so individual streams never manage it, and {@link readSnapshot} is the single
13
+ * door back in: it validates the envelope — closed key set, version, and the INDICATOR IDENTITY —
14
+ * before any state is read, and hands back a {@link SnapshotState} whose accessors check each field
15
+ * rather than casting it. A snapshot from a newer schema, from a pre-envelope (v1, flat) build, or
16
+ * from a different indicator is rejected with a typed error instead of restoring a stream seeded
17
+ * with someone else's numbers.
18
+ */
19
+ import { type Computed } from '../../core/dist/index.js';
20
+ /** OHLCV-style input row for bar indicators. */
21
+ export interface BarInput {
22
+ open?: number;
23
+ high: number;
24
+ low: number;
25
+ close: number;
26
+ volume?: number;
27
+ }
28
+ /** The input class an indicator consumes (mirrored by the registry's `IndicatorInputs`). */
29
+ export type IndicatorInputKind = 'series' | 'bars' | 'pair';
30
+ /**
31
+ * Serialized streaming-state snapshot (3B.N7).
32
+ *
33
+ * The ENVELOPE is explicit and public: `kind` says which indicator wrote it, `schemaVersion` says
34
+ * which shape it is in. `state` is deliberately OPAQUE — a consumer may persist it and hand it back
35
+ * to `fromJSON`, but may not branch on indicator-private keys, which is why those keys are allowed
36
+ * to stay compact where size matters.
37
+ *
38
+ * This replaced a flat shape that put an abbreviated `v` and arbitrary stream state at the SAME
39
+ * level, so nothing distinguished the contract from the payload.
40
+ */
41
+ export interface TechnicalAnalysisSnapshot {
42
+ kind: string;
43
+ /** Schema version, stamped at the serialization boundary by {@link snapshotOf}. */
44
+ schemaVersion: number;
45
+ /** Indicator-private stream state. Round-trip it; never read into it. */
46
+ state: Record<string, unknown>;
47
+ }
48
+ /**
49
+ * Current snapshot schema version. Bump when a stored snapshot's shape changes incompatibly.
50
+ *
51
+ * 2 — the flat `{ kind, v?, ...state }` shape became the explicit `{ kind, schemaVersion, state }`
52
+ * envelope.
53
+ * 3 — non-finite numbers inside `state` are ENCODED (see {@link encodeNonFinite}). Before this,
54
+ * `JSON.stringify` turned every one of them into `null`, so a snapshot could not round-trip through
55
+ * the very format it exists for.
56
+ *
57
+ * No legacy parser is retained at either step: pre-1.0 corrections are clean (law N9), and an older
58
+ * snapshot is rejected by {@link checkSnapshotVersion} with a teaching error rather than misread.
59
+ */
60
+ export declare const SCHEMA_VERSION = 3;
61
+ /**
62
+ * Stamp indicator state into the public envelope. Every `toJSON` goes through here.
63
+ *
64
+ * This is also where the state becomes JSON-SAFE: after `snapshotOf`, no number in the tree is
65
+ * non-finite, so `JSON.stringify` is lossless and any raw `NaN` a reader later encounters can only
66
+ * have come from damage — which is what lets {@link SnapshotState} refuse it.
67
+ *
68
+ * `kind` is guarded because the natural wrong call is `snapshotOf(stream)` — reaching for the
69
+ * serializer as if it took the thing to serialize. That produced an envelope whose `kind` was a live
70
+ * stream object and whose `state` was `undefined`: it survives `JSON.stringify` (as `{}`) and only
71
+ * fails much later, at a `fromJSON` that cannot say why.
72
+ */
73
+ export declare function snapshotOf(kind: string, state: Record<string, unknown>): TechnicalAnalysisSnapshot;
74
+ /**
75
+ * Validate a snapshot's schema version before restoring. A newer version is rejected — this build
76
+ * can't know what changed, so restoring would silently corrupt state, which design law #4 forbids.
77
+ * An OLDER version is rejected too: the v1 flat shape has no `state`, so "accepting" it would
78
+ * restore an indicator with every field undefined.
79
+ */
80
+ export declare function checkSnapshotVersion(snapshot: TechnicalAnalysisSnapshot): void;
81
+ /**
82
+ * Checked access to one snapshot's opaque state.
83
+ *
84
+ * Every accessor takes the state key and returns the value the restorer needs, or throws a typed
85
+ * `InputError` naming the indicator and the key. There is no accessor that returns `unknown`: a
86
+ * restorer that cannot express what it needs is a restorer that is not checking.
87
+ */
88
+ declare class SnapshotState<Kind extends string = string> {
89
+ /**
90
+ * The indicator kind this state belongs to — the prefix on every message, and, for a FAMILY
91
+ * restorer, the narrowed member the guard just proved. `readSnapshot(s, MOMENT_KINDS)` hands back
92
+ * a state whose `kind` is `'standardDeviation' | 'variance'`, so the restorer feeds it straight
93
+ * into its constructor instead of re-asserting `snapshot.kind as string` — which is the cast the
94
+ * guard exists to make unnecessary.
95
+ */
96
+ readonly kind: Kind;
97
+ private readonly state;
98
+ constructor(
99
+ /**
100
+ * The indicator kind this state belongs to — the prefix on every message, and, for a FAMILY
101
+ * restorer, the narrowed member the guard just proved. `readSnapshot(s, MOMENT_KINDS)` hands back
102
+ * a state whose `kind` is `'standardDeviation' | 'variance'`, so the restorer feeds it straight
103
+ * into its constructor instead of re-asserting `snapshot.kind as string` — which is the cast the
104
+ * guard exists to make unnecessary.
105
+ */
106
+ kind: Kind, state: Record<string, unknown>);
107
+ /** The raw state object. For a restorer that must hand a whole sub-object to a helper. */
108
+ get raw(): Record<string, unknown>;
109
+ /** Does the state carry this key at all? For a field a newer build may legitimately omit. */
110
+ has(field: string): boolean;
111
+ private fail;
112
+ private present;
113
+ /**
114
+ * A number: sums, running averages, thresholds, multipliers.
115
+ *
116
+ * Non-finite is permitted HERE and refused at the door. `readSnapshot` has already walked the whole
117
+ * state: an encoded non-finite has been decoded (the indicator computed it — a zero price series
118
+ * makes every log-return NaN), and a raw one has been rejected as damage. By the time an accessor
119
+ * runs, `NaN` can only mean the first.
120
+ */
121
+ number(field: string): number;
122
+ private readNumber;
123
+ /** A number or `null` — a running value that has not been established yet. */
124
+ numberOrNull(field: string): number | null;
125
+ /** A number the state may omit entirely (an optional parameter a stream carries). */
126
+ optionalNumber(field: string): number | undefined;
127
+ /**
128
+ * A whole number ≥ 0 — a count, an index, a bar offset. A fractional count restores a stream whose
129
+ * window boundaries never line up again, which shows up as an off-by-a-fraction output rather than
130
+ * as an error.
131
+ */
132
+ integer(field: string): number;
133
+ /**
134
+ * A lookback: an integer ≥ 1.
135
+ *
136
+ * This is the asymmetry the reader exists to close. `ta.rsi.stream({ period: -3 })` throws from
137
+ * `requirePeriod`; `RsiStream.fromJSON` read the same number straight out of state and built a
138
+ * stream with a negative window, which produces `undefined` buffer reads and silent NaN.
139
+ */
140
+ lookback(field: string): number;
141
+ /** A boolean flag. */
142
+ boolean(field: string): boolean;
143
+ /** A string. */
144
+ text(field: string): string;
145
+ /**
146
+ * A value drawn from a closed set — a mode, a method, a moving-average family, a trade direction.
147
+ *
148
+ * Numbers as well as strings: `TradeDirection` is `-1 | 0 | 1`, and reading it as a plain number
149
+ * would accept `7` as a trade direction.
150
+ */
151
+ literal<T extends string | number>(field: string, allowed: readonly T[]): T;
152
+ /**
153
+ * A FRESH array of finite numbers.
154
+ *
155
+ * Fresh matters: the previous `state['buf'] as number[]` aliased the caller's snapshot, so two
156
+ * streams restored from one snapshot object shared a buffer and corrupted each other. Restorers
157
+ * used to spell that defence themselves (`[...(state['buf'] as number[])]`) and could forget to.
158
+ */
159
+ numbers(field: string): number[];
160
+ /** A fresh array of finite numbers, or `null`. */
161
+ numbersOrNull(field: string): number[] | null;
162
+ /** A fresh array of finite numbers the state may omit. */
163
+ optionalNumbers(field: string): number[] | undefined;
164
+ private readNumbers;
165
+ /** A fresh array of fresh number arrays — a matrix of windows. */
166
+ numberRows(field: string): number[][];
167
+ /**
168
+ * A nested snapshot envelope — a composed indicator's child (`macd` carries three EMAs).
169
+ *
170
+ * Only the SHAPE is checked here. The child's own `fromJSON` calls `readSnapshot` with the kind it
171
+ * expects, so a child from the wrong indicator is convicted there, with that indicator's name on
172
+ * the message rather than the parent's.
173
+ */
174
+ child(field: string): TechnicalAnalysisSnapshot;
175
+ /** A fresh array of nested snapshot envelopes. */
176
+ children(field: string): TechnicalAnalysisSnapshot[];
177
+ /**
178
+ * The LAST EMITTED OUTPUT, cached so a restored stream's `.value` is not blank until the next bar.
179
+ *
180
+ * Deliberately the loosest accessor, and the only one that tolerates non-finite: `NaN` is a real
181
+ * output. `acos` outside [-1, 1] is NaN; a `fairValueGaps` point reads `{ top: NaN, bottom: NaN }`
182
+ * until a gap forms. Rejecting those would refuse to restore a correct stream.
183
+ *
184
+ * What it still refuses is a value of a kind no indicator ever outputs — a string, a boolean, a
185
+ * function — which is what a foreign or hand-edited snapshot looks like.
186
+ *
187
+ * A missing key reads as `null` rather than throwing: the cache is an optimisation, and a snapshot
188
+ * that predates an indicator caching its value must restore to "no value yet", not fail.
189
+ */
190
+ cached<T>(field: string): T | null;
191
+ /**
192
+ * A structured record the indicator persists whole — a bar, a candle, an accumulator.
193
+ *
194
+ * Members are not walked: their shape is the indicator's own business and varies per record type.
195
+ * The check is that it IS a record, which is what separates a usable snapshot from `"acc"` or `7`.
196
+ */
197
+ record<T>(field: string): T;
198
+ /** A structured record, or `null` when the indicator has not established one. */
199
+ recordOrNull<T>(field: string): T | null;
200
+ /** A fresh array of structured records — persisted bars, candles, levels. */
201
+ records<T>(field: string): T[];
202
+ /** A fresh array of values drawn from a closed set. */
203
+ literals<T extends string | number>(field: string, allowed: readonly T[]): T[];
204
+ }
205
+ /**
206
+ * The reader's type is public; its CONSTRUCTOR is not.
207
+ *
208
+ * A caller needs to name `SnapshotState` — it is what a custom indicator's restorer receives. A
209
+ * caller never builds one: `readSnapshot` does, after it has checked the envelope. Exporting the
210
+ * class as a value would publish `new SnapshotState(kind, state)`, a door straight past the guard,
211
+ * which is the shape of the defect this whole boundary exists to remove.
212
+ */
213
+ export type { SnapshotState };
214
+ /**
215
+ * Validate a snapshot envelope and open its state for checked reading.
216
+ *
217
+ * `expected` is the kind the CALLING restorer produces. Passing it is what turns a restorer from
218
+ * "rebuilds itself out of whatever numbers are in front of it" into one that knows whose snapshot it
219
+ * is holding — and it costs the call site four characters.
220
+ *
221
+ * A LIST is accepted for the handful of restorers that serve a FAMILY: one `MomentStream` class backs
222
+ * both `standardDeviation` and `variance`, and reads which one it is off the snapshot. Those are the
223
+ * restorers that genuinely may not pin a single kind — and a list still pins the family, which is the
224
+ * whole guarantee. A restorer that pins nothing is the defect this parameter exists to remove, so
225
+ * there is no form of this call that omits it.
226
+ *
227
+ * Order matters, and each step is the precondition of the next: an envelope that is not an object has
228
+ * no version; a version this build cannot read makes every field meaningless; a snapshot from another
229
+ * indicator has the wrong fields entirely, so reporting a missing field would send the reader looking
230
+ * in the wrong place.
231
+ */
232
+ export declare function readSnapshot<Kind extends string>(snapshot: TechnicalAnalysisSnapshot, expected: Kind | readonly Kind[]): SnapshotState<Kind>;
233
+ /** A stateful streaming indicator. `next` returns `null` during warmup. */
234
+ export interface IndicatorStream<In, Out> {
235
+ next(input: In): Out | null;
236
+ readonly value: Out | null;
237
+ toJSON(): TechnicalAnalysisSnapshot;
238
+ }
239
+ /**
240
+ * A live streaming indicator (spec §13.4, WS6.1) — an {@link IndicatorStream} plus `peek`, the
241
+ * forming-bar affordance. This is the public shape returned by `indicator.stream(...)` /
242
+ * `indicator.fromJSON(...)`; concrete indicator streams only need to implement {@link IndicatorStream}
243
+ * (the wrapper supplies `peek` for all of them).
244
+ *
245
+ * Named `peek` — not `update` — because it NEVER commits (alignment spec P3.5a): `update` is the
246
+ * feed-the-next-value verb in every other streaming TA library, and under that reading a stream
247
+ * fed exclusively through it would silently stay empty forever. `peek` says exactly what happens.
248
+ */
249
+ export interface LiveStream<In, Out> extends IndicatorStream<In, Out> {
250
+ /**
251
+ * The value that WOULD result from `next(input)` applied to the committed state, WITHOUT committing
252
+ * it. Call it repeatedly with the forming bar's evolving value; call `next(input)` once at bar close
253
+ * to commit. Between commits the committed state is untouched, so a live chart never repaints its
254
+ * closed bars. The default cost is O(snapshot) per call (clone-and-apply); indicators may override
255
+ * with an O(1) form later.
256
+ */
257
+ peek(input: In): Out | null;
258
+ }
259
+ /**
260
+ * A JSON-safe record of the CHOICES an indicator made that its parameters do not reveal.
261
+ *
262
+ * Parameters say what you asked for; conventions say what the library decided on your behalf — and
263
+ * those decisions are where two implementations of "the same" indicator disagree. RSI is the
264
+ * canonical case: TotalFinance smooths with Wilder's method (not a plain EMA) and returns 100 on a
265
+ * perfectly flat series, where TA-Lib returns 0 and pandas-ta returns NaN. All three are defensible;
266
+ * none is discoverable from the number alone.
267
+ *
268
+ * Values are scalars so the block survives `JSON.stringify` intact and reads the same over MCP as it
269
+ * does in a REPL. Keys are per indicator, but recurring ones are spelled consistently: `smoothing`,
270
+ * `seeding`, `flatSeries`, `scale`, `reference`, `divergence`.
271
+ */
272
+ export type IndicatorConventions = Readonly<Record<string, string | number | boolean>>;
273
+ /** Domain extras every TA explain envelope discloses. */
274
+ export interface TechnicalAnalysisAssumptionExtras extends Record<string, unknown> {
275
+ /** The indicator's registry/snapshot kind, e.g. `'rsi'`. */
276
+ indicator: string;
277
+ /** The parameters the computation ran with: declared defaults merged with the caller's parameters. */
278
+ parameters: Record<string, unknown>;
279
+ /**
280
+ * The indicator's declared conventions, when it has any that a caller could otherwise only learn
281
+ * from prose. Absent — not an empty object — for indicators whose behaviour holds no such choice,
282
+ * so its presence always means something.
283
+ */
284
+ conventions?: IndicatorConventions;
285
+ }
286
+ /** The TA explain envelope: core `Computed` whose diagnostics ALWAYS carry the warmup count. */
287
+ export type TechnicalAnalysisExplain<Out> = Omit<Computed<Out[], TechnicalAnalysisAssumptionExtras>, 'diagnostics'> & {
288
+ diagnostics: Computed<Out[], TechnicalAnalysisAssumptionExtras>['diagnostics'] & {
289
+ warmup: number;
290
+ };
291
+ };
292
+ /**
293
+ * Run a stream over a series, producing aligned output with a NaN sentinel during warmup. `warmup`
294
+ * is the index of the first non-warmup value (equal to the input length if it never emits).
295
+ */
296
+ export declare function collect<In, Out>(stream: IndicatorStream<In, Out>, input: ArrayLike<In>, nan: Out): {
297
+ value: Out[];
298
+ warmup: number;
299
+ };
300
+ /**
301
+ * Feed a stream from an **async iterable** source (spec §13.2 streaming adapters), yielding each
302
+ * non-`null` (post-warmup) output as it is produced. Lets indicators consume live feeds — websockets,
303
+ * async DB cursors, generators — without buffering the whole series. Pure: it reads only what the
304
+ * source yields and never touches the clock.
305
+ */
306
+ export declare function streamAsync<In, Out>(stream: IndicatorStream<In, Out>, source: AsyncIterable<In>): AsyncGenerator<Out>;
307
+ /** Drain an async iterable through a stream into an aligned series (NaN sentinel during warmup). */
308
+ export declare function collectAsync<In, Out>(stream: IndicatorStream<In, Out>, source: AsyncIterable<In>, nan: Out): Promise<{
309
+ value: Out[];
310
+ warmup: number;
311
+ }>;
312
+ /**
313
+ * A facade indicator: callable (batch) with `.explain`, `.stream`, and `.fromJSON`.
314
+ *
315
+ * `parameters` is OPTIONAL on every call form (the first-touch law): a parameters object is never required
316
+ * just to *reach* the facade. When it is omitted, indicators with industry-standard defaults (RSI 14,
317
+ * MACD 12/26/9, BBands 20/2, …) resolve them; indicators whose parameters have no universal default throw
318
+ * a typed teaching `InputError` naming the field — never a raw `TypeError` from a property access.
319
+ */
320
+ export interface Indicator<Params, In, Out> {
321
+ (input: ArrayLike<In>, parameters?: Params): Out[];
322
+ explain(input: ArrayLike<In>, parameters?: Params): TechnicalAnalysisExplain<Out>;
323
+ stream(parameters?: Params): LiveStream<In, Out>;
324
+ fromJSON(snapshot: TechnicalAnalysisSnapshot): LiveStream<In, Out>;
325
+ }
326
+ /**
327
+ * Bind registration metadata onto a facade built by {@link makeIndicator} — the single choke point
328
+ * of the disclosure law: built-in leaves bind their shared private contracts at construction, and
329
+ * custom registry entries bind their declarations at registration. Every `.explain()` call echoes
330
+ * defaults merged under the caller's parameters. Also records the
331
+ * input kind so the batch facade can shape-check the first element (number series vs OHLC bars vs
332
+ * `{ x, y }` pairs). Later bindings merge over earlier ones, so an alias registration re-binding
333
+ * identical data is a no-op.
334
+ *
335
+ * @internal — called by built-in construction and `registry.register`; not public API.
336
+ */
337
+ export declare function bindIndicatorMetadata(indicator: unknown, metadata: {
338
+ defaults?: Record<string, unknown>;
339
+ inputs?: IndicatorInputKind;
340
+ parameters?: readonly string[];
341
+ conventions?: IndicatorConventions;
342
+ }): void;
343
+ /**
344
+ * Build a facade indicator from a stream factory, a restorer, and a NaN-sentinel factory.
345
+ * `defaults` (when declared) are the indicator's industry-standard parameters, echoed through
346
+ * `.explain().assumptions.parameters` merged under the caller's parameters — the disclosure contract: a
347
+ * default that engages is a default that is disclosed. Built-in construction and custom registration
348
+ * bind the complete contract onto the same slot via {@link bindIndicatorMetadata}.
349
+ */
350
+ export declare function makeIndicator<Params, In, Out>(make: (parameters: Params) => IndicatorStream<In, Out>, restore: (snapshot: TechnicalAnalysisSnapshot) => IndicatorStream<In, Out>, nan: (parameters: Params) => Out, defaults?: Record<string, unknown>): Indicator<Params, In, Out>;
351
+ /** Map a column of bars to their close prices. */
352
+ export declare function closes(bars: ArrayLike<BarInput>): number[];
353
+ //# sourceMappingURL=framework.d.ts.map
package/modules/technical-analysis/dist/framework.d.ts.map ADDED
@@ -0,0 +1 @@
1
+ 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