@insiderfinance/totalfinance 0.1.0
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- package/LICENSE +201 -0
- package/README.md +339 -0
- package/STABILITY.md +23 -0
- package/modules/backtest/dist/artifacts.d.ts +23 -0
- package/modules/backtest/dist/artifacts.d.ts.map +1 -0
- package/modules/backtest/dist/artifacts.js +22 -0
- package/modules/backtest/dist/artifacts.js.map +1 -0
- package/modules/backtest/dist/broker.d.ts +265 -0
- package/modules/backtest/dist/broker.d.ts.map +1 -0
- package/modules/backtest/dist/broker.js +1228 -0
- package/modules/backtest/dist/broker.js.map +1 -0
- package/modules/backtest/dist/costs.d.ts +67 -0
- package/modules/backtest/dist/costs.d.ts.map +1 -0
- package/modules/backtest/dist/costs.js +171 -0
- package/modules/backtest/dist/costs.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/engine.d.ts +21 -0
- package/modules/backtest/dist/cross-sectional/engine.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/engine.js +1399 -0
- package/modules/backtest/dist/cross-sectional/engine.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/folds.d.ts +134 -0
- package/modules/backtest/dist/cross-sectional/folds.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/folds.js +375 -0
- package/modules/backtest/dist/cross-sectional/folds.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/grid.d.ts +142 -0
- package/modules/backtest/dist/cross-sectional/grid.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/grid.js +394 -0
- package/modules/backtest/dist/cross-sectional/grid.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/index.d.ts +18 -0
- package/modules/backtest/dist/cross-sectional/index.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/index.js +15 -0
- package/modules/backtest/dist/cross-sectional/index.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/types.d.ts +331 -0
- package/modules/backtest/dist/cross-sectional/types.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/types.js +12 -0
- package/modules/backtest/dist/cross-sectional/types.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/validate.d.ts +22 -0
- package/modules/backtest/dist/cross-sectional/validate.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/validate.js +489 -0
- package/modules/backtest/dist/cross-sectional/validate.js.map +1 -0
- package/modules/backtest/dist/diagnostics.d.ts +16 -0
- package/modules/backtest/dist/diagnostics.d.ts.map +1 -0
- package/modules/backtest/dist/diagnostics.js +63 -0
- package/modules/backtest/dist/diagnostics.js.map +1 -0
- package/modules/backtest/dist/environment/bench.d.ts +34 -0
- package/modules/backtest/dist/environment/bench.d.ts.map +1 -0
- package/modules/backtest/dist/environment/bench.js +724 -0
- package/modules/backtest/dist/environment/bench.js.map +1 -0
- package/modules/backtest/dist/environment/environment.d.ts +5 -0
- package/modules/backtest/dist/environment/environment.d.ts.map +1 -0
- package/modules/backtest/dist/environment/environment.js +618 -0
- package/modules/backtest/dist/environment/environment.js.map +1 -0
- package/modules/backtest/dist/environment/episode.d.ts +4 -0
- package/modules/backtest/dist/environment/episode.d.ts.map +1 -0
- package/modules/backtest/dist/environment/episode.js +121 -0
- package/modules/backtest/dist/environment/episode.js.map +1 -0
- package/modules/backtest/dist/environment/episodes.d.ts +14 -0
- package/modules/backtest/dist/environment/episodes.d.ts.map +1 -0
- package/modules/backtest/dist/environment/episodes.js +644 -0
- package/modules/backtest/dist/environment/episodes.js.map +1 -0
- package/modules/backtest/dist/environment/features.d.ts +31 -0
- package/modules/backtest/dist/environment/features.d.ts.map +1 -0
- package/modules/backtest/dist/environment/features.js +157 -0
- package/modules/backtest/dist/environment/features.js.map +1 -0
- package/modules/backtest/dist/environment/index.d.ts +14 -0
- package/modules/backtest/dist/environment/index.d.ts.map +1 -0
- package/modules/backtest/dist/environment/index.js +12 -0
- package/modules/backtest/dist/environment/index.js.map +1 -0
- package/modules/backtest/dist/environment/limits.d.ts +63 -0
- package/modules/backtest/dist/environment/limits.d.ts.map +1 -0
- package/modules/backtest/dist/environment/limits.js +253 -0
- package/modules/backtest/dist/environment/limits.js.map +1 -0
- package/modules/backtest/dist/environment/reward.d.ts +5 -0
- package/modules/backtest/dist/environment/reward.d.ts.map +1 -0
- package/modules/backtest/dist/environment/reward.js +80 -0
- package/modules/backtest/dist/environment/reward.js.map +1 -0
- package/modules/backtest/dist/environment/types.d.ts +540 -0
- package/modules/backtest/dist/environment/types.d.ts.map +1 -0
- package/modules/backtest/dist/environment/types.js +2 -0
- package/modules/backtest/dist/environment/types.js.map +1 -0
- package/modules/backtest/dist/environment/validate.d.ts +23 -0
- package/modules/backtest/dist/environment/validate.d.ts.map +1 -0
- package/modules/backtest/dist/environment/validate.js +264 -0
- package/modules/backtest/dist/environment/validate.js.map +1 -0
- package/modules/backtest/dist/event-driven.d.ts +111 -0
- package/modules/backtest/dist/event-driven.d.ts.map +1 -0
- package/modules/backtest/dist/event-driven.js +325 -0
- package/modules/backtest/dist/event-driven.js.map +1 -0
- package/modules/backtest/dist/execution/conformance.d.ts +33 -0
- package/modules/backtest/dist/execution/conformance.d.ts.map +1 -0
- package/modules/backtest/dist/execution/conformance.js +269 -0
- package/modules/backtest/dist/execution/conformance.js.map +1 -0
- package/modules/backtest/dist/execution/fill-models.d.ts +35 -0
- package/modules/backtest/dist/execution/fill-models.d.ts.map +1 -0
- package/modules/backtest/dist/execution/fill-models.js +375 -0
- package/modules/backtest/dist/execution/fill-models.js.map +1 -0
- package/modules/backtest/dist/execution/fill-order.d.ts +55 -0
- package/modules/backtest/dist/execution/fill-order.d.ts.map +1 -0
- package/modules/backtest/dist/execution/fill-order.js +156 -0
- package/modules/backtest/dist/execution/fill-order.js.map +1 -0
- package/modules/backtest/dist/execution/index.d.ts +33 -0
- package/modules/backtest/dist/execution/index.d.ts.map +1 -0
- package/modules/backtest/dist/execution/index.js +27 -0
- package/modules/backtest/dist/execution/index.js.map +1 -0
- package/modules/backtest/dist/execution/intrabar.d.ts +46 -0
- package/modules/backtest/dist/execution/intrabar.d.ts.map +1 -0
- package/modules/backtest/dist/execution/intrabar.js +130 -0
- package/modules/backtest/dist/execution/intrabar.js.map +1 -0
- package/modules/backtest/dist/execution/normalized.d.ts +56 -0
- package/modules/backtest/dist/execution/normalized.d.ts.map +1 -0
- package/modules/backtest/dist/execution/normalized.js +154 -0
- package/modules/backtest/dist/execution/normalized.js.map +1 -0
- package/modules/backtest/dist/execution/policy.d.ts +84 -0
- package/modules/backtest/dist/execution/policy.d.ts.map +1 -0
- package/modules/backtest/dist/execution/policy.js +341 -0
- package/modules/backtest/dist/execution/policy.js.map +1 -0
- package/modules/backtest/dist/execution/types.d.ts +217 -0
- package/modules/backtest/dist/execution/types.d.ts.map +1 -0
- package/modules/backtest/dist/execution/types.js +8 -0
- package/modules/backtest/dist/execution/types.js.map +1 -0
- package/modules/backtest/dist/execution/validate.d.ts +35 -0
- package/modules/backtest/dist/execution/validate.d.ts.map +1 -0
- package/modules/backtest/dist/execution/validate.js +666 -0
- package/modules/backtest/dist/execution/validate.js.map +1 -0
- package/modules/backtest/dist/generated/validation-specs.d.ts +12 -0
- package/modules/backtest/dist/generated/validation-specs.d.ts.map +1 -0
- package/modules/backtest/dist/generated/validation-specs.js +1129 -0
- package/modules/backtest/dist/generated/validation-specs.js.map +1 -0
- package/modules/backtest/dist/index.d.ts +33 -0
- package/modules/backtest/dist/index.d.ts.map +1 -0
- package/modules/backtest/dist/index.js +28 -0
- package/modules/backtest/dist/index.js.map +1 -0
- package/modules/backtest/dist/options/chain.d.ts +68 -0
- package/modules/backtest/dist/options/chain.d.ts.map +1 -0
- package/modules/backtest/dist/options/chain.js +303 -0
- package/modules/backtest/dist/options/chain.js.map +1 -0
- package/modules/backtest/dist/options/engine.d.ts +28 -0
- package/modules/backtest/dist/options/engine.d.ts.map +1 -0
- package/modules/backtest/dist/options/engine.js +1859 -0
- package/modules/backtest/dist/options/engine.js.map +1 -0
- package/modules/backtest/dist/options/index.d.ts +23 -0
- package/modules/backtest/dist/options/index.d.ts.map +1 -0
- package/modules/backtest/dist/options/index.js +21 -0
- package/modules/backtest/dist/options/index.js.map +1 -0
- package/modules/backtest/dist/options/tearsheet.d.ts +77 -0
- package/modules/backtest/dist/options/tearsheet.d.ts.map +1 -0
- package/modules/backtest/dist/options/tearsheet.js +205 -0
- package/modules/backtest/dist/options/tearsheet.js.map +1 -0
- package/modules/backtest/dist/options/types.d.ts +571 -0
- package/modules/backtest/dist/options/types.d.ts.map +1 -0
- package/modules/backtest/dist/options/types.js +19 -0
- package/modules/backtest/dist/options/types.js.map +1 -0
- package/modules/backtest/dist/paper/index.d.ts +13 -0
- package/modules/backtest/dist/paper/index.d.ts.map +1 -0
- package/modules/backtest/dist/paper/index.js +12 -0
- package/modules/backtest/dist/paper/index.js.map +1 -0
- package/modules/backtest/dist/paper/paper.d.ts +8 -0
- package/modules/backtest/dist/paper/paper.d.ts.map +1 -0
- package/modules/backtest/dist/paper/paper.js +950 -0
- package/modules/backtest/dist/paper/paper.js.map +1 -0
- package/modules/backtest/dist/paper/types.d.ts +190 -0
- package/modules/backtest/dist/paper/types.d.ts.map +1 -0
- package/modules/backtest/dist/paper/types.js +3 -0
- package/modules/backtest/dist/paper/types.js.map +1 -0
- package/modules/backtest/dist/paper/validate.d.ts +9 -0
- package/modules/backtest/dist/paper/validate.d.ts.map +1 -0
- package/modules/backtest/dist/paper/validate.js +112 -0
- package/modules/backtest/dist/paper/validate.js.map +1 -0
- package/modules/backtest/dist/portfolio/adapters.d.ts +37 -0
- package/modules/backtest/dist/portfolio/adapters.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/adapters.js +555 -0
- package/modules/backtest/dist/portfolio/adapters.js.map +1 -0
- package/modules/backtest/dist/portfolio/engine.d.ts +35 -0
- package/modules/backtest/dist/portfolio/engine.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/engine.js +1300 -0
- package/modules/backtest/dist/portfolio/engine.js.map +1 -0
- package/modules/backtest/dist/portfolio/index.d.ts +12 -0
- package/modules/backtest/dist/portfolio/index.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/index.js +11 -0
- package/modules/backtest/dist/portfolio/index.js.map +1 -0
- package/modules/backtest/dist/portfolio/types.d.ts +418 -0
- package/modules/backtest/dist/portfolio/types.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/types.js +8 -0
- package/modules/backtest/dist/portfolio/types.js.map +1 -0
- package/modules/backtest/dist/portfolio/validate.d.ts +26 -0
- package/modules/backtest/dist/portfolio/validate.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/validate.js +556 -0
- package/modules/backtest/dist/portfolio/validate.js.map +1 -0
- package/modules/backtest/dist/run-artifacts.d.ts +425 -0
- package/modules/backtest/dist/run-artifacts.d.ts.map +1 -0
- package/modules/backtest/dist/run-artifacts.js +1843 -0
- package/modules/backtest/dist/run-artifacts.js.map +1 -0
- package/modules/backtest/dist/signals.d.ts +110 -0
- package/modules/backtest/dist/signals.d.ts.map +1 -0
- package/modules/backtest/dist/signals.js +207 -0
- package/modules/backtest/dist/signals.js.map +1 -0
- package/modules/backtest/dist/tearsheet.d.ts +126 -0
- package/modules/backtest/dist/tearsheet.d.ts.map +1 -0
- package/modules/backtest/dist/tearsheet.js +266 -0
- package/modules/backtest/dist/tearsheet.js.map +1 -0
- package/modules/backtest/dist/types.d.ts +175 -0
- package/modules/backtest/dist/types.d.ts.map +1 -0
- package/modules/backtest/dist/types.js +29 -0
- package/modules/backtest/dist/types.js.map +1 -0
- package/modules/backtest/dist/validate.d.ts +13 -0
- package/modules/backtest/dist/validate.d.ts.map +1 -0
- package/modules/backtest/dist/validate.js +37 -0
- package/modules/backtest/dist/validate.js.map +1 -0
- package/modules/backtest/dist/vectorized.d.ts +53 -0
- package/modules/backtest/dist/vectorized.d.ts.map +1 -0
- package/modules/backtest/dist/vectorized.js +383 -0
- package/modules/backtest/dist/vectorized.js.map +1 -0
- package/modules/backtest/dist/walk-forward.d.ts +57 -0
- package/modules/backtest/dist/walk-forward.d.ts.map +1 -0
- package/modules/backtest/dist/walk-forward.js +125 -0
- package/modules/backtest/dist/walk-forward.js.map +1 -0
- package/modules/backtest/etc/backtest.api.md +139 -0
- package/modules/backtest/src/artifacts.ts +54 -0
- package/modules/backtest/src/broker.ts +1529 -0
- package/modules/backtest/src/costs.ts +225 -0
- package/modules/backtest/src/cross-sectional/engine.ts +1608 -0
- package/modules/backtest/src/cross-sectional/folds.ts +718 -0
- package/modules/backtest/src/cross-sectional/grid.ts +646 -0
- package/modules/backtest/src/cross-sectional/index.ts +76 -0
- package/modules/backtest/src/cross-sectional/types.ts +363 -0
- package/modules/backtest/src/cross-sectional/validate.ts +906 -0
- package/modules/backtest/src/diagnostics.ts +66 -0
- package/modules/backtest/src/environment/bench.ts +1022 -0
- package/modules/backtest/src/environment/environment.ts +766 -0
- package/modules/backtest/src/environment/episode.ts +146 -0
- package/modules/backtest/src/environment/episodes.ts +786 -0
- package/modules/backtest/src/environment/features.ts +184 -0
- package/modules/backtest/src/environment/index.ts +79 -0
- package/modules/backtest/src/environment/limits.ts +383 -0
- package/modules/backtest/src/environment/reward.ts +98 -0
- package/modules/backtest/src/environment/types.ts +595 -0
- package/modules/backtest/src/environment/validate.ts +415 -0
- package/modules/backtest/src/event-driven.ts +528 -0
- package/modules/backtest/src/execution/conformance.ts +346 -0
- package/modules/backtest/src/execution/fill-models.ts +410 -0
- package/modules/backtest/src/execution/fill-order.ts +261 -0
- package/modules/backtest/src/execution/index.ts +91 -0
- package/modules/backtest/src/execution/intrabar.ts +185 -0
- package/modules/backtest/src/execution/normalized.ts +216 -0
- package/modules/backtest/src/execution/policy.ts +447 -0
- package/modules/backtest/src/execution/types.ts +239 -0
- package/modules/backtest/src/execution/validate.ts +889 -0
- package/modules/backtest/src/generated/validation-specs.ts +1132 -0
- package/modules/backtest/src/index.ts +157 -0
- package/modules/backtest/src/options/chain.ts +410 -0
- package/modules/backtest/src/options/engine.ts +2240 -0
- package/modules/backtest/src/options/index.ts +68 -0
- package/modules/backtest/src/options/tearsheet.ts +327 -0
- package/modules/backtest/src/options/types.ts +573 -0
- package/modules/backtest/src/paper/index.ts +27 -0
- package/modules/backtest/src/paper/paper.ts +1288 -0
- package/modules/backtest/src/paper/types.ts +221 -0
- package/modules/backtest/src/paper/validate.ts +168 -0
- package/modules/backtest/src/portfolio/adapters.ts +651 -0
- package/modules/backtest/src/portfolio/engine.ts +1518 -0
- package/modules/backtest/src/portfolio/index.ts +64 -0
- package/modules/backtest/src/portfolio/types.ts +456 -0
- package/modules/backtest/src/portfolio/validate.ts +861 -0
- package/modules/backtest/src/run-artifacts.ts +2873 -0
- package/modules/backtest/src/signals.ts +267 -0
- package/modules/backtest/src/tearsheet.ts +425 -0
- package/modules/backtest/src/types.ts +200 -0
- package/modules/backtest/src/validate.ts +43 -0
- package/modules/backtest/src/vectorized.ts +541 -0
- package/modules/backtest/src/walk-forward.ts +215 -0
- package/modules/calendars/dist/cboe.d.ts +15 -0
- package/modules/calendars/dist/cboe.d.ts.map +1 -0
- package/modules/calendars/dist/cboe.js +16 -0
- package/modules/calendars/dist/cboe.js.map +1 -0
- package/modules/calendars/dist/crypto.d.ts +15 -0
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- package/modules/calendars/dist/crypto.js +16 -0
- package/modules/calendars/dist/crypto.js.map +1 -0
- package/modules/calendars/dist/expirations.d.ts +35 -0
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- package/modules/calendars/dist/nyse.d.ts +11 -0
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- package/modules/calendars/src/us-market.ts +86 -0
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- package/modules/cli/src/exit-codes.ts +21 -0
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- package/modules/commodities/src/internal.ts +6 -0
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- package/modules/core/dist/artifacts/analysis-artifact.d.ts +140 -0
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* Trade- and quote-level microstructure (spec §11.7).
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*
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import { ensureFiniteWhenPresent, CONVENTIONS_VERSION, ErrorCode, InputError, WarningCode, assertFiniteValue, ensureKnownKeys, facade, requireArgumentArray, requireArgumentObject, seriesFacade, warning, } from '../../core/dist/index.js';
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import { requireBooleanWhenPresent, requireFinite, requireInRange, requireOneOf, requireOrderBook, requirePeriod, requirePositive, requireQuote, requireQuotes, requireTrade, requireTrades, } from './validate.js';
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const SIGN_CONTEXT_KEYS = ['quote', 'previousPrice', 'previousSign'];
|
|
23
|
+
function classifyTrade(trade, context) {
|
|
24
|
+
if (trade.side !== undefined) {
|
|
25
|
+
return { value: trade.side === 'buy' ? 1 : -1, method: 'side' };
|
|
26
|
+
}
|
|
27
|
+
const tick = () => {
|
|
28
|
+
if (context.previousPrice == null)
|
|
29
|
+
return { value: context.previousSign ?? 0, method: 'tick' };
|
|
30
|
+
if (trade.price > context.previousPrice)
|
|
31
|
+
return { value: 1, method: 'tick' };
|
|
32
|
+
if (trade.price < context.previousPrice)
|
|
33
|
+
return { value: -1, method: 'tick' };
|
|
34
|
+
return { value: context.previousSign ?? 0, method: 'tick' };
|
|
35
|
+
};
|
|
36
|
+
if (context.quote) {
|
|
37
|
+
const mid = (context.quote.bid + context.quote.ask) / 2;
|
|
38
|
+
if (trade.price > mid)
|
|
39
|
+
return { value: 1, method: 'quote' };
|
|
40
|
+
if (trade.price < mid)
|
|
41
|
+
return { value: -1, method: 'quote' };
|
|
42
|
+
return tick(); // exactly at the mid → tick rule
|
|
43
|
+
}
|
|
44
|
+
return tick();
|
|
45
|
+
}
|
|
46
|
+
/**
|
|
47
|
+
* Classify a trade's aggressor side: `value` +1 buyer-initiated, −1 seller-initiated, 0
|
|
48
|
+
* indeterminate. Order of precedence: explicit `trade.side` → Lee-Ready quote rule (trade vs mid;
|
|
49
|
+
* at the mid, fall back to the tick rule) → tick rule (uptick = buy, downtick = sell, zero tick
|
|
50
|
+
* carries `previousSign`). An indeterminate sign carries a diagnostics warning (design law #4).
|
|
51
|
+
*/
|
|
52
|
+
function tradeSignResult(trade, context = {}) {
|
|
53
|
+
requireTrade(trade, 'tradeSign', 'trade');
|
|
54
|
+
requireArgumentObject('tradeSign', 'context', context);
|
|
55
|
+
ensureKnownKeys('tradeSign', 'context', context, SIGN_CONTEXT_KEYS);
|
|
56
|
+
if (context.quote !== undefined)
|
|
57
|
+
requireQuote(context.quote, 'tradeSign', 'context.quote');
|
|
58
|
+
if (context.previousPrice !== undefined && context.previousPrice !== null) {
|
|
59
|
+
requireFinite(context.previousPrice, 'tradeSign', 'context.previousPrice');
|
|
60
|
+
}
|
|
61
|
+
if (context.previousSign !== undefined && ![-1, 0, 1].includes(context.previousSign)) {
|
|
62
|
+
throw new InputError('tradeSign: context.previousSign must be -1, 0, or 1.', {
|
|
63
|
+
code: ErrorCode.InputOutOfRange,
|
|
64
|
+
context: {
|
|
65
|
+
function: 'tradeSign',
|
|
66
|
+
field: 'context.previousSign',
|
|
67
|
+
value: context.previousSign,
|
|
68
|
+
},
|
|
69
|
+
});
|
|
70
|
+
}
|
|
71
|
+
const { value, method } = classifyTrade(trade, context);
|
|
72
|
+
const warnings = [];
|
|
73
|
+
if (value === 0) {
|
|
74
|
+
warnings.push(warning(WarningCode.DegenerateInput, 'tradeSign: the aggressor is indeterminate — no explicit side, and the quote/tick rules could not break the tie.', 'info', { method }));
|
|
75
|
+
}
|
|
76
|
+
return {
|
|
77
|
+
value,
|
|
78
|
+
assumptions: { conventionsVersion: CONVENTIONS_VERSION, method },
|
|
79
|
+
diagnostics: { warnings },
|
|
80
|
+
};
|
|
81
|
+
}
|
|
82
|
+
/** Plain aggressor sign; use `tradeSign.explain(...)` for the resolving rule and diagnostics. */
|
|
83
|
+
export const tradeSign = seriesFacade('tradeSign', (trade, context = {}) => tradeSignResult(trade, context).value, tradeSignResult);
|
|
84
|
+
/**
|
|
85
|
+
* Streaming, serializable cumulative-volume-delta aggregator — feed it trades (with optional aligned
|
|
86
|
+
* quotes) and it tracks running CVD and buy/sell volume. Mirrors the framework's stream ethos so it
|
|
87
|
+
* can be checkpointed and resumed mid-tape.
|
|
88
|
+
*/
|
|
89
|
+
export class CvdAggregator {
|
|
90
|
+
cumulativeSum = 0;
|
|
91
|
+
previousPrice = null;
|
|
92
|
+
previousSign = 0;
|
|
93
|
+
method;
|
|
94
|
+
buyVolume = 0;
|
|
95
|
+
sellVolume = 0;
|
|
96
|
+
constructor(method = 'quote') {
|
|
97
|
+
this.method = requireOneOf(method, AGGRESSOR_METHODS, 'CvdAggregator', 'method');
|
|
98
|
+
}
|
|
99
|
+
/** Process one trade; returns `{ sign, delta, cumulative }` for it. */
|
|
100
|
+
next(trade, quote) {
|
|
101
|
+
requireTrade(trade, 'CvdAggregator.next', 'trade');
|
|
102
|
+
if (quote !== undefined)
|
|
103
|
+
requireQuote(quote, 'CvdAggregator.next', 'quote');
|
|
104
|
+
const context = mkCtx(this.previousPrice, this.previousSign, this.method === 'quote' ? quote : undefined);
|
|
105
|
+
// `method: 'tick'` ignores quotes; `'side'` uses only an explicit side then falls back to tick.
|
|
106
|
+
const sign = this.method === 'side' && !trade.side
|
|
107
|
+
? tradeSignTickOnly(trade, context)
|
|
108
|
+
: classifyTrade(trade, context).value;
|
|
109
|
+
const delta = sign * trade.size;
|
|
110
|
+
const cumulative = this.cumulativeSum + delta;
|
|
111
|
+
const buyVolume = this.buyVolume + (sign > 0 ? trade.size : 0);
|
|
112
|
+
const sellVolume = this.sellVolume + (sign < 0 ? trade.size : 0);
|
|
113
|
+
const result = { sign, delta, cumulative };
|
|
114
|
+
assertFiniteValue('CvdAggregator.next', result);
|
|
115
|
+
assertFiniteValue('CvdAggregator.next', { buyVolume, sellVolume });
|
|
116
|
+
// Commit only after every derived value passes its postcondition; a rejected print must not
|
|
117
|
+
// poison a reusable stream with Infinity.
|
|
118
|
+
this.cumulativeSum = cumulative;
|
|
119
|
+
this.buyVolume = buyVolume;
|
|
120
|
+
this.sellVolume = sellVolume;
|
|
121
|
+
this.previousPrice = trade.price;
|
|
122
|
+
if (sign !== 0)
|
|
123
|
+
this.previousSign = sign;
|
|
124
|
+
return result;
|
|
125
|
+
}
|
|
126
|
+
get cumulative() {
|
|
127
|
+
return this.cumulativeSum;
|
|
128
|
+
}
|
|
129
|
+
/**
|
|
130
|
+
* Serialize as a {@link TechnicalAnalysisSnapshot}, like every other stream in the package.
|
|
131
|
+
*
|
|
132
|
+
* This class used to return a bare `Record<string, unknown>` — no `kind`, no `schemaVersion`, no
|
|
133
|
+
* `state` — so it sat outside the envelope law entirely: its snapshot could not say which
|
|
134
|
+
* aggregator wrote it, could not be version-checked, and lost non-finite numbers to
|
|
135
|
+
* `JSON.stringify` with nothing to notice. The structural gate in `restorer-conformance` is what
|
|
136
|
+
* surfaced it; it was the only serializer in the package building an envelope by hand.
|
|
137
|
+
*/
|
|
138
|
+
toJSON() {
|
|
139
|
+
return snapshotOf('cvdAggregator', {
|
|
140
|
+
method: this.method,
|
|
141
|
+
cumulativeSum: this.cumulativeSum,
|
|
142
|
+
previousPrice: this.previousPrice,
|
|
143
|
+
previousSign: this.previousSign,
|
|
144
|
+
buyVolume: this.buyVolume,
|
|
145
|
+
sellVolume: this.sellVolume,
|
|
146
|
+
});
|
|
147
|
+
}
|
|
148
|
+
static fromJSON(snapshot) {
|
|
149
|
+
const state = readSnapshot(snapshot, 'cvdAggregator');
|
|
150
|
+
const x = new CvdAggregator(state.literal('method', AGGRESSOR_METHODS));
|
|
151
|
+
x.cumulativeSum = state.number('cumulativeSum');
|
|
152
|
+
x.previousPrice = state.numberOrNull('previousPrice');
|
|
153
|
+
x.previousSign = state.literal('previousSign', TRADE_DIRECTIONS);
|
|
154
|
+
x.buyVolume = state.number('buyVolume');
|
|
155
|
+
x.sellVolume = state.number('sellVolume');
|
|
156
|
+
return x;
|
|
157
|
+
}
|
|
158
|
+
}
|
|
159
|
+
/** Build a SignContext, omitting `quote` when undefined (exactOptionalPropertyTypes-safe). */
|
|
160
|
+
function mkCtx(previousPrice, previousSign, quote) {
|
|
161
|
+
return quote ? { previousPrice, previousSign, quote } : { previousPrice, previousSign };
|
|
162
|
+
}
|
|
163
|
+
function tradeSignTickOnly(trade, context) {
|
|
164
|
+
if (context.previousPrice == null)
|
|
165
|
+
return context.previousSign ?? 0;
|
|
166
|
+
if (trade.price > context.previousPrice)
|
|
167
|
+
return 1;
|
|
168
|
+
if (trade.price < context.previousPrice)
|
|
169
|
+
return -1;
|
|
170
|
+
return context.previousSign ?? 0;
|
|
171
|
+
}
|
|
172
|
+
const CVD_PARAMS_KEYS = ['method', 'quotes'];
|
|
173
|
+
/** Batch cumulative volume delta over a trade tape. */
|
|
174
|
+
export function cumulativeVolumeDelta(trades, parameters = {}) {
|
|
175
|
+
requireArgumentArray('cumulativeVolumeDelta', 'trades', trades);
|
|
176
|
+
requireTrades(trades, 'cumulativeVolumeDelta');
|
|
177
|
+
requireArgumentObject('cumulativeVolumeDelta', 'parameters', parameters);
|
|
178
|
+
// Law 12: an unknown param (a `quots` typo) teaches instead of being silently ignored.
|
|
179
|
+
ensureKnownKeys('cumulativeVolumeDelta', 'parameters', parameters, CVD_PARAMS_KEYS);
|
|
180
|
+
if (parameters.method !== undefined) {
|
|
181
|
+
requireOneOf(parameters.method, AGGRESSOR_METHODS, 'cumulativeVolumeDelta', 'method');
|
|
182
|
+
}
|
|
183
|
+
if (parameters.quotes !== undefined) {
|
|
184
|
+
requireArgumentArray('cumulativeVolumeDelta', 'quotes', parameters.quotes);
|
|
185
|
+
if (parameters.quotes.length !== trades.length) {
|
|
186
|
+
throw new InputError(`cumulativeVolumeDelta: quotes length (${parameters.quotes.length}) must match trades length (${trades.length}) — quotes align 1:1 with prints.`, {
|
|
187
|
+
code: ErrorCode.InputLengthMismatch,
|
|
188
|
+
context: { trades: trades.length, quotes: parameters.quotes.length },
|
|
189
|
+
});
|
|
190
|
+
}
|
|
191
|
+
requireQuotes(parameters.quotes, 'cumulativeVolumeDelta');
|
|
192
|
+
}
|
|
193
|
+
const method = parameters.method ?? (parameters.quotes ? 'quote' : 'tick');
|
|
194
|
+
const agg = new CvdAggregator(method);
|
|
195
|
+
const delta = [];
|
|
196
|
+
const cumulative = [];
|
|
197
|
+
const sign = [];
|
|
198
|
+
for (let i = 0; i < trades.length; i++) {
|
|
199
|
+
const r = agg.next(trades[i], parameters.quotes?.[i]);
|
|
200
|
+
sign.push(r.sign);
|
|
201
|
+
delta.push(r.delta);
|
|
202
|
+
cumulative.push(r.cumulative);
|
|
203
|
+
}
|
|
204
|
+
const result = {
|
|
205
|
+
delta,
|
|
206
|
+
cumulative,
|
|
207
|
+
sign,
|
|
208
|
+
buyVolume: agg.buyVolume,
|
|
209
|
+
sellVolume: agg.sellVolume,
|
|
210
|
+
assumptions: { conventionsVersion: CONVENTIONS_VERSION, method },
|
|
211
|
+
diagnostics: { warnings: [] },
|
|
212
|
+
};
|
|
213
|
+
assertFiniteValue('cumulativeVolumeDelta', result);
|
|
214
|
+
return result;
|
|
215
|
+
}
|
|
216
|
+
const TICK_VOLUME_PROFILE_KEYS = [
|
|
217
|
+
'tickSize',
|
|
218
|
+
'bins',
|
|
219
|
+
'valueAreaFraction',
|
|
220
|
+
'method',
|
|
221
|
+
'quotes',
|
|
222
|
+
];
|
|
223
|
+
/**
|
|
224
|
+
* Volume-by-price built from the **actual trade prints** (each trade's full size lands in the bucket
|
|
225
|
+
* of its exact price — no bar-range smearing), with the POC, value area, and a per-price buy/sell
|
|
226
|
+
* delta (footprint). This is the trade-level counterpart to the bar-based `volumeProfile`.
|
|
227
|
+
*/
|
|
228
|
+
export function tickVolumeProfile(trades, parameters = {}) {
|
|
229
|
+
requireArgumentArray('tickVolumeProfile', 'trades', trades);
|
|
230
|
+
requireTrades(trades, 'tickVolumeProfile');
|
|
231
|
+
requireArgumentObject('tickVolumeProfile', 'parameters', parameters);
|
|
232
|
+
// Law 12: an unknown param (a `tikSize` typo) teaches instead of being silently ignored.
|
|
233
|
+
ensureKnownKeys('tickVolumeProfile', 'parameters', parameters, TICK_VOLUME_PROFILE_KEYS);
|
|
234
|
+
ensureFiniteWhenPresent(parameters.valueAreaFraction, 'valueAreaFraction', 'tickVolumeProfile');
|
|
235
|
+
const vaPct = requireInRange(parameters.valueAreaFraction ?? 0.7, 'tickVolumeProfile', 'valueAreaFraction', 0, 1);
|
|
236
|
+
if (parameters.tickSize === null) {
|
|
237
|
+
throw new InputError('tickVolumeProfile: tickSize must not be null — omit the field to bin by count instead. Received null.', { code: ErrorCode.InputWrongType, context: { field: 'tickSize' } });
|
|
238
|
+
}
|
|
239
|
+
const tickSize = parameters.tickSize != null
|
|
240
|
+
? requirePositive(parameters.tickSize, 'tickVolumeProfile', 'tickSize')
|
|
241
|
+
: null;
|
|
242
|
+
// A period-style bound (integer ≥ 1): `bins: 0` must throw, not silently become the default.
|
|
243
|
+
ensureFiniteWhenPresent(parameters.bins, 'bins', 'tickVolumeProfile');
|
|
244
|
+
const binsParam = tickSize === null ? requirePeriod(parameters.bins ?? 50, 'tickVolumeProfile', 'bins') : null;
|
|
245
|
+
const method = parameters.method !== undefined
|
|
246
|
+
? requireOneOf(parameters.method, AGGRESSOR_METHODS, 'tickVolumeProfile', 'method')
|
|
247
|
+
: parameters.quotes
|
|
248
|
+
? 'quote'
|
|
249
|
+
: 'tick';
|
|
250
|
+
if (parameters.quotes !== undefined) {
|
|
251
|
+
requireArgumentArray('tickVolumeProfile', 'quotes', parameters.quotes);
|
|
252
|
+
if (parameters.quotes.length !== trades.length) {
|
|
253
|
+
throw new InputError(`tickVolumeProfile: quotes length (${parameters.quotes.length}) must match trades length (${trades.length}) — quotes align 1:1 with prints.`, {
|
|
254
|
+
code: ErrorCode.InputLengthMismatch,
|
|
255
|
+
context: { trades: trades.length, quotes: parameters.quotes.length },
|
|
256
|
+
});
|
|
257
|
+
}
|
|
258
|
+
requireQuotes(parameters.quotes, 'tickVolumeProfile');
|
|
259
|
+
}
|
|
260
|
+
const assumptions = {
|
|
261
|
+
conventionsVersion: CONVENTIONS_VERSION,
|
|
262
|
+
tickSize,
|
|
263
|
+
bins: binsParam,
|
|
264
|
+
valueAreaFraction: vaPct,
|
|
265
|
+
method,
|
|
266
|
+
};
|
|
267
|
+
if (trades.length === 0) {
|
|
268
|
+
// Law 7: an empty tape has no POC/value area — nulls with a reason, never NaN.
|
|
269
|
+
return {
|
|
270
|
+
bins: [],
|
|
271
|
+
poc: null,
|
|
272
|
+
valueArea: { low: null, high: null },
|
|
273
|
+
totalVolume: 0,
|
|
274
|
+
totalDelta: 0,
|
|
275
|
+
assumptions,
|
|
276
|
+
diagnostics: {
|
|
277
|
+
warnings: [
|
|
278
|
+
warning(WarningCode.DegenerateInput, 'tickVolumeProfile: empty trade tape — there is no profile; poc and valueArea are null.', 'warn', { trades: 0 }),
|
|
279
|
+
],
|
|
280
|
+
},
|
|
281
|
+
};
|
|
282
|
+
}
|
|
283
|
+
let lo = Infinity;
|
|
284
|
+
let hi = -Infinity;
|
|
285
|
+
for (const t of trades) {
|
|
286
|
+
if (t.price < lo)
|
|
287
|
+
lo = t.price;
|
|
288
|
+
if (t.price > hi)
|
|
289
|
+
hi = t.price;
|
|
290
|
+
}
|
|
291
|
+
let width;
|
|
292
|
+
let binCount;
|
|
293
|
+
if (tickSize !== null) {
|
|
294
|
+
width = tickSize;
|
|
295
|
+
binCount = Math.max(1, Math.floor((hi - lo) / width) + 1);
|
|
296
|
+
}
|
|
297
|
+
else {
|
|
298
|
+
binCount = binsParam;
|
|
299
|
+
width = (hi - lo) / binCount || 1;
|
|
300
|
+
}
|
|
301
|
+
const bins = Array.from({ length: binCount }, (_, i) => ({
|
|
302
|
+
low: lo + i * width,
|
|
303
|
+
high: lo + (i + 1) * width,
|
|
304
|
+
volume: 0,
|
|
305
|
+
buyVolume: 0,
|
|
306
|
+
sellVolume: 0,
|
|
307
|
+
delta: 0,
|
|
308
|
+
trades: 0,
|
|
309
|
+
}));
|
|
310
|
+
let previousPrice = null;
|
|
311
|
+
let previousSign = 0;
|
|
312
|
+
let total = 0;
|
|
313
|
+
let totalDelta = 0;
|
|
314
|
+
for (let i = 0; i < trades.length; i++) {
|
|
315
|
+
const t = trades[i];
|
|
316
|
+
const idx = Math.min(binCount - 1, Math.max(0, Math.floor((t.price - lo) / width)));
|
|
317
|
+
const context = mkCtx(previousPrice, previousSign, method === 'quote' ? parameters.quotes?.[i] : undefined);
|
|
318
|
+
const sign = method === 'side' && !t.side
|
|
319
|
+
? tradeSignTickOnly(t, context)
|
|
320
|
+
: classifyTrade(t, context).value;
|
|
321
|
+
previousPrice = t.price;
|
|
322
|
+
if (sign !== 0)
|
|
323
|
+
previousSign = sign;
|
|
324
|
+
const bin = bins[idx];
|
|
325
|
+
bin.volume += t.size;
|
|
326
|
+
bin.trades += 1;
|
|
327
|
+
if (sign > 0)
|
|
328
|
+
bin.buyVolume += t.size;
|
|
329
|
+
else if (sign < 0)
|
|
330
|
+
bin.sellVolume += t.size;
|
|
331
|
+
bin.delta = bin.buyVolume - bin.sellVolume;
|
|
332
|
+
total += t.size;
|
|
333
|
+
totalDelta += sign * t.size;
|
|
334
|
+
}
|
|
335
|
+
let pocIdx = 0;
|
|
336
|
+
for (let i = 1; i < bins.length; i++)
|
|
337
|
+
if (bins[i].volume > bins[pocIdx].volume)
|
|
338
|
+
pocIdx = i;
|
|
339
|
+
let valueAreaVolume = bins[pocIdx].volume;
|
|
340
|
+
let lowIdx = pocIdx;
|
|
341
|
+
let highIdx = pocIdx;
|
|
342
|
+
const target = total * vaPct;
|
|
343
|
+
while (valueAreaVolume < target && (lowIdx > 0 || highIdx < bins.length - 1)) {
|
|
344
|
+
const below = lowIdx > 0 ? bins[lowIdx - 1].volume : -1;
|
|
345
|
+
const above = highIdx < bins.length - 1 ? bins[highIdx + 1].volume : -1;
|
|
346
|
+
if (above >= below)
|
|
347
|
+
valueAreaVolume += bins[++highIdx].volume;
|
|
348
|
+
else
|
|
349
|
+
valueAreaVolume += bins[--lowIdx].volume;
|
|
350
|
+
}
|
|
351
|
+
const result = {
|
|
352
|
+
bins,
|
|
353
|
+
poc: (bins[pocIdx].low + bins[pocIdx].high) / 2,
|
|
354
|
+
valueArea: { low: bins[lowIdx].low, high: bins[highIdx].high },
|
|
355
|
+
totalVolume: total,
|
|
356
|
+
totalDelta,
|
|
357
|
+
assumptions,
|
|
358
|
+
diagnostics: { warnings: [] },
|
|
359
|
+
};
|
|
360
|
+
assertFiniteValue('tickVolumeProfile', result);
|
|
361
|
+
return result;
|
|
362
|
+
}
|
|
363
|
+
const BOOK_IMBALANCE_PARAMS_KEYS = ['levels', 'weighted'];
|
|
364
|
+
/**
|
|
365
|
+
* Multi-level order-book imbalance in [−1, 1]: +1 all bid-side depth, −1 all ask-side, 0 balanced.
|
|
366
|
+
* Sums the top `levels` of each side; `weighted` decays deeper levels by `1/(1+rank)`. A book with
|
|
367
|
+
* zero aggregated depth has no imbalance — `value` is null with a diagnostics warning (Law 7).
|
|
368
|
+
*/
|
|
369
|
+
function bookImbalanceResult(book, parameters = {}) {
|
|
370
|
+
requireOrderBook(book, 'bookImbalance');
|
|
371
|
+
requireArgumentObject('bookImbalance', 'parameters', parameters);
|
|
372
|
+
ensureKnownKeys('bookImbalance', 'parameters', parameters, BOOK_IMBALANCE_PARAMS_KEYS);
|
|
373
|
+
const n = parameters.levels !== undefined
|
|
374
|
+
? requirePeriod(parameters.levels, 'bookImbalance', 'levels')
|
|
375
|
+
: Math.max(book.bids.length, book.asks.length);
|
|
376
|
+
requireBooleanWhenPresent(parameters.weighted, 'bookImbalance', 'weighted');
|
|
377
|
+
const weighted = parameters.weighted ?? false;
|
|
378
|
+
const w = (rank) => (weighted ? 1 / (1 + rank) : 1);
|
|
379
|
+
let bid = 0;
|
|
380
|
+
let ask = 0;
|
|
381
|
+
for (let i = 0; i < n; i++) {
|
|
382
|
+
if (i < book.bids.length)
|
|
383
|
+
bid += book.bids[i].size * w(i);
|
|
384
|
+
if (i < book.asks.length)
|
|
385
|
+
ask += book.asks[i].size * w(i);
|
|
386
|
+
}
|
|
387
|
+
const total = bid + ask;
|
|
388
|
+
const assumptions = { conventionsVersion: CONVENTIONS_VERSION, levels: n, weighted };
|
|
389
|
+
if (total === 0) {
|
|
390
|
+
return {
|
|
391
|
+
value: null,
|
|
392
|
+
assumptions,
|
|
393
|
+
diagnostics: {
|
|
394
|
+
warnings: [
|
|
395
|
+
warning(WarningCode.DegenerateInput, 'bookImbalance: zero aggregated depth across the requested levels — the imbalance is undefined (null).', 'warn', { levels: n }),
|
|
396
|
+
],
|
|
397
|
+
},
|
|
398
|
+
};
|
|
399
|
+
}
|
|
400
|
+
return { value: (bid - ask) / total, assumptions, diagnostics: { warnings: [] } };
|
|
401
|
+
}
|
|
402
|
+
/** Plain imbalance; use `.explain()` for effective depth, weighting, and null diagnostics. */
|
|
403
|
+
export const bookImbalance = seriesFacade('bookImbalance', (book, parameters = {}) => bookImbalanceResult(book, parameters).value, bookImbalanceResult);
|
|
404
|
+
/**
|
|
405
|
+
* Size-weighted mid (microprice): `(bestBid·askSize + bestAsk·bidSize) / (bidSize + askSize)`. More
|
|
406
|
+
* size resting on the ask pulls the fair price toward the bid (and vice-versa). Falls back to the
|
|
407
|
+
* arithmetic mid when both top sizes are zero (disclosed via a diagnostics warning); a one-sided or
|
|
408
|
+
* empty book has no microprice — `value` is null with a warning (Law 7).
|
|
409
|
+
*/
|
|
410
|
+
function micropriceResult(book) {
|
|
411
|
+
requireOrderBook(book, 'microprice');
|
|
412
|
+
const assumptions = { conventionsVersion: CONVENTIONS_VERSION };
|
|
413
|
+
const bb = book.bids[0];
|
|
414
|
+
const ba = book.asks[0];
|
|
415
|
+
if (!bb || !ba) {
|
|
416
|
+
return {
|
|
417
|
+
value: null,
|
|
418
|
+
assumptions,
|
|
419
|
+
diagnostics: {
|
|
420
|
+
warnings: [
|
|
421
|
+
warning(WarningCode.DegenerateInput, 'microprice: one or both sides of the book are empty — the microprice is undefined (null).', 'warn', { bids: book.bids.length, asks: book.asks.length }),
|
|
422
|
+
],
|
|
423
|
+
},
|
|
424
|
+
};
|
|
425
|
+
}
|
|
426
|
+
const denom = bb.size + ba.size;
|
|
427
|
+
if (denom === 0) {
|
|
428
|
+
return {
|
|
429
|
+
value: (bb.price + ba.price) / 2,
|
|
430
|
+
assumptions,
|
|
431
|
+
diagnostics: {
|
|
432
|
+
warnings: [
|
|
433
|
+
warning(WarningCode.DegenerateInput, 'microprice: both top-of-book sizes are zero — returned the arithmetic mid instead of the size-weighted mid.', 'info', { bidSize: bb.size, askSize: ba.size }),
|
|
434
|
+
],
|
|
435
|
+
},
|
|
436
|
+
};
|
|
437
|
+
}
|
|
438
|
+
return {
|
|
439
|
+
value: (bb.price * ba.size + ba.price * bb.size) / denom,
|
|
440
|
+
assumptions,
|
|
441
|
+
diagnostics: { warnings: [] },
|
|
442
|
+
};
|
|
443
|
+
}
|
|
444
|
+
/** Plain microprice; use `.explain()` for null/fallback diagnostics. */
|
|
445
|
+
export const microprice = facade('microprice', (book) => micropriceResult(book).value, micropriceResult);
|
|
446
|
+
const FOOTPRINT_BAR_KEYS = ['by', 'threshold', 'method', 'quotes'];
|
|
447
|
+
/**
|
|
448
|
+
* Aggregate a trade tape into OHLCV bars annotated with the aggressor footprint (buy/sell volume and
|
|
449
|
+
* delta), bucketing by trade `count`, cumulative `volume`, or `time`.
|
|
450
|
+
*/
|
|
451
|
+
export function footprintBars(trades, parameters) {
|
|
452
|
+
requireArgumentObject('footprintBars', 'parameters', parameters);
|
|
453
|
+
// Law 12: an unknown param (a `treshold` typo) teaches instead of being silently ignored.
|
|
454
|
+
ensureKnownKeys('footprintBars', 'parameters', parameters, FOOTPRINT_BAR_KEYS);
|
|
455
|
+
requireArgumentArray('footprintBars', 'trades', trades);
|
|
456
|
+
requireTrades(trades, 'footprintBars');
|
|
457
|
+
if (parameters.by === null || parameters.method === null) {
|
|
458
|
+
throw new InputError(`footprintBars: ${parameters.by === null ? 'by' : 'method'} must not be null — omit the field to use the default. Received null.`, { code: ErrorCode.InputWrongType, context: {} });
|
|
459
|
+
}
|
|
460
|
+
const by = requireOneOf(parameters.by ?? 'volume', ['count', 'volume', 'time'], 'footprintBars', 'by');
|
|
461
|
+
const threshold = requirePositive(parameters.threshold, 'footprintBars', 'threshold');
|
|
462
|
+
// Time bucketing needs timestamps: without them no bar would ever close and the whole tape would
|
|
463
|
+
// silently collapse into one giant bar (design law #4 — no silent degradation). First-element
|
|
464
|
+
// check per the facade law.
|
|
465
|
+
if (by === 'time') {
|
|
466
|
+
const missingTime = trades.findIndex((trade) => trade.time == null);
|
|
467
|
+
if (missingTime >= 0) {
|
|
468
|
+
throw new InputError(`footprintBars: by: 'time' needs every trade to carry a \`time\` field (epoch ms); trades[${missingTime}] does not.`, { code: ErrorCode.InputMissingField, context: { by, index: missingTime } });
|
|
469
|
+
}
|
|
470
|
+
for (let i = 1; i < trades.length; i++) {
|
|
471
|
+
if (trades[i].time < trades[i - 1].time) {
|
|
472
|
+
throw new InputError(`footprintBars: trades must be ordered by non-decreasing time; trades[${i}] is earlier than trades[${i - 1}].`, {
|
|
473
|
+
code: ErrorCode.InputOutOfRange,
|
|
474
|
+
context: { function: 'footprintBars', field: 'trades', index: i },
|
|
475
|
+
});
|
|
476
|
+
}
|
|
477
|
+
}
|
|
478
|
+
}
|
|
479
|
+
const method = requireOneOf(parameters.method ?? (parameters.quotes ? 'quote' : 'tick'), AGGRESSOR_METHODS, 'footprintBars', 'method');
|
|
480
|
+
if (parameters.quotes !== undefined) {
|
|
481
|
+
requireArgumentArray('footprintBars', 'quotes', parameters.quotes);
|
|
482
|
+
if (parameters.quotes.length !== trades.length) {
|
|
483
|
+
throw new InputError(`footprintBars: quotes length (${parameters.quotes.length}) must match trades length (${trades.length}) — quotes align 1:1 with prints.`, {
|
|
484
|
+
code: ErrorCode.InputLengthMismatch,
|
|
485
|
+
context: { trades: trades.length, quotes: parameters.quotes.length },
|
|
486
|
+
});
|
|
487
|
+
}
|
|
488
|
+
requireQuotes(parameters.quotes, 'footprintBars');
|
|
489
|
+
}
|
|
490
|
+
const out = [];
|
|
491
|
+
let cur = null;
|
|
492
|
+
let acc = 0;
|
|
493
|
+
let barStartTime;
|
|
494
|
+
let previousPrice = null;
|
|
495
|
+
let previousSign = 0;
|
|
496
|
+
const flush = () => {
|
|
497
|
+
if (cur)
|
|
498
|
+
out.push(cur);
|
|
499
|
+
cur = null;
|
|
500
|
+
acc = 0;
|
|
501
|
+
};
|
|
502
|
+
for (let i = 0; i < trades.length; i++) {
|
|
503
|
+
const t = trades[i];
|
|
504
|
+
if (by === 'time' &&
|
|
505
|
+
cur &&
|
|
506
|
+
t.time != null &&
|
|
507
|
+
barStartTime != null &&
|
|
508
|
+
t.time - barStartTime >= threshold) {
|
|
509
|
+
flush();
|
|
510
|
+
}
|
|
511
|
+
if (!cur) {
|
|
512
|
+
cur = {
|
|
513
|
+
open: t.price,
|
|
514
|
+
high: t.price,
|
|
515
|
+
low: t.price,
|
|
516
|
+
close: t.price,
|
|
517
|
+
volume: 0,
|
|
518
|
+
buyVolume: 0,
|
|
519
|
+
sellVolume: 0,
|
|
520
|
+
delta: 0,
|
|
521
|
+
trades: 0,
|
|
522
|
+
...(t.time != null ? { time: t.time } : {}),
|
|
523
|
+
};
|
|
524
|
+
barStartTime = t.time;
|
|
525
|
+
}
|
|
526
|
+
const bar = cur; // stable non-null reference (cur may be nulled by `flush` in the closure)
|
|
527
|
+
const context = mkCtx(previousPrice, previousSign, method === 'quote' ? parameters.quotes?.[i] : undefined);
|
|
528
|
+
const sign = method === 'side' && !t.side
|
|
529
|
+
? tradeSignTickOnly(t, context)
|
|
530
|
+
: classifyTrade(t, context).value;
|
|
531
|
+
previousPrice = t.price;
|
|
532
|
+
if (sign !== 0)
|
|
533
|
+
previousSign = sign;
|
|
534
|
+
bar.high = Math.max(bar.high, t.price);
|
|
535
|
+
bar.low = Math.min(bar.low, t.price);
|
|
536
|
+
bar.close = t.price;
|
|
537
|
+
bar.volume += t.size;
|
|
538
|
+
bar.trades += 1;
|
|
539
|
+
if (sign > 0)
|
|
540
|
+
bar.buyVolume += t.size;
|
|
541
|
+
else if (sign < 0)
|
|
542
|
+
bar.sellVolume += t.size;
|
|
543
|
+
bar.delta = bar.buyVolume - bar.sellVolume;
|
|
544
|
+
acc += by === 'count' ? 1 : by === 'volume' ? t.size : 0;
|
|
545
|
+
if ((by === 'count' || by === 'volume') && acc >= threshold)
|
|
546
|
+
flush();
|
|
547
|
+
}
|
|
548
|
+
flush();
|
|
549
|
+
assertFiniteValue('footprintBars', out);
|
|
550
|
+
return out;
|
|
551
|
+
}
|
|
552
|
+
//# sourceMappingURL=microstructure.js.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
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