@insiderfinance/totalfinance 0.1.0

package/modules/technical-analysis/dist/performance-ext.js

@@ -0,0 +1,31 @@
+/** pandas-ta performance-style indicators that are useful inside TA pipelines. */
+import * as builtinMetadata from './builtin-metadata.js';
+import { withBuiltinMetadata } from './indicator-metadata.js';
+import { makeIndicator, snapshotOf, readSnapshot, } from './framework.js';
+class DrawdownStream {
+    peak = -Infinity;
+    value = null;
+    next(value) {
+        if (value > this.peak)
+            this.peak = value;
+        this.value = {
+            drawdown: this.peak - value,
+            percent: this.peak === 0 ? NaN : 1 - value / this.peak,
+            log: Math.log(this.peak) - Math.log(value),
+        };
+        return this.value;
+    }
+    toJSON() {
+        return snapshotOf('drawdown', { peak: this.peak, value: this.value });
+    }
+    static fromJSON(snapshot) {
+        const state = readSnapshot(snapshot, 'drawdown');
+        const x = new DrawdownStream();
+        x.peak = state.number('peak');
+        x.value = state.cached('value');
+        return x;
+    }
+}
+export const drawdown = withBuiltinMetadata(makeIndicator(() => new DrawdownStream(), DrawdownStream.fromJSON, () => ({ drawdown: NaN, percent: NaN, log: NaN })), builtinMetadata.drawdownMetadata);
+export { DrawdownStream };
+//# sourceMappingURL=performance-ext.js.map

package/modules/technical-analysis/dist/performance-ext.js.map

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package/modules/technical-analysis/dist/pipeline.d.ts

@@ -0,0 +1,105 @@
+/**
+ * Minimal feature pipeline with explicit aliasing (spec §13.6).
+ *
+ * 0.1 supports building named feature columns from the core indicators. Auto-names are provided for
+ * quick scripts; production code should pass `{ as: 'name' }`. Duplicate aliases throw
+ * `InputError('pipeline.duplicate_alias')`.
+ *
+ * ## Generated column names are snake_case
+ *
+ * `sma_close_20`, `rsi_close_14`, `rolling_volatility_close_5`. One convention across the whole
+ * string, and it is chosen for the artifact rather than for the codebase: a column lands in a
+ * DataFrame, a parquet file, or a warehouse table, and identifier case-folding there is not on our
+ * side — Postgres lowercases an unquoted identifier and Snowflake uppercases it, so a camelCase
+ * column either gets quoted forever or silently mangled. Every peer library that emits feature
+ * columns (pandas-ta, tsfresh, dbt models) reached the same place.
+ *
+ * This cost a round trip to get right. The first correction of `vol_` used the indicator's EXPORT
+ * name — `rollingVolatility_close_5` — to keep the name mechanically parseable back into
+ * (indicator, field, parameter), since snake-casing a multi-word indicator makes `_` ambiguous
+ * (`rolling_volatility_close_5` splits into four segments for a three-slot format). That reasoning
+ * inverts the priority: a column name is data, not an identifier, and provenance you need
+ * mechanically should be exposed structurally rather than recovered by parsing a string. So the
+ * name reads naturally and the parse is simply not offered.
+ *
+ * Every convenience method takes its indicator's own PARAMETER OBJECT — `sma(field, { period: 20 })`,
+ * not `sma(field, 20)`. That is the same grammar the indicators themselves enforce (calling
+ * `sma(series, 20)` throws a teaching error), and it was already what `macd`, `bbands` and
+ * `rollingVolatility` took here; `sma`/`ema`/`wma`/`rsi`/`atr` were the holdouts, so this class
+ * disagreed with the rest of the package AND with itself. A bare number cannot say whether it is a
+ * period, a multiplier or a lookback, which is the whole reason for the rule.
+ */
+import { type BollingerParameters } from './bands.js';
+import { type WilderPeriodParameters } from './bars.js';
+import type { BarInput, Indicator } from './framework.js';
+import { type MacdParameters } from './macd.js';
+import { type PeriodParameters } from './moving-averages.js';
+import { type RsiParameters } from './rsi.js';
+import { type RollingVolatilityParameters } from './series.js';
+export type Field = 'open' | 'high' | 'low' | 'close';
+/** A computed column: one value (scalar or record) per input bar. */
+export type FeatureColumn = unknown[];
+interface AliasOpt {
+    as?: string;
+}
+export declare class FeaturePipeline {
+    private readonly candles;
+    private readonly cols;
+    constructor(candles: BarInput[]);
+    private series;
+    /** The raw `field` column (`close`, `high`, …) as a number array. */
+    field(field: Field): number[];
+    /** Add under an explicit alias; a duplicate explicit alias throws `pipeline.duplicate_alias`. */
+    private add;
+    /** Stable disambiguation for auto-generated names: `base`, then `base_2`, `base_3`, … */
+    private uniqueAuto;
+    /**
+     * Explicit aliases are taken verbatim (and collide loudly); auto-generated names disambiguate, so
+     * repeating an indicator with the same parameters yields `sma_close_20`, `sma_close_20_2`, … (spec §13.6).
+     */
+    private put;
+    /**
+     * The convenience methods all follow one order, and the order is the point: validate the alias,
+     * then CALL THE INDICATOR, then build the auto-name from the parameters it just accepted.
+     *
+     * The first version built the name first — `` `sma_${field}_${parameters.period}` `` — so a caller
+     * who omitted `parameters` got `TypeError: Cannot read properties of undefined (reading 'period')`
+     * from the pipeline instead of `sma`'s own teaching `InputError`. Worse for `rsi` and `atr`, whose
+     * direct forms default to 14: the fluent wrapper was STRICTER than the thing it wraps. Calling the
+     * indicator first delegates every parameter question to the validator that owns it.
+     */
+    sma(field: Field, parameters: PeriodParameters, options?: AliasOpt): this;
+    ema(field: Field, parameters: PeriodParameters, options?: AliasOpt): this;
+    wma(field: Field, parameters: PeriodParameters, options?: AliasOpt): this;
+    /** `parameters` is optional: RSI's period defaults to 14, exactly as `rsi(series)` does. */
+    rsi(field: Field, parameters?: RsiParameters, options?: AliasOpt): this;
+    macd(field: Field, parameters?: MacdParameters, options?: AliasOpt): this;
+    /** `parameters` is optional: Bollinger's period defaults to 20, exactly as `bbands(series)` does. */
+    bbands(field: Field, parameters?: BollingerParameters, options?: AliasOpt): this;
+    returns(field: Field, options?: AliasOpt): this;
+    rollingVolatility(field: Field, parameters: RollingVolatilityParameters, options?: AliasOpt): this;
+    /** `parameters` is optional: ATR's Wilder period defaults to 14, exactly as `atr(bars)` does. */
+    atr(parameters?: WilderPeriodParameters, options?: AliasOpt): this;
+    vwap(options?: AliasOpt): this;
+    obv(options?: AliasOpt): this;
+    /**
+     * Apply any series indicator (number → Out) to a price field. The generic escape hatch that lets
+     * the pipeline reach every indicator in the catalog, not just the named convenience methods.
+     */
+    applySeries<P, Out>(field: Field, indicator: Indicator<P, number, Out>, parameters: P, options: AliasOpt & {
+        as: string;
+    }): this;
+    /** Apply any bar indicator (BarInput → Out) to the candles. */
+    applyBars<P, Out>(indicator: Indicator<P, BarInput, Out>, parameters: P, options: AliasOpt & {
+        as: string;
+    }): this;
+    /** Inject a precomputed column under an alias. */
+    column(alias: string, values: FeatureColumn): this;
+    /** Columnar output keyed by alias. */
+    toColumns(): Record<string, FeatureColumn>;
+    /** Row-oriented output: one object per bar with each alias as a key. */
+    toRows(): Record<string, unknown>[];
+}
+export declare function features(candles: BarInput[]): FeaturePipeline;
+export {};
+//# sourceMappingURL=pipeline.d.ts.map

package/modules/technical-analysis/dist/pipeline.d.ts.map

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package/modules/technical-analysis/dist/pipeline.js

@@ -0,0 +1,224 @@
+/**
+ * Minimal feature pipeline with explicit aliasing (spec §13.6).
+ *
+ * 0.1 supports building named feature columns from the core indicators. Auto-names are provided for
+ * quick scripts; production code should pass `{ as: 'name' }`. Duplicate aliases throw
+ * `InputError('pipeline.duplicate_alias')`.
+ *
+ * ## Generated column names are snake_case
+ *
+ * `sma_close_20`, `rsi_close_14`, `rolling_volatility_close_5`. One convention across the whole
+ * string, and it is chosen for the artifact rather than for the codebase: a column lands in a
+ * DataFrame, a parquet file, or a warehouse table, and identifier case-folding there is not on our
+ * side — Postgres lowercases an unquoted identifier and Snowflake uppercases it, so a camelCase
+ * column either gets quoted forever or silently mangled. Every peer library that emits feature
+ * columns (pandas-ta, tsfresh, dbt models) reached the same place.
+ *
+ * This cost a round trip to get right. The first correction of `vol_` used the indicator's EXPORT
+ * name — `rollingVolatility_close_5` — to keep the name mechanically parseable back into
+ * (indicator, field, parameter), since snake-casing a multi-word indicator makes `_` ambiguous
+ * (`rolling_volatility_close_5` splits into four segments for a three-slot format). That reasoning
+ * inverts the priority: a column name is data, not an identifier, and provenance you need
+ * mechanically should be exposed structurally rather than recovered by parsing a string. So the
+ * name reads naturally and the parse is simply not offered.
+ *
+ * Every convenience method takes its indicator's own PARAMETER OBJECT — `sma(field, { period: 20 })`,
+ * not `sma(field, 20)`. That is the same grammar the indicators themselves enforce (calling
+ * `sma(series, 20)` throws a teaching error), and it was already what `macd`, `bbands` and
+ * `rollingVolatility` took here; `sma`/`ema`/`wma`/`rsi`/`atr` were the holdouts, so this class
+ * disagreed with the rest of the package AND with itself. A bare number cannot say whether it is a
+ * period, a multiplier or a lookback, which is the whole reason for the rule.
+ */
+import { ErrorCode, InputError, ensureKnownKeys, requireArgumentObject } from '../../core/dist/index.js';
+import { bbands } from './bands.js';
+import { atr, obv, vwap } from './bars.js';
+import { macd } from './macd.js';
+import { ema, sma, wma } from './moving-averages.js';
+import { rsi } from './rsi.js';
+import { returns, rollingVolatility } from './series.js';
+import { requireOneOf } from './validate.js';
+const FIELDS = ['open', 'high', 'low', 'close'];
+const ALIAS_KEYS = ['as'];
+/**
+ * Validate an alias option object and return the alias it names.
+ *
+ * Two silent failures lived here. `{ az: 'fast' }` — one key off — was ignored, so the column landed
+ * under its auto-generated name and the caller's later lookup of `fast` found nothing; and `{ as: '' }`
+ * produced a column literally keyed by the empty string. Both are Law 12's territory: an options
+ * object is a closed request, and a near-miss key teaches instead of being dropped.
+ */
+function requireAlias(functionName, options) {
+    requireArgumentObject(functionName, 'options', options);
+    const alias = resolveAlias(functionName, options);
+    if (alias === undefined) {
+        throw new InputError(`${functionName}: options.as is required — this method has no indicator name to generate a ` +
+            `column name from.`, { code: ErrorCode.InputMissingField, context: { function: functionName } });
+    }
+    return alias;
+}
+function resolveAlias(functionName, options) {
+    if (options === undefined)
+        return undefined;
+    requireArgumentObject(functionName, 'options', options);
+    ensureKnownKeys(functionName, 'options', options, ALIAS_KEYS);
+    const { as } = options;
+    if (as === undefined)
+        return undefined;
+    if (typeof as !== 'string' || as.length === 0) {
+        throw new InputError(`${functionName}: options.as must be a non-empty column name. Received ${typeof as === 'string' ? 'an empty string' : typeof as}.`, { code: ErrorCode.InputWrongType, context: { function: functionName } });
+    }
+    return as;
+}
+export class FeaturePipeline {
+    candles;
+    cols = new Map();
+    constructor(candles) {
+        this.candles = candles;
+    }
+    series(field) {
+        requireOneOf(field, FIELDS, 'features', 'field');
+        return this.candles.map((c) => c[field] ?? NaN);
+    }
+    /** The raw `field` column (`close`, `high`, …) as a number array. */
+    field(field) {
+        return this.series(field);
+    }
+    /** Add under an explicit alias; a duplicate explicit alias throws `pipeline.duplicate_alias`. */
+    add(alias, values) {
+        if (this.cols.has(alias)) {
+            throw new InputError(`FeaturePipeline.add: Duplicate pipeline alias "${alias}".`, {
+                code: ErrorCode.PipelineDuplicateAlias,
+                context: { alias },
+            });
+        }
+        if (values.length !== this.candles.length) {
+            throw new InputError(`FeaturePipeline.add: Pipeline column "${alias}" has length ${values.length}, expected ${this.candles.length} (one value per bar).`, {
+                code: ErrorCode.PipelineLengthMismatch,
+                context: { alias, length: values.length, expected: this.candles.length },
+            });
+        }
+        this.cols.set(alias, values);
+        return this;
+    }
+    /** Stable disambiguation for auto-generated names: `base`, then `base_2`, `base_3`, … */
+    uniqueAuto(base) {
+        if (!this.cols.has(base))
+            return base;
+        let i = 2;
+        while (this.cols.has(`${base}_${i}`))
+            i++;
+        return `${base}_${i}`;
+    }
+    /**
+     * Explicit aliases are taken verbatim (and collide loudly); auto-generated names disambiguate, so
+     * repeating an indicator with the same parameters yields `sma_close_20`, `sma_close_20_2`, … (spec §13.6).
+     */
+    put(explicitAs, base, values) {
+        return this.add(explicitAs ?? this.uniqueAuto(base), values);
+    }
+    /**
+     * The convenience methods all follow one order, and the order is the point: validate the alias,
+     * then CALL THE INDICATOR, then build the auto-name from the parameters it just accepted.
+     *
+     * The first version built the name first — `` `sma_${field}_${parameters.period}` `` — so a caller
+     * who omitted `parameters` got `TypeError: Cannot read properties of undefined (reading 'period')`
+     * from the pipeline instead of `sma`'s own teaching `InputError`. Worse for `rsi` and `atr`, whose
+     * direct forms default to 14: the fluent wrapper was STRICTER than the thing it wraps. Calling the
+     * indicator first delegates every parameter question to the validator that owns it.
+     */
+    sma(field, parameters, options) {
+        const alias = resolveAlias('features.sma', options);
+        const values = sma(this.series(field), parameters);
+        return this.put(alias, `sma_${field}_${parameters.period}`, values);
+    }
+    ema(field, parameters, options) {
+        const alias = resolveAlias('features.ema', options);
+        const values = ema(this.series(field), parameters);
+        return this.put(alias, `ema_${field}_${parameters.period}`, values);
+    }
+    wma(field, parameters, options) {
+        const alias = resolveAlias('features.wma', options);
+        const values = wma(this.series(field), parameters);
+        return this.put(alias, `wma_${field}_${parameters.period}`, values);
+    }
+    /** `parameters` is optional: RSI's period defaults to 14, exactly as `rsi(series)` does. */
+    rsi(field, parameters, options) {
+        const alias = resolveAlias('features.rsi', options);
+        const values = rsi(this.series(field), parameters ?? {});
+        return this.put(alias, `rsi_${field}_${parameters?.period ?? 14}`, values);
+    }
+    macd(field, parameters, options) {
+        const alias = resolveAlias('features.macd', options);
+        const values = macd(this.series(field), parameters ?? {});
+        return this.put(alias, `macd_${field}`, values);
+    }
+    /** `parameters` is optional: Bollinger's period defaults to 20, exactly as `bbands(series)` does. */
+    bbands(field, parameters, options) {
+        const alias = resolveAlias('features.bbands', options);
+        const values = bbands(this.series(field), parameters ?? {});
+        return this.put(alias, `bbands_${field}_${parameters?.period ?? 20}`, values);
+    }
+    returns(field, options) {
+        const alias = resolveAlias('features.returns', options);
+        return this.put(alias, `returns_${field}`, returns(this.series(field), {}));
+    }
+    rollingVolatility(field, parameters, options) {
+        const alias = resolveAlias('features.rollingVolatility', options);
+        const values = rollingVolatility(this.series(field), parameters);
+        return this.put(alias, `rolling_volatility_${field}_${parameters.period}`, values);
+    }
+    /** `parameters` is optional: ATR's Wilder period defaults to 14, exactly as `atr(bars)` does. */
+    atr(parameters, options) {
+        const alias = resolveAlias('features.atr', options);
+        const values = atr(this.candles, parameters ?? {});
+        return this.put(alias, `atr_${parameters?.period ?? 14}`, values);
+    }
+    vwap(options) {
+        return this.put(resolveAlias('features.vwap', options), 'vwap', vwap(this.candles, {}));
+    }
+    obv(options) {
+        return this.put(resolveAlias('features.obv', options), 'obv', obv(this.candles, {}));
+    }
+    /**
+     * Apply any series indicator (number → Out) to a price field. The generic escape hatch that lets
+     * the pipeline reach every indicator in the catalog, not just the named convenience methods.
+     */
+    applySeries(field, indicator, parameters, options) {
+        // `as` is REQUIRED here — there is no indicator name to auto-generate from — so a misspelled key
+        // produced a column called "undefined" rather than the one the caller asked for.
+        const alias = requireAlias('features.applySeries', options);
+        return this.add(alias, indicator(this.series(field), parameters));
+    }
+    /** Apply any bar indicator (BarInput → Out) to the candles. */
+    applyBars(indicator, parameters, options) {
+        const alias = requireAlias('features.applyBars', options);
+        return this.add(alias, indicator(this.candles, parameters));
+    }
+    /** Inject a precomputed column under an alias. */
+    column(alias, values) {
+        if (typeof alias !== 'string' || alias.length === 0) {
+            throw new InputError(`features.column: alias must be a non-empty column name. Received ${typeof alias === 'string' ? 'an empty string' : typeof alias}.`, { code: ErrorCode.InputWrongType, context: { function: 'features.column' } });
+        }
+        return this.add(alias, values);
+    }
+    /** Columnar output keyed by alias. */
+    toColumns() {
+        return Object.fromEntries(this.cols);
+    }
+    /** Row-oriented output: one object per bar with each alias as a key. */
+    toRows() {
+        const keys = [...this.cols.keys()];
+        const rows = [];
+        for (let i = 0; i < this.candles.length; i++) {
+            const row = {};
+            for (const k of keys)
+                row[k] = this.cols.get(k)[i];
+            rows.push(row);
+        }
+        return rows;
+    }
+}
+export function features(candles) {
+    return new FeaturePipeline(candles);
+}
+//# sourceMappingURL=pipeline.js.map

package/modules/technical-analysis/dist/pipeline.js.map

@@ -0,0 +1 @@
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package/modules/technical-analysis/dist/price-action-ext.d.ts

@@ -0,0 +1,90 @@
+/**
+ * Smart-Money-Concept price-action detectors (spec §13.3; ICT/SMC parity).
+ *
+ * Fair Value Gaps (3-bar imbalance), Order Blocks (last opposite candle before a displacement break),
+ * and Liquidity Sweeps (a rolling-extreme taken out then rejected). Unlike the swing-based tools in
+ * `./price-action` — which look forward to confirm a swing and so are batch functions — these three
+ * are causal (they confirm on a known bar), so they are full streaming indicators with batch≡stream
+ * parity and serializable state.
+ *
+ * Output convention (like the candlestick patterns): a dense per-bar record whose `direction` is
+ * +1 bullish / −1 bearish / 0 no event; the zone/level fields are `NaN` on a no-event bar. Filter to
+ * the event bars with `r.direction !== 0`.
+ */
+import { type BarInput } from './framework.js';
+export interface ZonePoint {
+    /** +1 bullish, −1 bearish, 0 none. */
+    direction: number;
+    /** Upper bound of the zone (NaN when none). */
+    top: number;
+    /** Lower bound of the zone (NaN when none). */
+    bottom: number;
+    /** Zone midpoint (NaN when none). */
+    mid: number;
+}
+export interface FvgParameters {
+    /** Minimum gap height as a percent of its midpoint to qualify (filters noise). Default 0. */
+    minimumGapPercent?: number;
+}
+export declare const fairValueGaps: import("./framework.js").Indicator<FvgParameters, BarInput, ZonePoint>;
+export interface OrderBlockParameters {
+    /** How many bars an origin candle stays eligible to be broken. Default 5. */
+    lookback?: number;
+}
+export declare const orderBlocks: import("./framework.js").Indicator<OrderBlockParameters, BarInput, ZonePoint>;
+export interface LiquiditySweepParameters {
+    /** Rolling window of prior bars whose extreme defines the liquidity level. Default 20. */
+    lookback?: number;
+}
+export interface LiquiditySweepPoint {
+    /** +1 buy-side sweep (high taken then rejected), −1 sell-side, 0 none. */
+    direction: number;
+    /** The swept liquidity level (the prior-window extreme), NaN when none. */
+    level: number;
+}
+export declare const liquiditySweeps: import("./framework.js").Indicator<LiquiditySweepParameters, BarInput, LiquiditySweepPoint>;
+export interface SmcSweepParameters {
+    /** Prior-window swing high/low lookback. Default 15. */
+    period?: number;
+    /** Wick must exceed `body * wickMultiplier`. Default 1.5. */
+    wickMultiplier?: number;
+}
+/** pandas-ta `smc_sweep`: +1 bullish low sweep, -1 bearish high sweep, 0 none. */
+export declare const smcSweep: import("./framework.js").Indicator<SmcSweepParameters, BarInput, number>;
+export interface TrailingStopPoint {
+    /** The trailing stop line. */
+    stop: number;
+    /** +1 long (price above the stop), −1 short. */
+    trend: number;
+}
+export interface SwingTrailingStopParameters {
+    /** Swing strength (bars on each side). Default 2. */
+    strength?: number;
+}
+/** Structure-based trailing stop: trails the most recent confirmed swing low (long) / high (short). */
+export declare const swingTrailingStop: import("./framework.js").Indicator<SwingTrailingStopParameters, BarInput, TrailingStopPoint>;
+export interface AtrTrailingStopParameters {
+    period?: number;
+    multiplier?: number;
+}
+/** ATR trailing stop (Vervoort / UT-Bot): close-anchored `close ± multiplier·ATR`, trailed per leg. */
+export declare const atrTrailingStop: import("./framework.js").Indicator<AtrTrailingStopParameters, BarInput, TrailingStopPoint>;
+export interface EqualLevelParameters {
+    /** Swing strength (bars on each side). Default 2. */
+    strength?: number;
+    /** Max fractional distance between consecutive swings to count as "equal". Default 0.001 (0.1%). */
+    tolerance?: number;
+}
+export interface EqualLevelPoint {
+    /** 1 when the swing confirmed on this bar matches the prior swing within tolerance, else 0. */
+    detected: number;
+    /** The (averaged) equal level when detected, else `null`. */
+    level: number | null;
+    /** Size of the current equal cluster (≥2 when detected, else 0). */
+    count: number;
+}
+/** Equal highs — consecutive swing highs within `tolerance` (a buy-side liquidity pool). */
+export declare const equalHighs: import("./framework.js").Indicator<EqualLevelParameters, BarInput, EqualLevelPoint>;
+/** Equal lows — consecutive swing lows within `tolerance` (a sell-side liquidity pool). */
+export declare const equalLows: import("./framework.js").Indicator<EqualLevelParameters, BarInput, EqualLevelPoint>;
+//# sourceMappingURL=price-action-ext.d.ts.map

package/modules/technical-analysis/dist/price-action-ext.d.ts.map

@@ -0,0 +1 @@
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