@insiderfinance/totalfinance 0.1.0

package/modules/workflows/dist/trade-wire-ledger-schemas.js

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+/** Full ledger grammar used by the trade pack; recursive corrections use a local JSON Schema
+ * resource, and parsing delegates to the ledger's permanent read door. */
+import { schema } from '../../core/dist/schema/index.js';
+import { requirePortfolioEventEnvelope, } from '../../portfolio/dist/index.js';
+import { ContractSchema, TradeProvenanceSchema, domainWireSchema, PORTFOLIO_EVENT_SCHEMA_ID, } from './trade-wire-common-schemas.js';
+import { LOT_RELIEF } from './wire-schemas.js';
+const str = schema.string();
+const id = str.min(1);
+const num = schema.number();
+const positive = num.positive();
+const epoch = num.describe('Epoch milliseconds');
+const currency = str.regex(/^[A-Z]{3}$/);
+const settlementStyle = schema.enum(['cash-on-trade', 'variation-margin']);
+const lots = schema
+    .array(schema.object({ lotId: id, quantity: positive }))
+    .min(1)
+    .optional();
+const settlement = epoch.optional();
+const economic = {
+    'cash.deposit': schema.object({
+        eventType: schema.literal('cash.deposit'),
+        amount: positive,
+        currency,
+        settleTimestampMs: settlement,
+    }),
+    'cash.withdrawal': schema.object({
+        eventType: schema.literal('cash.withdrawal'),
+        amount: positive,
+        currency,
+        settleTimestampMs: settlement,
+    }),
+    'cash.transfer': schema.object({
+        eventType: schema.literal('cash.transfer'),
+        amount: positive,
+        currency,
+        fromAccountId: id,
+        toAccountId: id,
+    }),
+    'cash.conversion': schema.object({
+        eventType: schema.literal('cash.conversion'),
+        fromCurrency: currency,
+        toCurrency: currency,
+        fromAmount: positive,
+        toAmount: positive,
+    }),
+    'trade.fill': schema.object({
+        eventType: schema.literal('trade.fill'),
+        instrumentId: id,
+        side: schema.enum(['buy', 'sell']),
+        quantity: positive,
+        pricePerUnit: num,
+        currency,
+        settleTimestampMs: settlement,
+        lotSelections: lots,
+        contractMultiplier: positive.optional(),
+        settlementStyle: settlementStyle.optional(),
+        contract: ContractSchema.optional(),
+        accruedInterest: num.optional(),
+    }),
+    'cost.charge': schema.object({
+        eventType: schema.literal('cost.charge'),
+        costType: schema.enum([
+            'commission',
+            'exchange-fee',
+            'regulatory-fee',
+            'slippage-adjustment',
+        ]),
+        amount: num,
+        currency,
+        instrumentId: id.optional(),
+        relatesToEventId: id.optional(),
+    }),
+    'income.received': schema.object({
+        eventType: schema.literal('income.received'),
+        incomeType: schema.enum([
+            'dividend',
+            'coupon',
+            'interest',
+            'staking-reward',
+            'funding-receipt',
+        ]),
+        amount: num,
+        currency,
+        instrumentId: id.optional(),
+        settleTimestampMs: settlement,
+    }),
+    'financing.charge': schema.object({
+        eventType: schema.literal('financing.charge'),
+        financingType: schema.enum(['margin-interest', 'borrow-charge', 'funding-payment']),
+        amount: num,
+        currency,
+        instrumentId: id.optional(),
+    }),
+    'corporate.split': schema.object({
+        eventType: schema.literal('corporate.split'),
+        instrumentId: id,
+        sharesAfterSplit: positive,
+        sharesBeforeSplit: positive,
+    }),
+    'derivative.exercise': schema.object({
+        eventType: schema.literal('derivative.exercise'),
+        instrumentId: id,
+        quantity: positive,
+        settlement: schema.union([
+            schema.object({ kind: schema.literal('physical') }),
+            schema.object({ kind: schema.literal('cash'), settlementPricePerUnit: num }),
+        ]),
+        premiumTreatment: schema.enum(['fold-into-underlying-basis', 'realize']),
+        settleTimestampMs: settlement,
+        lotSelections: lots,
+    }),
+    'derivative.assignment': schema.object({
+        eventType: schema.literal('derivative.assignment'),
+        instrumentId: id,
+        quantity: positive,
+        settlement: schema.union([
+            schema.object({ kind: schema.literal('physical') }),
+            schema.object({ kind: schema.literal('cash'), settlementPricePerUnit: num }),
+        ]),
+        premiumTreatment: schema.enum(['fold-into-underlying-basis', 'realize']),
+        settleTimestampMs: settlement,
+        lotSelections: lots,
+    }),
+    'derivative.expiration': schema.object({
+        eventType: schema.literal('derivative.expiration'),
+        instrumentId: id,
+        quantity: positive,
+        lotSelections: lots,
+    }),
+    'derivative.multiplier-change': schema.object({
+        eventType: schema.literal('derivative.multiplier-change'),
+        instrumentId: id,
+        contractMultiplierAfter: positive,
+        strikePricePerUnitAfter: positive.optional(),
+        reason: str.optional(),
+    }),
+    'derivative.variation-margin': schema.object({
+        eventType: schema.literal('derivative.variation-margin'),
+        instrumentId: id,
+        settlementPricePerUnit: num,
+    }),
+    'derivative.roll': schema.object({
+        eventType: schema.literal('derivative.roll'),
+        fromInstrumentId: id,
+        toInstrumentId: id,
+        quantity: positive,
+        closePricePerUnit: num,
+        openPricePerUnit: num,
+        contract: ContractSchema.optional(),
+        lotSelections: lots,
+    }),
+    'fixed-income.redemption': schema.object({
+        eventType: schema.literal('fixed-income.redemption'),
+        instrumentId: id,
+        redemptionType: schema.enum(['maturity', 'call', 'principal-paydown', 'sinking-fund']),
+        quantity: positive,
+        pricePerUnit: num,
+        currency,
+        settleTimestampMs: settlement,
+        lotSelections: lots,
+    }),
+    'corporate.symbol-change': schema.object({
+        eventType: schema.literal('corporate.symbol-change'),
+        fromInstrumentId: id,
+        toInstrumentId: id,
+    }),
+    'corporate.merger': schema.object({
+        eventType: schema.literal('corporate.merger'),
+        fromInstrumentId: id,
+        toInstrumentId: id.optional(),
+        sharesPerShare: positive.optional(),
+        cashPerShare: num.optional(),
+        currency: currency.optional(),
+        settleTimestampMs: settlement,
+    }),
+    'corporate.spin-off': schema.object({
+        eventType: schema.literal('corporate.spin-off'),
+        parentInstrumentId: id,
+        childInstrumentId: id,
+        sharesPerParentShare: positive,
+        basisAllocationFraction: num,
+    }),
+    'corporate.return-of-capital': schema.object({
+        eventType: schema.literal('corporate.return-of-capital'),
+        instrumentId: id,
+        amountPerShare: num,
+        currency,
+        settleTimestampMs: settlement,
+    }),
+    'corporate.cash-in-lieu': schema.object({
+        eventType: schema.literal('corporate.cash-in-lieu'),
+        instrumentId: id,
+        quantity: positive,
+        amount: num,
+        currency,
+        relatesToEventId: id.optional(),
+        settleTimestampMs: settlement,
+    }),
+    'position.transfer': schema.object({
+        eventType: schema.literal('position.transfer'),
+        instrumentId: id,
+        quantity: positive,
+        fromAccountId: id,
+        toAccountId: id,
+        lotSelections: lots,
+    }),
+};
+const economicSchema = schema.union(Object.values(economic));
+const original = domainWireSchema(() => ({ $ref: '#' }), (value) => {
+    requirePortfolioEventEnvelope('trade wire', 'event.original', value);
+    return value;
+});
+const admin = {
+    'admin.reversal': schema.object({
+        eventType: schema.literal('admin.reversal'),
+        original,
+        reason: str.optional(),
+    }),
+    'admin.correction': schema.object({
+        eventType: schema.literal('admin.correction'),
+        original,
+        replacement: economicSchema,
+        reason: str.optional(),
+    }),
+    'admin.account-migration': schema.object({
+        eventType: schema.literal('admin.account-migration'),
+        fromAccountId: id,
+        toAccountId: id,
+        reason: str.optional(),
+    }),
+};
+const envelopeFields = {
+    eventId: id,
+    schemaVersion: schema.literal(1),
+    sourceId: id,
+    accountId: id,
+    effectiveTimestampMs: epoch,
+    recordedTimestampMs: epoch,
+    correlationId: id.optional(),
+    causationId: id.optional(),
+    reversesEventId: id.optional(),
+    provenance: TradeProvenanceSchema,
+};
+const variants = Object.entries({ ...economic, ...admin }).map(([eventType, event]) => schema.object({
+    ...envelopeFields,
+    eventType: schema.literal(eventType),
+    event,
+    ...(eventType === 'admin.reversal' || eventType === 'admin.correction'
+        ? { reversesEventId: id }
+        : {}),
+}));
+export const PortfolioEventEnvelopeSchema = domainWireSchema(() => ({
+    $id: PORTFOLIO_EVENT_SCHEMA_ID,
+    ...schema.union(variants).toJSONSchema(),
+}), (value) => {
+    requirePortfolioEventEnvelope('trade wire', 'event', value);
+    return value;
+});
+export const TradeLedgerSchema = schema.object({
+    kind: schema.literal('totalfinance.portfolio-ledger'),
+    schemaVersion: schema.literal(1),
+    portfolioId: id.optional(),
+    baseCurrency: currency,
+    lotRelief: schema.enum(LOT_RELIEF),
+    events: schema.array(PortfolioEventEnvelopeSchema),
+    provenance: TradeProvenanceSchema.optional(),
+});
+const cash = schema.object({
+    totalAmount: num,
+    settlementSchedule: schema.array(schema.object({ eventId: id, amount: num, settleTimestampMs: epoch })),
+});
+const position = schema.object({
+    instrumentId: id,
+    currency,
+    contractMultiplier: positive,
+    settlementStyle,
+    contract: ContractSchema.optional(),
+    quantity: num,
+    lots: schema.array(schema.object({
+        lotId: id,
+        openedByEventId: id,
+        openedTimestampMs: epoch,
+        quantity: num,
+        costBasisPerUnit: num,
+    })),
+});
+const amounts = schema.record(num);
+export const TradePortfolioStateSchema = schema.object({
+    schemaVersion: schema.literal(1),
+    portfolioId: id.optional(),
+    baseCurrency: currency,
+    lotRelief: schema.enum(LOT_RELIEF),
+    accounts: schema.record(schema.object({
+        cashBalances: schema.record(cash),
+        positions: schema.record(position),
+        realizedPnl: amounts,
+        incomeReceived: amounts,
+        transactionCosts: amounts,
+        financingCosts: amounts,
+        realizedPnlByInstrument: schema.record(amounts),
+        incomeByInstrument: schema.record(amounts),
+        transactionCostsByInstrument: schema.record(amounts),
+    })),
+    appliedEvents: schema.record(str),
+    eventCount: num.integer().nonnegative(),
+    lastEffectiveTimestampMs: schema.union([epoch, schema.null()]),
+    lotSequence: num.integer().nonnegative(),
+    fillEffects: schema.record(schema.object({
+        accountId: id,
+        instrumentId: id,
+        currency,
+        openedLotIds: schema.array(id),
+        relievedQuantity: num,
+        realizedPnl: num,
+        cashDelta: num,
+        accruedInterest: num,
+    })),
+    reversals: schema.record(str),
+    accountMigrations: schema.array(schema.object({ eventId: id, fromAccountId: id, toAccountId: id, effectiveTimestampMs: epoch })),
+});
+//# sourceMappingURL=trade-wire-ledger-schemas.js.map

package/modules/workflows/dist/trade-wire-ledger-schemas.js.map

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package/modules/workflows/dist/trade-wire-market-schemas.d.ts

@@ -0,0 +1,5 @@
+import { type MarketSnapshot } from '../../core/dist/artifacts/index.js';
+export declare const TradeMarketSchema: Omit<import("../../core/dist/schema/index.js").Schema<MarketSnapshot>, "optional"> & {
+    optional(): import("../../core/dist/schema/index.js").OptionalSchema<MarketSnapshot>;
+};
+//# sourceMappingURL=trade-wire-market-schemas.d.ts.map

package/modules/workflows/dist/trade-wire-market-schemas.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"trade-wire-market-schemas.d.ts","sourceRoot":"","sources":["../src/trade-wire-market-schemas.ts"],"names":[],"mappings":"AAEA,OAAO,EAEL,KAAK,cAAc,EAEpB,MAAM,oCAA8B,CAAC;AA4FtC,eAAO,MAAM,iBAAiB;;CAI7B,CAAC"}

package/modules/workflows/dist/trade-wire-market-schemas.js

@@ -0,0 +1,84 @@
+/** The trade door's Gate-B grammar, including the deliberately open vendor observations. */
+import { schema, RateCurveSchema } from '../../core/dist/schema/index.js';
+import { readMarketSnapshot, } from '../../core/dist/artifacts/index.js';
+import { TradeProvenanceSchema, domainWireSchema, } from './trade-wire-common-schemas.js';
+const str = schema.string();
+const num = schema.number();
+const table = schema.object({
+    kind: schema.literal('totalfinance.table-handle'),
+    contentHash: str,
+    rowCount: num.integer().nonnegative(),
+    columnCount: num.integer().nonnegative(),
+    columns: schema.array(str).optional(),
+    locator: str.optional(),
+    mediaType: str.optional(),
+});
+const quote = schema
+    .object({
+    bid: num.optional(),
+    ask: num.optional(),
+    bidSize: num.optional(),
+    askSize: num.optional(),
+    mid: num.optional(),
+    last: num.optional(),
+    mark: num.optional(),
+    price: num.optional(),
+    size: num.optional(),
+    volume: num.optional(),
+    openInterest: num.optional(),
+    underlyingPrice: num.optional(),
+    impliedVolatility: num.optional(),
+    timestampMs: num.optional(),
+    sequence: num.optional(),
+    premium: num.optional(),
+    notional: num.optional(),
+})
+    .open();
+const grammar = schema.object({
+    kind: schema.literal('totalfinance.market-snapshot'),
+    schemaVersion: schema.literal(1),
+    asOf: num.describe('Epoch milliseconds'),
+    conventions: schema.object({
+        conventionsVersion: str,
+        asOfConvention: schema
+            .enum(['explicit-instant', 'date-midnight-utc'])
+            .describe('How asOf was expressed at create time: an instant, or a bare date (00:00 UTC of that date — refused by option pricing)'),
+        dayCount: schema.enum(['ACT/365F', 'ACT/360', '30/360']).optional(),
+        compounding: schema
+            .union([
+            schema.enum([
+                'simple',
+                'continuous',
+                'annual',
+                'semiannual',
+                'quarterly',
+                'monthly',
+            ]),
+            schema.object({ type: schema.literal('periodic'), periodsPerYear: num.positive() }).open(),
+        ])
+            .optional(),
+        calendar: str.optional(),
+    }),
+    observations: schema.object({
+        spots: schema
+            .record(schema.object({ price: num, currency: str.optional(), timestampMs: num.optional() }).open())
+            .optional(),
+        riskFreeRates: schema.record(num).optional(),
+        dividendYields: schema.record(num).optional(),
+        volatilities: schema.record(num.nonnegative()).optional(),
+        curves: schema.record(RateCurveSchema).optional(),
+        surfaces: schema
+            .record(schema.object({
+            timeToExpiryYears: schema.array(num.nonnegative()),
+            strikes: schema.array(num.positive()),
+            impliedVolatilities: schema.array(schema.array(num.nonnegative())),
+        }))
+            .optional(),
+        chains: schema
+            .record(schema.union([schema.object({ quotes: schema.array(quote) }), schema.object({ table })]))
+            .optional(),
+    }),
+    provenance: TradeProvenanceSchema.optional(),
+});
+export const TradeMarketSchema = domainWireSchema(() => grammar.toJSONSchema(), (value) => readMarketSnapshot({ snapshot: value }).snapshot, grammar);
+//# sourceMappingURL=trade-wire-market-schemas.js.map

package/modules/workflows/dist/trade-wire-market-schemas.js.map

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