@livefolio/sdk 0.2.0 → 0.2.3
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/README.md +20 -146
- package/dist/portfolio/client.d.ts.map +1 -1
- package/dist/portfolio/client.js +7 -1
- package/dist/portfolio/client.js.map +1 -1
- package/dist/portfolio/index.d.ts +2 -0
- package/dist/portfolio/index.d.ts.map +1 -1
- package/dist/portfolio/index.js +21 -1
- package/dist/portfolio/index.js.map +1 -1
- package/dist/portfolio/rebalance.d.ts +62 -0
- package/dist/portfolio/rebalance.d.ts.map +1 -0
- package/dist/portfolio/rebalance.js +205 -0
- package/dist/portfolio/rebalance.js.map +1 -0
- package/dist/portfolio/symbols.d.ts +13 -0
- package/dist/portfolio/symbols.d.ts.map +1 -0
- package/dist/portfolio/symbols.js +112 -0
- package/dist/portfolio/symbols.js.map +1 -0
- package/dist/portfolio/types.d.ts +10 -0
- package/dist/portfolio/types.d.ts.map +1 -1
- package/dist/strategy/backtest.d.ts +3 -0
- package/dist/strategy/backtest.d.ts.map +1 -0
- package/dist/strategy/backtest.js +7 -0
- package/dist/strategy/backtest.js.map +1 -0
- package/dist/strategy/cache.d.ts +7 -0
- package/dist/strategy/cache.d.ts.map +1 -0
- package/dist/strategy/cache.js +312 -0
- package/dist/strategy/cache.js.map +1 -0
- package/dist/strategy/client.d.ts.map +1 -1
- package/dist/strategy/client.js +9 -333
- package/dist/strategy/client.js.map +1 -1
- package/dist/strategy/get.d.ts +5 -0
- package/dist/strategy/get.d.ts.map +1 -0
- package/dist/strategy/get.js +25 -0
- package/dist/strategy/get.js.map +1 -0
- package/dist/strategy/index.d.ts +5 -1
- package/dist/strategy/index.d.ts.map +1 -1
- package/dist/strategy/index.js +10 -1
- package/dist/strategy/index.js.map +1 -1
- package/dist/strategy/stream.d.ts +5 -0
- package/dist/strategy/stream.d.ts.map +1 -0
- package/dist/strategy/stream.js +58 -0
- package/dist/strategy/stream.js.map +1 -0
- package/dist/strategy/types.d.ts +6 -0
- package/dist/strategy/types.d.ts.map +1 -1
- package/package.json +1 -1
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"use strict";
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Object.defineProperty(exports, "__esModule", { value: true });
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exports.ETF_LEVERAGE_MAP = exports.BASE_TICKER_ALIASES = exports.FRED_TRADABLE_MAP = void 0;
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exports.mapTickerToTradable = mapTickerToTradable;
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/** Maps FRED rate symbols to tradable equivalents. `null` = hold as cash. */
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exports.FRED_TRADABLE_MAP = {
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DTB3: null,
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DFF: 'USFR',
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};
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/** Normalizes equivalent base tickers to a canonical symbol for leverage lookups. */
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exports.BASE_TICKER_ALIASES = {
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VOO: 'SPY',
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IVV: 'SPY',
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};
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/** Maps "SYMBOL:LEVERAGE" to the actual leveraged/inverse ETF ticker. Covers bull (2x/3x) and inverse (-1x/-2x/-3x). */
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exports.ETF_LEVERAGE_MAP = {
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// Bull — Broad market
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'SPY:2': 'SSO',
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'SPY:3': 'UPRO',
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'QQQ:2': 'QLD',
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'QQQ:3': 'TQQQ',
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'IWM:2': 'UWM',
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'IWM:3': 'TNA',
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'DIA:2': 'DDM',
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'DIA:3': 'UDOW',
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'MDY:2': 'MVV',
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'MDY:3': 'UMDD',
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// Bull — Bonds
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'TLT:2': 'UBT',
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'TLT:3': 'TMF',
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// Bull — Sectors
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'XLF:2': 'UYG',
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'XLF:3': 'FAS',
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'XLE:2': 'DIG',
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'XLK:2': 'ROM',
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'XLK:3': 'TECL',
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'XLV:2': 'RXL',
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'XLV:3': 'CURE',
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'XLU:2': 'UPW',
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'XLB:2': 'UYM',
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'XLP:2': 'UGE',
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'XLY:2': 'UCC',
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'XLI:2': 'UXI',
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'XLI:3': 'DUSL',
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'XLRE:2': 'URE',
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'XLRE:3': 'DRN',
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'SOXX:2': 'USD',
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'SOXX:3': 'SOXL',
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// Bull — International
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'EEM:2': 'EET',
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'EEM:3': 'EDC',
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'EFA:2': 'EFO',
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'FXI:3': 'YINN',
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// Bull — Commodities
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'GLD:2': 'UGL',
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'SLV:2': 'AGQ',
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'USO:2': 'UCO',
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'GDX:2': 'NUGT',
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// Bull — Crypto
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'BTC-USD:2': 'BITU',
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// Inverse — Broad market
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'SPY:-1': 'SH',
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'SPY:-2': 'SDS',
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'SPY:-3': 'SPXU',
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'QQQ:-1': 'PSQ',
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'QQQ:-2': 'QID',
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'QQQ:-3': 'SQQQ',
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'IWM:-1': 'RWM',
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'IWM:-2': 'TWM',
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'IWM:-3': 'TZA',
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'DIA:-1': 'DOG',
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'DIA:-2': 'DXD',
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'DIA:-3': 'SDOW',
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'MDY:-3': 'SMDD',
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// Inverse — Bonds
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'TLT:-1': 'TBF',
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'TLT:-2': 'TBT',
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'TLT:-3': 'TMV',
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// Inverse — Sectors
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'XLF:-2': 'SKF',
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'XLF:-3': 'FAZ',
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'XLE:-2': 'DUG',
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'XLK:-3': 'TECS',
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'SOXX:-3': 'SOXS',
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// Inverse — International
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'EEM:-2': 'EEV',
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'EEM:-3': 'EDZ',
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// Inverse — Commodities
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'GLD:-2': 'GLL',
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};
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/**
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* Maps a strategy ticker to its tradable symbol.
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* Pipeline: FRED mapping -> leveraged/inverse ETF lookup (with alias normalization) -> passthrough.
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*/
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function mapTickerToTradable(ticker) {
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const { symbol, leverage } = ticker;
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// FRED mapping takes priority
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if (symbol in exports.FRED_TRADABLE_MAP)
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return exports.FRED_TRADABLE_MAP[symbol];
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// Leveraged/inverse ETF lookup
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if (leverage !== 1) {
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const canonical = exports.BASE_TICKER_ALIASES[symbol] ?? symbol;
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const key = `${canonical}:${leverage}`;
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const mapped = exports.ETF_LEVERAGE_MAP[key];
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if (!mapped) {
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throw new Error(`No leveraged ETF mapping for ${symbol} at ${leverage}x`);
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}
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return mapped;
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}
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return symbol;
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}
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//# sourceMappingURL=symbols.js.map
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{"version":3,"file":"symbols.js","sourceRoot":"","sources":["../../src/portfolio/symbols.ts"],"names":[],"mappings":";;;AAyGA,kDAkBC;AAzHD,6EAA6E;AAChE,QAAA,iBAAiB,GAAkC;IAC9D,IAAI,EAAE,IAAI;IACV,GAAG,EAAE,MAAM;CACZ,CAAC;AAEF,qFAAqF;AACxE,QAAA,mBAAmB,GAA2B;IACzD,GAAG,EAAE,KAAK;IACV,GAAG,EAAE,KAAK;CACX,CAAC;AAEF,wHAAwH;AAC3G,QAAA,gBAAgB,GAA2B;IACtD,sBAAsB;IACtB,OAAO,EAAE,KAAK;IACd,OAAO,EAAE,MAAM;IACf,OAAO,EAAE,KAAK;IACd,OAAO,EAAE,MAAM;IACf,OAAO,EAAE,KAAK;IACd,OAAO,EAAE,KAAK;IACd,OAAO,EAAE,KAAK;IACd,OAAO,EAAE,MAAM;IACf,OAAO,EAAE,KAAK;IACd,OAAO,EAAE,MAAM;IAEf,eAAe;IACf,OAAO,EAAE,KAAK;IACd,OAAO,EAAE,KAAK;IAEd,iBAAiB;IACjB,OAAO,EAAE,KAAK;IACd,OAAO,EAAE,KAAK;IACd,OAAO,EAAE,KAAK;IACd,OAAO,EAAE,KAAK;IACd,OAAO,EAAE,MAAM;IACf,OAAO,EAAE,KAAK;IACd,OAAO,EAAE,MAAM;IACf,OAAO,EAAE,KAAK;IACd,OAAO,EAAE,KAAK;IACd,OAAO,EAAE,KAAK;IACd,OAAO,EAAE,KAAK;IACd,OAAO,EAAE,KAAK;IACd,OAAO,EAAE,MAAM;IACf,QAAQ,EAAE,KAAK;IACf,QAAQ,EAAE,KAAK;IACf,QAAQ,EAAE,KAAK;IACf,QAAQ,EAAE,MAAM;IAEhB,uBAAuB;IACvB,OAAO,EAAE,KAAK;IACd,OAAO,EAAE,KAAK;IACd,OAAO,EAAE,KAAK;IACd,OAAO,EAAE,MAAM;IAEf,qBAAqB;IACrB,OAAO,EAAE,KAAK;IACd,OAAO,EAAE,KAAK;IACd,OAAO,EAAE,KAAK;IACd,OAAO,EAAE,MAAM;IAEf,gBAAgB;IAChB,WAAW,EAAE,MAAM;IAEnB,yBAAyB;IACzB,QAAQ,EAAE,IAAI;IACd,QAAQ,EAAE,KAAK;IACf,QAAQ,EAAE,MAAM;IAChB,QAAQ,EAAE,KAAK;IACf,QAAQ,EAAE,KAAK;IACf,QAAQ,EAAE,MAAM;IAChB,QAAQ,EAAE,KAAK;IACf,QAAQ,EAAE,KAAK;IACf,QAAQ,EAAE,KAAK;IACf,QAAQ,EAAE,KAAK;IACf,QAAQ,EAAE,KAAK;IACf,QAAQ,EAAE,MAAM;IAChB,QAAQ,EAAE,MAAM;IAEhB,kBAAkB;IAClB,QAAQ,EAAE,KAAK;IACf,QAAQ,EAAE,KAAK;IACf,QAAQ,EAAE,KAAK;IAEf,oBAAoB;IACpB,QAAQ,EAAE,KAAK;IACf,QAAQ,EAAE,KAAK;IACf,QAAQ,EAAE,KAAK;IACf,QAAQ,EAAE,MAAM;IAChB,SAAS,EAAE,MAAM;IAEjB,0BAA0B;IAC1B,QAAQ,EAAE,KAAK;IACf,QAAQ,EAAE,KAAK;IAEf,wBAAwB;IACxB,QAAQ,EAAE,KAAK;CAChB,CAAC;AAEF;;;GAGG;AACH,SAAgB,mBAAmB,CAAC,MAAc;IAChD,MAAM,EAAE,MAAM,EAAE,QAAQ,EAAE,GAAG,MAAM,CAAC;IAEpC,8BAA8B;IAC9B,IAAI,MAAM,IAAI,yBAAiB;QAAE,OAAO,yBAAiB,CAAC,MAAM,CAAC,CAAC;IAElE,+BAA+B;IAC/B,IAAI,QAAQ,KAAK,CAAC,EAAE,CAAC;QACnB,MAAM,SAAS,GAAG,2BAAmB,CAAC,MAAM,CAAC,IAAI,MAAM,CAAC;QACxD,MAAM,GAAG,GAAG,GAAG,SAAS,IAAI,QAAQ,EAAE,CAAC;QACvC,MAAM,MAAM,GAAG,wBAAgB,CAAC,GAAG,CAAC,CAAC;QACrC,IAAI,CAAC,MAAM,EAAE,CAAC;YACZ,MAAM,IAAI,KAAK,CAAC,gCAAgC,MAAM,OAAO,QAAQ,GAAG,CAAC,CAAC;QAC5E,CAAC;QACD,OAAO,MAAM,CAAC;IAChB,CAAC;IAED,OAAO,MAAM,CAAC;AAChB,CAAC"}
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import type { Ticker } from '../strategy/types';
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import type { RebalancePlanInput, RebalancePlan } from './rebalance';
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export interface PortfolioModule {
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buildRebalancePlan(input: RebalancePlanInput): RebalancePlan;
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computePortfolioDriftPercentPoints(input: {
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targetWeights: Record<string, number>;
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currentValues: Record<string, number>;
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cashValue: number;
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totalValue: number;
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}): number;
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mapTickerToTradable(ticker: Ticker): string | null;
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}
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//# sourceMappingURL=types.d.ts.map
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{"version":3,"file":"types.d.ts","sourceRoot":"","sources":["../../src/portfolio/types.ts"],"names":[],"mappings":"AAAA,MAAM,WAAW,eAAe;
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{"version":3,"file":"types.d.ts","sourceRoot":"","sources":["../../src/portfolio/types.ts"],"names":[],"mappings":"AAAA,OAAO,KAAK,EAAE,MAAM,EAAE,MAAM,mBAAmB,CAAC;AAChD,OAAO,KAAK,EAAE,kBAAkB,EAAE,aAAa,EAAE,MAAM,aAAa,CAAC;AAErE,MAAM,WAAW,eAAe;IAC9B,kBAAkB,CAAC,KAAK,EAAE,kBAAkB,GAAG,aAAa,CAAC;IAC7D,kCAAkC,CAAC,KAAK,EAAE;QACxC,aAAa,EAAE,MAAM,CAAC,MAAM,EAAE,MAAM,CAAC,CAAC;QACtC,aAAa,EAAE,MAAM,CAAC,MAAM,EAAE,MAAM,CAAC,CAAC;QACtC,SAAS,EAAE,MAAM,CAAC;QAClB,UAAU,EAAE,MAAM,CAAC;KACpB,GAAG,MAAM,CAAC;IACX,mBAAmB,CAAC,MAAM,EAAE,MAAM,GAAG,MAAM,GAAG,IAAI,CAAC;CACpD"}
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{"version":3,"file":"backtest.d.ts","sourceRoot":"","sources":["../../src/strategy/backtest.ts"],"names":[],"mappings":"AAAA,OAAO,KAAK,EAAE,QAAQ,EAAE,eAAe,EAAE,cAAc,EAAE,MAAM,SAAS,CAAC;AAEzE,wBAAsB,QAAQ,CAAC,SAAS,EAAE,QAAQ,EAAE,QAAQ,EAAE,eAAe,GAAG,OAAO,CAAC,cAAc,CAAC,CAEtG"}
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{"version":3,"file":"backtest.js","sourceRoot":"","sources":["../../src/strategy/backtest.ts"],"names":[],"mappings":";;AAEA,4BAEC;AAFM,KAAK,UAAU,QAAQ,CAAC,SAAmB,EAAE,QAAyB;IAC3E,MAAM,IAAI,KAAK,CAAC,iBAAiB,CAAC,CAAC;AACrC,CAAC"}
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import type { TypedSupabaseClient } from '../types';
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import type { MarketModule } from '../market/types';
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import type { Strategy, StrategyEvaluation } from './types';
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export declare function fetchSignalStates(client: TypedSupabaseClient, strategyId: number): Promise<Record<string, boolean>>;
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export declare function fetchIndicatorMetadata(client: TypedSupabaseClient, strategyId: number): Promise<Record<string, unknown>>;
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export declare function evaluateCached(client: TypedSupabaseClient, market: MarketModule, strategy: Strategy, at: Date): Promise<StrategyEvaluation>;
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//# sourceMappingURL=cache.d.ts.map
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{"version":3,"file":"cache.d.ts","sourceRoot":"","sources":["../../src/strategy/cache.ts"],"names":[],"mappings":"AAAA,OAAO,KAAK,EAAE,mBAAmB,EAAE,MAAM,UAAU,CAAC;AACpD,OAAO,KAAK,EAAE,YAAY,EAAE,MAAM,iBAAiB,CAAC;AACpD,OAAO,KAAK,EAIV,QAAQ,EACR,kBAAkB,EAKnB,MAAM,SAAS,CAAC;AAoEjB,wBAAsB,iBAAiB,CACrC,MAAM,EAAE,mBAAmB,EAC3B,UAAU,EAAE,MAAM,GACjB,OAAO,CAAC,MAAM,CAAC,MAAM,EAAE,OAAO,CAAC,CAAC,CA6ClC;AA4HD,wBAAsB,sBAAsB,CAC1C,MAAM,EAAE,mBAAmB,EAC3B,UAAU,EAAE,MAAM,GACjB,OAAO,CAAC,MAAM,CAAC,MAAM,EAAE,OAAO,CAAC,CAAC,CA+BlC;AAgDD,wBAAsB,cAAc,CAClC,MAAM,EAAE,mBAAmB,EAC3B,MAAM,EAAE,YAAY,EACpB,QAAQ,EAAE,QAAQ,EAClB,EAAE,EAAE,IAAI,GACP,OAAO,CAAC,kBAAkB,CAAC,CAwF7B"}
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"use strict";
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Object.defineProperty(exports, "__esModule", { value: true });
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exports.fetchSignalStates = fetchSignalStates;
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exports.fetchIndicatorMetadata = fetchIndicatorMetadata;
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exports.evaluateCached = evaluateCached;
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const evaluate_1 = require("./evaluate");
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const symbols_1 = require("./symbols");
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// ---------------------------------------------------------------------------
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// Row → domain mapping helpers
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// ---------------------------------------------------------------------------
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function mapTicker(row) {
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return { symbol: row.symbol, leverage: row.leverage };
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}
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function mapIndicator(row) {
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return {
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type: row.type,
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ticker: row.tickers ? mapTicker(row.tickers) : { symbol: '', leverage: 1 },
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lookback: row.lookback,
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delay: row.delay,
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unit: row.unit ?? null,
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threshold: row.threshold,
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};
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}
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function mapSignal(row) {
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25
|
+
return {
|
|
26
|
+
left: mapIndicator(row.indicator_1),
|
|
27
|
+
comparison: row.comparison,
|
|
28
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+
right: mapIndicator(row.indicator_2),
|
|
29
|
+
tolerance: row.tolerance,
|
|
30
|
+
};
|
|
31
|
+
}
|
|
32
|
+
// ---------------------------------------------------------------------------
|
|
33
|
+
// DB helpers
|
|
34
|
+
// ---------------------------------------------------------------------------
|
|
35
|
+
async function fetchSignalStates(client, strategyId) {
|
|
36
|
+
const db = client;
|
|
37
|
+
const { data: nsRows, error: nsErr } = await db
|
|
38
|
+
.from('named_signals')
|
|
39
|
+
.select(`
|
|
40
|
+
signal_id,
|
|
41
|
+
signals:signal_id (
|
|
42
|
+
id,
|
|
43
|
+
indicator_1:indicator_id_1 ( type, tickers:ticker_id ( symbol, leverage ), lookback, delay, unit, threshold ),
|
|
44
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+
indicator_2:indicator_id_2 ( type, tickers:ticker_id ( symbol, leverage ), lookback, delay, unit, threshold ),
|
|
45
|
+
comparison,
|
|
46
|
+
tolerance
|
|
47
|
+
)
|
|
48
|
+
`)
|
|
49
|
+
.eq('strategy_id', strategyId);
|
|
50
|
+
if (nsErr || !nsRows || nsRows.length === 0)
|
|
51
|
+
return {};
|
|
52
|
+
const signalIds = nsRows.map((r) => r.signal_id);
|
|
53
|
+
const { data: evalRows, error: evalErr } = await client
|
|
54
|
+
.from('signal_evaluations')
|
|
55
|
+
.select('signal_id, result, trading_day_id')
|
|
56
|
+
.in('signal_id', signalIds)
|
|
57
|
+
.order('trading_day_id', { ascending: false });
|
|
58
|
+
if (evalErr || !evalRows)
|
|
59
|
+
return {};
|
|
60
|
+
const latestBySignalId = new Map();
|
|
61
|
+
for (const row of evalRows) {
|
|
62
|
+
if (!latestBySignalId.has(row.signal_id)) {
|
|
63
|
+
latestBySignalId.set(row.signal_id, row.result);
|
|
64
|
+
}
|
|
65
|
+
}
|
|
66
|
+
const result = {};
|
|
67
|
+
for (const nsRow of nsRows) {
|
|
68
|
+
const signal = mapSignal(nsRow.signals);
|
|
69
|
+
const key = (0, evaluate_1.signalKey)(signal);
|
|
70
|
+
const val = latestBySignalId.get(nsRow.signal_id);
|
|
71
|
+
if (val !== undefined) {
|
|
72
|
+
result[key] = val;
|
|
73
|
+
}
|
|
74
|
+
}
|
|
75
|
+
return result;
|
|
76
|
+
}
|
|
77
|
+
async function fetchSignalStatesForDay(client, strategyId, tradingDayId) {
|
|
78
|
+
const db = client;
|
|
79
|
+
const { data: nsRows, error: nsErr } = await db
|
|
80
|
+
.from('named_signals')
|
|
81
|
+
.select(`
|
|
82
|
+
signal_id,
|
|
83
|
+
signals:signal_id (
|
|
84
|
+
id,
|
|
85
|
+
indicator_1:indicator_id_1 ( type, tickers:ticker_id ( symbol, leverage ), lookback, delay, unit, threshold ),
|
|
86
|
+
indicator_2:indicator_id_2 ( type, tickers:ticker_id ( symbol, leverage ), lookback, delay, unit, threshold ),
|
|
87
|
+
comparison,
|
|
88
|
+
tolerance
|
|
89
|
+
)
|
|
90
|
+
`)
|
|
91
|
+
.eq('strategy_id', strategyId);
|
|
92
|
+
if (nsErr || !nsRows || nsRows.length === 0)
|
|
93
|
+
return {};
|
|
94
|
+
const signalIds = nsRows.map((r) => r.signal_id);
|
|
95
|
+
const { data: evalRows, error: evalErr } = await client
|
|
96
|
+
.from('signal_evaluations')
|
|
97
|
+
.select('signal_id, result')
|
|
98
|
+
.in('signal_id', signalIds)
|
|
99
|
+
.eq('trading_day_id', tradingDayId);
|
|
100
|
+
if (evalErr || !evalRows)
|
|
101
|
+
return {};
|
|
102
|
+
const signalIdToResult = new Map();
|
|
103
|
+
for (const row of evalRows) {
|
|
104
|
+
signalIdToResult.set(row.signal_id, row.result);
|
|
105
|
+
}
|
|
106
|
+
const result = {};
|
|
107
|
+
for (const nsRow of nsRows) {
|
|
108
|
+
const signal = mapSignal(nsRow.signals);
|
|
109
|
+
const key = (0, evaluate_1.signalKey)(signal);
|
|
110
|
+
const val = signalIdToResult.get(nsRow.signal_id);
|
|
111
|
+
if (val !== undefined) {
|
|
112
|
+
result[key] = val;
|
|
113
|
+
}
|
|
114
|
+
}
|
|
115
|
+
return result;
|
|
116
|
+
}
|
|
117
|
+
async function fetchIndicatorKeyMap(client, strategyId) {
|
|
118
|
+
const db = client;
|
|
119
|
+
const { data: nsRows, error: nsErr } = await db
|
|
120
|
+
.from('named_signals')
|
|
121
|
+
.select(`
|
|
122
|
+
signals:signal_id (
|
|
123
|
+
indicator_1:indicator_id_1 ( id, type, tickers:ticker_id ( symbol, leverage ), lookback, delay, unit, threshold ),
|
|
124
|
+
indicator_2:indicator_id_2 ( id, type, tickers:ticker_id ( symbol, leverage ), lookback, delay, unit, threshold )
|
|
125
|
+
)
|
|
126
|
+
`)
|
|
127
|
+
.eq('strategy_id', strategyId);
|
|
128
|
+
if (nsErr || !nsRows || nsRows.length === 0)
|
|
129
|
+
return new Map();
|
|
130
|
+
const keyToId = new Map();
|
|
131
|
+
for (const nsRow of nsRows) {
|
|
132
|
+
for (const ind of [nsRow.signals.indicator_1, nsRow.signals.indicator_2]) {
|
|
133
|
+
const key = (0, evaluate_1.indicatorKey)(mapIndicator(ind));
|
|
134
|
+
if (!keyToId.has(key)) {
|
|
135
|
+
keyToId.set(key, ind.id);
|
|
136
|
+
}
|
|
137
|
+
}
|
|
138
|
+
}
|
|
139
|
+
return keyToId;
|
|
140
|
+
}
|
|
141
|
+
async function fetchIndicatorEvaluationsForDay(client, strategyId, tradingDayId) {
|
|
142
|
+
const db = client;
|
|
143
|
+
const keyToId = await fetchIndicatorKeyMap(client, strategyId);
|
|
144
|
+
if (keyToId.size === 0)
|
|
145
|
+
return {};
|
|
146
|
+
const indicatorIds = [...keyToId.values()];
|
|
147
|
+
const { data: evalRows, error: evalErr } = await db
|
|
148
|
+
.from('indicator_evaluations')
|
|
149
|
+
.select('indicator_id, value, metadata, trading_days!inner(post)')
|
|
150
|
+
.in('indicator_id', indicatorIds)
|
|
151
|
+
.eq('trading_day_id', tradingDayId);
|
|
152
|
+
if (evalErr || !evalRows)
|
|
153
|
+
return {};
|
|
154
|
+
const byIndicatorId = new Map();
|
|
155
|
+
for (const row of evalRows) {
|
|
156
|
+
byIndicatorId.set(row.indicator_id, {
|
|
157
|
+
value: Number(row.value),
|
|
158
|
+
metadata: row.metadata,
|
|
159
|
+
post: row.trading_days.post,
|
|
160
|
+
});
|
|
161
|
+
}
|
|
162
|
+
const result = {};
|
|
163
|
+
for (const [key, id] of keyToId) {
|
|
164
|
+
const entry = byIndicatorId.get(id);
|
|
165
|
+
if (entry) {
|
|
166
|
+
result[key] = {
|
|
167
|
+
timestamp: entry.post,
|
|
168
|
+
value: entry.value,
|
|
169
|
+
...(entry.metadata != null ? { metadata: entry.metadata } : {}),
|
|
170
|
+
};
|
|
171
|
+
}
|
|
172
|
+
}
|
|
173
|
+
return result;
|
|
174
|
+
}
|
|
175
|
+
async function fetchIndicatorMetadata(client, strategyId) {
|
|
176
|
+
const db = client;
|
|
177
|
+
const keyToId = await fetchIndicatorKeyMap(client, strategyId);
|
|
178
|
+
if (keyToId.size === 0)
|
|
179
|
+
return {};
|
|
180
|
+
const indicatorIds = [...keyToId.values()];
|
|
181
|
+
const { data: evalRows, error: evalErr } = await db
|
|
182
|
+
.from('indicator_evaluations')
|
|
183
|
+
.select('indicator_id, metadata, trading_day_id')
|
|
184
|
+
.in('indicator_id', indicatorIds)
|
|
185
|
+
.order('trading_day_id', { ascending: false });
|
|
186
|
+
if (evalErr || !evalRows)
|
|
187
|
+
return {};
|
|
188
|
+
const latestByIndicatorId = new Map();
|
|
189
|
+
for (const row of evalRows) {
|
|
190
|
+
if (!latestByIndicatorId.has(row.indicator_id) && row.metadata != null) {
|
|
191
|
+
latestByIndicatorId.set(row.indicator_id, row.metadata);
|
|
192
|
+
}
|
|
193
|
+
}
|
|
194
|
+
const result = {};
|
|
195
|
+
for (const [key, id] of keyToId) {
|
|
196
|
+
const meta = latestByIndicatorId.get(id);
|
|
197
|
+
if (meta !== undefined) {
|
|
198
|
+
result[key] = meta;
|
|
199
|
+
}
|
|
200
|
+
}
|
|
201
|
+
return result;
|
|
202
|
+
}
|
|
203
|
+
async function storeResult(client, strategy, result, tradingDayId) {
|
|
204
|
+
const db = client;
|
|
205
|
+
const { data: stratRow } = await client
|
|
206
|
+
.from('strategies')
|
|
207
|
+
.select('id')
|
|
208
|
+
.eq('link_id', strategy.linkId)
|
|
209
|
+
.limit(1)
|
|
210
|
+
.maybeSingle();
|
|
211
|
+
const signalResults = Object.entries(result.signals).map(([_key, sigResult]) => {
|
|
212
|
+
const ns = strategy.signals.find((ns) => (0, evaluate_1.signalKey)(ns.signal) === _key);
|
|
213
|
+
return { name: ns?.name ?? _key, result: sigResult };
|
|
214
|
+
});
|
|
215
|
+
const keyToId = stratRow ? await fetchIndicatorKeyMap(client, stratRow.id) : new Map();
|
|
216
|
+
const indicatorResults = Object.entries(result.indicators)
|
|
217
|
+
.filter(([key]) => keyToId.has(key))
|
|
218
|
+
.map(([key, indResult]) => ({
|
|
219
|
+
indicatorId: keyToId.get(key),
|
|
220
|
+
value: indResult.value,
|
|
221
|
+
metadata: indResult.metadata ?? null,
|
|
222
|
+
}));
|
|
223
|
+
const { error } = await db.rpc('upsert_evaluation', {
|
|
224
|
+
p_link_id: strategy.linkId,
|
|
225
|
+
p_allocation_name: result.allocation.name,
|
|
226
|
+
p_signal_results: signalResults,
|
|
227
|
+
p_indicator_results: indicatorResults,
|
|
228
|
+
p_trading_day_id: tradingDayId,
|
|
229
|
+
});
|
|
230
|
+
if (error)
|
|
231
|
+
throw new Error(`Failed to store evaluation: ${error.message}`);
|
|
232
|
+
}
|
|
233
|
+
// ---------------------------------------------------------------------------
|
|
234
|
+
// Cache-through evaluation (exported)
|
|
235
|
+
// ---------------------------------------------------------------------------
|
|
236
|
+
async function evaluateCached(client, market, strategy, at) {
|
|
237
|
+
const db = client;
|
|
238
|
+
// 1. Fetch series + resolve strategy_id in parallel
|
|
239
|
+
const symbols = (0, symbols_1.extractSymbols)(strategy);
|
|
240
|
+
const [batchSeries, stratRow] = await Promise.all([
|
|
241
|
+
market.getBatchSeries(symbols),
|
|
242
|
+
client
|
|
243
|
+
.from('strategies')
|
|
244
|
+
.select('id')
|
|
245
|
+
.eq('link_id', strategy.linkId)
|
|
246
|
+
.limit(1)
|
|
247
|
+
.maybeSingle()
|
|
248
|
+
.then(({ data }) => data),
|
|
249
|
+
]);
|
|
250
|
+
// 2. Build options for pure evaluation
|
|
251
|
+
const options = { at, batchSeries };
|
|
252
|
+
const evaluationDate = (0, evaluate_1.getEvaluationDate)(strategy.trading, options);
|
|
253
|
+
// 3. No DB strategy → pure eval
|
|
254
|
+
if (!stratRow)
|
|
255
|
+
return (0, evaluate_1.evaluate)(strategy, options);
|
|
256
|
+
// 4. Resolve trading_day_id
|
|
257
|
+
const { data: tdRow } = await db
|
|
258
|
+
.from('trading_days')
|
|
259
|
+
.select('id')
|
|
260
|
+
.lte('post', evaluationDate.toISOString())
|
|
261
|
+
.order('post', { ascending: false })
|
|
262
|
+
.limit(1)
|
|
263
|
+
.maybeSingle();
|
|
264
|
+
if (!tdRow)
|
|
265
|
+
return (0, evaluate_1.evaluate)(strategy, options);
|
|
266
|
+
// 5. Check cache
|
|
267
|
+
const { data: cacheRow } = await db
|
|
268
|
+
.from('strategy_evaluations')
|
|
269
|
+
.select('allocation_id')
|
|
270
|
+
.eq('strategy_id', stratRow.id)
|
|
271
|
+
.eq('trading_day_id', tdRow.id)
|
|
272
|
+
.limit(1)
|
|
273
|
+
.maybeSingle();
|
|
274
|
+
if (cacheRow) {
|
|
275
|
+
// CACHE HIT — reconstruct result
|
|
276
|
+
const { data: allocRow } = await db
|
|
277
|
+
.from('allocations')
|
|
278
|
+
.select('name')
|
|
279
|
+
.eq('id', cacheRow.allocation_id)
|
|
280
|
+
.limit(1)
|
|
281
|
+
.maybeSingle();
|
|
282
|
+
const namedAlloc = strategy.allocations.find(na => na.name === allocRow?.name)
|
|
283
|
+
?? strategy.allocations[strategy.allocations.length - 1];
|
|
284
|
+
const [signals, indicators] = await Promise.all([
|
|
285
|
+
fetchSignalStatesForDay(client, stratRow.id, tdRow.id),
|
|
286
|
+
fetchIndicatorEvaluationsForDay(client, stratRow.id, tdRow.id),
|
|
287
|
+
]);
|
|
288
|
+
return {
|
|
289
|
+
allocation: {
|
|
290
|
+
name: namedAlloc.name,
|
|
291
|
+
holdings: namedAlloc.allocation.holdings,
|
|
292
|
+
},
|
|
293
|
+
asOf: evaluationDate,
|
|
294
|
+
signals,
|
|
295
|
+
indicators,
|
|
296
|
+
};
|
|
297
|
+
}
|
|
298
|
+
// 6. CACHE MISS — fetch prior state, evaluate, store
|
|
299
|
+
const [prevSignals, prevMeta] = await Promise.all([
|
|
300
|
+
fetchSignalStates(client, stratRow.id),
|
|
301
|
+
fetchIndicatorMetadata(client, stratRow.id),
|
|
302
|
+
]);
|
|
303
|
+
const result = (0, evaluate_1.evaluate)(strategy, {
|
|
304
|
+
...options,
|
|
305
|
+
previousSignalStates: prevSignals,
|
|
306
|
+
previousIndicatorMetadata: prevMeta,
|
|
307
|
+
});
|
|
308
|
+
// Store (non-blocking)
|
|
309
|
+
storeResult(client, strategy, result, tdRow.id).catch(err => console.error('Failed to store evaluation:', err));
|
|
310
|
+
return result;
|
|
311
|
+
}
|
|
312
|
+
//# sourceMappingURL=cache.js.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
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@@ -1 +1 @@
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1
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1
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