@livefolio/sdk 0.2.0
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/README.md +191 -0
- package/dist/auth/client.d.ts +4 -0
- package/dist/auth/client.d.ts.map +1 -0
- package/dist/auth/client.js +37 -0
- package/dist/auth/client.js.map +1 -0
- package/dist/auth/index.d.ts +3 -0
- package/dist/auth/index.d.ts.map +1 -0
- package/dist/auth/index.js +6 -0
- package/dist/auth/index.js.map +1 -0
- package/dist/auth/types.d.ts +9 -0
- package/dist/auth/types.d.ts.map +1 -0
- package/dist/auth/types.js +3 -0
- package/dist/auth/types.js.map +1 -0
- package/dist/index.d.ts +23 -0
- package/dist/index.d.ts.map +1 -0
- package/dist/index.js +55 -0
- package/dist/index.js.map +1 -0
- package/dist/market/client.d.ts +4 -0
- package/dist/market/client.d.ts.map +1 -0
- package/dist/market/client.js +65 -0
- package/dist/market/client.js.map +1 -0
- package/dist/market/index.d.ts +3 -0
- package/dist/market/index.d.ts.map +1 -0
- package/dist/market/index.js +6 -0
- package/dist/market/index.js.map +1 -0
- package/dist/market/types.d.ts +20 -0
- package/dist/market/types.d.ts.map +1 -0
- package/dist/market/types.js +3 -0
- package/dist/market/types.js.map +1 -0
- package/dist/portfolio/client.d.ts +4 -0
- package/dist/portfolio/client.d.ts.map +1 -0
- package/dist/portfolio/client.js +7 -0
- package/dist/portfolio/client.js.map +1 -0
- package/dist/portfolio/index.d.ts +3 -0
- package/dist/portfolio/index.d.ts.map +1 -0
- package/dist/portfolio/index.js +6 -0
- package/dist/portfolio/index.js.map +1 -0
- package/dist/portfolio/types.d.ts +3 -0
- package/dist/portfolio/types.d.ts.map +1 -0
- package/dist/portfolio/types.js +3 -0
- package/dist/portfolio/types.js.map +1 -0
- package/dist/strategy/client.d.ts +4 -0
- package/dist/strategy/client.d.ts.map +1 -0
- package/dist/strategy/client.js +350 -0
- package/dist/strategy/client.js.map +1 -0
- package/dist/strategy/evaluate.d.ts +10 -0
- package/dist/strategy/evaluate.d.ts.map +1 -0
- package/dist/strategy/evaluate.js +498 -0
- package/dist/strategy/evaluate.js.map +1 -0
- package/dist/strategy/index.d.ts +6 -0
- package/dist/strategy/index.d.ts.map +1 -0
- package/dist/strategy/index.js +20 -0
- package/dist/strategy/index.js.map +1 -0
- package/dist/strategy/symbols.d.ts +4 -0
- package/dist/strategy/symbols.d.ts.map +1 -0
- package/dist/strategy/symbols.js +41 -0
- package/dist/strategy/symbols.js.map +1 -0
- package/dist/strategy/time.d.ts +9 -0
- package/dist/strategy/time.d.ts.map +1 -0
- package/dist/strategy/time.js +28 -0
- package/dist/strategy/time.js.map +1 -0
- package/dist/strategy/types.d.ts +107 -0
- package/dist/strategy/types.d.ts.map +1 -0
- package/dist/strategy/types.js +3 -0
- package/dist/strategy/types.js.map +1 -0
- package/dist/types.d.ts +4 -0
- package/dist/types.d.ts.map +1 -0
- package/dist/types.js +3 -0
- package/dist/types.js.map +1 -0
- package/package.json +47 -0
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"use strict";
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Object.defineProperty(exports, "__esModule", { value: true });
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exports.indicatorKey = indicatorKey;
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exports.signalKey = signalKey;
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exports.evaluateIndicator = evaluateIndicator;
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exports.evaluateSignal = evaluateSignal;
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exports.evaluateAllocation = evaluateAllocation;
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exports.evaluate = evaluate;
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exports.findAllSignals = findAllSignals;
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exports.getEvaluationDate = getEvaluationDate;
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const symbols_1 = require("./symbols");
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const time_1 = require("./time");
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function toInternalSeries(series) {
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return series.map((o) => ({ timestamp: new Date(o.timestamp), price: o.value }));
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}
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// ---------------------------------------------------------------------------
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// Indicator key (used for diagnostics + metadata lookup)
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// ---------------------------------------------------------------------------
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function indicatorKey(ind) {
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if (ind.type === 'Threshold')
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return `Threshold_${ind.threshold ?? 0}`;
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const d = ind.delay ? `_d${ind.delay}` : '';
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return `${ind.type}_${ind.ticker.symbol}_${ind.lookback}${d}`;
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}
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// ---------------------------------------------------------------------------
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// Signal identity key (for previousSignalStates lookup)
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// ---------------------------------------------------------------------------
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function signalKey(signal) {
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return `${indicatorKey(signal.left)}_${signal.comparison}_${indicatorKey(signal.right)}_t${signal.tolerance}`;
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}
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// ---------------------------------------------------------------------------
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// Series picking
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// ---------------------------------------------------------------------------
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function pickSeries(batchSeries, ticker, at, lookback, delay) {
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const source = toInternalSeries(batchSeries[ticker.symbol] ?? []);
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let atIndex = source.length - 1;
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for (let i = source.length - 1; i >= 0; i--) {
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if (source[i].timestamp <= at) {
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atIndex = i;
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break;
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}
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}
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const end = atIndex + 1 - delay;
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const start = Math.max(0, end - lookback);
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const obs = source.slice(start, end);
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if (ticker.leverage === 1 || obs.length === 0) {
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return obs;
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}
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const leveraged = [obs[0]];
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for (let i = 1; i < obs.length; i++) {
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const dailyReturn = (obs[i].price - obs[i - 1].price) / obs[i - 1].price;
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const leveragedReturn = dailyReturn * ticker.leverage;
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const leveragedPrice = leveraged[i - 1].price * (1 + leveragedReturn);
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leveraged.push({ timestamp: obs[i].timestamp, price: leveragedPrice });
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}
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return leveraged;
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}
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// ---------------------------------------------------------------------------
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// Math helpers
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// ---------------------------------------------------------------------------
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function mean(values) {
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return values.reduce((a, b) => a + b, 0) / values.length;
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}
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function smooth(values, k) {
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let avg = values[0];
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for (let i = 1; i < values.length; i++) {
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avg = values[i] * k + avg * (1 - k);
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}
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return avg;
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}
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function percentChange(a, b) {
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return ((b - a) / a) * 100;
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}
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function makeResult(timestamp, value, metadata) {
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return { timestamp: timestamp.toISOString(), value, ...(metadata !== undefined ? { metadata } : {}) };
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}
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const INDICATOR_FNS = {
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SMA(batchSeries, ticker, at, lookback, delay) {
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const obs = pickSeries(batchSeries, ticker, at, lookback, delay);
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if (obs.length === 0) {
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throw new Error(`SMA: No observations found for ${ticker.symbol} at ${at.toISOString()}.`);
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}
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const prices = obs.map((o) => o.price);
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return makeResult(obs[obs.length - 1].timestamp, mean(prices));
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},
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EMA(batchSeries, ticker, at, lookback, delay, prevMeta) {
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const k = 2 / (lookback + 1);
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// Incremental path: if we have previous EMA value, compute O(1)
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if (prevMeta && typeof prevMeta === 'object' && 'ema' in prevMeta) {
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const prevEma = prevMeta.ema;
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const obs = pickSeries(batchSeries, ticker, at, 1, delay);
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if (obs.length > 0) {
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const price = obs[obs.length - 1].price;
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const newEma = price * k + prevEma * (1 - k);
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return makeResult(obs[obs.length - 1].timestamp, newEma, { ema: newEma });
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}
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}
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// Full series fallback
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const obs = pickSeries(batchSeries, ticker, at, Infinity, delay);
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if (obs.length === 0) {
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throw new Error(`EMA: No observations found for ${ticker.symbol} at ${at.toISOString()}.`);
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}
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const prices = obs.map((o) => o.price);
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const ema = smooth(prices, k);
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return makeResult(obs[obs.length - 1].timestamp, ema, { ema });
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},
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Price(batchSeries, ticker, at, _lookback, delay) {
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const obs = pickSeries(batchSeries, ticker, at, 1, delay);
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if (obs.length === 0) {
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throw new Error(`Price: No observations found for ${ticker.symbol} at ${at.toISOString()}.`);
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}
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return makeResult(obs[obs.length - 1].timestamp, obs[obs.length - 1].price);
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},
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Return(batchSeries, ticker, at, lookback, delay) {
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const obs = pickSeries(batchSeries, ticker, at, lookback, delay);
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if (obs.length === 0) {
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throw new Error(`Return: No observations found for ${ticker.symbol} at ${at.toISOString()}.`);
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}
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return makeResult(obs[obs.length - 1].timestamp, percentChange(obs[0].price, obs[obs.length - 1].price));
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},
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Volatility(batchSeries, ticker, at, lookback, delay) {
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const obs = pickSeries(batchSeries, ticker, at, lookback, delay);
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if (obs.length === 0) {
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throw new Error(`Volatility: No observations found for ${ticker.symbol} at ${at.toISOString()}.`);
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}
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const prices = obs.map((o) => o.price);
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const returns = prices.slice(1).map((price, i) => (price - prices[i]) / prices[i]);
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const meanReturn = mean(returns);
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const variance = mean(returns.map((r) => Math.pow(r - meanReturn, 2)));
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const sd = Math.sqrt(variance);
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const annualized = sd * Math.sqrt(252) * 100;
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return makeResult(obs[obs.length - 1].timestamp, annualized);
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},
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Drawdown(batchSeries, ticker, at, _lookback, delay, prevMeta) {
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// Incremental peak tracking
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if (prevMeta && typeof prevMeta === 'object' && 'peak' in prevMeta) {
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const prevPeak = prevMeta.peak;
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const obs = pickSeries(batchSeries, ticker, at, 1, delay);
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if (obs.length > 0) {
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const current = obs[obs.length - 1].price;
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const peak = Math.max(prevPeak, current);
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const dd = Math.abs(percentChange(peak, current));
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return makeResult(obs[obs.length - 1].timestamp, dd, { peak });
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}
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}
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// Full series fallback
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const obs = pickSeries(batchSeries, ticker, at, Infinity, delay);
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if (obs.length === 0) {
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throw new Error(`Drawdown: No observations found for ${ticker.symbol} at ${at.toISOString()}.`);
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}
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const prices = obs.map((o) => o.price);
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const current = prices[prices.length - 1];
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const peak = Math.max(...prices);
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const dd = Math.abs(percentChange(peak, current));
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return makeResult(obs[obs.length - 1].timestamp, dd, { peak });
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},
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RSI(batchSeries, ticker, at, lookback, delay, prevMeta) {
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const k = 1 / lookback;
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// Incremental path
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if (prevMeta && typeof prevMeta === 'object' && 'avgGain' in prevMeta && 'avgLoss' in prevMeta) {
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const { avgGain: prevAvgGain, avgLoss: prevAvgLoss } = prevMeta;
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const obs = pickSeries(batchSeries, ticker, at, 2, delay);
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if (obs.length >= 2) {
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const change = obs[obs.length - 1].price - obs[obs.length - 2].price;
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const gain = change >= 0 ? change : 0;
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const loss = change < 0 ? -change : 0;
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const avgGain = gain * k + prevAvgGain * (1 - k);
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const avgLoss = loss * k + prevAvgLoss * (1 - k);
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const rsi = avgLoss === 0 ? (avgGain === 0 ? 50 : 100) : 100 - 100 / (1 + avgGain / avgLoss);
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return makeResult(obs[obs.length - 1].timestamp, rsi, { avgGain, avgLoss });
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}
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}
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// Full series fallback
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const obs = pickSeries(batchSeries, ticker, at, Infinity, delay);
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if (obs.length === 0) {
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throw new Error(`RSI: No observations found for ${ticker.symbol} at ${at.toISOString()}.`);
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}
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const prices = obs.map((o) => o.price);
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const returns = prices.slice(1).map((price, i) => price - prices[i]);
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const gains = returns.map((delta) => (delta >= 0 ? delta : 0));
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const losses = returns.map((delta) => (delta < 0 ? -delta : 0));
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const avgGain = smooth(gains, k);
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const avgLoss = smooth(losses, k);
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const rsi = avgLoss === 0 ? (avgGain === 0 ? 50 : 100) : 100 - 100 / (1 + avgGain / avgLoss);
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return makeResult(obs[obs.length - 1].timestamp, rsi, { avgGain, avgLoss });
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},
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VIX(batchSeries, _ticker, at, lookback, delay) {
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return INDICATOR_FNS.Price(batchSeries, { symbol: symbols_1.INDICATOR_SYMBOL_MAP['VIX'], leverage: 1 }, at, lookback, delay);
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},
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VIX3M(batchSeries, _ticker, at, lookback, delay) {
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return INDICATOR_FNS.Price(batchSeries, { symbol: symbols_1.INDICATOR_SYMBOL_MAP['VIX3M'], leverage: 1 }, at, lookback, delay);
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},
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T3M(batchSeries, _ticker, at, lookback, delay) {
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return INDICATOR_FNS.Price(batchSeries, { symbol: symbols_1.INDICATOR_SYMBOL_MAP['T3M'], leverage: 1 }, at, lookback, delay);
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},
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T6M(batchSeries, _ticker, at, lookback, delay) {
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return INDICATOR_FNS.Price(batchSeries, { symbol: symbols_1.INDICATOR_SYMBOL_MAP['T6M'], leverage: 1 }, at, lookback, delay);
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},
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T1Y(batchSeries, _ticker, at, lookback, delay) {
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return INDICATOR_FNS.Price(batchSeries, { symbol: symbols_1.INDICATOR_SYMBOL_MAP['T1Y'], leverage: 1 }, at, lookback, delay);
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},
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T2Y(batchSeries, _ticker, at, lookback, delay) {
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return INDICATOR_FNS.Price(batchSeries, { symbol: symbols_1.INDICATOR_SYMBOL_MAP['T2Y'], leverage: 1 }, at, lookback, delay);
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},
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T3Y(batchSeries, _ticker, at, lookback, delay) {
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return INDICATOR_FNS.Price(batchSeries, { symbol: symbols_1.INDICATOR_SYMBOL_MAP['T3Y'], leverage: 1 }, at, lookback, delay);
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},
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T5Y(batchSeries, _ticker, at, lookback, delay) {
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return INDICATOR_FNS.Price(batchSeries, { symbol: symbols_1.INDICATOR_SYMBOL_MAP['T5Y'], leverage: 1 }, at, lookback, delay);
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},
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T7Y(batchSeries, _ticker, at, lookback, delay) {
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return INDICATOR_FNS.Price(batchSeries, { symbol: symbols_1.INDICATOR_SYMBOL_MAP['T7Y'], leverage: 1 }, at, lookback, delay);
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},
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T10Y(batchSeries, _ticker, at, lookback, delay) {
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return INDICATOR_FNS.Price(batchSeries, { symbol: symbols_1.INDICATOR_SYMBOL_MAP['T10Y'], leverage: 1 }, at, lookback, delay);
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},
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T20Y(batchSeries, _ticker, at, lookback, delay) {
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return INDICATOR_FNS.Price(batchSeries, { symbol: symbols_1.INDICATOR_SYMBOL_MAP['T20Y'], leverage: 1 }, at, lookback, delay);
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},
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T30Y(batchSeries, _ticker, at, lookback, delay) {
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return INDICATOR_FNS.Price(batchSeries, { symbol: symbols_1.INDICATOR_SYMBOL_MAP['T30Y'], leverage: 1 }, at, lookback, delay);
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},
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Month(_batchSeries, _ticker, at, _lookback, delay) {
|
|
224
|
+
const date = new Date(at.getTime() - delay * 24 * 60 * 60 * 1000);
|
|
225
|
+
return makeResult(date, date.getUTCMonth() + 1);
|
|
226
|
+
},
|
|
227
|
+
'Day of Week'(_batchSeries, _ticker, at, _lookback, delay) {
|
|
228
|
+
const date = new Date(at.getTime() - delay * 24 * 60 * 60 * 1000);
|
|
229
|
+
return makeResult(date, date.getUTCDay());
|
|
230
|
+
},
|
|
231
|
+
'Day of Month'(_batchSeries, _ticker, at, _lookback, delay) {
|
|
232
|
+
const date = new Date(at.getTime() - delay * 24 * 60 * 60 * 1000);
|
|
233
|
+
return makeResult(date, date.getUTCDate());
|
|
234
|
+
},
|
|
235
|
+
'Day of Year'(_batchSeries, _ticker, at, _lookback, delay) {
|
|
236
|
+
const date = new Date(at.getTime() - delay * 24 * 60 * 60 * 1000);
|
|
237
|
+
const utcDate = Date.UTC(date.getUTCFullYear(), date.getUTCMonth(), date.getUTCDate());
|
|
238
|
+
const utcYearStart = Date.UTC(date.getUTCFullYear(), 0, 0);
|
|
239
|
+
const dayOfYear = (utcDate - utcYearStart) / (24 * 60 * 60 * 1000);
|
|
240
|
+
return makeResult(date, dayOfYear);
|
|
241
|
+
},
|
|
242
|
+
Threshold() {
|
|
243
|
+
throw new Error('Threshold should not be evaluated as an indicator function.');
|
|
244
|
+
},
|
|
245
|
+
};
|
|
246
|
+
// ---------------------------------------------------------------------------
|
|
247
|
+
// Public evaluation functions
|
|
248
|
+
// ---------------------------------------------------------------------------
|
|
249
|
+
function evaluateIndicator(indicator, options) {
|
|
250
|
+
if (indicator.type === 'Threshold') {
|
|
251
|
+
return makeResult(options.at, indicator.threshold);
|
|
252
|
+
}
|
|
253
|
+
const delay = indicator.delay;
|
|
254
|
+
// Temporal indicators don't depend on series
|
|
255
|
+
if (['Month', 'Day of Week', 'Day of Month', 'Day of Year'].includes(indicator.type)) {
|
|
256
|
+
return INDICATOR_FNS[indicator.type](options.batchSeries, indicator.ticker, options.at, indicator.lookback, delay);
|
|
257
|
+
}
|
|
258
|
+
// Get previous metadata for incremental evaluation
|
|
259
|
+
const key = indicatorKey(indicator);
|
|
260
|
+
const prevMeta = options.previousIndicatorMetadata?.[key];
|
|
261
|
+
return INDICATOR_FNS[indicator.type](options.batchSeries, indicator.ticker, options.at, indicator.lookback, delay, prevMeta);
|
|
262
|
+
}
|
|
263
|
+
function evaluateSignal(signal, options) {
|
|
264
|
+
const left = evaluateIndicator(signal.left, options);
|
|
265
|
+
const right = evaluateIndicator(signal.right, options);
|
|
266
|
+
const tolerance = signal.tolerance ?? 0;
|
|
267
|
+
const rawToleranceDelta = signal.left.unit === '%' ? tolerance : Math.abs(right.value) * (tolerance / 100);
|
|
268
|
+
const toleranceDelta = Number.isFinite(rawToleranceDelta) ? Math.abs(rawToleranceDelta) : 0;
|
|
269
|
+
const lowerBound = Math.min(right.value - toleranceDelta, right.value + toleranceDelta);
|
|
270
|
+
const upperBound = Math.max(right.value - toleranceDelta, right.value + toleranceDelta);
|
|
271
|
+
const comparison = signal.comparison;
|
|
272
|
+
if (comparison === '=') {
|
|
273
|
+
return lowerBound <= left.value && left.value <= upperBound;
|
|
274
|
+
}
|
|
275
|
+
// Cold start: if no prior state exists for this signal, evaluate strict comparator.
|
|
276
|
+
const key = signalKey(signal);
|
|
277
|
+
const previous = options.previousSignalStates?.[key];
|
|
278
|
+
const hasPrevious = previous !== undefined;
|
|
279
|
+
// Zero tolerance means no dead band; preserve strict legacy behavior.
|
|
280
|
+
if (!hasPrevious || toleranceDelta === 0) {
|
|
281
|
+
return comparison === '>' ? left.value > right.value : left.value < right.value;
|
|
282
|
+
}
|
|
283
|
+
if (comparison === '>') {
|
|
284
|
+
return previous
|
|
285
|
+
? left.value >= lowerBound // stay true inside band; turn off only fully below
|
|
286
|
+
: left.value > upperBound; // turn on only after fully crossing above
|
|
287
|
+
}
|
|
288
|
+
else {
|
|
289
|
+
return previous
|
|
290
|
+
? left.value <= upperBound // stay true inside band; turn off only fully above
|
|
291
|
+
: left.value < lowerBound; // turn on only after fully crossing below
|
|
292
|
+
}
|
|
293
|
+
}
|
|
294
|
+
function evaluateAllocation(allocation, options) {
|
|
295
|
+
return evaluateCondition(allocation.condition, options);
|
|
296
|
+
}
|
|
297
|
+
function evaluateCondition(condition, options) {
|
|
298
|
+
switch (condition.kind) {
|
|
299
|
+
case 'or':
|
|
300
|
+
return condition.args.some((andExpr) => evaluateCondition(andExpr, options));
|
|
301
|
+
case 'and':
|
|
302
|
+
return condition.args.every((unaryExpr) => evaluateCondition(unaryExpr, options));
|
|
303
|
+
case 'not':
|
|
304
|
+
return !evaluateSignal(condition.signal, options);
|
|
305
|
+
case 'signal':
|
|
306
|
+
return evaluateSignal(condition.signal, options);
|
|
307
|
+
}
|
|
308
|
+
}
|
|
309
|
+
function evaluate(strategy, options) {
|
|
310
|
+
// Collect all unique signals from all allocations
|
|
311
|
+
const allSignals = getAllSignalsFromStrategy(strategy);
|
|
312
|
+
const indicatorsMap = new Map();
|
|
313
|
+
const indicatorsOrder = [];
|
|
314
|
+
for (const signal of allSignals) {
|
|
315
|
+
for (const ind of [signal.left, signal.right]) {
|
|
316
|
+
const key = indicatorKey(ind);
|
|
317
|
+
if (indicatorsMap.has(key))
|
|
318
|
+
continue;
|
|
319
|
+
const res = evaluateIndicator(ind, options);
|
|
320
|
+
indicatorsMap.set(key, res);
|
|
321
|
+
indicatorsOrder.push(key);
|
|
322
|
+
}
|
|
323
|
+
}
|
|
324
|
+
const indicators = {};
|
|
325
|
+
for (const k of indicatorsOrder)
|
|
326
|
+
indicators[k] = indicatorsMap.get(k);
|
|
327
|
+
const signals = {};
|
|
328
|
+
for (const signal of allSignals) {
|
|
329
|
+
signals[signalKey(signal)] = evaluateSignal(signal, options);
|
|
330
|
+
}
|
|
331
|
+
// Find first matching allocation (array is pre-sorted by position from DB)
|
|
332
|
+
const allocations = strategy.allocations;
|
|
333
|
+
let winning = allocations[allocations.length - 1];
|
|
334
|
+
for (const na of allocations) {
|
|
335
|
+
if (evaluateAllocation(na.allocation, options)) {
|
|
336
|
+
winning = na;
|
|
337
|
+
break;
|
|
338
|
+
}
|
|
339
|
+
}
|
|
340
|
+
const asOf = getEvaluationDate(strategy.trading, options);
|
|
341
|
+
return {
|
|
342
|
+
allocation: {
|
|
343
|
+
name: winning.name,
|
|
344
|
+
holdings: winning.allocation.holdings,
|
|
345
|
+
},
|
|
346
|
+
asOf,
|
|
347
|
+
signals,
|
|
348
|
+
indicators,
|
|
349
|
+
};
|
|
350
|
+
}
|
|
351
|
+
// ---------------------------------------------------------------------------
|
|
352
|
+
// Helpers
|
|
353
|
+
// ---------------------------------------------------------------------------
|
|
354
|
+
function getAllSignalsFromStrategy(strategy) {
|
|
355
|
+
const seen = new Set();
|
|
356
|
+
const out = [];
|
|
357
|
+
for (const na of strategy.allocations) {
|
|
358
|
+
for (const s of findAllSignals(na.allocation.condition)) {
|
|
359
|
+
const key = signalKey(s);
|
|
360
|
+
if (!seen.has(key)) {
|
|
361
|
+
seen.add(key);
|
|
362
|
+
out.push(s);
|
|
363
|
+
}
|
|
364
|
+
}
|
|
365
|
+
}
|
|
366
|
+
return out;
|
|
367
|
+
}
|
|
368
|
+
function findAllSignals(condition) {
|
|
369
|
+
const signals = [];
|
|
370
|
+
const seen = new Set();
|
|
371
|
+
function traverse(cond) {
|
|
372
|
+
switch (cond.kind) {
|
|
373
|
+
case 'or':
|
|
374
|
+
cond.args.forEach(traverse);
|
|
375
|
+
break;
|
|
376
|
+
case 'and':
|
|
377
|
+
cond.args.forEach(traverse);
|
|
378
|
+
break;
|
|
379
|
+
case 'not': {
|
|
380
|
+
const key = signalKey(cond.signal);
|
|
381
|
+
if (!seen.has(key)) {
|
|
382
|
+
seen.add(key);
|
|
383
|
+
signals.push(cond.signal);
|
|
384
|
+
}
|
|
385
|
+
break;
|
|
386
|
+
}
|
|
387
|
+
case 'signal': {
|
|
388
|
+
const key = signalKey(cond.signal);
|
|
389
|
+
if (!seen.has(key)) {
|
|
390
|
+
seen.add(key);
|
|
391
|
+
signals.push(cond.signal);
|
|
392
|
+
}
|
|
393
|
+
break;
|
|
394
|
+
}
|
|
395
|
+
}
|
|
396
|
+
}
|
|
397
|
+
traverse(condition);
|
|
398
|
+
return signals;
|
|
399
|
+
}
|
|
400
|
+
// ---------------------------------------------------------------------------
|
|
401
|
+
// Evaluation date (ported from evaluateLatestAllocationDate)
|
|
402
|
+
// ---------------------------------------------------------------------------
|
|
403
|
+
function getEvaluationDate(trading, options) {
|
|
404
|
+
const series = Object.values(options.batchSeries)[0];
|
|
405
|
+
if (!series || series.length === 0) {
|
|
406
|
+
return options.at;
|
|
407
|
+
}
|
|
408
|
+
const internalSeries = toInternalSeries(series);
|
|
409
|
+
const latestCloseObs = findLatestMarketCloseObs(internalSeries, options.at);
|
|
410
|
+
if (!latestCloseObs) {
|
|
411
|
+
return options.at;
|
|
412
|
+
}
|
|
413
|
+
let { start, end } = getPeriodBounds(latestCloseObs.timestamp, trading.frequency);
|
|
414
|
+
let periodObs = findObservationsInPeriod(internalSeries, start, end);
|
|
415
|
+
if (trading.frequency !== 'Daily') {
|
|
416
|
+
const lastPeriodObs = periodObs.at(-1);
|
|
417
|
+
if (lastPeriodObs) {
|
|
418
|
+
const lastObsDate = lastPeriodObs.timestamp.toISOString().slice(0, 10);
|
|
419
|
+
const endDate = end.toISOString().slice(0, 10);
|
|
420
|
+
if (lastObsDate < endDate) {
|
|
421
|
+
const prevPeriodDate = new Date(start);
|
|
422
|
+
prevPeriodDate.setUTCDate(prevPeriodDate.getUTCDate() - 1);
|
|
423
|
+
({ start, end } = getPeriodBounds(prevPeriodDate, trading.frequency));
|
|
424
|
+
periodObs = findObservationsInPeriod(internalSeries, start, end);
|
|
425
|
+
}
|
|
426
|
+
}
|
|
427
|
+
}
|
|
428
|
+
const index = periodObs.length - 1 - trading.offset;
|
|
429
|
+
if (index < 0) {
|
|
430
|
+
return periodObs[0]?.timestamp ?? options.at;
|
|
431
|
+
}
|
|
432
|
+
return periodObs[index].timestamp;
|
|
433
|
+
}
|
|
434
|
+
function findLatestMarketCloseObs(series, cutoff) {
|
|
435
|
+
for (let i = series.length - 1; i >= 0 && i >= series.length - 100; i--) {
|
|
436
|
+
const obs = series[i];
|
|
437
|
+
if (obs.timestamp <= cutoff && (0, time_1.isAtMarketClose)(obs.timestamp)) {
|
|
438
|
+
return obs;
|
|
439
|
+
}
|
|
440
|
+
}
|
|
441
|
+
return undefined;
|
|
442
|
+
}
|
|
443
|
+
function findObservationsInPeriod(series, start, end) {
|
|
444
|
+
const result = [];
|
|
445
|
+
for (let i = series.length - 1; i >= 0; i--) {
|
|
446
|
+
const obs = series[i];
|
|
447
|
+
if (obs.timestamp < start)
|
|
448
|
+
break;
|
|
449
|
+
if (obs.timestamp >= start && obs.timestamp <= end && (0, time_1.isAtMarketClose)(obs.timestamp)) {
|
|
450
|
+
result.unshift(obs);
|
|
451
|
+
}
|
|
452
|
+
}
|
|
453
|
+
return result;
|
|
454
|
+
}
|
|
455
|
+
function getPeriodBounds(date, frequency) {
|
|
456
|
+
const year = date.getUTCFullYear();
|
|
457
|
+
const month = date.getUTCMonth();
|
|
458
|
+
const day = date.getUTCDate();
|
|
459
|
+
const startOfDayUTC = (y, m, d) => new Date(Date.UTC(y, m, d, 0, 0, 0, 0));
|
|
460
|
+
const endOfDayUTC = (y, m, d) => new Date(Date.UTC(y, m, d, 23, 59, 59, 999));
|
|
461
|
+
const lastDayOfMonth = (y, m) => new Date(Date.UTC(y, m + 1, 0)).getUTCDate();
|
|
462
|
+
switch (frequency) {
|
|
463
|
+
case 'Daily':
|
|
464
|
+
return { start: startOfDayUTC(year, month, day), end: endOfDayUTC(year, month, day) };
|
|
465
|
+
case 'Weekly': {
|
|
466
|
+
const dayOfWeek = date.getUTCDay();
|
|
467
|
+
const mondayOffset = (dayOfWeek + 6) % 7;
|
|
468
|
+
const monday = new Date(Date.UTC(year, month, day - mondayOffset));
|
|
469
|
+
const friday = new Date(Date.UTC(monday.getUTCFullYear(), monday.getUTCMonth(), monday.getUTCDate() + 4, 23, 59, 59, 999));
|
|
470
|
+
return { start: monday, end: friday };
|
|
471
|
+
}
|
|
472
|
+
case 'Monthly':
|
|
473
|
+
return { start: startOfDayUTC(year, month, 1), end: endOfDayUTC(year, month, lastDayOfMonth(year, month)) };
|
|
474
|
+
case 'Bi-monthly': {
|
|
475
|
+
const ps = Math.floor(month / 2) * 2;
|
|
476
|
+
const pe = ps + 1;
|
|
477
|
+
return { start: startOfDayUTC(year, ps, 1), end: endOfDayUTC(year, pe, lastDayOfMonth(year, pe)) };
|
|
478
|
+
}
|
|
479
|
+
case 'Quarterly': {
|
|
480
|
+
const ps = Math.floor(month / 3) * 3;
|
|
481
|
+
const pe = ps + 2;
|
|
482
|
+
return { start: startOfDayUTC(year, ps, 1), end: endOfDayUTC(year, pe, lastDayOfMonth(year, pe)) };
|
|
483
|
+
}
|
|
484
|
+
case 'Every 4 Months': {
|
|
485
|
+
const ps = Math.floor(month / 4) * 4;
|
|
486
|
+
const pe = ps + 3;
|
|
487
|
+
return { start: startOfDayUTC(year, ps, 1), end: endOfDayUTC(year, pe, lastDayOfMonth(year, pe)) };
|
|
488
|
+
}
|
|
489
|
+
case 'Semiannually': {
|
|
490
|
+
const ps = Math.floor(month / 6) * 6;
|
|
491
|
+
const pe = ps + 5;
|
|
492
|
+
return { start: startOfDayUTC(year, ps, 1), end: endOfDayUTC(year, pe, lastDayOfMonth(year, pe)) };
|
|
493
|
+
}
|
|
494
|
+
case 'Yearly':
|
|
495
|
+
return { start: startOfDayUTC(year, 0, 1), end: endOfDayUTC(year, 11, 31) };
|
|
496
|
+
}
|
|
497
|
+
}
|
|
498
|
+
//# sourceMappingURL=evaluate.js.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
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AAI,EAAE,EAAE,EAAE,CAAC,CAAC,EAAE,GAAG,EAAE,WAAW,CAAC,IAAI,EAAE,EAAE,EAAE,cAAc,CAAC,IAAI,EAAE,EAAE,CAAC,CAAC,EAAE,CAAC;QACrG,CAAC;QACD,KAAK,cAAc,CAAC,CAAC,CAAC;YACpB,MAAM,EAAE,GAAG,IAAI,CAAC,KAAK,CAAC,KAAK,GAAG,CAAC,CAAC,GAAG,CAAC,CAAC;YACrC,MAAM,EAAE,GAAG,EAAE,GAAG,CAAC,CAAC;YAClB,OAAO,EAAE,KAAK,EAAE,aAAa,CAAC,IAAI,EAAE,EAAE,EAAE,CAAC,CAAC,EAAE,GAAG,EAAE,WAAW,CAAC,IAAI,EAAE,EAAE,EAAE,cAAc,CAAC,IAAI,EAAE,EAAE,CAAC,CAAC,EAAE,CAAC;QACrG,CAAC;QACD,KAAK,QAAQ;YACX,OAAO,EAAE,KAAK,EAAE,aAAa,CAAC,IAAI,EAAE,CAAC,EAAE,CAAC,CAAC,EAAE,GAAG,EAAE,WAAW,CAAC,IAAI,EAAE,EAAE,EAAE,EAAE,CAAC,EAAE,CAAC;IAChF,CAAC;AACH,CAAC"}
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@@ -0,0 +1,6 @@
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1
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+
export type { StrategyModule, Strategy, NamedSignal, AllocationEvaluation, Signal, Allocation, Indicator, Ticker, Holding, Trading, Condition, SignalExpr, NotExpr, UnaryExpr, AndExpr, OrExpr, Comparison, IndicatorType, Frequency, Unit, EvaluationOptions, IndicatorEvaluation, StrategyEvaluation, BacktestOptions, BacktestResult, } from './types';
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2
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+
export { createStrategy } from './client';
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3
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+
export { evaluateIndicator, evaluateSignal, evaluateAllocation, evaluate, getEvaluationDate, indicatorKey, signalKey } from './evaluate';
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|
4
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+
export { extractSymbols, INDICATOR_SYMBOL_MAP } from './symbols';
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|
5
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+
export { utcToET, isAtMarketClose } from './time';
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6
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+
//# sourceMappingURL=index.d.ts.map
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@@ -0,0 +1 @@
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1
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+
{"version":3,"file":"index.d.ts","sourceRoot":"","sources":["../../src/strategy/index.ts"],"names":[],"mappings":"AAAA,YAAY,EACV,cAAc,EACd,QAAQ,EACR,WAAW,EACX,oBAAoB,EACpB,MAAM,EACN,UAAU,EACV,SAAS,EACT,MAAM,EACN,OAAO,EACP,OAAO,EACP,SAAS,EACT,UAAU,EACV,OAAO,EACP,SAAS,EACT,OAAO,EACP,MAAM,EACN,UAAU,EACV,aAAa,EACb,SAAS,EACT,IAAI,EACJ,iBAAiB,EACjB,mBAAmB,EACnB,kBAAkB,EAClB,eAAe,EACf,cAAc,GACf,MAAM,SAAS,CAAC;AAEjB,OAAO,EAAE,cAAc,EAAE,MAAM,UAAU,CAAC;AAC1C,OAAO,EAAE,iBAAiB,EAAE,cAAc,EAAE,kBAAkB,EAAE,QAAQ,EAAE,iBAAiB,EAAE,YAAY,EAAE,SAAS,EAAE,MAAM,YAAY,CAAC;AACzI,OAAO,EAAE,cAAc,EAAE,oBAAoB,EAAE,MAAM,WAAW,CAAC;AACjE,OAAO,EAAE,OAAO,EAAE,eAAe,EAAE,MAAM,QAAQ,CAAC"}
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@@ -0,0 +1,20 @@
|
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|
1
|
+
"use strict";
|
|
2
|
+
Object.defineProperty(exports, "__esModule", { value: true });
|
|
3
|
+
exports.isAtMarketClose = exports.utcToET = exports.INDICATOR_SYMBOL_MAP = exports.extractSymbols = exports.signalKey = exports.indicatorKey = exports.getEvaluationDate = exports.evaluate = exports.evaluateAllocation = exports.evaluateSignal = exports.evaluateIndicator = exports.createStrategy = void 0;
|
|
4
|
+
var client_1 = require("./client");
|
|
5
|
+
Object.defineProperty(exports, "createStrategy", { enumerable: true, get: function () { return client_1.createStrategy; } });
|
|
6
|
+
var evaluate_1 = require("./evaluate");
|
|
7
|
+
Object.defineProperty(exports, "evaluateIndicator", { enumerable: true, get: function () { return evaluate_1.evaluateIndicator; } });
|
|
8
|
+
Object.defineProperty(exports, "evaluateSignal", { enumerable: true, get: function () { return evaluate_1.evaluateSignal; } });
|
|
9
|
+
Object.defineProperty(exports, "evaluateAllocation", { enumerable: true, get: function () { return evaluate_1.evaluateAllocation; } });
|
|
10
|
+
Object.defineProperty(exports, "evaluate", { enumerable: true, get: function () { return evaluate_1.evaluate; } });
|
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11
|
+
Object.defineProperty(exports, "getEvaluationDate", { enumerable: true, get: function () { return evaluate_1.getEvaluationDate; } });
|
|
12
|
+
Object.defineProperty(exports, "indicatorKey", { enumerable: true, get: function () { return evaluate_1.indicatorKey; } });
|
|
13
|
+
Object.defineProperty(exports, "signalKey", { enumerable: true, get: function () { return evaluate_1.signalKey; } });
|
|
14
|
+
var symbols_1 = require("./symbols");
|
|
15
|
+
Object.defineProperty(exports, "extractSymbols", { enumerable: true, get: function () { return symbols_1.extractSymbols; } });
|
|
16
|
+
Object.defineProperty(exports, "INDICATOR_SYMBOL_MAP", { enumerable: true, get: function () { return symbols_1.INDICATOR_SYMBOL_MAP; } });
|
|
17
|
+
var time_1 = require("./time");
|
|
18
|
+
Object.defineProperty(exports, "utcToET", { enumerable: true, get: function () { return time_1.utcToET; } });
|
|
19
|
+
Object.defineProperty(exports, "isAtMarketClose", { enumerable: true, get: function () { return time_1.isAtMarketClose; } });
|
|
20
|
+
//# sourceMappingURL=index.js.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
{"version":3,"file":"index.js","sourceRoot":"","sources":["../../src/strategy/index.ts"],"names":[],"mappings":";;;AA4BA,mCAA0C;AAAjC,wGAAA,cAAc,OAAA;AACvB,uCAAyI;AAAhI,6GAAA,iBAAiB,OAAA;AAAE,0GAAA,cAAc,OAAA;AAAE,8GAAA,kBAAkB,OAAA;AAAE,oGAAA,QAAQ,OAAA;AAAE,6GAAA,iBAAiB,OAAA;AAAE,wGAAA,YAAY,OAAA;AAAE,qGAAA,SAAS,OAAA;AACpH,qCAAiE;AAAxD,yGAAA,cAAc,OAAA;AAAE,+GAAA,oBAAoB,OAAA;AAC7C,+BAAkD;AAAzC,+FAAA,OAAO,OAAA;AAAE,uGAAA,eAAe,OAAA"}
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
{"version":3,"file":"symbols.d.ts","sourceRoot":"","sources":["../../src/strategy/symbols.ts"],"names":[],"mappings":"AAAA,OAAO,KAAK,EAAa,aAAa,EAAE,QAAQ,EAAE,MAAM,SAAS,CAAC;AAElE,eAAO,MAAM,oBAAoB,EAAE,OAAO,CAAC,MAAM,CAAC,aAAa,EAAE,MAAM,CAAC,CAavE,CAAC;AAWF,wBAAgB,cAAc,CAAC,QAAQ,EAAE,QAAQ,GAAG,MAAM,EAAE,CAe3D"}
|
|
@@ -0,0 +1,41 @@
|
|
|
1
|
+
"use strict";
|
|
2
|
+
Object.defineProperty(exports, "__esModule", { value: true });
|
|
3
|
+
exports.INDICATOR_SYMBOL_MAP = void 0;
|
|
4
|
+
exports.extractSymbols = extractSymbols;
|
|
5
|
+
exports.INDICATOR_SYMBOL_MAP = {
|
|
6
|
+
VIX: '^VIX',
|
|
7
|
+
VIX3M: '^VIX3M',
|
|
8
|
+
T3M: 'DGS3MO',
|
|
9
|
+
T6M: 'DGS6MO',
|
|
10
|
+
T1Y: 'DGS1',
|
|
11
|
+
T2Y: 'DGS2',
|
|
12
|
+
T3Y: 'DGS3',
|
|
13
|
+
T5Y: 'DGS5',
|
|
14
|
+
T7Y: 'DGS7',
|
|
15
|
+
T10Y: 'DGS10',
|
|
16
|
+
T20Y: 'DGS20',
|
|
17
|
+
T30Y: 'DGS30',
|
|
18
|
+
};
|
|
19
|
+
function addIndicatorSymbol(indicator, symbols) {
|
|
20
|
+
const mappedSymbol = exports.INDICATOR_SYMBOL_MAP[indicator.type];
|
|
21
|
+
if (mappedSymbol) {
|
|
22
|
+
symbols.add(mappedSymbol);
|
|
23
|
+
}
|
|
24
|
+
else if (indicator.type !== 'Threshold') {
|
|
25
|
+
symbols.add(indicator.ticker.symbol);
|
|
26
|
+
}
|
|
27
|
+
}
|
|
28
|
+
function extractSymbols(strategy) {
|
|
29
|
+
const symbols = new Set();
|
|
30
|
+
for (const ns of strategy.signals) {
|
|
31
|
+
addIndicatorSymbol(ns.signal.left, symbols);
|
|
32
|
+
addIndicatorSymbol(ns.signal.right, symbols);
|
|
33
|
+
}
|
|
34
|
+
for (const na of strategy.allocations) {
|
|
35
|
+
for (const holding of na.allocation.holdings) {
|
|
36
|
+
symbols.add(holding.ticker.symbol);
|
|
37
|
+
}
|
|
38
|
+
}
|
|
39
|
+
return [...symbols];
|
|
40
|
+
}
|
|
41
|
+
//# sourceMappingURL=symbols.js.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
{"version":3,"file":"symbols.js","sourceRoot":"","sources":["../../src/strategy/symbols.ts"],"names":[],"mappings":";;;AA0BA,wCAeC;AAvCY,QAAA,oBAAoB,GAA2C;IAC1E,GAAG,EAAE,MAAM;IACX,KAAK,EAAE,QAAQ;IACf,GAAG,EAAE,QAAQ;IACb,GAAG,EAAE,QAAQ;IACb,GAAG,EAAE,MAAM;IACX,GAAG,EAAE,MAAM;IACX,GAAG,EAAE,MAAM;IACX,GAAG,EAAE,MAAM;IACX,GAAG,EAAE,MAAM;IACX,IAAI,EAAE,OAAO;IACb,IAAI,EAAE,OAAO;IACb,IAAI,EAAE,OAAO;CACd,CAAC;AAEF,SAAS,kBAAkB,CAAC,SAAoB,EAAE,OAAoB;IACpE,MAAM,YAAY,GAAG,4BAAoB,CAAC,SAAS,CAAC,IAAI,CAAC,CAAC;IAC1D,IAAI,YAAY,EAAE,CAAC;QACjB,OAAO,CAAC,GAAG,CAAC,YAAY,CAAC,CAAC;IAC5B,CAAC;SAAM,IAAI,SAAS,CAAC,IAAI,KAAK,WAAW,EAAE,CAAC;QAC1C,OAAO,CAAC,GAAG,CAAC,SAAS,CAAC,MAAM,CAAC,MAAM,CAAC,CAAC;IACvC,CAAC;AACH,CAAC;AAED,SAAgB,cAAc,CAAC,QAAkB;IAC/C,MAAM,OAAO,GAAG,IAAI,GAAG,EAAU,CAAC;IAElC,KAAK,MAAM,EAAE,IAAI,QAAQ,CAAC,OAAO,EAAE,CAAC;QAClC,kBAAkB,CAAC,EAAE,CAAC,MAAM,CAAC,IAAI,EAAE,OAAO,CAAC,CAAC;QAC5C,kBAAkB,CAAC,EAAE,CAAC,MAAM,CAAC,KAAK,EAAE,OAAO,CAAC,CAAC;IAC/C,CAAC;IAED,KAAK,MAAM,EAAE,IAAI,QAAQ,CAAC,WAAW,EAAE,CAAC;QACtC,KAAK,MAAM,OAAO,IAAI,EAAE,CAAC,UAAU,CAAC,QAAQ,EAAE,CAAC;YAC7C,OAAO,CAAC,GAAG,CAAC,OAAO,CAAC,MAAM,CAAC,MAAM,CAAC,CAAC;QACrC,CAAC;IACH,CAAC;IAED,OAAO,CAAC,GAAG,OAAO,CAAC,CAAC;AACtB,CAAC"}
|