@livefolio/sdk 0.2.1 → 0.2.4

package/dist/strategy/backtest.js.map

@@ -0,0 +1 @@
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package/dist/strategy/cache.d.ts

@@ -0,0 +1,7 @@
+import type { TypedSupabaseClient } from '../types';
+import type { MarketModule } from '../market/types';
+import type { Strategy, StrategyEvaluation } from './types';
+export declare function fetchSignalStates(client: TypedSupabaseClient, strategyId: number): Promise<Record<string, boolean>>;
+export declare function fetchIndicatorMetadata(client: TypedSupabaseClient, strategyId: number): Promise<Record<string, unknown>>;
+export declare function evaluateCached(client: TypedSupabaseClient, market: MarketModule, strategy: Strategy, at: Date): Promise<StrategyEvaluation>;
+//# sourceMappingURL=cache.d.ts.map

package/dist/strategy/cache.d.ts.map

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package/dist/strategy/cache.js

@@ -0,0 +1,312 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.fetchSignalStates = fetchSignalStates;
+exports.fetchIndicatorMetadata = fetchIndicatorMetadata;
+exports.evaluateCached = evaluateCached;
+const evaluate_1 = require("./evaluate");
+const symbols_1 = require("./symbols");
+// ---------------------------------------------------------------------------
+// Row → domain mapping helpers
+// ---------------------------------------------------------------------------
+function mapTicker(row) {
+    return { symbol: row.symbol, leverage: row.leverage };
+}
+function mapIndicator(row) {
+    return {
+        type: row.type,
+        ticker: row.tickers ? mapTicker(row.tickers) : { symbol: '', leverage: 1 },
+        lookback: row.lookback,
+        delay: row.delay,
+        unit: row.unit ?? null,
+        threshold: row.threshold,
+    };
+}
+function mapSignal(row) {
+    return {
+        left: mapIndicator(row.indicator_1),
+        comparison: row.comparison,
+        right: mapIndicator(row.indicator_2),
+        tolerance: row.tolerance,
+    };
+}
+// ---------------------------------------------------------------------------
+// DB helpers
+// ---------------------------------------------------------------------------
+async function fetchSignalStates(client, strategyId) {
+    const db = client;
+    const { data: nsRows, error: nsErr } = await db
+        .from('named_signals')
+        .select(`
+      signal_id,
+      signals:signal_id (
+        id,
+        indicator_1:indicator_id_1 ( type, tickers:ticker_id ( symbol, leverage ), lookback, delay, unit, threshold ),
+        indicator_2:indicator_id_2 ( type, tickers:ticker_id ( symbol, leverage ), lookback, delay, unit, threshold ),
+        comparison,
+        tolerance
+      )
+    `)
+        .eq('strategy_id', strategyId);
+    if (nsErr || !nsRows || nsRows.length === 0)
+        return {};
+    const signalIds = nsRows.map((r) => r.signal_id);
+    const { data: evalRows, error: evalErr } = await client
+        .from('signal_evaluations')
+        .select('signal_id, result, trading_day_id')
+        .in('signal_id', signalIds)
+        .order('trading_day_id', { ascending: false });
+    if (evalErr || !evalRows)
+        return {};
+    const latestBySignalId = new Map();
+    for (const row of evalRows) {
+        if (!latestBySignalId.has(row.signal_id)) {
+            latestBySignalId.set(row.signal_id, row.result);
+        }
+    }
+    const result = {};
+    for (const nsRow of nsRows) {
+        const signal = mapSignal(nsRow.signals);
+        const key = (0, evaluate_1.signalKey)(signal);
+        const val = latestBySignalId.get(nsRow.signal_id);
+        if (val !== undefined) {
+            result[key] = val;
+        }
+    }
+    return result;
+}
+async function fetchSignalStatesForDay(client, strategyId, tradingDayId) {
+    const db = client;
+    const { data: nsRows, error: nsErr } = await db
+        .from('named_signals')
+        .select(`
+      signal_id,
+      signals:signal_id (
+        id,
+        indicator_1:indicator_id_1 ( type, tickers:ticker_id ( symbol, leverage ), lookback, delay, unit, threshold ),
+        indicator_2:indicator_id_2 ( type, tickers:ticker_id ( symbol, leverage ), lookback, delay, unit, threshold ),
+        comparison,
+        tolerance
+      )
+    `)
+        .eq('strategy_id', strategyId);
+    if (nsErr || !nsRows || nsRows.length === 0)
+        return {};
+    const signalIds = nsRows.map((r) => r.signal_id);
+    const { data: evalRows, error: evalErr } = await client
+        .from('signal_evaluations')
+        .select('signal_id, result')
+        .in('signal_id', signalIds)
+        .eq('trading_day_id', tradingDayId);
+    if (evalErr || !evalRows)
+        return {};
+    const signalIdToResult = new Map();
+    for (const row of evalRows) {
+        signalIdToResult.set(row.signal_id, row.result);
+    }
+    const result = {};
+    for (const nsRow of nsRows) {
+        const signal = mapSignal(nsRow.signals);
+        const key = (0, evaluate_1.signalKey)(signal);
+        const val = signalIdToResult.get(nsRow.signal_id);
+        if (val !== undefined) {
+            result[key] = val;
+        }
+    }
+    return result;
+}
+async function fetchIndicatorKeyMap(client, strategyId) {
+    const db = client;
+    const { data: nsRows, error: nsErr } = await db
+        .from('named_signals')
+        .select(`
+      signals:signal_id (
+        indicator_1:indicator_id_1 ( id, type, tickers:ticker_id ( symbol, leverage ), lookback, delay, unit, threshold ),
+        indicator_2:indicator_id_2 ( id, type, tickers:ticker_id ( symbol, leverage ), lookback, delay, unit, threshold )
+      )
+    `)
+        .eq('strategy_id', strategyId);
+    if (nsErr || !nsRows || nsRows.length === 0)
+        return new Map();
+    const keyToId = new Map();
+    for (const nsRow of nsRows) {
+        for (const ind of [nsRow.signals.indicator_1, nsRow.signals.indicator_2]) {
+            const key = (0, evaluate_1.indicatorKey)(mapIndicator(ind));
+            if (!keyToId.has(key)) {
+                keyToId.set(key, ind.id);
+            }
+        }
+    }
+    return keyToId;
+}
+async function fetchIndicatorEvaluationsForDay(client, strategyId, tradingDayId) {
+    const db = client;
+    const keyToId = await fetchIndicatorKeyMap(client, strategyId);
+    if (keyToId.size === 0)
+        return {};
+    const indicatorIds = [...keyToId.values()];
+    const { data: evalRows, error: evalErr } = await db
+        .from('indicator_evaluations')
+        .select('indicator_id, value, metadata, trading_days!inner(post)')
+        .in('indicator_id', indicatorIds)
+        .eq('trading_day_id', tradingDayId);
+    if (evalErr || !evalRows)
+        return {};
+    const byIndicatorId = new Map();
+    for (const row of evalRows) {
+        byIndicatorId.set(row.indicator_id, {
+            value: Number(row.value),
+            metadata: row.metadata,
+            post: row.trading_days.post,
+        });
+    }
+    const result = {};
+    for (const [key, id] of keyToId) {
+        const entry = byIndicatorId.get(id);
+        if (entry) {
+            result[key] = {
+                timestamp: entry.post,
+                value: entry.value,
+                ...(entry.metadata != null ? { metadata: entry.metadata } : {}),
+            };
+        }
+    }
+    return result;
+}
+async function fetchIndicatorMetadata(client, strategyId) {
+    const db = client;
+    const keyToId = await fetchIndicatorKeyMap(client, strategyId);
+    if (keyToId.size === 0)
+        return {};
+    const indicatorIds = [...keyToId.values()];
+    const { data: evalRows, error: evalErr } = await db
+        .from('indicator_evaluations')
+        .select('indicator_id, metadata, trading_day_id')
+        .in('indicator_id', indicatorIds)
+        .order('trading_day_id', { ascending: false });
+    if (evalErr || !evalRows)
+        return {};
+    const latestByIndicatorId = new Map();
+    for (const row of evalRows) {
+        if (!latestByIndicatorId.has(row.indicator_id) && row.metadata != null) {
+            latestByIndicatorId.set(row.indicator_id, row.metadata);
+        }
+    }
+    const result = {};
+    for (const [key, id] of keyToId) {
+        const meta = latestByIndicatorId.get(id);
+        if (meta !== undefined) {
+            result[key] = meta;
+        }
+    }
+    return result;
+}
+async function storeResult(client, strategy, result, tradingDayId) {
+    const db = client;
+    const { data: stratRow } = await client
+        .from('strategies')
+        .select('id')
+        .eq('link_id', strategy.linkId)
+        .limit(1)
+        .maybeSingle();
+    const signalResults = Object.entries(result.signals).map(([_key, sigResult]) => {
+        const ns = strategy.signals.find((ns) => (0, evaluate_1.signalKey)(ns.signal) === _key);
+        return { name: ns?.name ?? _key, result: sigResult };
+    });
+    const keyToId = stratRow ? await fetchIndicatorKeyMap(client, stratRow.id) : new Map();
+    const indicatorResults = Object.entries(result.indicators)
+        .filter(([key]) => keyToId.has(key))
+        .map(([key, indResult]) => ({
+        indicatorId: keyToId.get(key),
+        value: indResult.value,
+        metadata: indResult.metadata ?? null,
+    }));
+    const { error } = await db.rpc('upsert_evaluation', {
+        p_link_id: strategy.linkId,
+        p_allocation_name: result.allocation.name,
+        p_signal_results: signalResults,
+        p_indicator_results: indicatorResults,
+        p_trading_day_id: tradingDayId,
+    });
+    if (error)
+        throw new Error(`Failed to store evaluation: ${error.message}`);
+}
+// ---------------------------------------------------------------------------
+// Cache-through evaluation (exported)
+// ---------------------------------------------------------------------------
+async function evaluateCached(client, market, strategy, at) {
+    const db = client;
+    // 1. Fetch series + resolve strategy_id in parallel
+    const symbols = (0, symbols_1.extractSymbols)(strategy);
+    const [batchSeries, stratRow] = await Promise.all([
+        market.getBatchSeries(symbols),
+        client
+            .from('strategies')
+            .select('id')
+            .eq('link_id', strategy.linkId)
+            .limit(1)
+            .maybeSingle()
+            .then(({ data }) => data),
+    ]);
+    // 2. Build options for pure evaluation
+    const options = { at, batchSeries };
+    const evaluationDate = (0, evaluate_1.getEvaluationDate)(strategy.trading, options);
+    // 3. No DB strategy → pure eval
+    if (!stratRow)
+        return (0, evaluate_1.evaluate)(strategy, options);
+    // 4. Resolve trading_day_id
+    const { data: tdRow } = await db
+        .from('trading_days')
+        .select('id')
+        .lte('post', evaluationDate.toISOString())
+        .order('post', { ascending: false })
+        .limit(1)
+        .maybeSingle();
+    if (!tdRow)
+        return (0, evaluate_1.evaluate)(strategy, options);
+    // 5. Check cache
+    const { data: cacheRow } = await db
+        .from('strategy_evaluations')
+        .select('allocation_id')
+        .eq('strategy_id', stratRow.id)
+        .eq('trading_day_id', tdRow.id)
+        .limit(1)
+        .maybeSingle();
+    if (cacheRow) {
+        // CACHE HIT — reconstruct result
+        const { data: allocRow } = await db
+            .from('allocations')
+            .select('name')
+            .eq('id', cacheRow.allocation_id)
+            .limit(1)
+            .maybeSingle();
+        const namedAlloc = strategy.allocations.find(na => na.name === allocRow?.name)
+            ?? strategy.allocations[strategy.allocations.length - 1];
+        const [signals, indicators] = await Promise.all([
+            fetchSignalStatesForDay(client, stratRow.id, tdRow.id),
+            fetchIndicatorEvaluationsForDay(client, stratRow.id, tdRow.id),
+        ]);
+        return {
+            allocation: {
+                name: namedAlloc.name,
+                holdings: namedAlloc.allocation.holdings,
+            },
+            asOf: evaluationDate,
+            signals,
+            indicators,
+        };
+    }
+    // 6. CACHE MISS — fetch prior state, evaluate, store
+    const [prevSignals, prevMeta] = await Promise.all([
+        fetchSignalStates(client, stratRow.id),
+        fetchIndicatorMetadata(client, stratRow.id),
+    ]);
+    const result = (0, evaluate_1.evaluate)(strategy, {
+        ...options,
+        previousSignalStates: prevSignals,
+        previousIndicatorMetadata: prevMeta,
+    });
+    // Store (non-blocking)
+    storeResult(client, strategy, result, tdRow.id).catch(err => console.error('Failed to store evaluation:', err));
+    return result;
+}
+//# sourceMappingURL=cache.js.map

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package/dist/strategy/client.d.ts.map

@@ -1 +1 @@
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+{"version":3,"file":"client.d.ts","sourceRoot":"","sources":["../../src/strategy/client.ts"],"names":[],"mappings":"AAAA,OAAO,KAAK,EAAE,mBAAmB,EAAE,MAAM,UAAU,CAAC;AACpD,OAAO,KAAK,EAAE,cAAc,EAAE,MAAM,SAAS,CAAC;AAe9C,wBAAgB,cAAc,CAAC,MAAM,EAAE,mBAAmB,GAAG,cAAc,CAgB1E"}