@livefolio/sdk 0.2.1 → 0.2.4

package/dist/strategy/index.d.ts

@@ -1,5 +1,10 @@
-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';
+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, StreamObservation, StrategyDraft, StrategyAllocationDraft, SignalNameExpr, NotSignalNameExpr, SignalNameUnaryExpr, SignalNameAndExpr, SignalNameOrExpr, SignalNameCondition, BacktestOptions, BacktestDebugOptions, BacktestRebalanceConfig, BacktestResult, BacktestTrade, BacktestTimeseries, BacktestSummary, BacktestAnnualTax, } from './types';
 export { createStrategy } from './client';
+export { get, getMany } from './get';
+export { evaluateCached } from './cache';
+export { stream } from './stream';
+export { backtest, backtestWithMarketData, backtestRulesWithMarketData } from './backtest';
+export { compileRules } from './rules';
 export { evaluateIndicator, evaluateSignal, evaluateAllocation, evaluate, getEvaluationDate, indicatorKey, signalKey } from './evaluate';
 export { extractSymbols, INDICATOR_SYMBOL_MAP } from './symbols';
 export { utcToET, isAtMarketClose } from './time';

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

@@ -1 +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,iBAAiB,EACjB,aAAa,EACb,uBAAuB,EACvB,cAAc,EACd,iBAAiB,EACjB,mBAAmB,EACnB,iBAAiB,EACjB,gBAAgB,EAChB,mBAAmB,EACnB,eAAe,EACf,oBAAoB,EACpB,uBAAuB,EACvB,cAAc,EACd,aAAa,EACb,kBAAkB,EAClB,eAAe,EACf,iBAAiB,GAClB,MAAM,SAAS,CAAC;AAEjB,OAAO,EAAE,cAAc,EAAE,MAAM,UAAU,CAAC;AAC1C,OAAO,EAAE,GAAG,EAAE,OAAO,EAAE,MAAM,OAAO,CAAC;AACrC,OAAO,EAAE,cAAc,EAAE,MAAM,SAAS,CAAC;AACzC,OAAO,EAAE,MAAM,EAAE,MAAM,UAAU,CAAC;AAClC,OAAO,EAAE,QAAQ,EAAE,sBAAsB,EAAE,2BAA2B,EAAE,MAAM,YAAY,CAAC;AAC3F,OAAO,EAAE,YAAY,EAAE,MAAM,SAAS,CAAC;AACvC,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"}

package/dist/strategy/index.js

@@ -1,8 +1,21 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
-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;
+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.compileRules = exports.backtestRulesWithMarketData = exports.backtestWithMarketData = exports.backtest = exports.stream = exports.evaluateCached = exports.getMany = exports.get = exports.createStrategy = void 0;
 var client_1 = require("./client");
 Object.defineProperty(exports, "createStrategy", { enumerable: true, get: function () { return client_1.createStrategy; } });
+var get_1 = require("./get");
+Object.defineProperty(exports, "get", { enumerable: true, get: function () { return get_1.get; } });
+Object.defineProperty(exports, "getMany", { enumerable: true, get: function () { return get_1.getMany; } });
+var cache_1 = require("./cache");
+Object.defineProperty(exports, "evaluateCached", { enumerable: true, get: function () { return cache_1.evaluateCached; } });
+var stream_1 = require("./stream");
+Object.defineProperty(exports, "stream", { enumerable: true, get: function () { return stream_1.stream; } });
+var backtest_1 = require("./backtest");
+Object.defineProperty(exports, "backtest", { enumerable: true, get: function () { return backtest_1.backtest; } });
+Object.defineProperty(exports, "backtestWithMarketData", { enumerable: true, get: function () { return backtest_1.backtestWithMarketData; } });
+Object.defineProperty(exports, "backtestRulesWithMarketData", { enumerable: true, get: function () { return backtest_1.backtestRulesWithMarketData; } });
+var rules_1 = require("./rules");
+Object.defineProperty(exports, "compileRules", { enumerable: true, get: function () { return rules_1.compileRules; } });
 var evaluate_1 = require("./evaluate");
 Object.defineProperty(exports, "evaluateIndicator", { enumerable: true, get: function () { return evaluate_1.evaluateIndicator; } });
 Object.defineProperty(exports, "evaluateSignal", { enumerable: true, get: function () { return evaluate_1.evaluateSignal; } });

package/dist/strategy/index.js.map

@@ -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"}
+{"version":3,"file":"index.js","sourceRoot":"","sources":["../../src/strategy/index.ts"],"names":[],"mappings":";;;AA2CA,mCAA0C;AAAjC,wGAAA,cAAc,OAAA;AACvB,6BAAqC;AAA5B,0FAAA,GAAG,OAAA;AAAE,8FAAA,OAAO,OAAA;AACrB,iCAAyC;AAAhC,uGAAA,cAAc,OAAA;AACvB,mCAAkC;AAAzB,gGAAA,MAAM,OAAA;AACf,uCAA2F;AAAlF,oGAAA,QAAQ,OAAA;AAAE,kHAAA,sBAAsB,OAAA;AAAE,uHAAA,2BAA2B,OAAA;AACtE,iCAAuC;AAA9B,qGAAA,YAAY,OAAA;AACrB,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"}

package/dist/strategy/rules.d.ts

@@ -0,0 +1,3 @@
+import type { StrategyDraft, Strategy } from './types';
+export declare function compileRules(strategyDraft: StrategyDraft): Strategy;
+//# sourceMappingURL=rules.d.ts.map

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

@@ -0,0 +1 @@
+{"version":3,"file":"rules.d.ts","sourceRoot":"","sources":["../../src/strategy/rules.ts"],"names":[],"mappings":"AAAA,OAAO,KAAK,EAKV,aAAa,EAEb,QAAQ,EACT,MAAM,SAAS,CAAC;AAmDjB,wBAAgB,YAAY,CAAC,aAAa,EAAE,aAAa,GAAG,QAAQ,CAwDnE"}

package/dist/strategy/rules.js

@@ -0,0 +1,100 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.compileRules = compileRules;
+function isDefaultName(name) {
+    return name.trim().toLowerCase() === 'default';
+}
+function validateHoldingsWeights(strategyDraft) {
+    for (const allocation of strategyDraft.allocations) {
+        if (!allocation.holdings.length) {
+            throw new Error(`Allocation "${allocation.name}" must include at least one holding.`);
+        }
+        for (const holding of allocation.holdings) {
+            if (!Number.isFinite(holding.weight)) {
+                throw new Error(`Allocation "${allocation.name}" has a non-finite holding weight.`);
+            }
+        }
+        const total = allocation.holdings.reduce((sum, holding) => sum + holding.weight, 0);
+        if (!Number.isFinite(total) || Math.abs(total - 100) > 1e-6) {
+            throw new Error(`Allocation "${allocation.name}" weights must sum to 100.`);
+        }
+    }
+}
+function compileRuleCondition(condition, signalByName) {
+    switch (condition.kind) {
+        case 'signal': {
+            const signal = signalByName.get(condition.signalName);
+            if (!signal)
+                throw new Error(`Unknown signal reference: "${condition.signalName}".`);
+            return { kind: 'signal', signal };
+        }
+        case 'not': {
+            const signal = signalByName.get(condition.signalName);
+            if (!signal)
+                throw new Error(`Unknown signal reference: "${condition.signalName}".`);
+            return { kind: 'not', signal };
+        }
+        case 'and':
+            return {
+                kind: 'and',
+                args: condition.args.map((arg) => compileRuleCondition(arg, signalByName)),
+            };
+        case 'or':
+            return {
+                kind: 'or',
+                args: condition.args.map((arg) => compileRuleCondition(arg, signalByName)),
+            };
+    }
+}
+function compileRules(strategyDraft) {
+    if (strategyDraft.signals.length === 0) {
+        throw new Error('Rule strategy must define at least one signal.');
+    }
+    if (strategyDraft.allocations.length === 0) {
+        throw new Error('Rule strategy must define at least one allocation.');
+    }
+    const signalByName = new Map();
+    for (const signal of strategyDraft.signals) {
+        if (!signal.name.trim()) {
+            throw new Error('Signal names must be non-empty.');
+        }
+        if (signalByName.has(signal.name)) {
+            throw new Error(`Duplicate signal name: "${signal.name}".`);
+        }
+        signalByName.set(signal.name, signal.signal);
+    }
+    const allocationNames = new Set();
+    for (const allocation of strategyDraft.allocations) {
+        const normalized = allocation.name.trim().toLowerCase();
+        if (!normalized) {
+            throw new Error('Allocation names must be non-empty.');
+        }
+        if (allocationNames.has(normalized)) {
+            throw new Error(`Duplicate allocation name: "${allocation.name}".`);
+        }
+        allocationNames.add(normalized);
+    }
+    const defaultAllocations = strategyDraft.allocations.filter((allocation) => isDefaultName(allocation.name));
+    if (defaultAllocations.length !== 1) {
+        throw new Error('Rule strategy must include exactly one allocation named "Default".');
+    }
+    const defaultIndex = strategyDraft.allocations.findIndex((allocation) => isDefaultName(allocation.name));
+    if (defaultIndex !== strategyDraft.allocations.length - 1) {
+        throw new Error('Allocation "Default" must be the final fallback allocation.');
+    }
+    validateHoldingsWeights(strategyDraft);
+    return {
+        linkId: strategyDraft.linkId,
+        name: strategyDraft.name,
+        trading: strategyDraft.trading,
+        signals: strategyDraft.signals.map((signal) => ({ ...signal })),
+        allocations: strategyDraft.allocations.map((allocation) => ({
+            name: allocation.name,
+            allocation: {
+                condition: compileRuleCondition(allocation.condition, signalByName),
+                holdings: allocation.holdings.map((holding) => ({ ...holding })),
+            },
+        })),
+    };
+}
+//# sourceMappingURL=rules.js.map

package/dist/strategy/rules.js.map

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

@@ -0,0 +1,5 @@
+import type { TypedSupabaseClient } from '../types';
+import type { MarketModule } from '../market/types';
+import type { Strategy, StrategyEvaluation, StreamObservation } from './types';
+export declare function stream(client: TypedSupabaseClient, market: MarketModule, strategy: Strategy, observation: StreamObservation | StreamObservation[]): Promise<StrategyEvaluation>;
+//# sourceMappingURL=stream.d.ts.map

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

@@ -0,0 +1 @@
+{"version":3,"file":"stream.d.ts","sourceRoot":"","sources":["../../src/strategy/stream.ts"],"names":[],"mappings":"AAAA,OAAO,KAAK,EAAE,mBAAmB,EAAE,MAAM,UAAU,CAAC;AACpD,OAAO,KAAK,EAAE,YAAY,EAAe,MAAM,iBAAiB,CAAC;AACjE,OAAO,KAAK,EAAE,QAAQ,EAAE,kBAAkB,EAAE,iBAAiB,EAAE,MAAM,SAAS,CAAC;AAsB/E,wBAAsB,MAAM,CAC1B,MAAM,EAAE,mBAAmB,EAC3B,MAAM,EAAE,YAAY,EACpB,QAAQ,EAAE,QAAQ,EAClB,WAAW,EAAE,iBAAiB,GAAG,iBAAiB,EAAE,GACnD,OAAO,CAAC,kBAAkB,CAAC,CAyC7B"}

package/dist/strategy/stream.js

@@ -0,0 +1,58 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.stream = stream;
+const evaluate_1 = require("./evaluate");
+const symbols_1 = require("./symbols");
+const cache_1 = require("./cache");
+function mergeObservations(batchSeries, observations) {
+    let merged = { ...batchSeries };
+    for (const obs of observations) {
+        const series = [...(merged[obs.symbol] ?? [])];
+        const obsDate = obs.timestamp.slice(0, 10); // YYYY-MM-DD
+        const idx = series.findIndex(o => o.timestamp.slice(0, 10) === obsDate);
+        const entry = { timestamp: obs.timestamp, value: obs.value };
+        if (idx >= 0)
+            series[idx] = entry; // replace incomplete bar
+        else
+            series.push(entry); // append new day
+        merged = { ...merged, [obs.symbol]: series };
+    }
+    return merged;
+}
+async function stream(client, market, strategy, observation) {
+    const observations = Array.isArray(observation) ? observation : [observation];
+    if (observations.length === 0) {
+        throw new Error('stream() requires at least one observation');
+    }
+    // 1. Fetch historical series for all symbols
+    const symbols = (0, symbols_1.extractSymbols)(strategy);
+    const batchSeries = await market.getBatchSeries(symbols);
+    // 2. Merge the incoming observations into the series (replace same-date or append)
+    const mergedSeries = mergeObservations(batchSeries, observations);
+    // 3. Build evaluation options with latest observation timestamp
+    const at = new Date(observations[observations.length - 1].timestamp);
+    const options = { at, batchSeries: mergedSeries };
+    // 4. Fetch prior signal states for hysteresis (read-only, no cache write)
+    const stratRow = await client
+        .from('strategies')
+        .select('id')
+        .eq('link_id', strategy.linkId)
+        .limit(1)
+        .maybeSingle()
+        .then(({ data }) => data);
+    let prevSignals = {};
+    let prevMeta = {};
+    if (stratRow) {
+        [prevSignals, prevMeta] = await Promise.all([
+            (0, cache_1.fetchSignalStates)(client, stratRow.id),
+            (0, cache_1.fetchIndicatorMetadata)(client, stratRow.id),
+        ]);
+    }
+    // 5. Evaluate (skip cache check and result storage — interim data)
+    return (0, evaluate_1.evaluate)(strategy, {
+        ...options,
+        previousSignalStates: prevSignals,
+        previousIndicatorMetadata: prevMeta,
+    });
+}
+//# sourceMappingURL=stream.js.map

package/dist/strategy/stream.js.map

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

@@ -1,4 +1,4 @@
-import type { Observation } from '../market/types';
+import type { Observation, TradingDay } from '../market/types';
 export type Comparison = '>' | '<' | '=';
 export type IndicatorType = 'SMA' | 'EMA' | 'Price' | 'Return' | 'Volatility' | 'Drawdown' | 'RSI' | 'VIX' | 'VIX3M' | 'T3M' | 'T6M' | 'T1Y' | 'T2Y' | 'T3Y' | 'T5Y' | 'T7Y' | 'T10Y' | 'T20Y' | 'T30Y' | 'Month' | 'Day of Week' | 'Day of Month' | 'Day of Year' | 'Threshold';
 export type Frequency = 'Daily' | 'Weekly' | 'Monthly' | 'Bi-monthly' | 'Quarterly' | 'Every 4 Months' | 'Semiannually' | 'Yearly';
@@ -66,6 +66,36 @@ export interface Strategy {
     allocations: NamedAllocation[];
     signals: NamedSignal[];
 }
+export interface SignalNameExpr {
+    kind: 'signal';
+    signalName: string;
+}
+export interface NotSignalNameExpr {
+    kind: 'not';
+    signalName: string;
+}
+export type SignalNameUnaryExpr = SignalNameExpr | NotSignalNameExpr;
+export interface SignalNameAndExpr {
+    kind: 'and';
+    args: SignalNameUnaryExpr[];
+}
+export interface SignalNameOrExpr {
+    kind: 'or';
+    args: SignalNameAndExpr[];
+}
+export type SignalNameCondition = SignalNameOrExpr | SignalNameAndExpr | SignalNameUnaryExpr;
+export interface StrategyAllocationDraft {
+    name: string;
+    condition: SignalNameCondition;
+    holdings: Holding[];
+}
+export interface StrategyDraft {
+    linkId: string;
+    name: string;
+    trading: Trading;
+    signals: NamedSignal[];
+    allocations: StrategyAllocationDraft[];
+}
 export interface EvaluationOptions {
     at: Date;
     batchSeries: Record<string, Observation[]>;
@@ -87,11 +117,69 @@ export interface StrategyEvaluation {
     signals: Record<string, boolean>;
     indicators: Record<string, IndicatorEvaluation>;
 }
+export interface StreamObservation {
+    symbol: string;
+    timestamp: string;
+    value: number;
+}
 export interface BacktestOptions {
     startDate: string;
     endDate: string;
+    initialCapital?: number;
+    batchSeries?: Record<string, Observation[]>;
+    tradingDays?: TradingDay[];
+    allocationRebalance?: Record<string, BacktestRebalanceConfig>;
+    debug?: boolean | BacktestDebugOptions;
+}
+export interface BacktestDebugOptions {
+    logEveryDays?: number;
+}
+export type BacktestRebalanceConfig = {
+    mode: 'on_change';
+} | {
+    mode: 'drift';
+    driftPct: number;
+} | {
+    mode: 'calendar';
+    frequency: 'Daily' | 'Monthly' | 'Yearly';
+};
+export interface BacktestTrade {
+    date: string;
+    ticker: string;
+    leverage: number;
+    shares: number;
+    price: number;
+    value: number;
+    action: 'buy' | 'sell';
+    allocation: string;
+}
+export interface BacktestTimeseries {
+    dates: string[];
+    portfolio: number[];
+    cash: number[];
+    drawdownPct: number[];
+    allocation: string[];
+}
+export interface BacktestSummary {
+    initialValue: number;
+    finalValue: number;
+    totalReturnPct: number;
+    cagrPct: number;
+    maxDrawdownPct: number;
+    annualizedVolatilityPct: number;
+    sharpeRatio: number;
+    tradeCount: number;
+}
+export interface BacktestAnnualTax {
+    year: number;
+    shortTermRealizedGains: number;
+    longTermRealizedGains: number;
 }
 export interface BacktestResult {
+    timeseries: BacktestTimeseries;
+    summary: BacktestSummary;
+    trades: BacktestTrade[];
+    annualTax: BacktestAnnualTax[];
 }
 export interface StrategyModule {
     get(linkId: string): Promise<Strategy | null>;
@@ -102,6 +190,9 @@ export interface StrategyModule {
     evaluateAllocation(allocation: Allocation, options: EvaluationOptions): boolean;
     getEvaluationDate(trading: Trading, options: EvaluationOptions): Date;
     extractSymbols(strategy: Strategy): string[];
+    compileRules(strategyDraft: StrategyDraft): Strategy;
+    backtestRules(strategyDraft: StrategyDraft, options: BacktestOptions): Promise<BacktestResult>;
+    stream(strategy: Strategy, observation: StreamObservation | StreamObservation[]): Promise<StrategyEvaluation>;
     backtest(strategy: Strategy, options: BacktestOptions): Promise<BacktestResult>;
 }
 //# sourceMappingURL=types.d.ts.map

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

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package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@livefolio/sdk",
-  "version": "0.2.1",
+  "version": "0.2.4",
   "description": "Livefolio SDK — market data, strategy evaluation, and portfolio management",
   "main": "dist/index.js",
   "types": "dist/index.d.ts",
@@ -33,7 +33,11 @@
     "build": "tsc",
     "clean": "rm -rf dist",
     "test": "vitest run",
-    "test:watch": "vitest"
+    "test:watch": "vitest",
+    "ingest:init": "node scripts/ingest-price-observations.cjs --mode init",
+    "ingest:daily": "node scripts/ingest-price-observations.cjs --mode daily",
+    "backtest:smoke": "node scripts/backtest-smoke.cjs",
+    "prepare": "npm run build"
   },
   "dependencies": {
     "@livefolio/db": "*",