@livefolio/sdk 0.2.13 → 0.3.0

package/dist/portfolio/rebalance.js

@@ -1,205 +0,0 @@
-"use strict";
-Object.defineProperty(exports, "__esModule", { value: true });
-exports.REBALANCE_CASH_SOURCE_SYMBOL = exports.REBALANCE_CASH_SYMBOL = exports.REBALANCE_PER_ORDER_FEE = exports.REBALANCE_SELL_SLIPPAGE_BPS = exports.REBALANCE_BUY_SLIPPAGE_BPS = exports.REBALANCE_MIN_CASH_RESERVE_VALUE = exports.REBALANCE_CASH_RESERVE_PERCENT = exports.REBALANCE_EPSILON = exports.REBALANCE_WHOLE_SHARE_QUANTITY_PRECISION = exports.REBALANCE_QUANTITY_PRECISION = exports.REBALANCE_MIN_TRADE_VALUE = exports.PORTFOLIO_DRIFT_THRESHOLD_PERCENT_POINTS = void 0;
-exports.computePortfolioDriftPercentPoints = computePortfolioDriftPercentPoints;
-exports.buildRebalancePlan = buildRebalancePlan;
-// ---------------------------------------------------------------------------
-// Constants (exported so consumers can import defaults)
-// ---------------------------------------------------------------------------
-/** Minimum portfolio drift (in percentage points) required before rebalancing is triggered. */
-exports.PORTFOLIO_DRIFT_THRESHOLD_PERCENT_POINTS = 25;
-/** Ignore tiny deltas below this notional value to avoid dust trades. */
-exports.REBALANCE_MIN_TRADE_VALUE = 1;
-/** Default quantity precision for fractionable symbols (100 = 2 decimal places). */
-exports.REBALANCE_QUANTITY_PRECISION = 100;
-/** Quantity precision for whole-share-only symbols (1 = integer shares only). */
-exports.REBALANCE_WHOLE_SHARE_QUANTITY_PRECISION = 1;
-/** Numeric tolerance for floating-point comparisons. */
-exports.REBALANCE_EPSILON = 1e-9;
-/** Keep this % of cash unallocated as a safety reserve. */
-exports.REBALANCE_CASH_RESERVE_PERCENT = 1;
-/** Absolute minimum dollar reserve kept as cash. */
-exports.REBALANCE_MIN_CASH_RESERVE_VALUE = 10;
-/** Inflate buy pricing by this many basis points when sizing orders. */
-exports.REBALANCE_BUY_SLIPPAGE_BPS = 30;
-/** Haircut expected sell proceeds by this many basis points when funding buys. */
-exports.REBALANCE_SELL_SLIPPAGE_BPS = 20;
-/** Flat per-order fee assumption used in funding math. */
-exports.REBALANCE_PER_ORDER_FEE = 0;
-/** Canonical symbol used in targetWeights when strategy holds cash. */
-exports.REBALANCE_CASH_SYMBOL = 'CASH';
-/** Strategy ticker that means "hold as cash". */
-exports.REBALANCE_CASH_SOURCE_SYMBOL = 'DTB3';
-// ---------------------------------------------------------------------------
-// Helpers
-// ---------------------------------------------------------------------------
-function assertFiniteNumber(name, value) {
-    if (typeof value !== 'number' || !Number.isFinite(value)) {
-        throw new Error(`Invalid numeric value for ${name}`);
-    }
-}
-function assertNonNegative(name, value) {
-    assertFiniteNumber(name, value);
-    if (value < 0) {
-        throw new Error(`Invalid negative value for ${name}`);
-    }
-}
-function assertPositive(name, value) {
-    assertFiniteNumber(name, value);
-    if (value <= 0) {
-        throw new Error(`Invalid non-positive value for ${name}`);
-    }
-}
-function quantityFromNotional(notional, price, quantityPrecision) {
-    return Math.floor((notional / price) * quantityPrecision) / quantityPrecision;
-}
-function bpsToFraction(bps) {
-    return bps / 10_000;
-}
-// ---------------------------------------------------------------------------
-// Public functions
-// ---------------------------------------------------------------------------
-function computePortfolioDriftPercentPoints(input) {
-    const { targetWeights, currentValues, cashValue, totalValue } = input;
-    assertPositive('totalValue', totalValue);
-    assertNonNegative('cashValue', cashValue);
-    let targetWeightSum = 0;
-    for (const [symbol, weight] of Object.entries(targetWeights)) {
-        assertNonNegative(`targetWeight(${symbol})`, weight);
-        targetWeightSum += weight;
-    }
-    if (targetWeightSum > 100 + exports.REBALANCE_EPSILON) {
-        throw new Error(`Invalid target weights: sum exceeds 100 (${targetWeightSum.toFixed(4)})`);
-    }
-    const symbols = new Set([...Object.keys(targetWeights), ...Object.keys(currentValues)]);
-    let absSum = 0;
-    for (const symbol of symbols) {
-        const currentValue = currentValues[symbol] ?? 0;
-        assertNonNegative(`currentValue(${symbol})`, currentValue);
-        const currentWeight = (currentValue / totalValue) * 100;
-        const targetWeight = targetWeights[symbol] ?? 0;
-        absSum += Math.abs(targetWeight - currentWeight);
-    }
-    // Only add implicit cash when target weights don't sum to 100 (no explicit cash ticker).
-    if (targetWeightSum < 100) {
-        const targetCashWeight = 100 - targetWeightSum;
-        const currentCashWeight = (cashValue / totalValue) * 100;
-        absSum += Math.abs(targetCashWeight - currentCashWeight);
-    }
-    return absSum / 2;
-}
-function buildRebalancePlan(input) {
-    const { targetWeights, currentValues, prices, quantityPrecisionBySymbol, cashValue, totalValue, portfolioDriftThresholdPercentPoints = exports.PORTFOLIO_DRIFT_THRESHOLD_PERCENT_POINTS, minTradeValue = exports.REBALANCE_MIN_TRADE_VALUE, cashReservePercent = exports.REBALANCE_CASH_RESERVE_PERCENT, minCashReserveValue = exports.REBALANCE_MIN_CASH_RESERVE_VALUE, buySlippageBps = exports.REBALANCE_BUY_SLIPPAGE_BPS, sellSlippageBps = exports.REBALANCE_SELL_SLIPPAGE_BPS, perOrderFee = exports.REBALANCE_PER_ORDER_FEE, cashSymbol, } = input;
-    assertPositive('totalValue', totalValue);
-    assertNonNegative('cashValue', cashValue);
-    assertNonNegative('portfolioDriftThresholdPercentPoints', portfolioDriftThresholdPercentPoints);
-    assertNonNegative('minTradeValue', minTradeValue);
-    assertNonNegative('cashReservePercent', cashReservePercent);
-    assertNonNegative('minCashReserveValue', minCashReserveValue);
-    assertNonNegative('buySlippageBps', buySlippageBps);
-    assertNonNegative('sellSlippageBps', sellSlippageBps);
-    assertNonNegative('perOrderFee', perOrderFee);
-    for (const [symbol, precision] of Object.entries(quantityPrecisionBySymbol ?? {})) {
-        assertPositive(`quantityPrecisionBySymbol(${symbol})`, precision);
-    }
-    const portfolioDriftPercentPoints = computePortfolioDriftPercentPoints({
-        targetWeights,
-        currentValues,
-        cashValue,
-        totalValue,
-    });
-    if (portfolioDriftPercentPoints < portfolioDriftThresholdPercentPoints) {
-        return {
-            triggered: false,
-            portfolioDriftPercentPoints,
-            reason: 'below_threshold',
-            orders: [],
-        };
-    }
-    const symbols = new Set([...Object.keys(targetWeights), ...Object.keys(currentValues)]);
-    const sellCandidates = [];
-    const buyCandidates = [];
-    for (const symbol of symbols) {
-        if (cashSymbol != null && symbol === cashSymbol)
-            continue;
-        const currentValue = currentValues[symbol] ?? 0;
-        assertNonNegative(`currentValue(${symbol})`, currentValue);
-        const targetWeight = targetWeights[symbol] ?? 0;
-        const targetValue = (targetWeight / 100) * totalValue;
-        const delta = targetValue - currentValue;
-        if (Math.abs(delta) <= minTradeValue)
-            continue;
-        const price = prices[symbol];
-        assertPositive(`price(${symbol})`, price);
-        if (delta < 0) {
-            sellCandidates.push({ symbol, notional: Math.abs(delta), price });
-        }
-        else {
-            buyCandidates.push({ symbol, notional: delta, price });
-        }
-    }
-    sellCandidates.sort((a, b) => b.notional - a.notional);
-    buyCandidates.sort((a, b) => b.notional - a.notional);
-    const orders = [];
-    const reserveValue = Math.max(minCashReserveValue, cashValue * (cashReservePercent / 100));
-    let availableFunds = Math.max(0, cashValue - reserveValue);
-    const buySlippageMultiplier = 1 + bpsToFraction(buySlippageBps);
-    const sellSlippageMultiplier = 1 - bpsToFraction(sellSlippageBps);
-    for (const candidate of sellCandidates) {
-        const quantityPrecision = quantityPrecisionBySymbol?.[candidate.symbol] ?? exports.REBALANCE_QUANTITY_PRECISION;
-        const quantity = quantityFromNotional(candidate.notional, candidate.price, quantityPrecision);
-        if (quantity <= 0)
-            continue;
-        const estimatedValue = quantity * candidate.price;
-        if (estimatedValue <= minTradeValue)
-            continue;
-        orders.push({
-            action: 'SELL',
-            symbol: candidate.symbol,
-            quantity,
-            estimatedPrice: candidate.price,
-            estimatedValue,
-        });
-        const netProceeds = Math.max(0, estimatedValue * sellSlippageMultiplier - perOrderFee);
-        availableFunds += netProceeds;
-    }
-    for (const candidate of buyCandidates) {
-        if (availableFunds <= minTradeValue)
-            break;
-        const maxAffordableNotional = Math.max(0, availableFunds - perOrderFee);
-        const cappedNotional = Math.min(candidate.notional, maxAffordableNotional);
-        const effectiveBuyPrice = candidate.price * buySlippageMultiplier;
-        const quantityPrecision = quantityPrecisionBySymbol?.[candidate.symbol] ?? exports.REBALANCE_QUANTITY_PRECISION;
-        const quantity = quantityFromNotional(cappedNotional, effectiveBuyPrice, quantityPrecision);
-        if (quantity <= 0)
-            continue;
-        const estimatedValue = quantity * candidate.price;
-        if (estimatedValue <= minTradeValue)
-            continue;
-        const reservedCost = quantity * effectiveBuyPrice + perOrderFee;
-        if (reservedCost > availableFunds + exports.REBALANCE_EPSILON)
-            continue;
-        orders.push({
-            action: 'BUY',
-            symbol: candidate.symbol,
-            quantity,
-            estimatedPrice: candidate.price,
-            estimatedValue,
-        });
-        availableFunds = Math.max(0, availableFunds - reservedCost);
-    }
-    orders.sort((a, b) => {
-        if (a.action === 'SELL' && b.action === 'BUY')
-            return -1;
-        if (a.action === 'BUY' && b.action === 'SELL')
-            return 1;
-        return 0;
-    });
-    return {
-        triggered: true,
-        portfolioDriftPercentPoints,
-        reason: orders.length > 0 ? 'ok' : 'no_orders',
-        orders,
-    };
-}
-//# sourceMappingURL=rebalance.js.map

package/dist/portfolio/rebalance.js.map

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package/dist/portfolio/symbols.d.ts

@@ -1,13 +0,0 @@
-import type { Ticker } from '../strategy/types';
-/** Maps FRED rate symbols to tradable equivalents. `null` = hold as cash. */
-export declare const FRED_TRADABLE_MAP: Record<string, string | null>;
-/** Normalizes equivalent base tickers to a canonical symbol for leverage lookups. */
-export declare const BASE_TICKER_ALIASES: Record<string, string>;
-/** Maps "SYMBOL:LEVERAGE" to the actual leveraged/inverse ETF ticker. Covers bull (2x/3x) and inverse (-1x/-2x/-3x). */
-export declare const ETF_LEVERAGE_MAP: Record<string, string>;
-/**
- * Maps a strategy ticker to its tradable symbol.
- * Pipeline: FRED mapping -> leveraged/inverse ETF lookup (with alias normalization) -> passthrough.
- */
-export declare function mapTickerToTradable(ticker: Ticker): string | null;
-//# sourceMappingURL=symbols.d.ts.map

package/dist/portfolio/symbols.d.ts.map

@@ -1 +0,0 @@
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package/dist/portfolio/symbols.js

@@ -1,112 +0,0 @@
-"use strict";
-Object.defineProperty(exports, "__esModule", { value: true });
-exports.ETF_LEVERAGE_MAP = exports.BASE_TICKER_ALIASES = exports.FRED_TRADABLE_MAP = void 0;
-exports.mapTickerToTradable = mapTickerToTradable;
-/** Maps FRED rate symbols to tradable equivalents. `null` = hold as cash. */
-exports.FRED_TRADABLE_MAP = {
-    DTB3: null,
-    DFF: 'USFR',
-};
-/** Normalizes equivalent base tickers to a canonical symbol for leverage lookups. */
-exports.BASE_TICKER_ALIASES = {
-    VOO: 'SPY',
-    IVV: 'SPY',
-};
-/** Maps "SYMBOL:LEVERAGE" to the actual leveraged/inverse ETF ticker. Covers bull (2x/3x) and inverse (-1x/-2x/-3x). */
-exports.ETF_LEVERAGE_MAP = {
-    // Bull — Broad market
-    'SPY:2': 'SSO',
-    'SPY:3': 'UPRO',
-    'QQQ:2': 'QLD',
-    'QQQ:3': 'TQQQ',
-    'IWM:2': 'UWM',
-    'IWM:3': 'TNA',
-    'DIA:2': 'DDM',
-    'DIA:3': 'UDOW',
-    'MDY:2': 'MVV',
-    'MDY:3': 'UMDD',
-    // Bull — Bonds
-    'TLT:2': 'UBT',
-    'TLT:3': 'TMF',
-    // Bull — Sectors
-    'XLF:2': 'UYG',
-    'XLF:3': 'FAS',
-    'XLE:2': 'DIG',
-    'XLK:2': 'ROM',
-    'XLK:3': 'TECL',
-    'XLV:2': 'RXL',
-    'XLV:3': 'CURE',
-    'XLU:2': 'UPW',
-    'XLB:2': 'UYM',
-    'XLP:2': 'UGE',
-    'XLY:2': 'UCC',
-    'XLI:2': 'UXI',
-    'XLI:3': 'DUSL',
-    'XLRE:2': 'URE',
-    'XLRE:3': 'DRN',
-    'SOXX:2': 'USD',
-    'SOXX:3': 'SOXL',
-    // Bull — International
-    'EEM:2': 'EET',
-    'EEM:3': 'EDC',
-    'EFA:2': 'EFO',
-    'FXI:3': 'YINN',
-    // Bull — Commodities
-    'GLD:2': 'UGL',
-    'SLV:2': 'AGQ',
-    'USO:2': 'UCO',
-    'GDX:2': 'NUGT',
-    // Bull — Crypto
-    'BTC-USD:2': 'BITU',
-    // Inverse — Broad market
-    'SPY:-1': 'SH',
-    'SPY:-2': 'SDS',
-    'SPY:-3': 'SPXU',
-    'QQQ:-1': 'PSQ',
-    'QQQ:-2': 'QID',
-    'QQQ:-3': 'SQQQ',
-    'IWM:-1': 'RWM',
-    'IWM:-2': 'TWM',
-    'IWM:-3': 'TZA',
-    'DIA:-1': 'DOG',
-    'DIA:-2': 'DXD',
-    'DIA:-3': 'SDOW',
-    'MDY:-3': 'SMDD',
-    // Inverse — Bonds
-    'TLT:-1': 'TBF',
-    'TLT:-2': 'TBT',
-    'TLT:-3': 'TMV',
-    // Inverse — Sectors
-    'XLF:-2': 'SKF',
-    'XLF:-3': 'FAZ',
-    'XLE:-2': 'DUG',
-    'XLK:-3': 'TECS',
-    'SOXX:-3': 'SOXS',
-    // Inverse — International
-    'EEM:-2': 'EEV',
-    'EEM:-3': 'EDZ',
-    // Inverse — Commodities
-    'GLD:-2': 'GLL',
-};
-/**
- * Maps a strategy ticker to its tradable symbol.
- * Pipeline: FRED mapping -> leveraged/inverse ETF lookup (with alias normalization) -> passthrough.
- */
-function mapTickerToTradable(ticker) {
-    const { symbol, leverage } = ticker;
-    // FRED mapping takes priority
-    if (symbol in exports.FRED_TRADABLE_MAP)
-        return exports.FRED_TRADABLE_MAP[symbol];
-    // Leveraged/inverse ETF lookup
-    if (leverage !== 1) {
-        const canonical = exports.BASE_TICKER_ALIASES[symbol] ?? symbol;
-        const key = `${canonical}:${leverage}`;
-        const mapped = exports.ETF_LEVERAGE_MAP[key];
-        if (!mapped) {
-            throw new Error(`No leveraged ETF mapping for ${symbol} at ${leverage}x`);
-        }
-        return mapped;
-    }
-    return symbol;
-}
-//# sourceMappingURL=symbols.js.map

package/dist/portfolio/symbols.js.map

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

@@ -1,13 +0,0 @@
-import type { Ticker } from '../strategy/types';
-import type { RebalancePlanInput, RebalancePlan } from './rebalance';
-export interface PortfolioModule {
-    buildRebalancePlan(input: RebalancePlanInput): RebalancePlan;
-    computePortfolioDriftPercentPoints(input: {
-        targetWeights: Record<string, number>;
-        currentValues: Record<string, number>;
-        cashValue: number;
-        totalValue: number;
-    }): number;
-    mapTickerToTradable(ticker: Ticker): string | null;
-}
-//# sourceMappingURL=types.d.ts.map

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

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package/dist/portfolio/types.js

@@ -1,3 +0,0 @@
-"use strict";
-Object.defineProperty(exports, "__esModule", { value: true });
-//# sourceMappingURL=types.js.map

package/dist/portfolio/types.js.map

@@ -1 +0,0 @@
-{"version":3,"file":"types.js","sourceRoot":"","sources":["../../src/portfolio/types.ts"],"names":[],"mappings":""}

package/dist/strategy/backtest.d.ts

@@ -1,6 +0,0 @@
-import type { BacktestOptions, BacktestResult, Strategy, StrategyDraft } from './types';
-import type { MarketModule } from '../market/types';
-export declare function backtestWithMarketData(market: Pick<MarketModule, 'getBatchSeriesFromDb' | 'getTradingDays'>, strategy: Strategy, options: BacktestOptions): Promise<BacktestResult>;
-export declare function backtestRulesWithMarketData(market: Pick<MarketModule, 'getBatchSeriesFromDb' | 'getTradingDays'>, strategyDraft: StrategyDraft, options: BacktestOptions): Promise<BacktestResult>;
-export declare function backtest(strategy: Strategy, options: BacktestOptions): Promise<BacktestResult>;
-//# sourceMappingURL=backtest.d.ts.map

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

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