@livefolio/sdk 0.4.3 → 0.5.0-rc.1

package/dist/index.d.ts

@@ -176,6 +176,54 @@ type Position = {
     /** Optional key-value labels for strategy attribution or downstream reporting. */
     tags?: Record<string, unknown>;
 };
+/**
+ * Tax classification of a {@link RealizedEvent}. Drives which rate bucket the
+ * income falls into during year-level tax aggregation.
+ */
+type IncomeKind = 'capital-gain' | 'qualified-dividend' | 'ordinary-dividend' | 'interest';
+/**
+ * A single tax lot — one acquisition of `quantity` shares of `asset` at a
+ * point in time. The cost-basis source of truth for long holdings. Partial
+ * sales reduce `quantity` and pro-rate `basis`.
+ */
+type Lot = {
+    /** Opaque id assigned by {@link nextLotId} on creation. */
+    id: string;
+    asset: Asset;
+    /** Shares remaining in this lot after any partial sales. */
+    quantity: number;
+    /** Date the lot was opened (a DRIP lot's clock starts at its pay date). */
+    openDate: Date;
+    /** Per-share open price, excluding fees. */
+    openPrice: number;
+    /** Total cost basis for `quantity` shares incl. entry fees; pro-rated on partial sale and bumped by wash-sale §1091. */
+    basis: number;
+    /** Running total of disallowed wash-sale losses absorbed into `basis`. */
+    washSaleAdjustment?: number;
+    /** Set when this lot was created via dividend reinvestment; references the lot whose dividend funded it. */
+    dripParent?: string;
+};
+/**
+ * An append-only record of realized taxable activity: a capital gain/loss from
+ * closing (part of) a lot, or dividend/interest income. `quantity` is `0` for
+ * income events (dividends, interest), which carry `basis: 0` and `gain = proceeds`.
+ */
+type RealizedEvent = {
+    asset: Asset;
+    /** The lot this event closed against. For income events, a reference token (e.g. the paying lot, or `'cash'` for interest). */
+    lotId: string;
+    /** Shares closed; `0` for dividend and interest income events. */
+    quantity: number;
+    openDate: Date;
+    closeDate: Date;
+    proceeds: number;
+    basis: number;
+    termType: 'short' | 'long';
+    gain: number;
+    incomeKind: IncomeKind;
+    /** When `> 0`, this much of a (negative) capital gain was disallowed by the wash-sale rule and rolled into a replacement lot's basis. */
+    washSaleDisallowed?: number;
+};
 /**
  * A point-in-time snapshot of the full portfolio state.
  *
@@ -199,6 +247,17 @@ type Portfolio = {
     cash: number;
     /** All currently open positions. Immutable array — replaced (not mutated) by apply functions. */
     positions: ReadonlyArray<Position>;
+    /**
+     * Long-side tax ledger — the cost-basis source of truth for lot accounting.
+     * Maintained in parallel with `positions` by `applyFills`; defaults to `[]`
+     * when absent. Short positions and `adjust` orders do not participate.
+     */
+    lots?: ReadonlyArray<Lot>;
+    /**
+     * Append-only log of realized capital gains and dividend/interest income
+     * accumulated during a run. Defaults to `[]` when absent.
+     */
+    realized?: ReadonlyArray<RealizedEvent>;
     /** Logical timestamp of the most recent fill (or the portfolio's start date). */
     t: Date;
 };
@@ -380,6 +439,13 @@ type Fill = {
     price: number;
     /** Total transaction fees in the portfolio's base currency. */
     fees: number;
+    /**
+     * Optional id of the specific {@link Lot} this fill draws from on a sell.
+     * Set by {@link BacktestExecutor} when a `lotMethod` is configured so
+     * {@link applyFills} consumes the chosen lot rather than defaulting to FIFO.
+     * Absent on buys and on default-FIFO sells.
+     */
+    lotId?: string;
 };
 
 /**
@@ -2760,12 +2826,27 @@ type FeatureRef = {
  * - `'lt'`  — strictly less than (`l < r`)
  * - `'gte'` — greater than or equal to (`l >= r`)
  * - `'lte'` — less than or equal to (`l <= r`)
+ * - `'eq'`  — equality. Without {@link Tolerance}, this is strict `l === r`
+ *   (no epsilon) — intended for comparing integer-valued features (e.g.
+ *   calendar features like `dayOfWeek`) against integer literals. With
+ *   {@link Tolerance}, this is "within the symmetric band around `r`" —
+ *   `true` while `l ∈ [r − tol, r + tol]`, `false` outside. State is still
+ *   persisted via {@link RuleTreeState} but, because entry and exit share
+ *   the same band edges, the per-step result is effectively stateless.
  */
-type ComparisonOp = 'gt' | 'lt' | 'gte' | 'lte';
+type ComparisonOp = 'gt' | 'lt' | 'gte' | 'lte' | 'eq';
 /**
- * Hysteresis band applied to a {@link Comparison} with `op: 'gt'` or `op: 'lt'`.
- * Once the comparison has flipped, it will not flip back until the left operand
- * exits the tolerance band around the right operand.
+ * Tolerance band applied to a {@link Comparison} with `op: 'gt'`, `op: 'lt'`,
+ * or `op: 'eq'`.
+ *
+ * For `gt` / `lt`, the band implements **hysteresis**: once the comparison
+ * has flipped, it will not flip back until the left operand exits the band
+ * around the right operand. Entry and exit thresholds differ.
+ *
+ * For `eq`, the band defines a **symmetric range** around `right`: the
+ * comparison is `true` while `l ∈ [r − value, r + value]`. Entry and exit
+ * share the same edges, so behavior is stateless in practice even though the
+ * outcome is still recorded in {@link RuleTreeState}.
  *
  * `mode: 'absolute'` defines a ±`value` band around `right`.
  * `mode: 'relative'` defines a ±`value`% band (i.e. `value` is a percentage).
@@ -2774,7 +2855,7 @@ type ComparisonOp = 'gt' | 'lt' | 'gte' | 'lte';
  * so the runtime can persist the last-known state across rebalance periods.
  */
 type Tolerance = {
-    /** Half-width of the hysteresis band. */
+    /** Half-width of the band. */
     value: number;
     /** `'absolute'` uses raw units; `'relative'` uses a percentage of `right`. */
     mode: 'absolute' | 'relative';
@@ -2809,8 +2890,9 @@ type Comparison = {
     /** Right-hand operand — a feature reference or a literal number. */
     right: FeatureRef | number;
     /**
-     * Optional hysteresis band. Requires `op` to be `'gt'` or `'lt'` and
-     * requires `id` to be set.
+     * Optional tolerance band. Requires `op` to be `'gt'`, `'lt'`, or `'eq'`,
+     * and requires `id` to be set. For `gt`/`lt` the band implements
+     * hysteresis; for `eq` it defines a symmetric range around `right`.
      */
     tolerance?: Tolerance;
     /**
@@ -3535,6 +3617,14 @@ declare namespace index {
  *
  * The returned `portfolio.t` is updated to the maximum fill timestamp.
  *
+ * In parallel with `positions`/`cash`, a long-side tax ledger is maintained:
+ * buys (`open` long, `rebalance` delta>0) append a {@link Lot}; sells
+ * (`close` of a long, `rebalance` delta<0) consume lots — by `fill.lotId` if
+ * present, else FIFO oldest-first — pro-rating basis and appending one
+ * {@link RealizedEvent} per consumed slice. Short positions and `adjust`
+ * orders do not participate. The `positions`/`cash` outputs are unaffected by
+ * this ledger.
+ *
  * @param portfolio - The current portfolio state before this batch.
  * @param fills     - Execution confirmations returned by {@link Executor.submit}.
  *   Each fill's `orderRef` MUST match an `id` in `orders`.
@@ -3572,6 +3662,11 @@ declare function applyFills(portfolio: Portfolio, fills: ReadonlyArray<Fill>, or
  * - `cash` is left unchanged (no price is available at projection time).
  * - Newly opened positions have `basis: 0` and `entry.price: 0` as
  *   provisional values. A price-aware projection is planned for a later phase.
+ * - The long-side tax ledger (`lots` / `realized`) is **not** advanced — it is
+ *   carried through unchanged, so it will be stale relative to the projected
+ *   `positions`. Use {@link applyFills} to settle the ledger after confirmed
+ *   execution; do not read `lots` from an `applyOrders` result expecting it to
+ *   reflect the projected positions.
  *
  * Use {@link applyFills} (not this function) to settle the portfolio after
  * confirmed execution.
@@ -3601,4 +3696,20 @@ declare function applyFills(portfolio: Portfolio, fills: ReadonlyArray<Fill>, or
  */
 declare function applyOrders(portfolio: Portfolio, orders: ReadonlyArray<Order>): Portfolio;
 
-export { type AdhocTimeOverrides, type AdjustOrder, type AllocateNode, type Asset, type AssetId, type AssetRef, BacktestExecutor, type BacktestExecutorOptions, type BacktestResult, type BacktestSnapshot, type Bar, type BarField, type Calendar, type CloseOrder, type Comparison, type ComparisonOp, type ComputeFn, Crypto24x7Calendar, type DataEvent, type DataFeed, type DateRange, type EquityAsset, type EventKind, ExchangeCalendar, type ExchangeName, type Executor, type FeatureCache, type FeatureKey, type FeatureKind, type FeatureRef, FeatureRuntime, type FeatureRuntimeOptions, type FeatureScope, type FeatureSpec, type Features, type Fill, type Frequency, type FromSpecOptions, type Fundamentals, type HolidayRule, type IfNode, LSEExchangeCalendar, type LiveEvent, type MacroAsset, MemoryFeatureCache, NYSEExchangeCalendar, type NextOpenFn, type OpenOrder, type Order, type PollingSchedule, type PollingStreamOptions, type Portfolio, type Position, type PositionId, type PriceMap, type Quote, type QuoteFeed, type RebalanceConfig, type RebalanceFrequency, type RebalanceOrder, type ReturnMode, RoutingDataFeed, RoutingDataFeedError, type RoutingDataFeedRouteFn, type RoutingDataFeedRouteMap, RoutingQuoteFeed, RoutingQuoteFeedError, type RoutingQuoteFeedRouteFn, type RoutingQuoteFeedRouteMap, RoutingStreamingDataFeed, RoutingStreamingDataFeedError, type RoutingStreamingDataFeedRouteFn, type RoutingStreamingDataFeedRouteMap, type RuleNode, type RuleTreeState, type RunBacktestOptions, type RunLiveOptions, type Series, type Session, type SpecialClose, type SpecialOpen, type Strategy, type StreamingBar, type StreamingDataFeed, type SyntheticAsset, type TacticalFeatureKind, type TacticalFeatureSpec, type TacticalFeatures, type TacticalSpec, type TargetWeights, type TimeOfDay, type Tolerance, type WithStreamingSyntheticsOptions, applyFills, applyOrders, barsToSeries, collectBars, defineFeature, drawdown, ema, evaluateFeatureSpecs, evaluateRuleTree, index as features, fromSpec, getCalendar, getFeatureCompute, isRebalanceDay, paramsHash, periodKey, pollingStreamFromHistorical, reconcile, returnSeries, rsi, runBacktest, runLive, seriesAt, sma, index$1 as tactical, volatility, withStreamingSynthetics, withSynthetics };
+/**
+ * Aggregates a portfolio's tax {@link Lot}s into a per-asset {@link Position}
+ * view (`side: 'long'`). The lot-level analogue of `portfolio.positions`,
+ * offered for consumers that want a single position per asset derived from the
+ * cost-basis ledger. `reconcile` continues to read `portfolio.positions`.
+ *
+ * The returned ids are synthetic view keys (`lot_view_<assetId>`) — they are
+ * NOT stable `PositionId`s and must not be passed to `CloseOrder.positionId`
+ * or compared against `portfolio.positions[*].id`.
+ *
+ * @param portfolio - Source portfolio; reads `portfolio.lots` (treated as `[]` when absent).
+ * @returns One {@link Position} per distinct asset id, summing quantity and basis,
+ *   with `entry` taken from the earliest lot. Empty when there are no lots.
+ */
+declare function positionsByAsset(portfolio: Portfolio): Position[];
+
+export { type AdhocTimeOverrides, type AdjustOrder, type AllocateNode, type Asset, type AssetId, type AssetRef, BacktestExecutor, type BacktestExecutorOptions, type BacktestResult, type BacktestSnapshot, type Bar, type BarField, type Calendar, type CloseOrder, type Comparison, type ComparisonOp, type ComputeFn, Crypto24x7Calendar, type DataEvent, type DataFeed, type DateRange, type EquityAsset, type EventKind, ExchangeCalendar, type ExchangeName, type Executor, type FeatureCache, type FeatureKey, type FeatureKind, type FeatureRef, FeatureRuntime, type FeatureRuntimeOptions, type FeatureScope, type FeatureSpec, type Features, type Fill, type Frequency, type FromSpecOptions, type Fundamentals, type HolidayRule, type IfNode, type IncomeKind, LSEExchangeCalendar, type LiveEvent, type Lot, type MacroAsset, MemoryFeatureCache, NYSEExchangeCalendar, type NextOpenFn, type OpenOrder, type Order, type PollingSchedule, type PollingStreamOptions, type Portfolio, type Position, type PositionId, type PriceMap, type Quote, type QuoteFeed, type RealizedEvent, type RebalanceConfig, type RebalanceFrequency, type RebalanceOrder, type ReturnMode, RoutingDataFeed, RoutingDataFeedError, type RoutingDataFeedRouteFn, type RoutingDataFeedRouteMap, RoutingQuoteFeed, RoutingQuoteFeedError, type RoutingQuoteFeedRouteFn, type RoutingQuoteFeedRouteMap, RoutingStreamingDataFeed, RoutingStreamingDataFeedError, type RoutingStreamingDataFeedRouteFn, type RoutingStreamingDataFeedRouteMap, type RuleNode, type RuleTreeState, type RunBacktestOptions, type RunLiveOptions, type Series, type Session, type SpecialClose, type SpecialOpen, type Strategy, type StreamingBar, type StreamingDataFeed, type SyntheticAsset, type TacticalFeatureKind, type TacticalFeatureSpec, type TacticalFeatures, type TacticalSpec, type TargetWeights, type TimeOfDay, type Tolerance, type WithStreamingSyntheticsOptions, applyFills, applyOrders, barsToSeries, collectBars, defineFeature, drawdown, ema, evaluateFeatureSpecs, evaluateRuleTree, index as features, fromSpec, getCalendar, getFeatureCompute, isRebalanceDay, paramsHash, periodKey, pollingStreamFromHistorical, positionsByAsset, reconcile, returnSeries, rsi, runBacktest, runLive, seriesAt, sma, index$1 as tactical, volatility, withStreamingSynthetics, withSynthetics };

package/dist/index.js

@@ -48,6 +48,12 @@ function reconcile(targets, portfolio, prices, assets) {
   return orders;
 }
 
+// src/portfolio/ids.ts
+var _lotCounter = 0;
+function nextLotId() {
+  return `lot_${++_lotCounter}`;
+}
+
 // src/portfolio/apply.ts
 var newPositionId = /* @__PURE__ */ (() => {
   let n = 0;
@@ -56,10 +62,51 @@ var newPositionId = /* @__PURE__ */ (() => {
 function findOrder(orders, id) {
   return orders.find((o) => o.id === id);
 }
+var MS_PER_DAY = 864e5;
+var isLong = (openDate, closeDate) => (closeDate.getTime() - openDate.getTime()) / MS_PER_DAY > 365;
+function consumeLots(lots, realized, assetId, qty, price, fees, closeDate, preferLotId) {
+  const sortedLots = lots.filter((l) => l.asset.id === assetId && l.quantity > 0).sort((a, b) => {
+    if (preferLotId) {
+      if (a.id === preferLotId) return -1;
+      if (b.id === preferLotId) return 1;
+    }
+    return a.openDate.getTime() - b.openDate.getTime();
+  });
+  const held = sortedLots.reduce((s, x) => s + x.quantity, 0);
+  if (held < qty) {
+    throw new RangeError(`applyFills: cannot sell ${qty} of ${assetId} \u2014 lot ledger holds ${held}`);
+  }
+  let need = qty;
+  const totalQty = qty;
+  for (const l of sortedLots) {
+    if (need <= 0) break;
+    const take = Math.min(l.quantity, need);
+    const basisPerShare = l.basis / l.quantity;
+    const consumedBasis = basisPerShare * take;
+    const proceeds = take * price - take / totalQty * fees;
+    realized.push({
+      asset: l.asset,
+      lotId: l.id,
+      quantity: take,
+      openDate: l.openDate,
+      closeDate,
+      proceeds,
+      basis: consumedBasis,
+      termType: isLong(l.openDate, closeDate) ? "long" : "short",
+      gain: proceeds - consumedBasis,
+      incomeKind: "capital-gain"
+    });
+    l.quantity -= take;
+    l.basis -= consumedBasis;
+    need -= take;
+  }
+}
 function applyFills(portfolio, fills, orders) {
   let positions = [...portfolio.positions];
   let cash = portfolio.cash;
   let t = portfolio.t;
+  const lots = (portfolio.lots ?? []).map((l) => ({ ...l }));
+  const realized = [...portfolio.realized ?? []];
   for (const fill of fills) {
     const order = findOrder(orders, fill.orderRef);
     if (!order) {
@@ -78,6 +125,16 @@ function applyFills(portfolio, fills, orders) {
         };
         positions.push(pos);
         cash -= fill.quantity * fill.price + fill.fees;
+        if (order.side === "long") {
+          lots.push({
+            id: nextLotId(),
+            asset: order.asset,
+            quantity: fill.quantity,
+            openDate: fill.t,
+            openPrice: fill.price,
+            basis: fill.quantity * fill.price + fill.fees
+          });
+        }
         break;
       }
       case "close": {
@@ -92,6 +149,9 @@ function applyFills(portfolio, fills, orders) {
         } else {
           positions[idx] = { ...pos, quantity: remaining };
         }
+        if (pos.side === "long") {
+          consumeLots(lots, realized, pos.asset.id, fill.quantity, fill.price, fill.fees, fill.t, fill.lotId);
+        }
         break;
       }
       case "adjust": {
@@ -125,6 +185,14 @@ function applyFills(portfolio, fills, orders) {
               basis: prev.basis + cost
             };
           }
+          lots.push({
+            id: nextLotId(),
+            asset: order.asset,
+            quantity: fill.quantity,
+            openDate: fill.t,
+            openPrice: fill.price,
+            basis: cost
+          });
         } else if (idx >= 0) {
           const prev = positions[idx];
           cash += fill.quantity * fill.price - fill.fees;
@@ -139,12 +207,16 @@ function applyFills(portfolio, fills, orders) {
               basis: basisPerShare * remaining
             };
           }
+          consumeLots(lots, realized, order.asset.id, fill.quantity, fill.price, fill.fees, fill.t, fill.lotId);
         }
         break;
       }
     }
+    for (let i = lots.length - 1; i >= 0; i--) {
+      if (lots[i].quantity <= 1e-9) lots.splice(i, 1);
+    }
   }
-  return { cash, positions, t };
+  return { cash, positions, lots, realized, t };
 }
 function applyOrders(portfolio, orders) {
   let positions = [...portfolio.positions];
@@ -1037,7 +1109,7 @@ function pollingStreamFromHistorical(opts) {
 import { DateTime } from "luxon";
 
 // src/calendars/holiday-rules.ts
-var MS_PER_DAY = 864e5;
+var MS_PER_DAY2 = 864e5;
 function nthWeekdayOfMonth(year, month, weekday, n) {
   const first = new Date(Date.UTC(year, month - 1, 1));
   const offset = (weekday - first.getUTCDay() + 7) % 7;
@@ -1046,7 +1118,7 @@ function nthWeekdayOfMonth(year, month, weekday, n) {
 function lastWeekdayOfMonth(year, month, weekday) {
   const last = new Date(Date.UTC(year, month, 0));
   const offset = (last.getUTCDay() - weekday + 7) % 7;
-  return new Date(last.getTime() - offset * MS_PER_DAY);
+  return new Date(last.getTime() - offset * MS_PER_DAY2);
 }
 function easter(year) {
   const a = year % 19;
@@ -1067,8 +1139,8 @@ function easter(year) {
 }
 function observed(d) {
   const dow = d.getUTCDay();
-  if (dow === 6) return new Date(d.getTime() - MS_PER_DAY);
-  if (dow === 0) return new Date(d.getTime() + MS_PER_DAY);
+  if (dow === 6) return new Date(d.getTime() - MS_PER_DAY2);
+  if (dow === 0) return new Date(d.getTime() + MS_PER_DAY2);
   return d;
 }
 function resolveHolidays(rules, year) {
@@ -1106,21 +1178,21 @@ function resolveSpecialOpens(rules, year) {
   return out;
 }
 function sundayToMonday(d) {
-  return d.getUTCDay() === 0 ? new Date(d.getTime() + MS_PER_DAY) : d;
+  return d.getUTCDay() === 0 ? new Date(d.getTime() + MS_PER_DAY2) : d;
 }
 function nearestWorkday(d) {
   const dow = d.getUTCDay();
-  if (dow === 6) return new Date(d.getTime() - MS_PER_DAY);
-  if (dow === 0) return new Date(d.getTime() + MS_PER_DAY);
+  if (dow === 6) return new Date(d.getTime() - MS_PER_DAY2);
+  if (dow === 0) return new Date(d.getTime() + MS_PER_DAY2);
   return d;
 }
 function firstMondayOnOrAfter(year, month, day, nth = 1) {
   const start = new Date(Date.UTC(year, month - 1, day));
   const offset = (1 - start.getUTCDay() + 7) % 7;
-  return new Date(start.getTime() + (offset + 7 * (nth - 1)) * MS_PER_DAY);
+  return new Date(start.getTime() + (offset + 7 * (nth - 1)) * MS_PER_DAY2);
 }
 function easterPlus(year, dayDelta) {
-  return new Date(easter(year).getTime() + dayDelta * MS_PER_DAY);
+  return new Date(easter(year).getTime() + dayDelta * MS_PER_DAY2);
 }
 function dropIfNotInDays(d, allowed) {
   if (d === null) return null;
@@ -1128,7 +1200,7 @@ function dropIfNotInDays(d, allowed) {
 }
 
 // src/calendars/exchange-calendar.ts
-var MS_PER_DAY2 = 864e5;
+var MS_PER_DAY3 = 864e5;
 var DEFAULT_WEEKMASK = /* @__PURE__ */ new Set([1, 2, 3, 4, 5]);
 var EMPTY_ADHOC = /* @__PURE__ */ new Map();
 function ymdKey(d) {
@@ -1289,14 +1361,14 @@ var ExchangeCalendar = class {
   }
   /** Returns the first trading day strictly after `t`. */
   next(t) {
-    let d = new Date(this.normalize(t).getTime() + MS_PER_DAY2);
-    while (!this.isOpen(d)) d = new Date(d.getTime() + MS_PER_DAY2);
+    let d = new Date(this.normalize(t).getTime() + MS_PER_DAY3);
+    while (!this.isOpen(d)) d = new Date(d.getTime() + MS_PER_DAY3);
     return d;
   }
   /** Returns the first trading day strictly before `t`. */
   previous(t) {
-    let d = new Date(this.normalize(t).getTime() - MS_PER_DAY2);
-    while (!this.isOpen(d)) d = new Date(d.getTime() - MS_PER_DAY2);
+    let d = new Date(this.normalize(t).getTime() - MS_PER_DAY3);
+    while (!this.isOpen(d)) d = new Date(d.getTime() - MS_PER_DAY3);
     return d;
   }
   /**
@@ -1309,7 +1381,7 @@ var ExchangeCalendar = class {
     const end = this.normalize(range.to).getTime();
     while (d.getTime() < end) {
       if (this.isOpen(d)) out.push(d);
-      d = new Date(d.getTime() + MS_PER_DAY2);
+      d = new Date(d.getTime() + MS_PER_DAY3);
     }
     return out;
   }
@@ -1360,7 +1432,7 @@ var ExchangeCalendar = class {
 };
 
 // src/calendars/nyse.ts
-var MS_PER_DAY3 = 864e5;
+var MS_PER_DAY4 = 864e5;
 var SUN = 0;
 var MON = 1;
 var TUE = 2;
@@ -1524,7 +1596,7 @@ var REGULAR_HOLIDAYS = [
     resolve: (y) => {
       const start = utcDate(y, 11, 2);
       const offset = (TUE - start.getUTCDay() + 7) % 7;
-      return new Date(start.getTime() + offset * MS_PER_DAY3);
+      return new Date(start.getTime() + offset * MS_PER_DAY4);
     }
   },
   // ── Veterans/Armistice Day (Nov 11, 1934-1953) ─────────────────────────────
@@ -1555,7 +1627,7 @@ var REGULAR_HOLIDAYS = [
     validUntil: 1941,
     resolve: (y) => {
       const last = lastWeekdayOfMonth(y, 11, THU);
-      return new Date(last.getTime() - 7 * MS_PER_DAY3);
+      return new Date(last.getTime() - 7 * MS_PER_DAY4);
     }
   },
   // ── Christmas ──────────────────────────────────────────────────────────────
@@ -1912,7 +1984,7 @@ function* generateSummerSaturdays() {
     const end = /* @__PURE__ */ new Date(`${to}T00:00:00.000Z`);
     while (d.getTime() <= end.getTime()) {
       if (d.getUTCDay() === SAT) yield ymd(d);
-      d = new Date(d.getTime() + MS_PER_DAY3);
+      d = new Date(d.getTime() + MS_PER_DAY4);
     }
   }
 }
@@ -1922,7 +1994,7 @@ function* generateWWIShutdown() {
   while (d.getTime() <= end.getTime()) {
     const dow = d.getUTCDay();
     if (dow !== SUN) yield ymd(d);
-    d = new Date(d.getTime() + MS_PER_DAY3);
+    d = new Date(d.getTime() + MS_PER_DAY4);
   }
 }
 var ADHOC_HOLIDAYS = /* @__PURE__ */ new Set([
@@ -1940,7 +2012,7 @@ var SPECIAL_CLOSES = [
     closeAt: { h: 13, m: 0 },
     resolve: (y) => {
       const t = nthWeekdayOfMonth(y, 11, THU, 4);
-      return new Date(t.getTime() + MS_PER_DAY3);
+      return new Date(t.getTime() + MS_PER_DAY4);
     }
   },
   {
@@ -1950,7 +2022,7 @@ var SPECIAL_CLOSES = [
     closeAt: { h: 14, m: 0 },
     resolve: (y) => {
       const t = nthWeekdayOfMonth(y, 11, THU, 4);
-      return new Date(t.getTime() + MS_PER_DAY3);
+      return new Date(t.getTime() + MS_PER_DAY4);
     }
   },
   {
@@ -2111,7 +2183,7 @@ var SPECIAL_CLOSES_ADHOC = /* @__PURE__ */ new Map([
     if (dow >= MON && dow <= FRI) {
       SPECIAL_CLOSES_ADHOC.set(ymd(d), { h: 14, m: 0 });
     }
-    d = new Date(d.getTime() + MS_PER_DAY3);
+    d = new Date(d.getTime() + MS_PER_DAY4);
   }
 })();
 (() => {
@@ -2122,7 +2194,7 @@ var SPECIAL_CLOSES_ADHOC = /* @__PURE__ */ new Map([
     if (dow >= MON && dow <= FRI) {
       SPECIAL_CLOSES_ADHOC.set(ymd(d), { h: 14, m: 0 });
     }
-    d = new Date(d.getTime() + MS_PER_DAY3);
+    d = new Date(d.getTime() + MS_PER_DAY4);
   }
 })();
 (() => {
@@ -2133,7 +2205,7 @@ var SPECIAL_CLOSES_ADHOC = /* @__PURE__ */ new Map([
     if (dow >= MON && dow <= FRI) {
       SPECIAL_CLOSES_ADHOC.set(ymd(d), { h: 14, m: 0 });
     }
-    d = new Date(d.getTime() + MS_PER_DAY3);
+    d = new Date(d.getTime() + MS_PER_DAY4);
   }
 })();
 (() => {
@@ -2144,7 +2216,7 @@ var SPECIAL_CLOSES_ADHOC = /* @__PURE__ */ new Map([
     if (dow >= MON && dow <= FRI) {
       SPECIAL_CLOSES_ADHOC.set(ymd(d), { h: 14, m: 0 });
     }
-    d = new Date(d.getTime() + MS_PER_DAY3);
+    d = new Date(d.getTime() + MS_PER_DAY4);
   }
 })();
 (() => {
@@ -2155,7 +2227,7 @@ var SPECIAL_CLOSES_ADHOC = /* @__PURE__ */ new Map([
     if (dow >= MON && dow <= FRI) {
       SPECIAL_CLOSES_ADHOC.set(ymd(d), { h: 14, m: 30 });
     }
-    d = new Date(d.getTime() + MS_PER_DAY3);
+    d = new Date(d.getTime() + MS_PER_DAY4);
   }
 })();
 (() => {
@@ -2166,7 +2238,7 @@ var SPECIAL_CLOSES_ADHOC = /* @__PURE__ */ new Map([
     if (dow >= MON && dow <= FRI) {
       SPECIAL_CLOSES_ADHOC.set(ymd(d), { h: 15, m: 0 });
     }
-    d = new Date(d.getTime() + MS_PER_DAY3);
+    d = new Date(d.getTime() + MS_PER_DAY4);
   }
 })();
 var SPECIAL_OPENS = [];
@@ -2283,7 +2355,7 @@ var NYSEExchangeCalendar = class extends ExchangeCalendar {
 };
 
 // src/calendars/lse.ts
-var MS_PER_DAY4 = 864e5;
+var MS_PER_DAY5 = 864e5;
 var SUN2 = 0;
 var MON2 = 1;
 var TUE2 = 2;
@@ -2295,14 +2367,14 @@ var WEEKDAYS_MON_FRI2 = /* @__PURE__ */ new Set([1, 2, 3, 4, 5]);
 var MON_TUE = /* @__PURE__ */ new Set([MON2, TUE2]);
 function weekendToMonday(d) {
   const dow = d.getUTCDay();
-  if (dow === SAT2) return new Date(d.getTime() + 2 * MS_PER_DAY4);
-  if (dow === SUN2) return new Date(d.getTime() + MS_PER_DAY4);
+  if (dow === SAT2) return new Date(d.getTime() + 2 * MS_PER_DAY5);
+  if (dow === SUN2) return new Date(d.getTime() + MS_PER_DAY5);
   return d;
 }
 function previousFriday(d) {
   const dow = d.getUTCDay();
-  if (dow === SAT2) return new Date(d.getTime() - MS_PER_DAY4);
-  if (dow === SUN2) return new Date(d.getTime() - 2 * MS_PER_DAY4);
+  if (dow === SAT2) return new Date(d.getTime() - MS_PER_DAY5);
+  if (dow === SUN2) return new Date(d.getTime() - 2 * MS_PER_DAY5);
   return d;
 }
 var REGULAR_HOLIDAYS2 = [
@@ -2494,7 +2566,7 @@ function getCalendar(name) {
 }
 
 // src/calendars/crypto-24x7.ts
-var MS_PER_DAY5 = 864e5;
+var MS_PER_DAY6 = 864e5;
 function midnightUtc(d) {
   return new Date(Date.UTC(d.getUTCFullYear(), d.getUTCMonth(), d.getUTCDate()));
 }
@@ -2503,10 +2575,10 @@ var Crypto24x7Calendar = class {
     return true;
   }
   next(t) {
-    return new Date(midnightUtc(t).getTime() + MS_PER_DAY5);
+    return new Date(midnightUtc(t).getTime() + MS_PER_DAY6);
   }
   previous(t) {
-    return new Date(midnightUtc(t).getTime() - MS_PER_DAY5);
+    return new Date(midnightUtc(t).getTime() - MS_PER_DAY6);
   }
   sessions(range) {
     const out = [];
@@ -2514,7 +2586,7 @@ var Crypto24x7Calendar = class {
     const end = range.to.getTime();
     while (cursor.getTime() < end) {
       out.push(cursor);
-      cursor = new Date(cursor.getTime() + MS_PER_DAY5);
+      cursor = new Date(cursor.getTime() + MS_PER_DAY6);
     }
     return out;
   }
@@ -2522,7 +2594,7 @@ var Crypto24x7Calendar = class {
     return this.sessions(range).map((date) => ({
       date,
       open: date,
-      close: new Date(date.getTime() + MS_PER_DAY5)
+      close: new Date(date.getTime() + MS_PER_DAY6)
     }));
   }
   isEarlyClose(_t) {
@@ -2565,6 +2637,8 @@ function rawCompare(op, l, r) {
       return l >= r;
     case "lte":
       return l <= r;
+    case "eq":
+      return l === r;
   }
 }
 function band(right, tol) {
@@ -2583,13 +2657,15 @@ function evalComparison(cond, values, state, outState) {
   if (cond.id === void 0) {
     throw new Error("evaluateRuleTree: comparison with tolerance requires id");
   }
-  if (cond.op !== "gt" && cond.op !== "lt") {
-    throw new Error(`evaluateRuleTree: tolerance is only supported for op gt/lt, got ${cond.op}`);
+  if (cond.op !== "gt" && cond.op !== "lt" && cond.op !== "eq") {
+    throw new Error(`evaluateRuleTree: tolerance is only supported for op gt/lt/eq, got ${cond.op}`);
   }
   const prev = state.get(cond.id);
   const { lower, upper } = band(r, cond.tolerance);
   let result;
-  if (prev === void 0) {
+  if (cond.op === "eq") {
+    result = l >= lower && l <= upper ? 1 : 0;
+  } else if (prev === void 0) {
     result = rawCompare(cond.op, l, r) ? 1 : 0;
   } else if (cond.op === "gt") {
     if (prev === 1) result = l < lower ? 0 : 1;
@@ -2962,6 +3038,38 @@ __export(features_exports, {
   sma: () => sma,
   volatility: () => volatility
 });
+
+// src/portfolio/derived.ts
+function positionsByAsset(portfolio) {
+  const byId = /* @__PURE__ */ new Map();
+  for (const lot of portfolio.lots ?? []) {
+    const cur = byId.get(lot.asset.id);
+    if (cur) {
+      cur.quantity += lot.quantity;
+      cur.basis += lot.basis;
+      if (lot.openDate < cur.openDate) {
+        cur.openDate = lot.openDate;
+        cur.openPrice = lot.openPrice;
+      }
+    } else {
+      byId.set(lot.asset.id, {
+        asset: lot.asset,
+        quantity: lot.quantity,
+        basis: lot.basis,
+        openDate: lot.openDate,
+        openPrice: lot.openPrice
+      });
+    }
+  }
+  return Array.from(byId.values()).map((agg) => ({
+    id: `lot_view_${agg.asset.id}`,
+    asset: agg.asset,
+    side: "long",
+    quantity: agg.quantity,
+    entry: { date: agg.openDate, price: agg.openPrice },
+    basis: agg.basis
+  }));
+}
 export {
   BacktestExecutor,
   Crypto24x7Calendar,
@@ -2993,6 +3101,7 @@ export {
   paramsHash,
   periodKey,
   pollingStreamFromHistorical,
+  positionsByAsset,
   reconcile,
   returnSeries,
   rsi,