@tradejs/cli 3.1.8 → 3.1.9-beta.214

package/dist/lib/runtimeScorecard.js

@@ -1,7 +1,9 @@
 "use strict";
+var __create = Object.create;
 var __defProp = Object.defineProperty;
 var __getOwnPropDesc = Object.getOwnPropertyDescriptor;
 var __getOwnPropNames = Object.getOwnPropertyNames;
+var __getProtoOf = Object.getPrototypeOf;
 var __hasOwnProp = Object.prototype.hasOwnProperty;
 var __export = (target, all) => {
   for (var name in all)
@@ -15,6 +17,14 @@ var __copyProps = (to, from, except, desc) => {
   }
   return to;
 };
+var __toESM = (mod, isNodeMode, target) => (target = mod != null ? __create(__getProtoOf(mod)) : {}, __copyProps(
+  // If the importer is in node compatibility mode or this is not an ESM
+  // file that has been converted to a CommonJS file using a Babel-
+  // compatible transform (i.e. "__esModule" has not been set), then set
+  // "default" to the CommonJS "module.exports" for node compatibility.
+  isNodeMode || !mod || !mod.__esModule ? __defProp(target, "default", { value: mod, enumerable: true }) : target,
+  mod
+));
 var __toCommonJS = (mod) => __copyProps(__defProp({}, "__esModule", { value: true }), mod);
 
 // src/lib/runtimeScorecard.ts
@@ -24,6 +34,39 @@ __export(runtimeScorecard_exports, {
   formatRuntimeScorecardMarkdown: () => formatRuntimeScorecardMarkdown
 });
 module.exports = __toCommonJS(runtimeScorecard_exports);
+
+// src/lib/runtimeLineage.ts
+var import_node_child_process = require("child_process");
+var import_node_crypto2 = require("crypto");
+var import_promises2 = __toESM(require("fs/promises"));
+var import_node_path2 = __toESM(require("path"));
+var import_types = require("@tradejs/types");
+var import_strategies = require("@tradejs/node/strategies");
+var import_strategyReleaseEvidence = require("@tradejs/infra/strategyReleaseEvidence");
+
+// src/lib/strategyGateFingerprint.ts
+var import_node_crypto = require("crypto");
+var import_node_module = require("module");
+var import_promises = __toESM(require("fs/promises"));
+var import_node_path = __toESM(require("path"));
+
+// src/lib/runtimeLineage.ts
+var runtimeLineageKey = (lineage) => lineage.schemaVersion === 2 ? [
+  "v2",
+  lineage.version,
+  lineage.strategyPackageVersion ?? "strategy:unknown",
+  lineage.runtimePackageVersion ?? "runtime:unknown"
+].join(":") : [
+  lineage.schemaVersion,
+  lineage.compositionId ?? "unbound-composition",
+  lineage.gitSha ?? "unknown",
+  lineage.gitDirty == null ? "unknown" : lineage.gitDirty ? "dirty" : "clean",
+  lineage.gateFingerprint,
+  lineage.configFingerprint,
+  lineage.contextFingerprint
+].join(":");
+
+// src/lib/runtimeScorecard.ts
 var asRecord = (value) => value && typeof value === "object" && !Array.isArray(value) ? value : null;
 var asArray = (value) => Array.isArray(value) ? value : [];
 var finiteNumber = (value) => typeof value === "number" && Number.isFinite(value) ? value : null;
@@ -44,15 +87,32 @@ var extractRuntimeRows = (artifact) => {
     evaluations: unwrapRows(runtime.evaluations, "evaluation"),
     signals: unwrapRows(runtime.signals, "signal"),
     trades: unwrapRows(runtime.trades, "trade"),
+    lineageScopes: unwrapRows(runtime.lineageScopes, "lineageScope"),
     statsBuckets: asArray(runtime.evaluationStatsBuckets).map(asRecord).filter((item) => item != null)
   };
 };
 var buildRuntimeLineageSummary = (rows) => {
-  const lineageRows = [...rows.evaluations, ...rows.signals, ...rows.trades];
+  const lineageRows = [
+    ...rows.evaluations,
+    ...rows.signals,
+    ...rows.trades,
+    ...rows.lineageScopes.map((scope) => ({
+      runtimeLineage: scope.lineage
+    }))
+  ];
   const lineages = lineageRows.map((row) => asRecord(row.runtimeLineage)).filter((lineage) => lineage != null);
   const identities = /* @__PURE__ */ new Map();
   for (const lineage of lineages) {
-    const identity2 = {
+    const identity2 = lineage.schemaVersion === 2 ? {
+      schemaVersion: 2,
+      version: finiteNumber(lineage.version),
+      strategyPackageVersion: finiteString(
+        lineage.strategyPackageVersion
+      ),
+      runtimePackageVersion: finiteString(lineage.runtimePackageVersion),
+      maxLossValue: finiteNumber(lineage.maxLossValue)
+    } : {
+      schemaVersion: 1,
       compositionId: finiteString(lineage.compositionId),
       gitSha: finiteString(lineage.gitSha),
       gitDirty: typeof lineage.gitDirty === "boolean" ? lineage.gitDirty : null,
@@ -64,12 +124,23 @@ var buildRuntimeLineageSummary = (rows) => {
     identities.set(JSON.stringify(identity2), identity2);
   }
   const identity = identities.size === 1 ? [...identities.values()][0] : null;
-  const complete = lineageRows.length > 0 && lineages.length === lineageRows.length && identity != null && identity.compositionId != null && identity.gitSha != null && identity.gitDirty === false && identity.gateFingerprint != null && identity.configFingerprint != null && identity.contextFingerprint != null && identity.maxLossValue != null;
+  const schemaVersion = finiteNumber(identity?.schemaVersion);
+  const identityComplete = lineages.length > 0 && identity != null && (schemaVersion === 2 && finiteNumber(identity.version) != null && finiteString(identity.strategyPackageVersion) != null && finiteString(identity.runtimePackageVersion) != null || schemaVersion === 1 && identity.compositionId != null && identity.gitSha != null && identity.gitDirty === false && identity.gateFingerprint != null && identity.configFingerprint != null && identity.contextFingerprint != null) && identity.maxLossValue != null;
+  const coverageComplete = lineageRows.length > 0 && lineages.length === lineageRows.length;
+  const complete = identityComplete && coverageComplete;
+  const lineageKey = identityComplete ? runtimeLineageKey(identity) : null;
   return {
     complete,
+    identityComplete,
+    coverageComplete,
     conflicts: identities.size > 1,
     rows: lineageRows.length,
     rowsWithLineage: lineages.length,
+    schemaVersion,
+    lineageKey,
+    version: finiteNumber(identity?.version),
+    strategyPackageVersion: finiteString(identity?.strategyPackageVersion),
+    runtimePackageVersion: finiteString(identity?.runtimePackageVersion),
     compositionId: finiteString(identity?.compositionId),
     gitSha: finiteString(identity?.gitSha),
     gitDirty: typeof identity?.gitDirty === "boolean" ? identity.gitDirty : null,
@@ -79,6 +150,20 @@ var buildRuntimeLineageSummary = (rows) => {
     maxLossValue: finiteNumber(identity?.maxLossValue)
   };
 };
+var belongsToRuntimeLineage = (row, summary) => {
+  if (!summary.identityComplete || !summary.lineageKey) return false;
+  const lineage = asRecord(row.runtimeLineage);
+  if (!lineage) return false;
+  return runtimeLineageKey(lineage) === summary.lineageKey && finiteNumber(lineage.maxLossValue) === summary.maxLossValue;
+};
+var runtimeDeploymentBinding = (artifact) => {
+  const deployment = asRecord(asRecord(artifact)?.deployment);
+  return {
+    deploymentId: finiteString(deployment?.id),
+    accountId: finiteString(deployment?.accountId)
+  };
+};
+var belongsToRuntimeDeployment = (row, binding) => binding.deploymentId == null && binding.accountId == null ? true : finiteString(row.deploymentId) === binding.deploymentId && finiteString(row.accountId) === binding.accountId;
 var belongsToStrategy = (row, strategy) => strategy == null || finiteString(row.strategy) === strategy;
 var filterArtifactByStrategy = (artifact, strategy) => {
   if (!strategy) return artifact;
@@ -106,6 +191,9 @@ var filterArtifactByStrategy = (artifact, strategy) => {
           strategy
         )
       ),
+      lineageScopes: asArray(runtime.lineageScopes).filter(
+        (item) => belongsToStrategy(asRecord(item) ?? {}, strategy)
+      ),
       evaluationStatsBuckets: asArray(runtime.evaluationStatsBuckets).filter(
         (item) => belongsToStrategy(asRecord(item) ?? {}, strategy)
       )
@@ -285,6 +373,7 @@ var buildRuntimeScorecard = ({
   const scopedHistoryArtifacts = historyRuntimeArtifacts.map(
     (artifact) => filterArtifactByStrategy(artifact, strategy)
   );
+  const deploymentBinding = runtimeDeploymentBinding(runtimeArtifact);
   const rows = extractRuntimeRows(scopedRuntimeArtifact);
   const runtimeLineage = buildRuntimeLineageSummary(rows);
   const window = runtimeWindow(runtimeArtifact);
@@ -347,6 +436,12 @@ var buildRuntimeScorecard = ({
     ...scopedHistoryArtifacts,
     scopedRuntimeArtifact
   ]);
+  const comparableHistoryTrades = historyTrades.filter(
+    (trade) => belongsToRuntimeDeployment(trade, deploymentBinding) && belongsToRuntimeLineage(trade, runtimeLineage)
+  );
+  const comparableCurrentClosedTrades = currentClosedTrades.filter(
+    (trade) => belongsToRuntimeDeployment(trade, deploymentBinding) && belongsToRuntimeLineage(trade, runtimeLineage)
+  );
   const currentDistributions = buildDistributions(rows);
   const previousArtifact = scopedHistoryArtifacts.map((artifact) => ({ artifact, window: runtimeWindow(artifact) })).filter(({ window: candidateWindow }) => {
     const candidateEndTime = finiteNumber(candidateWindow.endTime);
@@ -357,7 +452,7 @@ var buildRuntimeScorecard = ({
   const previousDistributions = previousArtifact ? buildDistributions(extractRuntimeRows(previousArtifact.artifact)) : null;
   const rolling = [7, 30, 90].map(
     (days) => buildRollingPerformance({
-      trades: [...historyTrades],
+      trades: [...comparableHistoryTrades],
       anchorTime: endTime,
       days
     })
@@ -371,6 +466,13 @@ var buildRuntimeScorecard = ({
       message: lineageReason
     });
   }
+  if (!runtimeLineage.complete) {
+    reactions.push({
+      code: "RUNTIME_LINEAGE_INCOMPLETE",
+      severity: "blocking",
+      message: "Runtime rows do not share one complete composition lineage."
+    });
+  }
   if (parityRatio != null && parityRatio < thresholds.minimumParityRatio) {
     reactions.push({
       code: "PARITY_REGRESSION",
@@ -408,6 +510,7 @@ var buildRuntimeScorecard = ({
     generatedAt,
     window: { startTime, endTime },
     strategy,
+    deployment: deploymentBinding,
     lineage: runtimeLineage,
     promotionStatus,
     thresholds,
@@ -452,17 +555,25 @@ var buildRuntimeScorecard = ({
         )
       ).length,
       fills: rows.trades.length,
-      closedTrades: currentClosedTrades.length
+      closedTrades: currentClosedTrades.length,
+      comparableClosedTrades: comparableCurrentClosedTrades.length,
+      nonComparableClosedTrades: currentClosedTrades.length - comparableCurrentClosedTrades.length
     },
     realized: {
       pnl: sum(
-        currentClosedTrades.map((trade) => finiteNumber(trade.closedPnl))
+        comparableCurrentClosedTrades.map(
+          (trade) => finiteNumber(trade.closedPnl)
+        )
       ),
       fees: sum(
-        currentClosedTrades.map((trade) => finiteNumber(trade.totalFee))
+        comparableCurrentClosedTrades.map(
+          (trade) => finiteNumber(trade.totalFee)
+        )
       ),
       funding: sum(
-        currentClosedTrades.map((trade) => finiteNumber(trade.fundingFee))
+        comparableCurrentClosedTrades.map(
+          (trade) => finiteNumber(trade.fundingFee)
+        )
       )
     },
     gateComparison: {

package/dist/lib/runtimeSignalsLoader.js

@@ -168,13 +168,17 @@ var parseBucketKey = (prefix, key) => {
     return null;
   }
   const suffix = key.slice(prefix.length);
-  const firstColon = suffix.indexOf(":");
-  if (firstColon <= 0 || firstColon >= suffix.length - 1) {
+  const parts = suffix.split(":");
+  if (parts.length < 2 || parts.some((part) => !part)) {
     return null;
   }
+  const [dayKey, ...scopeParts] = parts;
+  const strategy = scopeParts.at(-1);
+  if (!dayKey || !strategy) return null;
   return {
-    dayKey: suffix.slice(0, firstColon),
-    strategy: suffix.slice(firstColon + 1)
+    dayKey,
+    ...scopeParts.length > 1 ? { deploymentId: scopeParts.slice(0, -1).join(":") } : {},
+    strategy
   };
 };
 var loadRuntimeSignalEvaluationStatsBuckets = async (userName) => {

package/dist/scripts/backtest.js

@@ -74,7 +74,7 @@ var import_constants5 = require("@tradejs/core/constants");
 var import_time3 = require("@tradejs/core/time");
 var import_backtestArtifacts = require("@tradejs/infra/backtestArtifacts");
 var import_redis4 = require("@tradejs/infra/redis");
-var import_runtimeStrategies = require("@tradejs/node/runtimeStrategies");
+var import_runtimeStrategies2 = require("@tradejs/node/runtimeStrategies");
 var import_types3 = require("@tradejs/types");
 
 // src/lib/runFormatting.ts
@@ -3577,6 +3577,54 @@ var import_connectors5 = require("@tradejs/node/connectors");
 var import_cli3 = require("@tradejs/node/cli");
 var import_constants2 = require("@tradejs/core/constants");
 var import_time2 = require("@tradejs/core/time");
+var import_runtimeStrategies = require("@tradejs/node/runtimeStrategies");
+
+// src/lib/runtimeStrategyBacktest.ts
+var import_chalk5 = __toESM(require("chalk"));
+
+// src/lib/runtimeRedis.ts
+var import_redis = require("@tradejs/infra/redis");
+var import_time = require("@tradejs/core/time");
+var import_runtimeStrategyConfigs = require("@tradejs/infra/runtimeStrategyConfigs");
+var isRuntimeStrategyEnabled = (strategyConfig) => {
+  const enabled = strategyConfig.ENABLE;
+  return enabled !== false;
+};
+
+// src/lib/runtimeStrategyBacktest.ts
+var BACKTEST_CLI_RUNTIME_CONFIG_KEYS = /* @__PURE__ */ new Set([
+  "ENV",
+  "INTERVAL",
+  "MAKE_ORDERS",
+  "CLOSE_OPPOSITE_POSITIONS",
+  "BACKTEST_PRICE_MODE",
+  "BACKTEST_ENTRY_DELAY_BARS"
+]);
+var toStrategyConfigGrid = (strategyConfig) => Object.fromEntries(
+  Object.entries(strategyConfig).filter(([key]) => !BACKTEST_CLI_RUNTIME_CONFIG_KEYS.has(key)).map(([key, value]) => [key, [value]])
+);
+var loadRuntimeStrategyBacktestConfigs = async (userName2) => {
+  const configs = await (0, import_runtimeStrategyConfigs.loadRuntimeStrategyConfigs)(userName2, {
+    onInvalidConfig: (key) => {
+      console.log(import_chalk5.default.yellow(`Skip invalid runtime strategy config: ${key}`));
+    }
+  });
+  return configs.filter(({ configId }) => configId === "config").filter(({ strategyName, strategyConfig }) => {
+    const enabled = isRuntimeStrategyEnabled(strategyConfig);
+    if (!enabled) {
+      console.log(
+        import_chalk5.default.yellow(
+          `Skip inactive runtime strategy config by ENABLE=false: ${strategyName}`
+        )
+      );
+    }
+    return enabled;
+  }).map(({ strategyName, strategyConfig }) => ({
+    strategyName,
+    strategyConfig,
+    backtestConfig: toStrategyConfigGrid(strategyConfig)
+  }));
+};
 
 // src/lib/timeWindow.ts
 var ONE_DAY_MS = 24 * 60 * 60 * 1e3;
@@ -3680,53 +3728,6 @@ var resolveTimeWindow = ({
   );
 };
 
-// src/lib/runtimeStrategyBacktest.ts
-var import_chalk5 = __toESM(require("chalk"));
-
-// src/lib/runtimeRedis.ts
-var import_redis = require("@tradejs/infra/redis");
-var import_time = require("@tradejs/core/time");
-var import_runtimeStrategyConfigs = require("@tradejs/infra/runtimeStrategyConfigs");
-var isRuntimeStrategyEnabled = (strategyConfig) => {
-  const enabled = strategyConfig.ENABLE;
-  return enabled !== false;
-};
-
-// src/lib/runtimeStrategyBacktest.ts
-var BACKTEST_CLI_RUNTIME_CONFIG_KEYS = /* @__PURE__ */ new Set([
-  "ENV",
-  "INTERVAL",
-  "MAKE_ORDERS",
-  "CLOSE_OPPOSITE_POSITIONS",
-  "BACKTEST_PRICE_MODE",
-  "BACKTEST_ENTRY_DELAY_BARS"
-]);
-var toStrategyConfigGrid = (strategyConfig) => Object.fromEntries(
-  Object.entries(strategyConfig).filter(([key]) => !BACKTEST_CLI_RUNTIME_CONFIG_KEYS.has(key)).map(([key, value]) => [key, [value]])
-);
-var loadRuntimeStrategyBacktestConfigs = async (userName2) => {
-  const configs = await (0, import_runtimeStrategyConfigs.loadRuntimeStrategyConfigs)(userName2, {
-    onInvalidConfig: (key) => {
-      console.log(import_chalk5.default.yellow(`Skip invalid runtime strategy config: ${key}`));
-    }
-  });
-  return configs.filter(({ configId }) => configId === "config").filter(({ strategyName, strategyConfig }) => {
-    const enabled = isRuntimeStrategyEnabled(strategyConfig);
-    if (!enabled) {
-      console.log(
-        import_chalk5.default.yellow(
-          `Skip inactive runtime strategy config by ENABLE=false: ${strategyName}`
-        )
-      );
-    }
-    return enabled;
-  }).map(({ strategyName, strategyConfig }) => ({
-    strategyName,
-    strategyConfig,
-    backtestConfig: toStrategyConfigGrid(strategyConfig)
-  }));
-};
-
 // src/lib/marketData/historyPrepare.ts
 var import_chalk6 = __toESM(require("chalk"));
 var import_connectors3 = require("@tradejs/connectors");
@@ -5025,7 +5026,7 @@ var validateBacktestRuntimeDeployment = ({
 };
 var prepareRunEnvironment2 = async () => {
   const deployment = validateBacktestRuntimeDeployment({
-    deployment: flags.deployment ? await (0, import_runtimeStrategies.getRuntimeDeployment)({
+    deployment: flags.deployment ? await (0, import_runtimeStrategies2.getRuntimeDeployment)({
       userName,
       projectRoot,
       deploymentId: String(flags.deployment)