@tradejs/core 3.1.27-beta.250 → 3.1.28-beta.251

package/dist/backtest.d.mts

@@ -1,4 +1,4 @@
-import { PositionLogData, TestStat, TestThresholdsKey, ThresholdLevel, TestWorkerResult } from '@tradejs/types';
+import { ExecutionCostModel, BacktestExecutionCosts, PositionLogData, TestStat, TestThresholdsKey, ThresholdLevel, TestWorkerResult } from '@tradejs/types';
 export { c as compactOrderLog, g as getTimeline } from './time-BQ3AXmxo.mjs';
 
 declare const parseTestName: (testName: string) => {
@@ -7,6 +7,13 @@ declare const parseTestName: (testName: string) => {
     testId: string;
 };
 
+declare const LEGACY_EXECUTION_CONFIG_FIELDS: readonly ["MAKER_FEE_RATE", "TAKER_FEE_RATE", "FUNDING_ENABLED", "SLIPPAGE_BASE_BPS", "SLIPPAGE_SPREAD_MULTIPLIER", "SLIPPAGE_MARKET_IMPACT_BPS", "SLIPPAGE_DELAY_RISK_MULTIPLIER", "EXECUTION_COSTS_CACHE_ONLY"];
+declare const assertStrategyExecutionIsolation: (config: Record<string, unknown>) => void;
+/** Validate JSON at ingestion, including explicit zero rates. Never coerce null. */
+declare const parseBacktestExecutionCosts: (input: unknown) => BacktestExecutionCosts;
+/** Stable economic fields only: timestamps and provenance are separate evidence. */
+declare const executionCostsFromModel: (model: ExecutionCostModel) => BacktestExecutionCosts;
+
 /**
  * Максимальная просадка (Max Drawdown) в процентах от бегающего пика.
  * Формула по точкам amount_t:
@@ -142,4 +149,4 @@ declare const getFormatted: (stat: Partial<TestStat> | undefined, key: TestThres
     level: ThresholdLevel;
 };
 
-export { type AdvancedExitBreakdownBucket, type AdvancedQuarterlyPnl, type AdvancedTradeDirection, type AdvancedTradeInput, type AdvancedTradeMetrics, type AdvancedTradeMetricsInput, calculateAdvancedTradeMetrics, calculateMaxDrawdown, calculateStatsFull, classifyMetric, getBacktestScore, getFormatted, parseTestName, sortBestTests };
+export { type AdvancedExitBreakdownBucket, type AdvancedQuarterlyPnl, type AdvancedTradeDirection, type AdvancedTradeInput, type AdvancedTradeMetrics, type AdvancedTradeMetricsInput, LEGACY_EXECUTION_CONFIG_FIELDS, assertStrategyExecutionIsolation, calculateAdvancedTradeMetrics, calculateMaxDrawdown, calculateStatsFull, classifyMetric, executionCostsFromModel, getBacktestScore, getFormatted, parseBacktestExecutionCosts, parseTestName, sortBestTests };

package/dist/backtest.d.ts

@@ -1,4 +1,4 @@
-import { PositionLogData, TestStat, TestThresholdsKey, ThresholdLevel, TestWorkerResult } from '@tradejs/types';
+import { ExecutionCostModel, BacktestExecutionCosts, PositionLogData, TestStat, TestThresholdsKey, ThresholdLevel, TestWorkerResult } from '@tradejs/types';
 export { c as compactOrderLog, g as getTimeline } from './time-BQ3AXmxo.js';
 
 declare const parseTestName: (testName: string) => {
@@ -7,6 +7,13 @@ declare const parseTestName: (testName: string) => {
     testId: string;
 };
 
+declare const LEGACY_EXECUTION_CONFIG_FIELDS: readonly ["MAKER_FEE_RATE", "TAKER_FEE_RATE", "FUNDING_ENABLED", "SLIPPAGE_BASE_BPS", "SLIPPAGE_SPREAD_MULTIPLIER", "SLIPPAGE_MARKET_IMPACT_BPS", "SLIPPAGE_DELAY_RISK_MULTIPLIER", "EXECUTION_COSTS_CACHE_ONLY"];
+declare const assertStrategyExecutionIsolation: (config: Record<string, unknown>) => void;
+/** Validate JSON at ingestion, including explicit zero rates. Never coerce null. */
+declare const parseBacktestExecutionCosts: (input: unknown) => BacktestExecutionCosts;
+/** Stable economic fields only: timestamps and provenance are separate evidence. */
+declare const executionCostsFromModel: (model: ExecutionCostModel) => BacktestExecutionCosts;
+
 /**
  * Максимальная просадка (Max Drawdown) в процентах от бегающего пика.
  * Формула по точкам amount_t:
@@ -142,4 +149,4 @@ declare const getFormatted: (stat: Partial<TestStat> | undefined, key: TestThres
     level: ThresholdLevel;
 };
 
-export { type AdvancedExitBreakdownBucket, type AdvancedQuarterlyPnl, type AdvancedTradeDirection, type AdvancedTradeInput, type AdvancedTradeMetrics, type AdvancedTradeMetricsInput, calculateAdvancedTradeMetrics, calculateMaxDrawdown, calculateStatsFull, classifyMetric, getBacktestScore, getFormatted, parseTestName, sortBestTests };
+export { type AdvancedExitBreakdownBucket, type AdvancedQuarterlyPnl, type AdvancedTradeDirection, type AdvancedTradeInput, type AdvancedTradeMetrics, type AdvancedTradeMetricsInput, LEGACY_EXECUTION_CONFIG_FIELDS, assertStrategyExecutionIsolation, calculateAdvancedTradeMetrics, calculateMaxDrawdown, calculateStatsFull, classifyMetric, executionCostsFromModel, getBacktestScore, getFormatted, parseBacktestExecutionCosts, parseTestName, sortBestTests };

package/dist/backtest.js

@@ -30,14 +30,18 @@ var __toCommonJS = (mod) => __copyProps(__defProp({}, "__esModule", { value: tru
 // src/backtest.ts
 var backtest_exports = {};
 __export(backtest_exports, {
+  LEGACY_EXECUTION_CONFIG_FIELDS: () => LEGACY_EXECUTION_CONFIG_FIELDS,
+  assertStrategyExecutionIsolation: () => assertStrategyExecutionIsolation,
   calculateAdvancedTradeMetrics: () => calculateAdvancedTradeMetrics,
   calculateMaxDrawdown: () => calculateMaxDrawdown,
   calculateStatsFull: () => calculateStatsFull,
   classifyMetric: () => classifyMetric,
   compactOrderLog: () => compactOrderLog,
+  executionCostsFromModel: () => executionCostsFromModel,
   getBacktestScore: () => getBacktestScore,
   getFormatted: () => getFormatted,
   getTimeline: () => getTimeline,
+  parseBacktestExecutionCosts: () => parseBacktestExecutionCosts,
   parseTestName: () => parseTestName,
   sortBestTests: () => sortBestTests
 });
@@ -49,6 +53,90 @@ var parseTestName = (testName) => {
   return { symbol, testSuiteId, testId };
 };
 
+// src/utils/backtestExecutionCosts.ts
+var LEGACY_EXECUTION_CONFIG_FIELDS = [
+  "MAKER_FEE_RATE",
+  "TAKER_FEE_RATE",
+  "FUNDING_ENABLED",
+  "SLIPPAGE_BASE_BPS",
+  "SLIPPAGE_SPREAD_MULTIPLIER",
+  "SLIPPAGE_MARKET_IMPACT_BPS",
+  "SLIPPAGE_DELAY_RISK_MULTIPLIER",
+  "EXECUTION_COSTS_CACHE_ONLY"
+];
+var assertStrategyExecutionIsolation = (config) => {
+  for (const key of LEGACY_EXECUTION_CONFIG_FIELDS) {
+    if (Object.prototype.hasOwnProperty.call(config, key)) {
+      throw new Error(
+        `${key} is an execution setting: use executionCosts separately; strategy estimates use RISK_FEE_RATE and RISK_SLIPPAGE_BPS`
+      );
+    }
+  }
+};
+var parseBacktestExecutionCosts = (input) => {
+  const record = (value, label) => {
+    if (!value || typeof value !== "object" || Array.isArray(value))
+      throw new Error(`${label} must be an object`);
+    return value;
+  };
+  const root = record(input, "executionCosts");
+  const fees = record(root.fees, "executionCosts.fees");
+  const slippage = record(root.slippage, "executionCosts.slippage");
+  const funding = record(root.funding, "executionCosts.funding");
+  const number = (value, label, min = 0, max = Infinity) => {
+    if (typeof value !== "number" || !Number.isFinite(value) || value < min || value >= max)
+      throw new Error(`${label} must be a finite number in [${min}, ${max})`);
+    return value;
+  };
+  if (typeof funding.enabled !== "boolean")
+    throw new Error("executionCosts.funding.enabled must be boolean");
+  for (const [value, keys, label] of [
+    [root, ["fees", "slippage", "funding"], "executionCosts"],
+    [fees, ["makerRate", "takerRate"], "fees"],
+    [
+      slippage,
+      ["baseBps", "spreadMultiplier", "marketImpactBps", "delayRiskMultiplier"],
+      "slippage"
+    ],
+    [funding, ["enabled"], "funding"]
+  ]) {
+    for (const key of Object.keys(value))
+      if (!keys.includes(key))
+        throw new Error(`Unknown ${label}.${key}`);
+  }
+  return {
+    fees: {
+      makerRate: number(fees.makerRate, "makerRate", -1, 1),
+      takerRate: number(fees.takerRate, "takerRate", -1, 1)
+    },
+    slippage: {
+      baseBps: number(slippage.baseBps, "baseBps", 0, 1e4),
+      spreadMultiplier: number(slippage.spreadMultiplier, "spreadMultiplier"),
+      marketImpactBps: number(
+        slippage.marketImpactBps,
+        "marketImpactBps",
+        0,
+        1e4
+      ),
+      delayRiskMultiplier: number(
+        slippage.delayRiskMultiplier,
+        "delayRiskMultiplier"
+      )
+    },
+    funding: { enabled: funding.enabled }
+  };
+};
+var executionCostsFromModel = (model) => parseBacktestExecutionCosts({
+  fees: { makerRate: model.fees.makerRate, takerRate: model.fees.takerRate },
+  slippage: {
+    baseBps: model.slippage.baseBps,
+    spreadMultiplier: model.slippage.spreadMultiplier,
+    marketImpactBps: model.slippage.marketImpactBps,
+    delayRiskMultiplier: model.slippage.delayRiskMultiplier
+  },
+  funding: { enabled: model.funding.enabled }
+});
+
 // src/utils/stat.ts
 var import_date_fns = require("date-fns");
 
@@ -904,14 +992,18 @@ var compactOrderLog = (timeline, orderLog) => {
 };
 // Annotate the CommonJS export names for ESM import in node:
 0 && (module.exports = {
+  LEGACY_EXECUTION_CONFIG_FIELDS,
+  assertStrategyExecutionIsolation,
   calculateAdvancedTradeMetrics,
   calculateMaxDrawdown,
   calculateStatsFull,
   classifyMetric,
   compactOrderLog,
+  executionCostsFromModel,
   getBacktestScore,
   getFormatted,
   getTimeline,
+  parseBacktestExecutionCosts,
   parseTestName,
   sortBestTests
 });

package/dist/backtest.mjs

@@ -20,6 +20,90 @@ var parseTestName = (testName) => {
   return { symbol, testSuiteId, testId };
 };
 
+// src/utils/backtestExecutionCosts.ts
+var LEGACY_EXECUTION_CONFIG_FIELDS = [
+  "MAKER_FEE_RATE",
+  "TAKER_FEE_RATE",
+  "FUNDING_ENABLED",
+  "SLIPPAGE_BASE_BPS",
+  "SLIPPAGE_SPREAD_MULTIPLIER",
+  "SLIPPAGE_MARKET_IMPACT_BPS",
+  "SLIPPAGE_DELAY_RISK_MULTIPLIER",
+  "EXECUTION_COSTS_CACHE_ONLY"
+];
+var assertStrategyExecutionIsolation = (config) => {
+  for (const key of LEGACY_EXECUTION_CONFIG_FIELDS) {
+    if (Object.prototype.hasOwnProperty.call(config, key)) {
+      throw new Error(
+        `${key} is an execution setting: use executionCosts separately; strategy estimates use RISK_FEE_RATE and RISK_SLIPPAGE_BPS`
+      );
+    }
+  }
+};
+var parseBacktestExecutionCosts = (input) => {
+  const record = (value, label) => {
+    if (!value || typeof value !== "object" || Array.isArray(value))
+      throw new Error(`${label} must be an object`);
+    return value;
+  };
+  const root = record(input, "executionCosts");
+  const fees = record(root.fees, "executionCosts.fees");
+  const slippage = record(root.slippage, "executionCosts.slippage");
+  const funding = record(root.funding, "executionCosts.funding");
+  const number = (value, label, min = 0, max = Infinity) => {
+    if (typeof value !== "number" || !Number.isFinite(value) || value < min || value >= max)
+      throw new Error(`${label} must be a finite number in [${min}, ${max})`);
+    return value;
+  };
+  if (typeof funding.enabled !== "boolean")
+    throw new Error("executionCosts.funding.enabled must be boolean");
+  for (const [value, keys, label] of [
+    [root, ["fees", "slippage", "funding"], "executionCosts"],
+    [fees, ["makerRate", "takerRate"], "fees"],
+    [
+      slippage,
+      ["baseBps", "spreadMultiplier", "marketImpactBps", "delayRiskMultiplier"],
+      "slippage"
+    ],
+    [funding, ["enabled"], "funding"]
+  ]) {
+    for (const key of Object.keys(value))
+      if (!keys.includes(key))
+        throw new Error(`Unknown ${label}.${key}`);
+  }
+  return {
+    fees: {
+      makerRate: number(fees.makerRate, "makerRate", -1, 1),
+      takerRate: number(fees.takerRate, "takerRate", -1, 1)
+    },
+    slippage: {
+      baseBps: number(slippage.baseBps, "baseBps", 0, 1e4),
+      spreadMultiplier: number(slippage.spreadMultiplier, "spreadMultiplier"),
+      marketImpactBps: number(
+        slippage.marketImpactBps,
+        "marketImpactBps",
+        0,
+        1e4
+      ),
+      delayRiskMultiplier: number(
+        slippage.delayRiskMultiplier,
+        "delayRiskMultiplier"
+      )
+    },
+    funding: { enabled: funding.enabled }
+  };
+};
+var executionCostsFromModel = (model) => parseBacktestExecutionCosts({
+  fees: { makerRate: model.fees.makerRate, takerRate: model.fees.takerRate },
+  slippage: {
+    baseBps: model.slippage.baseBps,
+    spreadMultiplier: model.slippage.spreadMultiplier,
+    marketImpactBps: model.slippage.marketImpactBps,
+    delayRiskMultiplier: model.slippage.delayRiskMultiplier
+  },
+  funding: { enabled: model.funding.enabled }
+});
+
 // src/utils/stat.ts
 import {
   startOfMonth,
@@ -674,14 +758,18 @@ var getFormatted = (stat, key) => {
   };
 };
 export {
+  LEGACY_EXECUTION_CONFIG_FIELDS,
+  assertStrategyExecutionIsolation,
   calculateAdvancedTradeMetrics,
   calculateMaxDrawdown,
   calculateStatsFull,
   classifyMetric,
   compactOrderLog,
+  executionCostsFromModel,
   getBacktestScore,
   getFormatted,
   getTimeline,
+  parseBacktestExecutionCosts,
   parseTestName,
   sortBestTests
 };

package/dist/{chunk-5JMDX4IW.mjs → chunk-IS72ATRN.mjs}

@@ -1,6 +1,6 @@
 import {
   cloneArrayValues
-} from "./chunk-M7QGVZ3J.mjs";
+} from "./chunk-WJQRRGUY.mjs";
 import {
   toMs
 } from "./chunk-S4KHOAXM.mjs";
@@ -977,14 +977,26 @@ var PSYCHOLOGICAL_LEVEL_WINDOWS = {
   h1: 60 * 6e4,
   h4: 4 * 60 * 6e4
 };
+var PSYCHOLOGICAL_LEVEL_WINDOW_ENTRIES = Object.entries(
+  PSYCHOLOGICAL_LEVEL_WINDOWS
+);
 var buildSessionContext = (timestamp) => {
   const date = new Date(timestamp);
   const minuteUtc = date.getUTCHours() * 60 + date.getUTCMinutes();
   const dayOfWeekUtc = date.getUTCDay() || 7;
-  const activeSessions = SESSION_WINDOWS.filter(
-    ({ startMinuteUtc, endMinuteUtc }) => startMinuteUtc <= endMinuteUtc ? minuteUtc >= startMinuteUtc && minuteUtc < endMinuteUtc : minuteUtc >= startMinuteUtc || minuteUtc < endMinuteUtc
-  ).map(({ name }) => name);
-  const sessionPhase = activeSessions.includes("us") ? "us" : activeSessions.includes("europe") ? "europe" : activeSessions.includes("asia") ? "asia" : "off_hours";
+  let activeSessionCount = 0;
+  let asiaActive = false;
+  let europeActive = false;
+  let usActive = false;
+  for (const { name, startMinuteUtc, endMinuteUtc } of SESSION_WINDOWS) {
+    const active = startMinuteUtc <= endMinuteUtc ? minuteUtc >= startMinuteUtc && minuteUtc < endMinuteUtc : minuteUtc >= startMinuteUtc || minuteUtc < endMinuteUtc;
+    if (!active) continue;
+    activeSessionCount += 1;
+    if (name === "asia") asiaActive = true;
+    if (name === "europe") europeActive = true;
+    if (name === "us") usActive = true;
+  }
+  const sessionPhase = usActive ? "us" : europeActive ? "europe" : asiaActive ? "asia" : "off_hours";
   const primaryWindow = SESSION_WINDOWS.find(
     ({ name }) => name === sessionPhase
   );
@@ -995,7 +1007,7 @@ var buildSessionContext = (timestamp) => {
   return {
     sessionPhase,
     sessionWindowPhase,
-    isOverlap: activeSessions.length > 1,
+    isOverlap: activeSessionCount > 1,
     minutesFromSessionOpen,
     minutesToSessionClose,
     minutesToFundingWindow,
@@ -1049,24 +1061,30 @@ var buildPsychologicalLevelWindow = (startPrice, endPrice, stepUsd) => {
 var buildPsychologicalLevelAssetContext = (candles, stepUsd) => {
   const endCandle = candles[candles.length - 1];
   if (!endCandle) return null;
-  const candlesByTimestamp = new Map(
-    candles.map((item) => [item.timestamp, item])
-  );
-  const windows = Object.fromEntries(
-    Object.entries(PSYCHOLOGICAL_LEVEL_WINDOWS).map(([window, durationMs]) => {
-      const startCandle = candlesByTimestamp.get(
-        endCandle.timestamp - durationMs
-      );
-      return [
-        window,
-        startCandle ? buildPsychologicalLevelWindow(
-          startCandle.close,
-          endCandle.close,
-          stepUsd
-        ) : unavailablePsychologicalLevelWindow()
-      ];
-    })
-  );
+  const windows = {};
+  for (const [window, durationMs] of PSYCHOLOGICAL_LEVEL_WINDOW_ENTRIES) {
+    const targetTimestamp = endCandle.timestamp - durationMs;
+    let low = 0;
+    let high = candles.length - 1;
+    let startCandle;
+    while (low <= high) {
+      const middle = low + high >>> 1;
+      const candidate = candles[middle];
+      if (candidate.timestamp <= targetTimestamp) {
+        if (candidate.timestamp === targetTimestamp) {
+          startCandle = candidate;
+        }
+        low = middle + 1;
+      } else {
+        high = middle - 1;
+      }
+    }
+    windows[window] = startCandle ? buildPsychologicalLevelWindow(
+      startCandle.close,
+      endCandle.close,
+      stepUsd
+    ) : unavailablePsychologicalLevelWindow();
+  }
   return { source: "aligned_15m_ohlcv", stepUsd, windows };
 };
 var returnPct = (candles) => {
@@ -7957,35 +7975,34 @@ var buildLiquidityZonesContext = (candles, price, previousPrice, atr2) => {
   }
   const lastIndex = candles.length - 1;
   const current = candles[lastIndex];
-  const activeZones = zones.filter((zone) => {
+  let activeCount = 0;
+  let nearestSupport = null;
+  let nearestResistance = null;
+  for (const zone of zones) {
     if (lastIndex - zone.startIndex > LIQUIDITY_ZONE_MAX_AGE) {
-      return false;
+      continue;
     }
     const crossed = zone.crossed || (zone.kind === "swing_high_liquidity" ? current.close > zone.top : current.close < zone.bottom);
     zone.crossed = crossed;
-    return !crossed;
-  });
-  const supports = activeZones.filter(
-    (zone) => zone.kind === "swing_low_liquidity"
-  );
-  const resistances = activeZones.filter(
-    (zone) => zone.kind === "swing_high_liquidity"
-  );
-  const nearestSupport = supports.reduce(
-    (nearest, zone) => nearest == null || Math.abs(price - zone.level) < Math.abs(price - nearest.level) ? zone : nearest,
-    null
-  ) ?? null;
-  const nearestResistance = resistances.reduce(
-    (nearest, zone) => nearest == null || Math.abs(zone.level - price) < Math.abs(nearest.level - price) ? zone : nearest,
-    null
-  ) ?? null;
+    if (crossed) {
+      continue;
+    }
+    activeCount += 1;
+    if (zone.kind === "swing_low_liquidity") {
+      if (nearestSupport == null || Math.abs(price - zone.level) < Math.abs(price - nearestSupport.level)) {
+        nearestSupport = zone;
+      }
+    } else if (nearestResistance == null || Math.abs(zone.level - price) < Math.abs(nearestResistance.level - price)) {
+      nearestResistance = zone;
+    }
+  }
   const supportRetest = nearestSupport != null && current.low <= nearestSupport.top;
   const resistanceRetest = nearestResistance != null && current.high >= nearestResistance.bottom;
   const retestZone = supportRetest ? nearestSupport : resistanceRetest ? nearestResistance : null;
   const retestPenetration = retestZone == null ? null : retestZone.kind === "swing_low_liquidity" ? Math.max(0, retestZone.top - current.low) : Math.max(0, current.high - retestZone.bottom);
   const retestHeight = retestZone == null ? null : Math.max(retestZone.top - retestZone.bottom, 0);
   return {
-    activeCount: activeZones.length,
+    activeCount,
     nearestSupport: {
       top: nearestSupport?.top ?? null,
       bottom: nearestSupport?.bottom ?? null,
@@ -8094,19 +8111,22 @@ var buildLiquidityTailsContext = (candles, price, atr2) => {
   }
   const lastIndex = candles.length - 1;
   const current = candles[lastIndex];
-  const activeZones = zones.filter(
-    (zone) => !zone.spent && lastIndex - zone.startIndex <= LIQUIDITY_TAIL_MAX_AGE
-  );
-  const buyZones = activeZones.filter((zone) => zone.kind === "buy_pressure");
-  const sellZones = activeZones.filter((zone) => zone.kind === "sell_pressure");
-  const nearestBuy = buyZones.reduce(
-    (nearest, zone) => nearest == null || Math.abs(price - zone.mid) < Math.abs(price - nearest.mid) ? zone : nearest,
-    null
-  ) ?? null;
-  const nearestSell = sellZones.reduce(
-    (nearest, zone) => nearest == null || Math.abs(zone.mid - price) < Math.abs(nearest.mid - price) ? zone : nearest,
-    null
-  ) ?? null;
+  let activeCount = 0;
+  let nearestBuy = null;
+  let nearestSell = null;
+  for (const zone of zones) {
+    if (zone.spent || lastIndex - zone.startIndex > LIQUIDITY_TAIL_MAX_AGE) {
+      continue;
+    }
+    activeCount += 1;
+    if (zone.kind === "buy_pressure") {
+      if (nearestBuy == null || Math.abs(price - zone.mid) < Math.abs(price - nearestBuy.mid)) {
+        nearestBuy = zone;
+      }
+    } else if (nearestSell == null || Math.abs(zone.mid - price) < Math.abs(nearestSell.mid - price)) {
+      nearestSell = zone;
+    }
+  }
   const topShadow = current.high - Math.max(current.open, current.close);
   const bottomShadow = Math.min(current.open, current.close) - current.low;
   const body = Math.max(Math.abs(current.close - current.open), 1e-9);
@@ -8115,7 +8135,7 @@ var buildLiquidityTailsContext = (candles, price, atr2) => {
   const dominantWick = dominantUpper ? topShadow : bottomShadow;
   const oppositeWick = dominantUpper ? bottomShadow : topShadow;
   return {
-    activeCount: activeZones.length,
+    activeCount,
     nearestBuyPressure: {
       top: nearestBuy?.top ?? null,
       bottom: nearestBuy?.bottom ?? null,
@@ -9750,6 +9770,7 @@ var BASE_CONTEXT_PSAR_EMA_PERIOD = 50;
 var BASE_CONTEXT_PSAR_ADX_MIN = 15;
 var BASE_CONTEXT_PSAR_COOLDOWN_BARS = 1;
 var baseContextEmaKey = (period) => String(period);
+var sliceCapturedBaseContextTail = (values, length) => values.slice(Math.max(0, length - BASE_CONTEXT_CANDLE_WINDOW), length);
 var processLike = globalThis.process;
 var INDICATOR_NEXT_PROFILE = processLike?.env?.TRADEJS_INDICATOR_NEXT_PROFILE === "1";
 var indicatorNextProfileStats = {
@@ -10925,7 +10946,6 @@ var createIndicators = (data, btcData = [], options = {}) => {
     let cachedBaseContextSnapshot;
     const getCapturedCoinCandles = () => candlesHistory.slice(0, capturedCoinLength);
     const getCapturedBtcCandles = () => btcCandlesHistory.slice(0, capturedBtcLength);
-    const getCapturedEthCandles = () => ethCandlesHistory.slice(0, capturedEthLength);
     const getCapturedCoinResampled = () => ({
       h1: coin1hCache.snapshot(capturedCoin1hLength),
       h4: coin4hCache.snapshot(capturedCoin4hLength),
@@ -11015,12 +11035,30 @@ var createIndicators = (data, btcData = [], options = {}) => {
             candle: latestCandle,
             prevCandle: latestPrevCandle,
             baseResult,
-            candlesHistory: getCapturedCoinCandles(),
-            btcCandlesHistory: getCapturedBtcCandles(),
-            ethCandlesHistory: getCapturedEthCandles(),
-            closeSeries: closes.slice(0, capturedCoinLength),
-            volumeSeries: volumes.slice(0, capturedCoinLength),
-            btcCloseSeries: btcCloses.slice(0, capturedBtcLength),
+            candlesHistory: sliceCapturedBaseContextTail(
+              candlesHistory,
+              capturedCoinLength
+            ),
+            btcCandlesHistory: sliceCapturedBaseContextTail(
+              btcCandlesHistory,
+              capturedBtcLength
+            ),
+            ethCandlesHistory: sliceCapturedBaseContextTail(
+              ethCandlesHistory,
+              capturedEthLength
+            ),
+            closeSeries: sliceCapturedBaseContextTail(
+              closes,
+              capturedCoinLength
+            ),
+            volumeSeries: sliceCapturedBaseContextTail(
+              volumes,
+              capturedCoinLength
+            ),
+            btcCloseSeries: sliceCapturedBaseContextTail(
+              btcCloses,
+              capturedBtcLength
+            ),
             coinResampledCandles: getCapturedCoinResampled(),
             btcResampledCandles: getCapturedBtcResampled(),
             ethResampledCandles: getCapturedEthResampled(),

package/dist/{chunk-NYJU3J7Y.mjs → chunk-V4KXTU6Y.mjs}

@@ -1,6 +1,6 @@
 import {
   intervalToMs
-} from "./chunk-M7QGVZ3J.mjs";
+} from "./chunk-WJQRRGUY.mjs";
 import {
   BACKTEST_BASE_SLIPPAGE_BPS,
   BACKTEST_DELAY_RISK_LOOKBACK_CANDLES,

package/dist/{chunk-M7QGVZ3J.mjs → chunk-WJQRRGUY.mjs}

@@ -46,12 +46,14 @@ var isWrongData = (interval, data) => {
   }
   return false;
 };
-var cloneArrayValues = (record) => Object.fromEntries(
-  Object.entries(record).map(([key, value]) => [
-    key,
-    Array.isArray(value) ? value.slice() : value
-  ])
-);
+var cloneArrayValues = (record) => {
+  const clone = {};
+  for (const key of Object.keys(record)) {
+    const value = record[key];
+    clone[key] = Array.isArray(value) ? value.slice() : value;
+  }
+  return clone;
+};
 
 export {
   intervalToMs,

package/dist/data.js

@@ -86,12 +86,14 @@ var isWrongData = (interval, data) => {
   }
   return false;
 };
-var cloneArrayValues = (record) => Object.fromEntries(
-  Object.entries(record).map(([key, value]) => [
-    key,
-    Array.isArray(value) ? value.slice() : value
-  ])
-);
+var cloneArrayValues = (record) => {
+  const clone = {};
+  for (const key of Object.keys(record)) {
+    const value = record[key];
+    clone[key] = Array.isArray(value) ? value.slice() : value;
+  }
+  return clone;
+};
 
 // src/utils/toJson.ts
 var toJson = (data, stringify = false) => {

package/dist/data.mjs

@@ -6,7 +6,7 @@ import {
   intervalToMs,
   isWrongData,
   mergeData
-} from "./chunk-M7QGVZ3J.mjs";
+} from "./chunk-WJQRRGUY.mjs";
 export {
   cloneArrayValues,
   intervalToMs,

package/dist/indicators.js

@@ -754,12 +754,14 @@ var TRENDLINE_DEFAULTS = {
 
 // src/utils/array.ts
 var import_lodash2 = __toESM(require("lodash"));
-var cloneArrayValues = (record) => Object.fromEntries(
-  Object.entries(record).map(([key, value]) => [
-    key,
-    Array.isArray(value) ? value.slice() : value
-  ])
-);
+var cloneArrayValues = (record) => {
+  const clone = {};
+  for (const key of Object.keys(record)) {
+    const value = record[key];
+    clone[key] = Array.isArray(value) ? value.slice() : value;
+  }
+  return clone;
+};
 
 // src/utils/indicatorHistory.ts
 var createNumericHistoryBuffer = () => ({
@@ -1092,14 +1094,26 @@ var PSYCHOLOGICAL_LEVEL_WINDOWS = {
   h1: 60 * 6e4,
   h4: 4 * 60 * 6e4
 };
+var PSYCHOLOGICAL_LEVEL_WINDOW_ENTRIES = Object.entries(
+  PSYCHOLOGICAL_LEVEL_WINDOWS
+);
 var buildSessionContext = (timestamp) => {
   const date = new Date(timestamp);
   const minuteUtc = date.getUTCHours() * 60 + date.getUTCMinutes();
   const dayOfWeekUtc = date.getUTCDay() || 7;
-  const activeSessions = SESSION_WINDOWS.filter(
-    ({ startMinuteUtc, endMinuteUtc }) => startMinuteUtc <= endMinuteUtc ? minuteUtc >= startMinuteUtc && minuteUtc < endMinuteUtc : minuteUtc >= startMinuteUtc || minuteUtc < endMinuteUtc
-  ).map(({ name }) => name);
-  const sessionPhase = activeSessions.includes("us") ? "us" : activeSessions.includes("europe") ? "europe" : activeSessions.includes("asia") ? "asia" : "off_hours";
+  let activeSessionCount = 0;
+  let asiaActive = false;
+  let europeActive = false;
+  let usActive = false;
+  for (const { name, startMinuteUtc, endMinuteUtc } of SESSION_WINDOWS) {
+    const active = startMinuteUtc <= endMinuteUtc ? minuteUtc >= startMinuteUtc && minuteUtc < endMinuteUtc : minuteUtc >= startMinuteUtc || minuteUtc < endMinuteUtc;
+    if (!active) continue;
+    activeSessionCount += 1;
+    if (name === "asia") asiaActive = true;
+    if (name === "europe") europeActive = true;
+    if (name === "us") usActive = true;
+  }
+  const sessionPhase = usActive ? "us" : europeActive ? "europe" : asiaActive ? "asia" : "off_hours";
   const primaryWindow = SESSION_WINDOWS.find(
     ({ name }) => name === sessionPhase
   );
@@ -1110,7 +1124,7 @@ var buildSessionContext = (timestamp) => {
   return {
     sessionPhase,
     sessionWindowPhase,
-    isOverlap: activeSessions.length > 1,
+    isOverlap: activeSessionCount > 1,
     minutesFromSessionOpen,
     minutesToSessionClose,
     minutesToFundingWindow,
@@ -1164,24 +1178,30 @@ var buildPsychologicalLevelWindow = (startPrice, endPrice, stepUsd) => {
 var buildPsychologicalLevelAssetContext = (candles, stepUsd) => {
   const endCandle = candles[candles.length - 1];
   if (!endCandle) return null;
-  const candlesByTimestamp = new Map(
-    candles.map((item) => [item.timestamp, item])
-  );
-  const windows = Object.fromEntries(
-    Object.entries(PSYCHOLOGICAL_LEVEL_WINDOWS).map(([window, durationMs]) => {
-      const startCandle = candlesByTimestamp.get(
-        endCandle.timestamp - durationMs
-      );
-      return [
-        window,
-        startCandle ? buildPsychologicalLevelWindow(
-          startCandle.close,
-          endCandle.close,
-          stepUsd
-        ) : unavailablePsychologicalLevelWindow()
-      ];
-    })
-  );
+  const windows = {};
+  for (const [window, durationMs] of PSYCHOLOGICAL_LEVEL_WINDOW_ENTRIES) {
+    const targetTimestamp = endCandle.timestamp - durationMs;
+    let low = 0;
+    let high = candles.length - 1;
+    let startCandle;
+    while (low <= high) {
+      const middle = low + high >>> 1;
+      const candidate = candles[middle];
+      if (candidate.timestamp <= targetTimestamp) {
+        if (candidate.timestamp === targetTimestamp) {
+          startCandle = candidate;
+        }
+        low = middle + 1;
+      } else {
+        high = middle - 1;
+      }
+    }
+    windows[window] = startCandle ? buildPsychologicalLevelWindow(
+      startCandle.close,
+      endCandle.close,
+      stepUsd
+    ) : unavailablePsychologicalLevelWindow();
+  }
   return { source: "aligned_15m_ohlcv", stepUsd, windows };
 };
 var returnPct = (candles) => {
@@ -8072,35 +8092,34 @@ var buildLiquidityZonesContext = (candles, price, previousPrice, atr2) => {
   }
   const lastIndex = candles.length - 1;
   const current = candles[lastIndex];
-  const activeZones = zones.filter((zone) => {
+  let activeCount = 0;
+  let nearestSupport = null;
+  let nearestResistance = null;
+  for (const zone of zones) {
     if (lastIndex - zone.startIndex > LIQUIDITY_ZONE_MAX_AGE) {
-      return false;
+      continue;
     }
     const crossed = zone.crossed || (zone.kind === "swing_high_liquidity" ? current.close > zone.top : current.close < zone.bottom);
     zone.crossed = crossed;
-    return !crossed;
-  });
-  const supports = activeZones.filter(
-    (zone) => zone.kind === "swing_low_liquidity"
-  );
-  const resistances = activeZones.filter(
-    (zone) => zone.kind === "swing_high_liquidity"
-  );
-  const nearestSupport = supports.reduce(
-    (nearest, zone) => nearest == null || Math.abs(price - zone.level) < Math.abs(price - nearest.level) ? zone : nearest,
-    null
-  ) ?? null;
-  const nearestResistance = resistances.reduce(
-    (nearest, zone) => nearest == null || Math.abs(zone.level - price) < Math.abs(nearest.level - price) ? zone : nearest,
-    null
-  ) ?? null;
+    if (crossed) {
+      continue;
+    }
+    activeCount += 1;
+    if (zone.kind === "swing_low_liquidity") {
+      if (nearestSupport == null || Math.abs(price - zone.level) < Math.abs(price - nearestSupport.level)) {
+        nearestSupport = zone;
+      }
+    } else if (nearestResistance == null || Math.abs(zone.level - price) < Math.abs(nearestResistance.level - price)) {
+      nearestResistance = zone;
+    }
+  }
   const supportRetest = nearestSupport != null && current.low <= nearestSupport.top;
   const resistanceRetest = nearestResistance != null && current.high >= nearestResistance.bottom;
   const retestZone = supportRetest ? nearestSupport : resistanceRetest ? nearestResistance : null;
   const retestPenetration = retestZone == null ? null : retestZone.kind === "swing_low_liquidity" ? Math.max(0, retestZone.top - current.low) : Math.max(0, current.high - retestZone.bottom);
   const retestHeight = retestZone == null ? null : Math.max(retestZone.top - retestZone.bottom, 0);
   return {
-    activeCount: activeZones.length,
+    activeCount,
     nearestSupport: {
       top: nearestSupport?.top ?? null,
       bottom: nearestSupport?.bottom ?? null,
@@ -8209,19 +8228,22 @@ var buildLiquidityTailsContext = (candles, price, atr2) => {
   }
   const lastIndex = candles.length - 1;
   const current = candles[lastIndex];
-  const activeZones = zones.filter(
-    (zone) => !zone.spent && lastIndex - zone.startIndex <= LIQUIDITY_TAIL_MAX_AGE
-  );
-  const buyZones = activeZones.filter((zone) => zone.kind === "buy_pressure");
-  const sellZones = activeZones.filter((zone) => zone.kind === "sell_pressure");
-  const nearestBuy = buyZones.reduce(
-    (nearest, zone) => nearest == null || Math.abs(price - zone.mid) < Math.abs(price - nearest.mid) ? zone : nearest,
-    null
-  ) ?? null;
-  const nearestSell = sellZones.reduce(
-    (nearest, zone) => nearest == null || Math.abs(zone.mid - price) < Math.abs(nearest.mid - price) ? zone : nearest,
-    null
-  ) ?? null;
+  let activeCount = 0;
+  let nearestBuy = null;
+  let nearestSell = null;
+  for (const zone of zones) {
+    if (zone.spent || lastIndex - zone.startIndex > LIQUIDITY_TAIL_MAX_AGE) {
+      continue;
+    }
+    activeCount += 1;
+    if (zone.kind === "buy_pressure") {
+      if (nearestBuy == null || Math.abs(price - zone.mid) < Math.abs(price - nearestBuy.mid)) {
+        nearestBuy = zone;
+      }
+    } else if (nearestSell == null || Math.abs(zone.mid - price) < Math.abs(nearestSell.mid - price)) {
+      nearestSell = zone;
+    }
+  }
   const topShadow = current.high - Math.max(current.open, current.close);
   const bottomShadow = Math.min(current.open, current.close) - current.low;
   const body = Math.max(Math.abs(current.close - current.open), 1e-9);
@@ -8230,7 +8252,7 @@ var buildLiquidityTailsContext = (candles, price, atr2) => {
   const dominantWick = dominantUpper ? topShadow : bottomShadow;
   const oppositeWick = dominantUpper ? bottomShadow : topShadow;
   return {
-    activeCount: activeZones.length,
+    activeCount,
     nearestBuyPressure: {
       top: nearestBuy?.top ?? null,
       bottom: nearestBuy?.bottom ?? null,
@@ -9865,6 +9887,7 @@ var BASE_CONTEXT_PSAR_EMA_PERIOD = 50;
 var BASE_CONTEXT_PSAR_ADX_MIN = 15;
 var BASE_CONTEXT_PSAR_COOLDOWN_BARS = 1;
 var baseContextEmaKey = (period) => String(period);
+var sliceCapturedBaseContextTail = (values, length) => values.slice(Math.max(0, length - BASE_CONTEXT_CANDLE_WINDOW), length);
 var processLike = globalThis.process;
 var INDICATOR_NEXT_PROFILE = processLike?.env?.TRADEJS_INDICATOR_NEXT_PROFILE === "1";
 var indicatorNextProfileStats = {
@@ -11040,7 +11063,6 @@ var createIndicators = (data, btcData = [], options = {}) => {
     let cachedBaseContextSnapshot;
     const getCapturedCoinCandles = () => candlesHistory.slice(0, capturedCoinLength);
     const getCapturedBtcCandles = () => btcCandlesHistory.slice(0, capturedBtcLength);
-    const getCapturedEthCandles = () => ethCandlesHistory.slice(0, capturedEthLength);
     const getCapturedCoinResampled = () => ({
       h1: coin1hCache.snapshot(capturedCoin1hLength),
       h4: coin4hCache.snapshot(capturedCoin4hLength),
@@ -11130,12 +11152,30 @@ var createIndicators = (data, btcData = [], options = {}) => {
             candle: latestCandle,
             prevCandle: latestPrevCandle,
             baseResult,
-            candlesHistory: getCapturedCoinCandles(),
-            btcCandlesHistory: getCapturedBtcCandles(),
-            ethCandlesHistory: getCapturedEthCandles(),
-            closeSeries: closes.slice(0, capturedCoinLength),
-            volumeSeries: volumes.slice(0, capturedCoinLength),
-            btcCloseSeries: btcCloses.slice(0, capturedBtcLength),
+            candlesHistory: sliceCapturedBaseContextTail(
+              candlesHistory,
+              capturedCoinLength
+            ),
+            btcCandlesHistory: sliceCapturedBaseContextTail(
+              btcCandlesHistory,
+              capturedBtcLength
+            ),
+            ethCandlesHistory: sliceCapturedBaseContextTail(
+              ethCandlesHistory,
+              capturedEthLength
+            ),
+            closeSeries: sliceCapturedBaseContextTail(
+              closes,
+              capturedCoinLength
+            ),
+            volumeSeries: sliceCapturedBaseContextTail(
+              volumes,
+              capturedCoinLength
+            ),
+            btcCloseSeries: sliceCapturedBaseContextTail(
+              btcCloses,
+              capturedBtcLength
+            ),
             coinResampledCandles: getCapturedCoinResampled(),
             btcResampledCandles: getCapturedBtcResampled(),
             ethResampledCandles: getCapturedEthResampled(),

package/dist/indicators.mjs

@@ -39,8 +39,8 @@ import {
   toArrayData,
   toCoinalyzeTimestampMs,
   toFiniteNumber
-} from "./chunk-5JMDX4IW.mjs";
-import "./chunk-M7QGVZ3J.mjs";
+} from "./chunk-IS72ATRN.mjs";
+import "./chunk-WJQRRGUY.mjs";
 import "./chunk-S4KHOAXM.mjs";
 import "./chunk-LI6FPPKB.mjs";
 import "./chunk-MKCQSB4H.mjs";

package/dist/runtimeTrades.mjs

@@ -1,8 +1,8 @@
 import {
   normalizeStrategyOrderLinkKey,
   parseStrategyOrderLinkKey
-} from "./chunk-NYJU3J7Y.mjs";
-import "./chunk-M7QGVZ3J.mjs";
+} from "./chunk-V4KXTU6Y.mjs";
+import "./chunk-WJQRRGUY.mjs";
 import {
   INITIAL_BACKTEST_AMOUNT
 } from "./chunk-MKCQSB4H.mjs";

package/dist/strategies.js

@@ -186,12 +186,14 @@ var DERIVATIVES_CONTEXT_REFERENCE_SYMBOLS = [
 
 // src/utils/array.ts
 var import_lodash2 = __toESM(require("lodash"));
-var cloneArrayValues = (record) => Object.fromEntries(
-  Object.entries(record).map(([key, value]) => [
-    key,
-    Array.isArray(value) ? value.slice() : value
-  ])
-);
+var cloneArrayValues = (record) => {
+  const clone = {};
+  for (const key of Object.keys(record)) {
+    const value = record[key];
+    clone[key] = Array.isArray(value) ? value.slice() : value;
+  }
+  return clone;
+};
 
 // src/utils/indicatorHistory.ts
 var createNumericHistoryBuffer = () => ({
@@ -524,14 +526,26 @@ var PSYCHOLOGICAL_LEVEL_WINDOWS = {
   h1: 60 * 6e4,
   h4: 4 * 60 * 6e4
 };
+var PSYCHOLOGICAL_LEVEL_WINDOW_ENTRIES = Object.entries(
+  PSYCHOLOGICAL_LEVEL_WINDOWS
+);
 var buildSessionContext = (timestamp) => {
   const date = new Date(timestamp);
   const minuteUtc = date.getUTCHours() * 60 + date.getUTCMinutes();
   const dayOfWeekUtc = date.getUTCDay() || 7;
-  const activeSessions = SESSION_WINDOWS.filter(
-    ({ startMinuteUtc, endMinuteUtc }) => startMinuteUtc <= endMinuteUtc ? minuteUtc >= startMinuteUtc && minuteUtc < endMinuteUtc : minuteUtc >= startMinuteUtc || minuteUtc < endMinuteUtc
-  ).map(({ name }) => name);
-  const sessionPhase = activeSessions.includes("us") ? "us" : activeSessions.includes("europe") ? "europe" : activeSessions.includes("asia") ? "asia" : "off_hours";
+  let activeSessionCount = 0;
+  let asiaActive = false;
+  let europeActive = false;
+  let usActive = false;
+  for (const { name, startMinuteUtc, endMinuteUtc } of SESSION_WINDOWS) {
+    const active = startMinuteUtc <= endMinuteUtc ? minuteUtc >= startMinuteUtc && minuteUtc < endMinuteUtc : minuteUtc >= startMinuteUtc || minuteUtc < endMinuteUtc;
+    if (!active) continue;
+    activeSessionCount += 1;
+    if (name === "asia") asiaActive = true;
+    if (name === "europe") europeActive = true;
+    if (name === "us") usActive = true;
+  }
+  const sessionPhase = usActive ? "us" : europeActive ? "europe" : asiaActive ? "asia" : "off_hours";
   const primaryWindow = SESSION_WINDOWS.find(
     ({ name }) => name === sessionPhase
   );
@@ -542,7 +556,7 @@ var buildSessionContext = (timestamp) => {
   return {
     sessionPhase,
     sessionWindowPhase,
-    isOverlap: activeSessions.length > 1,
+    isOverlap: activeSessionCount > 1,
     minutesFromSessionOpen,
     minutesToSessionClose,
     minutesToFundingWindow,
@@ -596,24 +610,30 @@ var buildPsychologicalLevelWindow = (startPrice, endPrice, stepUsd) => {
 var buildPsychologicalLevelAssetContext = (candles, stepUsd) => {
   const endCandle = candles[candles.length - 1];
   if (!endCandle) return null;
-  const candlesByTimestamp = new Map(
-    candles.map((item) => [item.timestamp, item])
-  );
-  const windows = Object.fromEntries(
-    Object.entries(PSYCHOLOGICAL_LEVEL_WINDOWS).map(([window, durationMs]) => {
-      const startCandle = candlesByTimestamp.get(
-        endCandle.timestamp - durationMs
-      );
-      return [
-        window,
-        startCandle ? buildPsychologicalLevelWindow(
-          startCandle.close,
-          endCandle.close,
-          stepUsd
-        ) : unavailablePsychologicalLevelWindow()
-      ];
-    })
-  );
+  const windows = {};
+  for (const [window, durationMs] of PSYCHOLOGICAL_LEVEL_WINDOW_ENTRIES) {
+    const targetTimestamp = endCandle.timestamp - durationMs;
+    let low = 0;
+    let high = candles.length - 1;
+    let startCandle;
+    while (low <= high) {
+      const middle = low + high >>> 1;
+      const candidate = candles[middle];
+      if (candidate.timestamp <= targetTimestamp) {
+        if (candidate.timestamp === targetTimestamp) {
+          startCandle = candidate;
+        }
+        low = middle + 1;
+      } else {
+        high = middle - 1;
+      }
+    }
+    windows[window] = startCandle ? buildPsychologicalLevelWindow(
+      startCandle.close,
+      endCandle.close,
+      stepUsd
+    ) : unavailablePsychologicalLevelWindow();
+  }
   return { source: "aligned_15m_ohlcv", stepUsd, windows };
 };
 var returnPct = (candles) => {
@@ -7504,35 +7524,34 @@ var buildLiquidityZonesContext = (candles, price, previousPrice, atr2) => {
   }
   const lastIndex = candles.length - 1;
   const current = candles[lastIndex];
-  const activeZones = zones.filter((zone) => {
+  let activeCount = 0;
+  let nearestSupport = null;
+  let nearestResistance = null;
+  for (const zone of zones) {
     if (lastIndex - zone.startIndex > LIQUIDITY_ZONE_MAX_AGE) {
-      return false;
+      continue;
     }
     const crossed = zone.crossed || (zone.kind === "swing_high_liquidity" ? current.close > zone.top : current.close < zone.bottom);
     zone.crossed = crossed;
-    return !crossed;
-  });
-  const supports = activeZones.filter(
-    (zone) => zone.kind === "swing_low_liquidity"
-  );
-  const resistances = activeZones.filter(
-    (zone) => zone.kind === "swing_high_liquidity"
-  );
-  const nearestSupport = supports.reduce(
-    (nearest, zone) => nearest == null || Math.abs(price - zone.level) < Math.abs(price - nearest.level) ? zone : nearest,
-    null
-  ) ?? null;
-  const nearestResistance = resistances.reduce(
-    (nearest, zone) => nearest == null || Math.abs(zone.level - price) < Math.abs(nearest.level - price) ? zone : nearest,
-    null
-  ) ?? null;
+    if (crossed) {
+      continue;
+    }
+    activeCount += 1;
+    if (zone.kind === "swing_low_liquidity") {
+      if (nearestSupport == null || Math.abs(price - zone.level) < Math.abs(price - nearestSupport.level)) {
+        nearestSupport = zone;
+      }
+    } else if (nearestResistance == null || Math.abs(zone.level - price) < Math.abs(nearestResistance.level - price)) {
+      nearestResistance = zone;
+    }
+  }
   const supportRetest = nearestSupport != null && current.low <= nearestSupport.top;
   const resistanceRetest = nearestResistance != null && current.high >= nearestResistance.bottom;
   const retestZone = supportRetest ? nearestSupport : resistanceRetest ? nearestResistance : null;
   const retestPenetration = retestZone == null ? null : retestZone.kind === "swing_low_liquidity" ? Math.max(0, retestZone.top - current.low) : Math.max(0, current.high - retestZone.bottom);
   const retestHeight = retestZone == null ? null : Math.max(retestZone.top - retestZone.bottom, 0);
   return {
-    activeCount: activeZones.length,
+    activeCount,
     nearestSupport: {
       top: nearestSupport?.top ?? null,
       bottom: nearestSupport?.bottom ?? null,
@@ -7641,19 +7660,22 @@ var buildLiquidityTailsContext = (candles, price, atr2) => {
   }
   const lastIndex = candles.length - 1;
   const current = candles[lastIndex];
-  const activeZones = zones.filter(
-    (zone) => !zone.spent && lastIndex - zone.startIndex <= LIQUIDITY_TAIL_MAX_AGE
-  );
-  const buyZones = activeZones.filter((zone) => zone.kind === "buy_pressure");
-  const sellZones = activeZones.filter((zone) => zone.kind === "sell_pressure");
-  const nearestBuy = buyZones.reduce(
-    (nearest, zone) => nearest == null || Math.abs(price - zone.mid) < Math.abs(price - nearest.mid) ? zone : nearest,
-    null
-  ) ?? null;
-  const nearestSell = sellZones.reduce(
-    (nearest, zone) => nearest == null || Math.abs(zone.mid - price) < Math.abs(nearest.mid - price) ? zone : nearest,
-    null
-  ) ?? null;
+  let activeCount = 0;
+  let nearestBuy = null;
+  let nearestSell = null;
+  for (const zone of zones) {
+    if (zone.spent || lastIndex - zone.startIndex > LIQUIDITY_TAIL_MAX_AGE) {
+      continue;
+    }
+    activeCount += 1;
+    if (zone.kind === "buy_pressure") {
+      if (nearestBuy == null || Math.abs(price - zone.mid) < Math.abs(price - nearestBuy.mid)) {
+        nearestBuy = zone;
+      }
+    } else if (nearestSell == null || Math.abs(zone.mid - price) < Math.abs(nearestSell.mid - price)) {
+      nearestSell = zone;
+    }
+  }
   const topShadow = current.high - Math.max(current.open, current.close);
   const bottomShadow = Math.min(current.open, current.close) - current.low;
   const body = Math.max(Math.abs(current.close - current.open), 1e-9);
@@ -7662,7 +7684,7 @@ var buildLiquidityTailsContext = (candles, price, atr2) => {
   const dominantWick = dominantUpper ? topShadow : bottomShadow;
   const oppositeWick = dominantUpper ? bottomShadow : topShadow;
   return {
-    activeCount: activeZones.length,
+    activeCount,
     nearestBuyPressure: {
       top: nearestBuy?.top ?? null,
       bottom: nearestBuy?.bottom ?? null,
@@ -9164,6 +9186,7 @@ var BASE_CONTEXT_PSAR_EMA_PERIOD = 50;
 var BASE_CONTEXT_PSAR_ADX_MIN = 15;
 var BASE_CONTEXT_PSAR_COOLDOWN_BARS = 1;
 var baseContextEmaKey = (period) => String(period);
+var sliceCapturedBaseContextTail = (values, length) => values.slice(Math.max(0, length - BASE_CONTEXT_CANDLE_WINDOW), length);
 var processLike = globalThis.process;
 var INDICATOR_NEXT_PROFILE = processLike?.env?.TRADEJS_INDICATOR_NEXT_PROFILE === "1";
 var indicatorNextProfileStats = {
@@ -10339,7 +10362,6 @@ var createIndicators = (data, btcData = [], options = {}) => {
     let cachedBaseContextSnapshot;
     const getCapturedCoinCandles = () => candlesHistory.slice(0, capturedCoinLength);
     const getCapturedBtcCandles = () => btcCandlesHistory.slice(0, capturedBtcLength);
-    const getCapturedEthCandles = () => ethCandlesHistory.slice(0, capturedEthLength);
     const getCapturedCoinResampled = () => ({
       h1: coin1hCache.snapshot(capturedCoin1hLength),
       h4: coin4hCache.snapshot(capturedCoin4hLength),
@@ -10429,12 +10451,30 @@ var createIndicators = (data, btcData = [], options = {}) => {
             candle: latestCandle,
             prevCandle: latestPrevCandle,
             baseResult,
-            candlesHistory: getCapturedCoinCandles(),
-            btcCandlesHistory: getCapturedBtcCandles(),
-            ethCandlesHistory: getCapturedEthCandles(),
-            closeSeries: closes.slice(0, capturedCoinLength),
-            volumeSeries: volumes.slice(0, capturedCoinLength),
-            btcCloseSeries: btcCloses.slice(0, capturedBtcLength),
+            candlesHistory: sliceCapturedBaseContextTail(
+              candlesHistory,
+              capturedCoinLength
+            ),
+            btcCandlesHistory: sliceCapturedBaseContextTail(
+              btcCandlesHistory,
+              capturedBtcLength
+            ),
+            ethCandlesHistory: sliceCapturedBaseContextTail(
+              ethCandlesHistory,
+              capturedEthLength
+            ),
+            closeSeries: sliceCapturedBaseContextTail(
+              closes,
+              capturedCoinLength
+            ),
+            volumeSeries: sliceCapturedBaseContextTail(
+              volumes,
+              capturedCoinLength
+            ),
+            btcCloseSeries: sliceCapturedBaseContextTail(
+              btcCloses,
+              capturedBtcLength
+            ),
             coinResampledCandles: getCapturedCoinResampled(),
             btcResampledCandles: getCapturedBtcResampled(),
             ethResampledCandles: getCapturedEthResampled(),
@@ -11058,8 +11098,8 @@ var getDirectionalTpSlPrices = ({
     takeProfitPrice,
     stopLossPrice
   });
-  const slPercent = unit === "percent" ? stopLossDelta : stopLossDelta * 100;
-  const qty = typeof maxLossValue === "number" && Number.isFinite(maxLossValue) && maxLossValue > 0 ? maxLossValue / (price * (slPercent + feePercent) / 100) : void 0;
+  const lossPerUnit = Math.abs(price - stopLossPrice) + (Math.abs(price) + Math.abs(stopLossPrice)) * Math.max(0, feePercent);
+  const qty = typeof maxLossValue === "number" && Number.isFinite(maxLossValue) && maxLossValue > 0 ? lossPerUnit > 0 ? maxLossValue / lossPerUnit : 0 : void 0;
   return {
     stopLossPrice,
     takeProfitPrice,

package/dist/strategies.mjs

@@ -4,8 +4,8 @@ import {
 import {
   createIndicators,
   getRequiredControllerSeedWindow
-} from "./chunk-5JMDX4IW.mjs";
-import "./chunk-M7QGVZ3J.mjs";
+} from "./chunk-IS72ATRN.mjs";
+import "./chunk-WJQRRGUY.mjs";
 import {
   getTimestamp
 } from "./chunk-S4KHOAXM.mjs";
@@ -369,8 +369,8 @@ var getDirectionalTpSlPrices = ({
     takeProfitPrice,
     stopLossPrice
   });
-  const slPercent = unit === "percent" ? stopLossDelta : stopLossDelta * 100;
-  const qty = typeof maxLossValue === "number" && Number.isFinite(maxLossValue) && maxLossValue > 0 ? maxLossValue / (price * (slPercent + feePercent) / 100) : void 0;
+  const lossPerUnit = Math.abs(price - stopLossPrice) + (Math.abs(price) + Math.abs(stopLossPrice)) * Math.max(0, feePercent);
+  const qty = typeof maxLossValue === "number" && Number.isFinite(maxLossValue) && maxLossValue > 0 ? lossPerUnit > 0 ? maxLossValue / lossPerUnit : 0 : void 0;
   return {
     stopLossPrice,
     takeProfitPrice,

package/dist/trade.mjs

@@ -10,8 +10,8 @@ import {
   normalizeStrategyOrderLinkKey,
   parseStrategyOrderLinkKey,
   slippageBpsToRate
-} from "./chunk-NYJU3J7Y.mjs";
-import "./chunk-M7QGVZ3J.mjs";
+} from "./chunk-V4KXTU6Y.mjs";
+import "./chunk-WJQRRGUY.mjs";
 import "./chunk-MKCQSB4H.mjs";
 export {
   applyExecutionSlippage,

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@tradejs/core",
-  "version": "3.1.27-beta.250",
+  "version": "3.1.28-beta.251",
   "description": "MIT-licensed browser-safe API for TradeJS config, strategy authoring, figures, and shared helpers.",
   "keywords": [
     "tradejs",
@@ -132,7 +132,7 @@
     }
   },
   "dependencies": {
-    "@tradejs/types": "^3.1.27-beta.250",
+    "@tradejs/types": "^3.1.28-beta.251",
     "date-fns": "^3.6.0",
     "fast-technical-indicators": "^1.1.4",
     "klinecharts": "10.0.0-alpha9",