@tradejs/core 3.1.29-beta.290 → 3.1.29-beta.291

package/dist/aiFeatures.d.mts

@@ -0,0 +1,14 @@
+import { AiFeatureDefinition, AiFeatureSnapshot } from '@tradejs/types';
+
+declare const validateAiFeatureDefinitions: (definitions: readonly AiFeatureDefinition[]) => void;
+/** The same pure projection is used before export and when reconstructing a gate. */
+declare const projectAiFeatures: (definitions: readonly AiFeatureDefinition[], sources: {
+    signal: unknown;
+    payload: unknown;
+}) => AiFeatureSnapshot;
+declare const TICKER_PROFILE_AI_FEATURES: readonly AiFeatureDefinition[];
+declare const validateAiFeatureSnapshot: (snapshot: AiFeatureSnapshot) => void;
+/** Frozen pre-admission state, never the result of the candidate's own decision. */
+declare const PORTFOLIO_AI_FEATURES: readonly AiFeatureDefinition[];
+
+export { PORTFOLIO_AI_FEATURES, TICKER_PROFILE_AI_FEATURES, projectAiFeatures, validateAiFeatureDefinitions, validateAiFeatureSnapshot };

package/dist/aiFeatures.d.ts

@@ -0,0 +1,14 @@
+import { AiFeatureDefinition, AiFeatureSnapshot } from '@tradejs/types';
+
+declare const validateAiFeatureDefinitions: (definitions: readonly AiFeatureDefinition[]) => void;
+/** The same pure projection is used before export and when reconstructing a gate. */
+declare const projectAiFeatures: (definitions: readonly AiFeatureDefinition[], sources: {
+    signal: unknown;
+    payload: unknown;
+}) => AiFeatureSnapshot;
+declare const TICKER_PROFILE_AI_FEATURES: readonly AiFeatureDefinition[];
+declare const validateAiFeatureSnapshot: (snapshot: AiFeatureSnapshot) => void;
+/** Frozen pre-admission state, never the result of the candidate's own decision. */
+declare const PORTFOLIO_AI_FEATURES: readonly AiFeatureDefinition[];
+
+export { PORTFOLIO_AI_FEATURES, TICKER_PROFILE_AI_FEATURES, projectAiFeatures, validateAiFeatureDefinitions, validateAiFeatureSnapshot };

package/dist/aiFeatures.js

@@ -0,0 +1,179 @@
+"use strict";
+var __defProp = Object.defineProperty;
+var __getOwnPropDesc = Object.getOwnPropertyDescriptor;
+var __getOwnPropNames = Object.getOwnPropertyNames;
+var __hasOwnProp = Object.prototype.hasOwnProperty;
+var __export = (target, all) => {
+  for (var name in all)
+    __defProp(target, name, { get: all[name], enumerable: true });
+};
+var __copyProps = (to, from, except, desc) => {
+  if (from && typeof from === "object" || typeof from === "function") {
+    for (let key of __getOwnPropNames(from))
+      if (!__hasOwnProp.call(to, key) && key !== except)
+        __defProp(to, key, { get: () => from[key], enumerable: !(desc = __getOwnPropDesc(from, key)) || desc.enumerable });
+  }
+  return to;
+};
+var __toCommonJS = (mod) => __copyProps(__defProp({}, "__esModule", { value: true }), mod);
+
+// src/aiFeatures.ts
+var aiFeatures_exports = {};
+__export(aiFeatures_exports, {
+  PORTFOLIO_AI_FEATURES: () => PORTFOLIO_AI_FEATURES,
+  TICKER_PROFILE_AI_FEATURES: () => TICKER_PROFILE_AI_FEATURES,
+  projectAiFeatures: () => projectAiFeatures,
+  validateAiFeatureDefinitions: () => validateAiFeatureDefinitions,
+  validateAiFeatureSnapshot: () => validateAiFeatureSnapshot
+});
+module.exports = __toCommonJS(aiFeatures_exports);
+var forbidden = /* @__PURE__ */ new Set(["__proto__", "prototype", "constructor"]);
+var outcome = /^(tradeResult|backtestExecution|outcome|label|future|pnl|profit|exitPrice|exitTimestamp|aiApproved|deterministicQuality|approvalAllowedNow)$/i;
+var readPath = (source, path) => {
+  let value = source;
+  for (const part of path.split(".")) {
+    if (forbidden.has(part) || !value || typeof value !== "object" || !Object.prototype.hasOwnProperty.call(value, part))
+      return void 0;
+    value = value[part];
+  }
+  return value;
+};
+var primitive = (value) => {
+  if (typeof value === "number") return Number.isFinite(value) ? value : null;
+  if (typeof value === "boolean" || typeof value === "string") return value;
+  return null;
+};
+var validateAiFeatureDefinitions = (definitions) => {
+  if (!Array.isArray(definitions))
+    throw new Error("Invalid AI feature definitions");
+  const ids = /* @__PURE__ */ new Set();
+  for (const d of definitions) {
+    if (!d || typeof d !== "object" || typeof d.id !== "string" || typeof d.path !== "string" || typeof d.description !== "string" || typeof d.unit !== "string" || !["input", "data-quality", "metadata", "outcome", "policy"].includes(
+      d.role
+    ) || !["target", "benchmark", "global", "setup"].includes(d.scope) || d.source !== void 0 && !["signal", "payload"].includes(d.source) || d.reduction !== void 0 && !["last", "mean", "min", "max", "count"].includes(d.reduction) || d.divideBy !== void 0 && typeof d.divideBy !== "string")
+      throw new Error("Invalid AI feature definition");
+    if (!/^[a-zA-Z][\w.-]*$/.test(d.id) || ids.has(d.id) || !Number.isSafeInteger(d.version) || d.version < 1 || !d.description.trim() || !d.unit.trim())
+      throw new Error(`Invalid or duplicate AI feature: ${d.id}`);
+    for (const path of [d.path, ...d.divideBy ? [d.divideBy] : []]) {
+      if (!path || path.split(".").some((p) => !p || forbidden.has(p)))
+        throw new Error(`Invalid AI feature path: ${d.id}`);
+      if (d.role === "input" && path.split(".").some((p) => outcome.test(p)))
+        throw new Error(`Outcome/policy cannot be an input: ${d.id}`);
+    }
+    ids.add(d.id);
+  }
+};
+var projectAiFeatures = (definitions, sources) => {
+  validateAiFeatureDefinitions(definitions);
+  const values = {};
+  for (const d of definitions) {
+    const source = sources[d.source ?? "payload"];
+    let raw = readPath(source, d.path);
+    if (d.reduction) {
+      if (!Array.isArray(raw)) raw = null;
+      else if (d.reduction === "count") raw = raw.length;
+      else if (d.reduction === "last") raw = raw.at(-1);
+      else {
+        const numbers = raw.filter(
+          (v) => typeof v === "number" && Number.isFinite(v)
+        );
+        raw = numbers.length !== raw.length || !numbers.length ? null : d.reduction === "mean" ? numbers.reduce((s, v) => s + v, 0) / numbers.length : d.reduction === "min" ? numbers.reduce((a, b) => Math.min(a, b), Infinity) : numbers.reduce((a, b) => Math.max(a, b), -Infinity);
+      }
+    }
+    let value = primitive(raw);
+    if (d.divideBy) {
+      const denominator = primitive(readPath(source, d.divideBy));
+      value = typeof value === "number" && typeof denominator === "number" && denominator !== 0 ? primitive(value / denominator) : null;
+    }
+    values[d.id] = value;
+  }
+  return { schema: "tradejs-ai-features/v1", definitions, values };
+};
+var profile = (id, field, unit, role = "input", stationary = true) => ({
+  id: `ticker.${id}`,
+  version: 1,
+  path: `additionalIndicators.tickerProfile.${field}`,
+  source: "signal",
+  role,
+  stationary,
+  scope: "target",
+  unit,
+  description: `Monthly causal ticker profile: ${field}`
+});
+var TICKER_PROFILE_AI_FEATURES = [
+  profile("turnover", "dailyTurnoverUSDT", "USDT/day", "input", false),
+  profile("volatility", "dailyVolatilityPct", "%/day"),
+  profile("btcCorrelation", "correlationBTC", "correlation"),
+  profile("ethCorrelation", "correlationETH", "correlation"),
+  profile("moneyGroup", "moneyGroup", "category"),
+  profile("volatilityGroup", "volatilityGroup", "category"),
+  profile("btcGroup", "btcCorrelationGroup", "category"),
+  profile("ethGroup", "ethCorrelationGroup", "category"),
+  profile("hours", "hours", "hours", "data-quality"),
+  profile("returnHours", "returnHours", "hours", "data-quality"),
+  profile("btcPairs", "btcAlignedHours", "hours", "data-quality"),
+  profile("ethPairs", "ethAlignedHours", "hours", "data-quality"),
+  profile("asOf", "asOf", "UTC ms", "metadata"),
+  profile("snapshotId", "snapshotId", "sha256", "metadata"),
+  profile("validUntil", "validUntil", "UTC ms", "metadata"),
+  profile("windowStart", "windowStart", "UTC ms", "metadata"),
+  profile("symbol", "symbol", "symbol", "metadata"),
+  profile("provider", "provider", "provider", "metadata"),
+  profile("universeId", "universeId", "identity", "metadata"),
+  profile("definition", "definition", "version", "metadata"),
+  profile("turnoverSource", "turnoverSource", "source", "data-quality")
+];
+var validateAiFeatureSnapshot = (snapshot) => {
+  if (!snapshot || snapshot.schema !== "tradejs-ai-features/v1" || !snapshot.values || typeof snapshot.values !== "object" || Array.isArray(snapshot.values))
+    throw new Error("Invalid AI feature snapshot");
+  validateAiFeatureDefinitions(snapshot.definitions);
+  if (Object.keys(snapshot.values).length !== snapshot.definitions.length)
+    throw new Error("AI feature snapshot does not match definitions");
+  for (const d of snapshot.definitions) {
+    const v = snapshot.values[d.id];
+    if (!Object.prototype.hasOwnProperty.call(snapshot.values, d.id) || v !== null && typeof v !== "string" && typeof v !== "boolean" && !(typeof v === "number" && Number.isFinite(v)))
+      throw new Error(`Invalid feature value: ${d.id}`);
+  }
+};
+var PORTFOLIO_AI_FEATURES = [
+  ...[
+    "positionCount",
+    "pendingEntryCount",
+    "longCount",
+    "shortCount",
+    "grossUnrealizedPnlR",
+    "openStopRiskR",
+    "largestPositionShare"
+  ].map((field) => ({
+    id: `portfolio.${field}`,
+    version: 1,
+    source: "signal",
+    path: `additionalIndicators.portfolioContext.${field}`,
+    role: "input",
+    scope: "global",
+    stationary: true,
+    unit: field.endsWith("R") ? "R" : field.endsWith("Share") ? "fraction" : "count",
+    description: `Pre-entry portfolio ${field}`
+  })),
+  ...["asOf", "policyId", "pricesComplete", "unknownOwnershipCount"].map(
+    (field) => ({
+      id: `portfolio.${field}`,
+      version: 1,
+      source: "signal",
+      path: `additionalIndicators.portfolioContext.${field}`,
+      role: field === "asOf" || field === "policyId" ? "metadata" : "data-quality",
+      scope: "global",
+      stationary: false,
+      unit: field === "asOf" ? "ms" : "category",
+      description: `Portfolio observation ${field}`
+    })
+  )
+];
+// Annotate the CommonJS export names for ESM import in node:
+0 && (module.exports = {
+  PORTFOLIO_AI_FEATURES,
+  TICKER_PROFILE_AI_FEATURES,
+  projectAiFeatures,
+  validateAiFeatureDefinitions,
+  validateAiFeatureSnapshot
+});

package/dist/aiFeatures.mjs

@@ -0,0 +1,150 @@
+// src/aiFeatures.ts
+var forbidden = /* @__PURE__ */ new Set(["__proto__", "prototype", "constructor"]);
+var outcome = /^(tradeResult|backtestExecution|outcome|label|future|pnl|profit|exitPrice|exitTimestamp|aiApproved|deterministicQuality|approvalAllowedNow)$/i;
+var readPath = (source, path) => {
+  let value = source;
+  for (const part of path.split(".")) {
+    if (forbidden.has(part) || !value || typeof value !== "object" || !Object.prototype.hasOwnProperty.call(value, part))
+      return void 0;
+    value = value[part];
+  }
+  return value;
+};
+var primitive = (value) => {
+  if (typeof value === "number") return Number.isFinite(value) ? value : null;
+  if (typeof value === "boolean" || typeof value === "string") return value;
+  return null;
+};
+var validateAiFeatureDefinitions = (definitions) => {
+  if (!Array.isArray(definitions))
+    throw new Error("Invalid AI feature definitions");
+  const ids = /* @__PURE__ */ new Set();
+  for (const d of definitions) {
+    if (!d || typeof d !== "object" || typeof d.id !== "string" || typeof d.path !== "string" || typeof d.description !== "string" || typeof d.unit !== "string" || !["input", "data-quality", "metadata", "outcome", "policy"].includes(
+      d.role
+    ) || !["target", "benchmark", "global", "setup"].includes(d.scope) || d.source !== void 0 && !["signal", "payload"].includes(d.source) || d.reduction !== void 0 && !["last", "mean", "min", "max", "count"].includes(d.reduction) || d.divideBy !== void 0 && typeof d.divideBy !== "string")
+      throw new Error("Invalid AI feature definition");
+    if (!/^[a-zA-Z][\w.-]*$/.test(d.id) || ids.has(d.id) || !Number.isSafeInteger(d.version) || d.version < 1 || !d.description.trim() || !d.unit.trim())
+      throw new Error(`Invalid or duplicate AI feature: ${d.id}`);
+    for (const path of [d.path, ...d.divideBy ? [d.divideBy] : []]) {
+      if (!path || path.split(".").some((p) => !p || forbidden.has(p)))
+        throw new Error(`Invalid AI feature path: ${d.id}`);
+      if (d.role === "input" && path.split(".").some((p) => outcome.test(p)))
+        throw new Error(`Outcome/policy cannot be an input: ${d.id}`);
+    }
+    ids.add(d.id);
+  }
+};
+var projectAiFeatures = (definitions, sources) => {
+  validateAiFeatureDefinitions(definitions);
+  const values = {};
+  for (const d of definitions) {
+    const source = sources[d.source ?? "payload"];
+    let raw = readPath(source, d.path);
+    if (d.reduction) {
+      if (!Array.isArray(raw)) raw = null;
+      else if (d.reduction === "count") raw = raw.length;
+      else if (d.reduction === "last") raw = raw.at(-1);
+      else {
+        const numbers = raw.filter(
+          (v) => typeof v === "number" && Number.isFinite(v)
+        );
+        raw = numbers.length !== raw.length || !numbers.length ? null : d.reduction === "mean" ? numbers.reduce((s, v) => s + v, 0) / numbers.length : d.reduction === "min" ? numbers.reduce((a, b) => Math.min(a, b), Infinity) : numbers.reduce((a, b) => Math.max(a, b), -Infinity);
+      }
+    }
+    let value = primitive(raw);
+    if (d.divideBy) {
+      const denominator = primitive(readPath(source, d.divideBy));
+      value = typeof value === "number" && typeof denominator === "number" && denominator !== 0 ? primitive(value / denominator) : null;
+    }
+    values[d.id] = value;
+  }
+  return { schema: "tradejs-ai-features/v1", definitions, values };
+};
+var profile = (id, field, unit, role = "input", stationary = true) => ({
+  id: `ticker.${id}`,
+  version: 1,
+  path: `additionalIndicators.tickerProfile.${field}`,
+  source: "signal",
+  role,
+  stationary,
+  scope: "target",
+  unit,
+  description: `Monthly causal ticker profile: ${field}`
+});
+var TICKER_PROFILE_AI_FEATURES = [
+  profile("turnover", "dailyTurnoverUSDT", "USDT/day", "input", false),
+  profile("volatility", "dailyVolatilityPct", "%/day"),
+  profile("btcCorrelation", "correlationBTC", "correlation"),
+  profile("ethCorrelation", "correlationETH", "correlation"),
+  profile("moneyGroup", "moneyGroup", "category"),
+  profile("volatilityGroup", "volatilityGroup", "category"),
+  profile("btcGroup", "btcCorrelationGroup", "category"),
+  profile("ethGroup", "ethCorrelationGroup", "category"),
+  profile("hours", "hours", "hours", "data-quality"),
+  profile("returnHours", "returnHours", "hours", "data-quality"),
+  profile("btcPairs", "btcAlignedHours", "hours", "data-quality"),
+  profile("ethPairs", "ethAlignedHours", "hours", "data-quality"),
+  profile("asOf", "asOf", "UTC ms", "metadata"),
+  profile("snapshotId", "snapshotId", "sha256", "metadata"),
+  profile("validUntil", "validUntil", "UTC ms", "metadata"),
+  profile("windowStart", "windowStart", "UTC ms", "metadata"),
+  profile("symbol", "symbol", "symbol", "metadata"),
+  profile("provider", "provider", "provider", "metadata"),
+  profile("universeId", "universeId", "identity", "metadata"),
+  profile("definition", "definition", "version", "metadata"),
+  profile("turnoverSource", "turnoverSource", "source", "data-quality")
+];
+var validateAiFeatureSnapshot = (snapshot) => {
+  if (!snapshot || snapshot.schema !== "tradejs-ai-features/v1" || !snapshot.values || typeof snapshot.values !== "object" || Array.isArray(snapshot.values))
+    throw new Error("Invalid AI feature snapshot");
+  validateAiFeatureDefinitions(snapshot.definitions);
+  if (Object.keys(snapshot.values).length !== snapshot.definitions.length)
+    throw new Error("AI feature snapshot does not match definitions");
+  for (const d of snapshot.definitions) {
+    const v = snapshot.values[d.id];
+    if (!Object.prototype.hasOwnProperty.call(snapshot.values, d.id) || v !== null && typeof v !== "string" && typeof v !== "boolean" && !(typeof v === "number" && Number.isFinite(v)))
+      throw new Error(`Invalid feature value: ${d.id}`);
+  }
+};
+var PORTFOLIO_AI_FEATURES = [
+  ...[
+    "positionCount",
+    "pendingEntryCount",
+    "longCount",
+    "shortCount",
+    "grossUnrealizedPnlR",
+    "openStopRiskR",
+    "largestPositionShare"
+  ].map((field) => ({
+    id: `portfolio.${field}`,
+    version: 1,
+    source: "signal",
+    path: `additionalIndicators.portfolioContext.${field}`,
+    role: "input",
+    scope: "global",
+    stationary: true,
+    unit: field.endsWith("R") ? "R" : field.endsWith("Share") ? "fraction" : "count",
+    description: `Pre-entry portfolio ${field}`
+  })),
+  ...["asOf", "policyId", "pricesComplete", "unknownOwnershipCount"].map(
+    (field) => ({
+      id: `portfolio.${field}`,
+      version: 1,
+      source: "signal",
+      path: `additionalIndicators.portfolioContext.${field}`,
+      role: field === "asOf" || field === "policyId" ? "metadata" : "data-quality",
+      scope: "global",
+      stationary: false,
+      unit: field === "asOf" ? "ms" : "category",
+      description: `Portfolio observation ${field}`
+    })
+  )
+];
+export {
+  PORTFOLIO_AI_FEATURES,
+  TICKER_PROFILE_AI_FEATURES,
+  projectAiFeatures,
+  validateAiFeatureDefinitions,
+  validateAiFeatureSnapshot
+};

package/dist/backtest.mjs

@@ -2,6 +2,9 @@ import {
   compactOrderLog,
   getTimeline
 } from "./chunk-S4KHOAXM.mjs";
+import {
+  TestThresholdsConfig
+} from "./chunk-MKCQSB4H.mjs";
 import {
   absReturns,
   equityPoints,
@@ -10,9 +13,6 @@ import {
   round,
   sum
 } from "./chunk-LI6FPPKB.mjs";
-import {
-  TestThresholdsConfig
-} from "./chunk-MKCQSB4H.mjs";
 
 // src/utils/tests.ts
 var parseTestName = (testName) => {

package/dist/indicators.mjs

@@ -39,11 +39,11 @@ import {
   toArrayData,
   toCoinalyzeTimestampMs,
   toFiniteNumber
-} from "./chunk-OZVRWW2K.mjs";
+} from "./chunk-6XY6Z2DB.mjs";
 import "./chunk-WJQRRGUY.mjs";
 import "./chunk-S4KHOAXM.mjs";
-import "./chunk-LI6FPPKB.mjs";
 import "./chunk-MKCQSB4H.mjs";
+import "./chunk-LI6FPPKB.mjs";
 export {
   COINALYZE_MIN_INTRADAY_RETENTION_POINTS,
   COMPACT_INDICATORS_SNAPSHOT_KEY,

package/dist/portfolio.d.mts

@@ -0,0 +1,23 @@
+import * as _tradejs_types from '@tradejs/types';
+import { PortfolioState, PortfolioPolicyConfig, PortfolioObservation, PortfolioContext, PortfolioPosition, PortfolioReservation } from '@tradejs/types';
+
+declare function parsePortfolioPolicy(value: unknown): PortfolioPolicyConfig | undefined;
+declare function portfolioFingerprint(policy: PortfolioPolicyConfig, strategy: string): string;
+declare function createPortfolioState(fingerprint: string): PortfolioState;
+declare function portfolioOwns(policy: PortfolioPolicyConfig, strategy: string, owner: string | null): boolean;
+declare function validatePortfolioObservation(o: unknown): asserts o is PortfolioObservation;
+declare function buildPortfolioContext(policy: PortfolioPolicyConfig, strategy: string, state: PortfolioState, o: PortfolioObservation): PortfolioContext;
+/** Reconcile exchange facts before making decisions. Acknowledgement alone is never a fill. */
+declare function reconcilePortfolio(policy: PortfolioPolicyConfig, strategy: string, previous: PortfolioState, o: PortfolioObservation): PortfolioState;
+declare function reservePortfolioEntry(policy: PortfolioPolicyConfig, strategy: string, state: PortfolioState, o: PortfolioObservation, entry: PortfolioReservation): {
+    state: PortfolioState;
+    reason?: string;
+};
+declare function portfolioCloseCommands(policy: PortfolioPolicyConfig, state: PortfolioState, o: PortfolioObservation): {
+    intent: _tradejs_types.PortfolioCloseIntent;
+    position: PortfolioPosition;
+}[];
+/** Persisted state is an IO boundary, not a trusted TypeScript object. */
+declare function assertPortfolioState(value: unknown): asserts value is PortfolioState;
+
+export { assertPortfolioState, buildPortfolioContext, createPortfolioState, parsePortfolioPolicy, portfolioCloseCommands, portfolioFingerprint, portfolioOwns, reconcilePortfolio, reservePortfolioEntry, validatePortfolioObservation };

package/dist/portfolio.d.ts

@@ -0,0 +1,23 @@
+import * as _tradejs_types from '@tradejs/types';
+import { PortfolioState, PortfolioPolicyConfig, PortfolioObservation, PortfolioContext, PortfolioPosition, PortfolioReservation } from '@tradejs/types';
+
+declare function parsePortfolioPolicy(value: unknown): PortfolioPolicyConfig | undefined;
+declare function portfolioFingerprint(policy: PortfolioPolicyConfig, strategy: string): string;
+declare function createPortfolioState(fingerprint: string): PortfolioState;
+declare function portfolioOwns(policy: PortfolioPolicyConfig, strategy: string, owner: string | null): boolean;
+declare function validatePortfolioObservation(o: unknown): asserts o is PortfolioObservation;
+declare function buildPortfolioContext(policy: PortfolioPolicyConfig, strategy: string, state: PortfolioState, o: PortfolioObservation): PortfolioContext;
+/** Reconcile exchange facts before making decisions. Acknowledgement alone is never a fill. */
+declare function reconcilePortfolio(policy: PortfolioPolicyConfig, strategy: string, previous: PortfolioState, o: PortfolioObservation): PortfolioState;
+declare function reservePortfolioEntry(policy: PortfolioPolicyConfig, strategy: string, state: PortfolioState, o: PortfolioObservation, entry: PortfolioReservation): {
+    state: PortfolioState;
+    reason?: string;
+};
+declare function portfolioCloseCommands(policy: PortfolioPolicyConfig, state: PortfolioState, o: PortfolioObservation): {
+    intent: _tradejs_types.PortfolioCloseIntent;
+    position: PortfolioPosition;
+}[];
+/** Persisted state is an IO boundary, not a trusted TypeScript object. */
+declare function assertPortfolioState(value: unknown): asserts value is PortfolioState;
+
+export { assertPortfolioState, buildPortfolioContext, createPortfolioState, parsePortfolioPolicy, portfolioCloseCommands, portfolioFingerprint, portfolioOwns, reconcilePortfolio, reservePortfolioEntry, validatePortfolioObservation };