@tradejs/core 3.1.29-beta.290 → 3.1.29-beta.292

package/dist/portfolio.js

@@ -0,0 +1,314 @@
+"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/portfolio.ts
+var portfolio_exports = {};
+__export(portfolio_exports, {
+  assertPortfolioState: () => assertPortfolioState,
+  buildPortfolioContext: () => buildPortfolioContext,
+  createPortfolioState: () => createPortfolioState,
+  parsePortfolioPolicy: () => parsePortfolioPolicy,
+  portfolioCloseCommands: () => portfolioCloseCommands,
+  portfolioFingerprint: () => portfolioFingerprint,
+  portfolioOwns: () => portfolioOwns,
+  reconcilePortfolio: () => reconcilePortfolio,
+  reservePortfolioEntry: () => reservePortfolioEntry,
+  validatePortfolioObservation: () => validatePortfolioObservation
+});
+module.exports = __toCommonJS(portfolio_exports);
+var DAY = 864e5;
+var positive = (v) => typeof v === "number" && Number.isFinite(v) && v > 0;
+var record = (v) => !!v && typeof v === "object" && !Array.isArray(v);
+function parsePortfolioPolicy(value) {
+  if (value === void 0 || value === null || value === false)
+    return void 0;
+  if (!record(value) || typeof value.id !== "string" || !/^[a-zA-Z0-9_-]+$/.test(value.id) || !positive(value.riskUnit) || !Number.isSafeInteger(value.observationIntervalMs) || !positive(value.observationIntervalMs) || !Number.isSafeInteger(value.maxPriceAgeMs) || !positive(value.maxPriceAgeMs))
+    throw new Error(
+      "Invalid portfolio policy identity, risk or observation clock"
+    );
+  const scope = value.scope;
+  if (scope !== "strategy" && scope !== "account" && !(record(scope) && Object.keys(scope).length === 1 && Array.isArray(scope.strategies) && scope.strategies.length && scope.strategies.every((s) => typeof s === "string" && s.trim()) && new Set(scope.strategies).size === scope.strategies.length))
+    throw new Error("Invalid portfolio scope");
+  if (value.maxPositions !== void 0 && (!positive(value.maxPositions) || !Number.isSafeInteger(value.maxPositions)))
+    throw new Error("Invalid portfolio position limit");
+  if (value.closeOppositeOnFill !== void 0 && typeof value.closeOppositeOnFill !== "boolean")
+    throw new Error("Invalid opposite-fill policy");
+  const profit = value.profitExit;
+  if (profit !== void 0 && (!record(profit) || profit.scope !== "position" && profit.scope !== "basket" || Object.keys(profit).some(
+    (k) => !["scope", "multiple", "minPositions"].includes(k)
+  ) || !positive(profit.multiple) || profit.minPositions !== void 0 && (!positive(profit.minPositions) || !Number.isSafeInteger(profit.minPositions))))
+    throw new Error("Invalid portfolio profit exit");
+  const allowed = /* @__PURE__ */ new Set([
+    "id",
+    "scope",
+    "riskUnit",
+    "observationIntervalMs",
+    "maxPriceAgeMs",
+    "maxPositions",
+    "profitExit",
+    "closeOppositeOnFill"
+  ]);
+  if (value.maxPositions === void 0 && profit === void 0 && value.closeOppositeOnFill !== true)
+    throw new Error("Portfolio policy has no enabled rules");
+  if (Object.keys(value).some((k) => !allowed.has(k)))
+    throw new Error("Unknown portfolio policy option");
+  return {
+    id: value.id,
+    scope,
+    riskUnit: value.riskUnit,
+    observationIntervalMs: value.observationIntervalMs,
+    maxPriceAgeMs: value.maxPriceAgeMs,
+    ...value.maxPositions !== void 0 ? { maxPositions: value.maxPositions } : {},
+    ...record(profit) ? {
+      profitExit: {
+        scope: profit.scope,
+        multiple: profit.multiple,
+        ...profit.minPositions !== void 0 ? { minPositions: profit.minPositions } : {}
+      }
+    } : {},
+    ...value.closeOppositeOnFill !== void 0 ? { closeOppositeOnFill: value.closeOppositeOnFill } : {}
+  };
+}
+function portfolioFingerprint(policy, strategy) {
+  return JSON.stringify({
+    ...policy,
+    scope: policy.scope === "strategy" ? { strategies: [strategy] } : policy.scope === "account" ? "account" : { strategies: [...policy.scope.strategies].sort() }
+  });
+}
+function createPortfolioState(fingerprint) {
+  return {
+    schema: "tradejs-portfolio/v1",
+    revision: 0,
+    fingerprint,
+    reservations: [],
+    closing: [],
+    completedSignals: {},
+    observedAt: -1,
+    evaluatedAt: -1,
+    blockedThrough: -1
+  };
+}
+function portfolioOwns(policy, strategy, owner) {
+  return owner !== null && (policy.scope === "account" || (policy.scope === "strategy" ? owner === strategy : policy.scope.strategies.includes(owner)));
+}
+function validatePortfolioObservation(o) {
+  if (!record(o) || !Number.isSafeInteger(o.asOf) || Number(o.asOf) < 0 || !Array.isArray(o.positions) || !Array.isArray(o.orders))
+    throw new Error("Invalid portfolio observation");
+  const ids = /* @__PURE__ */ new Set(), symbols = /* @__PURE__ */ new Set();
+  for (const p of o.positions) {
+    if (!record(p)) throw new Error("Invalid portfolio position");
+    const key = `${p.symbol}:${p.direction}`;
+    if (typeof p.id !== "string" || !p.id || typeof p.symbol !== "string" || !p.symbol || !["LONG", "SHORT"].includes(String(p.direction)) || !positive(p.qty) || !positive(p.entryPrice) || ids.has(p.id) || symbols.has(key) || p.strategy !== null && (typeof p.strategy !== "string" || !p.strategy) || p.markPrice !== null && !positive(p.markPrice) || p.markedAt !== null && (!Number.isSafeInteger(p.markedAt) || Number(p.markedAt) < 0))
+      throw new Error("Invalid or duplicate portfolio position");
+    ids.add(p.id);
+    symbols.add(key);
+  }
+  const orders = /* @__PURE__ */ new Set();
+  for (const order of o.orders) {
+    if (!record(order) || typeof order.id !== "string" || !order.id || orders.has(order.id) || !["pending", "partial", "filled", "cancelled", "rejected"].includes(
+      String(order.status)
+    ) || !Number.isFinite(order.filledQty) || Number(order.filledQty) < 0)
+      throw new Error("Invalid portfolio order observation");
+    orders.add(order.id);
+  }
+}
+var fresh = (p, o, policy) => p.markPrice !== null && p.markedAt !== null && p.markedAt <= o.asOf && o.asOf - p.markedAt <= policy.maxPriceAgeMs;
+var pnl = (p) => ((p.markPrice ?? p.entryPrice) - p.entryPrice) * p.qty * (p.direction === "LONG" ? 1 : -1);
+function buildPortfolioContext(policy, strategy, state, o) {
+  const positions = o.positions.filter(
+    (p) => portfolioOwns(policy, strategy, p.strategy)
+  );
+  const complete = positions.every((p) => fresh(p, o, policy));
+  const value = positions.reduce((s, p) => s + p.qty * p.entryPrice, 0);
+  const risksKnown = positions.every((p) => positive(p.stopLossPrice));
+  return {
+    schema: "tradejs-portfolio-context/v1",
+    asOf: o.asOf,
+    policyId: policy.id,
+    positionCount: positions.length,
+    pendingEntryCount: state.reservations.filter(
+      (r) => !positions.some(
+        (p) => p.symbol === r.symbol && p.direction === r.direction
+      )
+    ).length,
+    longCount: positions.filter((p) => p.direction === "LONG").length,
+    shortCount: positions.filter((p) => p.direction === "SHORT").length,
+    grossUnrealizedPnlR: complete ? positions.reduce((s, p) => s + pnl(p), 0) / policy.riskUnit : null,
+    openStopRiskR: risksKnown ? positions.reduce(
+      (s, p) => s + Math.max(
+        0,
+        (p.entryPrice - (p.stopLossPrice ?? p.entryPrice)) * (p.direction === "LONG" ? 1 : -1)
+      ) * p.qty,
+      0
+    ) / policy.riskUnit : null,
+    largestPositionShare: value > 0 ? Math.max(...positions.map((p) => p.qty * p.entryPrice / value)) : null,
+    pricesComplete: complete,
+    unknownOwnershipCount: o.positions.filter((p) => p.strategy === null).length
+  };
+}
+function reconcilePortfolio(policy, strategy, previous, o) {
+  validatePortfolioObservation(o);
+  if (o.asOf < previous.observedAt)
+    throw new Error("Portfolio observation moved backwards");
+  const state = {
+    ...previous,
+    reservations: previous.reservations.map((r) => ({ ...r })),
+    closing: previous.closing.map((c) => ({ ...c })),
+    completedSignals: { ...previous.completedSignals },
+    observedAt: o.asOf
+  };
+  const cycle = Math.floor(o.asOf / policy.observationIntervalMs) * policy.observationIntervalMs;
+  const positions = o.positions.filter(
+    (p) => portfolioOwns(policy, strategy, p.strategy)
+  );
+  const closingBefore = state.closing.length;
+  state.closing = state.closing.filter(
+    (c) => positions.some((p) => p.id === c.positionId)
+  );
+  if (state.closing.length < closingBefore)
+    state.blockedThrough = Math.max(
+      state.blockedThrough,
+      cycle + policy.observationIntervalMs - 1
+    );
+  const requestClose = (p, reason) => {
+    if (!state.closing.some((c) => c.positionId === p.id))
+      state.closing.push({
+        positionId: p.id,
+        position: { ...p },
+        reason,
+        createdAt: o.asOf,
+        lastAttemptAt: null
+      });
+  };
+  state.reservations = state.reservations.filter((r) => {
+    const order = o.orders.find((x) => x.id === r.id);
+    if (!order) return true;
+    if (order.filledQty > 0 && !r.oppositeHandled) {
+      const filled = positions.find(
+        (p) => p.id === order.positionId && p.symbol === r.symbol && p.direction === r.direction
+      );
+      if (filled) {
+        r.oppositeHandled = true;
+        if (policy.closeOppositeOnFill) {
+          for (const p of positions)
+            if (p.id !== filled.id && p.direction !== r.direction)
+              requestClose(p, "PORTFOLIO_OPPOSITE_FILL");
+        }
+      }
+    }
+    if (["filled", "cancelled", "rejected"].includes(order.status)) {
+      if (order.filledQty > 0 && !r.oppositeHandled) return true;
+      state.completedSignals[r.signalId] = o.asOf;
+      return false;
+    }
+    return true;
+  });
+  if (cycle > state.evaluatedAt) {
+    state.evaluatedAt = cycle;
+    const profit = policy.profitExit;
+    if (profit?.scope === "position") {
+      for (const p of positions)
+        if (fresh(p, o, policy) && pnl(p) >= profit.multiple * policy.riskUnit)
+          requestClose(p, "PORTFOLIO_PROFIT_POSITION");
+    }
+    if (profit?.scope === "basket" && positions.length >= (profit.minPositions ?? 2) && positions.every((p) => fresh(p, o, policy)) && positions.reduce((sum, p) => sum + pnl(p), 0) >= profit.multiple * policy.riskUnit)
+      for (const p of positions) requestClose(p, "PORTFOLIO_PROFIT_BASKET");
+  }
+  for (const [id, t] of Object.entries(state.completedSignals))
+    if (t < o.asOf - 7 * DAY) delete state.completedSignals[id];
+  return state;
+}
+function reservePortfolioEntry(policy, strategy, state, o, entry) {
+  if (!portfolioOwns(policy, strategy, entry.strategy))
+    return { state, reason: "PORTFOLIO_OUTSIDE_SCOPE" };
+  if (!positive(entry.qty) || !entry.symbol || !["LONG", "SHORT"].includes(entry.direction) || !entry.id || !entry.signalId || !Number.isSafeInteger(entry.timestamp) || entry.timestamp < o.asOf - 7 * DAY || entry.timestamp > o.asOf)
+    return { state, reason: "PORTFOLIO_INVALID_ENTRY" };
+  if (state.reservations.some(
+    (r) => r.signalId === entry.signalId || r.id === entry.id
+  ) || state.completedSignals[entry.signalId] !== void 0)
+    return { state, reason: "PORTFOLIO_DUPLICATE_ENTRY" };
+  if (state.closing.length || o.asOf <= state.blockedThrough)
+    return { state, reason: "PORTFOLIO_CLOSING" };
+  if (o.positions.some((p) => p.symbol === entry.symbol) || state.reservations.some((p) => p.symbol === entry.symbol))
+    return { state, reason: "PORTFOLIO_SYMBOL_OCCUPIED" };
+  const context = buildPortfolioContext(policy, strategy, state, o);
+  if (context.unknownOwnershipCount)
+    return { state, reason: "PORTFOLIO_UNKNOWN_OWNERSHIP" };
+  if (policy.maxPositions !== void 0 && context.positionCount + context.pendingEntryCount >= policy.maxPositions)
+    return { state, reason: "PORTFOLIO_POSITION_LIMIT" };
+  return {
+    state: { ...state, reservations: [...state.reservations, { ...entry }] }
+  };
+}
+function portfolioCloseCommands(policy, state, o) {
+  const cycle = Math.floor(o.asOf / policy.observationIntervalMs) * policy.observationIntervalMs;
+  return state.closing.flatMap((intent) => {
+    const position = o.positions.find((p) => p.id === intent.positionId);
+    return position && fresh(position, o, policy) && (intent.lastAttemptAt === null || intent.lastAttemptAt < cycle) ? [{ intent, position }] : [];
+  });
+}
+function assertPortfolioState(value) {
+  const fail = () => {
+    throw new Error("Invalid persisted portfolio state");
+  };
+  if (!record(value) || value.schema !== "tradejs-portfolio/v1" || !Number.isSafeInteger(value.revision) || Number(value.revision) < 0 || typeof value.fingerprint !== "string" || !value.fingerprint || !Array.isArray(value.reservations) || !Array.isArray(value.closing) || !record(value.completedSignals))
+    return fail();
+  for (const clock of [
+    value.observedAt,
+    value.evaluatedAt,
+    value.blockedThrough
+  ])
+    if (!Number.isSafeInteger(clock) || Number(clock) < -1) return fail();
+  const ids = /* @__PURE__ */ new Set();
+  for (const r of value.reservations) {
+    if (!record(r) || typeof r.id !== "string" || !r.id || ids.has(r.id) || typeof r.signalId !== "string" || !r.signalId || typeof r.symbol !== "string" || !r.symbol || typeof r.strategy !== "string" || !r.strategy || !["LONG", "SHORT"].includes(String(r.direction)) || !positive(r.qty) || !Number.isSafeInteger(r.timestamp) || Number(r.timestamp) < 0 || typeof r.submitted !== "boolean" || typeof r.oppositeHandled !== "boolean")
+      return fail();
+    ids.add(r.id);
+  }
+  const closes = /* @__PURE__ */ new Set();
+  for (const c of value.closing) {
+    if (!record(c) || typeof c.positionId !== "string" || closes.has(c.positionId) || !record(c.position) || c.position.id !== c.positionId || ![
+      "PORTFOLIO_PROFIT_POSITION",
+      "PORTFOLIO_PROFIT_BASKET",
+      "PORTFOLIO_OPPOSITE_FILL"
+    ].includes(String(c.reason)) || !Number.isSafeInteger(c.createdAt) || Number(c.createdAt) < 0 || c.lastAttemptAt !== null && (!Number.isSafeInteger(c.lastAttemptAt) || Number(c.lastAttemptAt) < 0))
+      return fail();
+    validatePortfolioObservation({
+      asOf: Number(c.createdAt),
+      positions: [c.position],
+      orders: []
+    });
+    closes.add(c.positionId);
+  }
+  for (const t of Object.values(value.completedSignals))
+    if (!Number.isSafeInteger(t) || Number(t) < 0) return fail();
+}
+// Annotate the CommonJS export names for ESM import in node:
+0 && (module.exports = {
+  assertPortfolioState,
+  buildPortfolioContext,
+  createPortfolioState,
+  parsePortfolioPolicy,
+  portfolioCloseCommands,
+  portfolioFingerprint,
+  portfolioOwns,
+  reconcilePortfolio,
+  reservePortfolioEntry,
+  validatePortfolioObservation
+});

package/dist/portfolio.mjs

@@ -0,0 +1,280 @@
+// src/portfolio.ts
+var DAY = 864e5;
+var positive = (v) => typeof v === "number" && Number.isFinite(v) && v > 0;
+var record = (v) => !!v && typeof v === "object" && !Array.isArray(v);
+function parsePortfolioPolicy(value) {
+  if (value === void 0 || value === null || value === false)
+    return void 0;
+  if (!record(value) || typeof value.id !== "string" || !/^[a-zA-Z0-9_-]+$/.test(value.id) || !positive(value.riskUnit) || !Number.isSafeInteger(value.observationIntervalMs) || !positive(value.observationIntervalMs) || !Number.isSafeInteger(value.maxPriceAgeMs) || !positive(value.maxPriceAgeMs))
+    throw new Error(
+      "Invalid portfolio policy identity, risk or observation clock"
+    );
+  const scope = value.scope;
+  if (scope !== "strategy" && scope !== "account" && !(record(scope) && Object.keys(scope).length === 1 && Array.isArray(scope.strategies) && scope.strategies.length && scope.strategies.every((s) => typeof s === "string" && s.trim()) && new Set(scope.strategies).size === scope.strategies.length))
+    throw new Error("Invalid portfolio scope");
+  if (value.maxPositions !== void 0 && (!positive(value.maxPositions) || !Number.isSafeInteger(value.maxPositions)))
+    throw new Error("Invalid portfolio position limit");
+  if (value.closeOppositeOnFill !== void 0 && typeof value.closeOppositeOnFill !== "boolean")
+    throw new Error("Invalid opposite-fill policy");
+  const profit = value.profitExit;
+  if (profit !== void 0 && (!record(profit) || profit.scope !== "position" && profit.scope !== "basket" || Object.keys(profit).some(
+    (k) => !["scope", "multiple", "minPositions"].includes(k)
+  ) || !positive(profit.multiple) || profit.minPositions !== void 0 && (!positive(profit.minPositions) || !Number.isSafeInteger(profit.minPositions))))
+    throw new Error("Invalid portfolio profit exit");
+  const allowed = /* @__PURE__ */ new Set([
+    "id",
+    "scope",
+    "riskUnit",
+    "observationIntervalMs",
+    "maxPriceAgeMs",
+    "maxPositions",
+    "profitExit",
+    "closeOppositeOnFill"
+  ]);
+  if (value.maxPositions === void 0 && profit === void 0 && value.closeOppositeOnFill !== true)
+    throw new Error("Portfolio policy has no enabled rules");
+  if (Object.keys(value).some((k) => !allowed.has(k)))
+    throw new Error("Unknown portfolio policy option");
+  return {
+    id: value.id,
+    scope,
+    riskUnit: value.riskUnit,
+    observationIntervalMs: value.observationIntervalMs,
+    maxPriceAgeMs: value.maxPriceAgeMs,
+    ...value.maxPositions !== void 0 ? { maxPositions: value.maxPositions } : {},
+    ...record(profit) ? {
+      profitExit: {
+        scope: profit.scope,
+        multiple: profit.multiple,
+        ...profit.minPositions !== void 0 ? { minPositions: profit.minPositions } : {}
+      }
+    } : {},
+    ...value.closeOppositeOnFill !== void 0 ? { closeOppositeOnFill: value.closeOppositeOnFill } : {}
+  };
+}
+function portfolioFingerprint(policy, strategy) {
+  return JSON.stringify({
+    ...policy,
+    scope: policy.scope === "strategy" ? { strategies: [strategy] } : policy.scope === "account" ? "account" : { strategies: [...policy.scope.strategies].sort() }
+  });
+}
+function createPortfolioState(fingerprint) {
+  return {
+    schema: "tradejs-portfolio/v1",
+    revision: 0,
+    fingerprint,
+    reservations: [],
+    closing: [],
+    completedSignals: {},
+    observedAt: -1,
+    evaluatedAt: -1,
+    blockedThrough: -1
+  };
+}
+function portfolioOwns(policy, strategy, owner) {
+  return owner !== null && (policy.scope === "account" || (policy.scope === "strategy" ? owner === strategy : policy.scope.strategies.includes(owner)));
+}
+function validatePortfolioObservation(o) {
+  if (!record(o) || !Number.isSafeInteger(o.asOf) || Number(o.asOf) < 0 || !Array.isArray(o.positions) || !Array.isArray(o.orders))
+    throw new Error("Invalid portfolio observation");
+  const ids = /* @__PURE__ */ new Set(), symbols = /* @__PURE__ */ new Set();
+  for (const p of o.positions) {
+    if (!record(p)) throw new Error("Invalid portfolio position");
+    const key = `${p.symbol}:${p.direction}`;
+    if (typeof p.id !== "string" || !p.id || typeof p.symbol !== "string" || !p.symbol || !["LONG", "SHORT"].includes(String(p.direction)) || !positive(p.qty) || !positive(p.entryPrice) || ids.has(p.id) || symbols.has(key) || p.strategy !== null && (typeof p.strategy !== "string" || !p.strategy) || p.markPrice !== null && !positive(p.markPrice) || p.markedAt !== null && (!Number.isSafeInteger(p.markedAt) || Number(p.markedAt) < 0))
+      throw new Error("Invalid or duplicate portfolio position");
+    ids.add(p.id);
+    symbols.add(key);
+  }
+  const orders = /* @__PURE__ */ new Set();
+  for (const order of o.orders) {
+    if (!record(order) || typeof order.id !== "string" || !order.id || orders.has(order.id) || !["pending", "partial", "filled", "cancelled", "rejected"].includes(
+      String(order.status)
+    ) || !Number.isFinite(order.filledQty) || Number(order.filledQty) < 0)
+      throw new Error("Invalid portfolio order observation");
+    orders.add(order.id);
+  }
+}
+var fresh = (p, o, policy) => p.markPrice !== null && p.markedAt !== null && p.markedAt <= o.asOf && o.asOf - p.markedAt <= policy.maxPriceAgeMs;
+var pnl = (p) => ((p.markPrice ?? p.entryPrice) - p.entryPrice) * p.qty * (p.direction === "LONG" ? 1 : -1);
+function buildPortfolioContext(policy, strategy, state, o) {
+  const positions = o.positions.filter(
+    (p) => portfolioOwns(policy, strategy, p.strategy)
+  );
+  const complete = positions.every((p) => fresh(p, o, policy));
+  const value = positions.reduce((s, p) => s + p.qty * p.entryPrice, 0);
+  const risksKnown = positions.every((p) => positive(p.stopLossPrice));
+  return {
+    schema: "tradejs-portfolio-context/v1",
+    asOf: o.asOf,
+    policyId: policy.id,
+    positionCount: positions.length,
+    pendingEntryCount: state.reservations.filter(
+      (r) => !positions.some(
+        (p) => p.symbol === r.symbol && p.direction === r.direction
+      )
+    ).length,
+    longCount: positions.filter((p) => p.direction === "LONG").length,
+    shortCount: positions.filter((p) => p.direction === "SHORT").length,
+    grossUnrealizedPnlR: complete ? positions.reduce((s, p) => s + pnl(p), 0) / policy.riskUnit : null,
+    openStopRiskR: risksKnown ? positions.reduce(
+      (s, p) => s + Math.max(
+        0,
+        (p.entryPrice - (p.stopLossPrice ?? p.entryPrice)) * (p.direction === "LONG" ? 1 : -1)
+      ) * p.qty,
+      0
+    ) / policy.riskUnit : null,
+    largestPositionShare: value > 0 ? Math.max(...positions.map((p) => p.qty * p.entryPrice / value)) : null,
+    pricesComplete: complete,
+    unknownOwnershipCount: o.positions.filter((p) => p.strategy === null).length
+  };
+}
+function reconcilePortfolio(policy, strategy, previous, o) {
+  validatePortfolioObservation(o);
+  if (o.asOf < previous.observedAt)
+    throw new Error("Portfolio observation moved backwards");
+  const state = {
+    ...previous,
+    reservations: previous.reservations.map((r) => ({ ...r })),
+    closing: previous.closing.map((c) => ({ ...c })),
+    completedSignals: { ...previous.completedSignals },
+    observedAt: o.asOf
+  };
+  const cycle = Math.floor(o.asOf / policy.observationIntervalMs) * policy.observationIntervalMs;
+  const positions = o.positions.filter(
+    (p) => portfolioOwns(policy, strategy, p.strategy)
+  );
+  const closingBefore = state.closing.length;
+  state.closing = state.closing.filter(
+    (c) => positions.some((p) => p.id === c.positionId)
+  );
+  if (state.closing.length < closingBefore)
+    state.blockedThrough = Math.max(
+      state.blockedThrough,
+      cycle + policy.observationIntervalMs - 1
+    );
+  const requestClose = (p, reason) => {
+    if (!state.closing.some((c) => c.positionId === p.id))
+      state.closing.push({
+        positionId: p.id,
+        position: { ...p },
+        reason,
+        createdAt: o.asOf,
+        lastAttemptAt: null
+      });
+  };
+  state.reservations = state.reservations.filter((r) => {
+    const order = o.orders.find((x) => x.id === r.id);
+    if (!order) return true;
+    if (order.filledQty > 0 && !r.oppositeHandled) {
+      const filled = positions.find(
+        (p) => p.id === order.positionId && p.symbol === r.symbol && p.direction === r.direction
+      );
+      if (filled) {
+        r.oppositeHandled = true;
+        if (policy.closeOppositeOnFill) {
+          for (const p of positions)
+            if (p.id !== filled.id && p.direction !== r.direction)
+              requestClose(p, "PORTFOLIO_OPPOSITE_FILL");
+        }
+      }
+    }
+    if (["filled", "cancelled", "rejected"].includes(order.status)) {
+      if (order.filledQty > 0 && !r.oppositeHandled) return true;
+      state.completedSignals[r.signalId] = o.asOf;
+      return false;
+    }
+    return true;
+  });
+  if (cycle > state.evaluatedAt) {
+    state.evaluatedAt = cycle;
+    const profit = policy.profitExit;
+    if (profit?.scope === "position") {
+      for (const p of positions)
+        if (fresh(p, o, policy) && pnl(p) >= profit.multiple * policy.riskUnit)
+          requestClose(p, "PORTFOLIO_PROFIT_POSITION");
+    }
+    if (profit?.scope === "basket" && positions.length >= (profit.minPositions ?? 2) && positions.every((p) => fresh(p, o, policy)) && positions.reduce((sum, p) => sum + pnl(p), 0) >= profit.multiple * policy.riskUnit)
+      for (const p of positions) requestClose(p, "PORTFOLIO_PROFIT_BASKET");
+  }
+  for (const [id, t] of Object.entries(state.completedSignals))
+    if (t < o.asOf - 7 * DAY) delete state.completedSignals[id];
+  return state;
+}
+function reservePortfolioEntry(policy, strategy, state, o, entry) {
+  if (!portfolioOwns(policy, strategy, entry.strategy))
+    return { state, reason: "PORTFOLIO_OUTSIDE_SCOPE" };
+  if (!positive(entry.qty) || !entry.symbol || !["LONG", "SHORT"].includes(entry.direction) || !entry.id || !entry.signalId || !Number.isSafeInteger(entry.timestamp) || entry.timestamp < o.asOf - 7 * DAY || entry.timestamp > o.asOf)
+    return { state, reason: "PORTFOLIO_INVALID_ENTRY" };
+  if (state.reservations.some(
+    (r) => r.signalId === entry.signalId || r.id === entry.id
+  ) || state.completedSignals[entry.signalId] !== void 0)
+    return { state, reason: "PORTFOLIO_DUPLICATE_ENTRY" };
+  if (state.closing.length || o.asOf <= state.blockedThrough)
+    return { state, reason: "PORTFOLIO_CLOSING" };
+  if (o.positions.some((p) => p.symbol === entry.symbol) || state.reservations.some((p) => p.symbol === entry.symbol))
+    return { state, reason: "PORTFOLIO_SYMBOL_OCCUPIED" };
+  const context = buildPortfolioContext(policy, strategy, state, o);
+  if (context.unknownOwnershipCount)
+    return { state, reason: "PORTFOLIO_UNKNOWN_OWNERSHIP" };
+  if (policy.maxPositions !== void 0 && context.positionCount + context.pendingEntryCount >= policy.maxPositions)
+    return { state, reason: "PORTFOLIO_POSITION_LIMIT" };
+  return {
+    state: { ...state, reservations: [...state.reservations, { ...entry }] }
+  };
+}
+function portfolioCloseCommands(policy, state, o) {
+  const cycle = Math.floor(o.asOf / policy.observationIntervalMs) * policy.observationIntervalMs;
+  return state.closing.flatMap((intent) => {
+    const position = o.positions.find((p) => p.id === intent.positionId);
+    return position && fresh(position, o, policy) && (intent.lastAttemptAt === null || intent.lastAttemptAt < cycle) ? [{ intent, position }] : [];
+  });
+}
+function assertPortfolioState(value) {
+  const fail = () => {
+    throw new Error("Invalid persisted portfolio state");
+  };
+  if (!record(value) || value.schema !== "tradejs-portfolio/v1" || !Number.isSafeInteger(value.revision) || Number(value.revision) < 0 || typeof value.fingerprint !== "string" || !value.fingerprint || !Array.isArray(value.reservations) || !Array.isArray(value.closing) || !record(value.completedSignals))
+    return fail();
+  for (const clock of [
+    value.observedAt,
+    value.evaluatedAt,
+    value.blockedThrough
+  ])
+    if (!Number.isSafeInteger(clock) || Number(clock) < -1) return fail();
+  const ids = /* @__PURE__ */ new Set();
+  for (const r of value.reservations) {
+    if (!record(r) || typeof r.id !== "string" || !r.id || ids.has(r.id) || typeof r.signalId !== "string" || !r.signalId || typeof r.symbol !== "string" || !r.symbol || typeof r.strategy !== "string" || !r.strategy || !["LONG", "SHORT"].includes(String(r.direction)) || !positive(r.qty) || !Number.isSafeInteger(r.timestamp) || Number(r.timestamp) < 0 || typeof r.submitted !== "boolean" || typeof r.oppositeHandled !== "boolean")
+      return fail();
+    ids.add(r.id);
+  }
+  const closes = /* @__PURE__ */ new Set();
+  for (const c of value.closing) {
+    if (!record(c) || typeof c.positionId !== "string" || closes.has(c.positionId) || !record(c.position) || c.position.id !== c.positionId || ![
+      "PORTFOLIO_PROFIT_POSITION",
+      "PORTFOLIO_PROFIT_BASKET",
+      "PORTFOLIO_OPPOSITE_FILL"
+    ].includes(String(c.reason)) || !Number.isSafeInteger(c.createdAt) || Number(c.createdAt) < 0 || c.lastAttemptAt !== null && (!Number.isSafeInteger(c.lastAttemptAt) || Number(c.lastAttemptAt) < 0))
+      return fail();
+    validatePortfolioObservation({
+      asOf: Number(c.createdAt),
+      positions: [c.position],
+      orders: []
+    });
+    closes.add(c.positionId);
+  }
+  for (const t of Object.values(value.completedSignals))
+    if (!Number.isSafeInteger(t) || Number(t) < 0) return fail();
+}
+export {
+  assertPortfolioState,
+  buildPortfolioContext,
+  createPortfolioState,
+  parsePortfolioPolicy,
+  portfolioCloseCommands,
+  portfolioFingerprint,
+  portfolioOwns,
+  reconcilePortfolio,
+  reservePortfolioEntry,
+  validatePortfolioObservation
+};

package/dist/strategies.mjs

@@ -4,15 +4,15 @@ import {
 import {
   createIndicators,
   getRequiredControllerSeedWindow
-} from "./chunk-OZVRWW2K.mjs";
+} from "./chunk-6XY6Z2DB.mjs";
 import "./chunk-WJQRRGUY.mjs";
 import {
   getTimestamp
 } from "./chunk-S4KHOAXM.mjs";
-import "./chunk-LI6FPPKB.mjs";
 import {
   FEE_PERCENT
 } from "./chunk-MKCQSB4H.mjs";
+import "./chunk-LI6FPPKB.mjs";
 
 // src/utils/strategyHelpers/indicators.ts
 var buildDefaultIndicatorPeriods = (config) => {

package/dist/tickerProfiles.d.mts

@@ -0,0 +1,17 @@
+import { TickerProfileSnapshot, Candle } from '@tradejs/types';
+
+declare const TICKER_PROFILE_DEFINITION: "hourly-30d-monthly-terciles/v1";
+declare const tickerProfileMonth: (timestamp: number) => number;
+declare const tickerProfileNextMonth: (timestamp: number) => number;
+/** Input membership is explicit. Thresholds never depend on trades or outcomes. */
+declare const buildTickerProfileSnapshot: ({ asOf, provider, universeId, membership, candlesBySymbol, }: {
+    asOf: number;
+    provider: string;
+    universeId: string;
+    membership: TickerProfileSnapshot["membership"];
+    candlesBySymbol: Readonly<Record<string, readonly Candle[]>>;
+}) => TickerProfileSnapshot;
+/** Validate persisted input before exposing it to strategy or gate code. */
+declare const isTickerProfileSnapshot: (value: unknown) => value is TickerProfileSnapshot;
+
+export { TICKER_PROFILE_DEFINITION, buildTickerProfileSnapshot, isTickerProfileSnapshot, tickerProfileMonth, tickerProfileNextMonth };

package/dist/tickerProfiles.d.ts

@@ -0,0 +1,17 @@
+import { TickerProfileSnapshot, Candle } from '@tradejs/types';
+
+declare const TICKER_PROFILE_DEFINITION: "hourly-30d-monthly-terciles/v1";
+declare const tickerProfileMonth: (timestamp: number) => number;
+declare const tickerProfileNextMonth: (timestamp: number) => number;
+/** Input membership is explicit. Thresholds never depend on trades or outcomes. */
+declare const buildTickerProfileSnapshot: ({ asOf, provider, universeId, membership, candlesBySymbol, }: {
+    asOf: number;
+    provider: string;
+    universeId: string;
+    membership: TickerProfileSnapshot["membership"];
+    candlesBySymbol: Readonly<Record<string, readonly Candle[]>>;
+}) => TickerProfileSnapshot;
+/** Validate persisted input before exposing it to strategy or gate code. */
+declare const isTickerProfileSnapshot: (value: unknown) => value is TickerProfileSnapshot;
+
+export { TICKER_PROFILE_DEFINITION, buildTickerProfileSnapshot, isTickerProfileSnapshot, tickerProfileMonth, tickerProfileNextMonth };