@tradejs/node 3.1.29-beta.290 → 3.1.29-beta.291
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- package/dist/ai.js +109 -48
- package/dist/ai.mjs +1 -1
- package/dist/backtest.js +2491 -1871
- package/dist/backtest.mjs +3 -2
- package/dist/{chunk-PB2KHBGH.mjs → chunk-HRON2EAI.mjs} +413 -22
- package/dist/{chunk-UL5Z46JL.mjs → chunk-PYJWXAYR.mjs} +97 -30
- package/dist/chunk-UUNEWAT4.mjs +193 -0
- package/dist/{chunk-BO42QWAB.mjs → chunk-W6PPAADK.mjs} +1 -1
- package/dist/cli.js +834 -773
- package/dist/cli.mjs +1 -1
- package/dist/diagnostics.js +2511 -1891
- package/dist/diagnostics.mjs +4 -3
- package/dist/mcp.d.mts +1 -1
- package/dist/mcp.d.ts +1 -1
- package/dist/mcp.js +2537 -1917
- package/dist/mcp.mjs +4 -3
- package/dist/portfolio.d.mts +28 -0
- package/dist/portfolio.d.ts +28 -0
- package/dist/portfolio.js +210 -0
- package/dist/portfolio.mjs +9 -0
- package/dist/registry.js +2429 -1809
- package/dist/registry.mjs +3 -2
- package/dist/runtimeDashboard.js +2236 -1614
- package/dist/runtimeDashboard.mjs +4 -3
- package/dist/runtimeStrategies.js +2052 -1432
- package/dist/runtimeStrategies.mjs +4 -3
- package/dist/strategies.d.mts +3 -1
- package/dist/strategies.d.ts +3 -1
- package/dist/strategies.js +2085 -1465
- package/dist/strategies.mjs +3 -2
- package/package.json +10 -5
package/dist/diagnostics.js
CHANGED
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@@ -808,1671 +808,2405 @@ __export(diagnostics_exports, {
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module.exports = __toCommonJS(diagnostics_exports);
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// src/diagnostics/runtimeEvidenceArtifacts.ts
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var
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var import_node_crypto6 = require("crypto");
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var import_promises3 = __toESM(require("fs/promises"));
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var import_node_path3 = __toESM(require("path"));
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// src/runtimeStrategies.ts
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var import_jev8 = require("@tradejs/core/jev");
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var
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var import_node_crypto5 = require("crypto");
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var import_promises2 = require("fs/promises");
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var import_node_path2 = __toESM(require("path"));
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var import_runtimeControls = require("@tradejs/infra/runtimeControls");
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var import_tradingAccounts = require("@tradejs/infra/tradingAccounts");
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// src/
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var
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// src/strategy/portfolioRuntime.ts
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var import_node_crypto2 = require("crypto");
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var import_portfolio2 = require("@tradejs/core/portfolio");
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var import_redis2 = require("@tradejs/infra/redis");
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// src/
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var
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const questions = questionsForJevInput(input);
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const questionsHash = (0, import_jev5.jevHash)(questions);
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const base = {
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questionSet: import_jev4.JEV_QUESTION_SET,
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schema: "tradejs-signal-assessment/v5",
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source: config.source,
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mode: config.mode,
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inputHash,
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questionsHash,
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geometryStatus: input.geometryStatus,
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levelsValid: typeof input.features["signal.validLevels"] === "boolean" ? input.features["signal.validLevels"] : null
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};
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if (!input.questions.length)
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return {
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assessment: {
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...base,
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status: "unavailable",
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model: "",
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scores: emptyScores(),
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confidence: emptyScores()
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}
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};
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if (config.source === "local") {
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const contents = await import_promises.default.readFile(
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import_node_path.default.resolve(projectRoot, config.modelFile),
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"utf8"
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);
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if ((0, import_jev5.jevFileHash)(contents) !== config.modelSha256)
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throw new Error("Local Jev gate checksum mismatch");
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const { validateJevGateModel: validateJevGateModel2 } = await Promise.resolve().then(() => (init_jevTraining(), jevTraining_exports));
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const model = validateJevGateModel2(JSON.parse(contents));
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if (model.strategy !== input.strategy || model.questionsHash !== (0, import_jev5.jevHash)(JEV_QUESTIONS))
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throw new Error("Local Jev gate strategy or question version mismatch");
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const scores = Object.fromEntries(
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import_jev4.JEV_DIMENSIONS.map((key) => [
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key,
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input.questions.includes(key) && model.trees[key] ? (0, import_jev4.predictJevTree)(model.trees[key], input.features) : null
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])
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);
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return {
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assessment: {
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...base,
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status: "available",
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model: config.modelSha256,
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scores,
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confidence: emptyScores()
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// src/portfolio.ts
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var import_portfolio = require("@tradejs/core/portfolio");
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function createPortfolioCoordinator({
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policy,
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strategy,
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store,
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execution
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}) {
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const fingerprint3 = (0, import_portfolio.portfolioFingerprint)(policy, strategy);
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let cache;
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async function transact(now2, change, force = false) {
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for (let attempt = 0; attempt < 16; attempt++) {
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const previous = await store.read();
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if (previous && previous.fingerprint !== fingerprint3)
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throw new Error(
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"Portfolio policy changed under existing state; reconcile the persisted scope before changing configuration"
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);
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const base = previous ?? (0, import_portfolio.createPortfolioState)(fingerprint3);
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const bucket = Math.floor(now2 / policy.observationIntervalMs);
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const observation = !force && cache?.revision === base.revision && cache.bucket === bucket ? cache.observation : await execution.observe(now2, base.reservations);
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const reconciled = (0, import_portfolio.reconcilePortfolio)(
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policy,
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strategy,
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base,
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observation
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);
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for (const intent of base.closing) {
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if (!observation.positions.some(
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(p) => p.symbol === intent.position.symbol
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))
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await execution.confirmClosed?.(intent, observation.asOf);
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}
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const file = import_node_path.default.join(dir, "records", `${id}.json`);
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const getRecord = async () => {
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const existing = await (0, import_jev5.readJevArtifact)(file);
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if (existing) {
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if (existing.schema !== "tradejs-jev-record/v4" || existing.id !== id || existing.inputHash !== inputHash || existing.questionsHash !== questionsHash || (0, import_jev5.jevHash)(existing.input) !== inputHash || (0, import_jev5.jevHash)(existing.provider) !== (0, import_jev5.jevHash)(provider))
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throw new Error("Jev recording identity mismatch");
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(0, import_jev5.validateJevResponse)(existing.response, input.questions);
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for (const key of import_jev4.JEV_DIMENSIONS) {
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const expected = input.questions.includes(key) ? existing.response.answers[key].score / (0, import_jev5.jevScoreMaximum)(key) : null;
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if (existing.scores[key] !== expected)
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throw new Error("Jev recording scores do not match the response");
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const changed = change(reconciled, observation);
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const next = { ...changed.state, revision: base.revision + 1 };
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if (await store.compare(previous, next)) {
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cache = { revision: next.revision, bucket, observation };
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return { state: next, observation, result: changed.result };
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}
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cache = void 0;
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}
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throw new Error("Portfolio state contention; entry was not submitted");
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}
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async function tick(now2, force = false) {
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const claimed = await transact(
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now2,
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(state, observation) => {
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const commands = (0, import_portfolio.portfolioCloseCommands)(policy, state, observation);
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return {
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state: {
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...state,
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closing: state.closing.map(
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(c) => commands.some((x) => x.intent.positionId === c.positionId) ? { ...c, lastAttemptAt: observation.asOf } : c
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)
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},
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result: commands
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};
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},
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force
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);
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for (const command of claimed.result)
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await execution.close(
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command.position,
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command.intent,
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claimed.observation.asOf
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if (claimed.result.length) {
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cache = void 0;
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const refreshed = await transact(
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now2,
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(state) => ({ state, result: void 0 }),
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return (0, import_portfolio.buildPortfolioContext)(
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const started = Date.now();
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const state = stateForJevInput(input);
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const responseId = (0, import_jev5.jevHash)({
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user: (0, import_jev5.jevHash)(userName)
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});
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const responseFile = import_node_path.default.join(dir, "responses", `${responseId}.json`);
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let responsePromise = pendingResponses.get(responseFile);
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if (!responsePromise) {
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responsePromise = (async () => {
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const saved = await (0, import_jev5.readJevArtifact)(responseFile);
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if (saved) return (0, import_jev5.validateJevResponse)(saved, input.questions);
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const fresh = await (0, import_jev5.requestJev)(provider, apiKey, state, questions);
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await (0, import_jev5.writeJevArtifact)(responseFile, fresh);
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return fresh;
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})();
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pendingResponses.set(responseFile, responsePromise);
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}
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let response;
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try {
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response = await responsePromise;
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} finally {
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pendingResponses.delete(responseFile);
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return (0, import_portfolio.buildPortfolioContext)(
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const value = {
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schema: "tradejs-jev-record/v4",
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id,
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response,
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scores,
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createdAt: (/* @__PURE__ */ new Date()).toISOString(),
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elapsedMs: Date.now() - started
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};
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await (0, import_jev5.writeJevArtifact)(file, value);
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return await (0, import_jev5.readJevArtifact)(file);
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};
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const pendingKey = `${file}:${(0, import_jev5.jevHash)(userName)}`;
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let promise = pending.get(pendingKey);
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if (!promise) {
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promise = getRecord();
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pending.set(pendingKey, promise);
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}
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async function updateReservation(now2, id, submitted, qty) {
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return transact(
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now2,
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(s, o) => {
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const exists2 = s.reservations.some((r) => r.id === id);
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const blocked = submitted && (!exists2 || s.closing.length > 0 || o.asOf <= s.blockedThrough);
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return {
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state: {
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...s,
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reservations: s.reservations.flatMap(
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(r) => r.id !== id ? [r] : submitted && !blocked ? [{ ...r, submitted: true, qty: qty ?? r.qty }] : []
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)
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},
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result: !blocked
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};
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},
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true
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);
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async context(now2) {
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const state = await store.read() ?? (0, import_portfolio.createPortfolioState)(fingerprint3);
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if (state.fingerprint !== fingerprint3)
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throw new Error("Portfolio policy changed under existing state");
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const observation = await execution.observe(now2, state.reservations);
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|
+
(0, import_portfolio.validatePortfolioObservation)(observation);
|
|
940
|
+
return (0, import_portfolio.buildPortfolioContext)(policy, strategy, state, observation);
|
|
941
|
+
},
|
|
942
|
+
tick,
|
|
943
|
+
async submit(now2, entry, send) {
|
|
944
|
+
await tick(now2);
|
|
945
|
+
const admitted = await transact(
|
|
946
|
+
now2,
|
|
947
|
+
(s, o) => {
|
|
948
|
+
const r = (0, import_portfolio.reservePortfolioEntry)(policy, strategy, s, o, {
|
|
949
|
+
...entry,
|
|
950
|
+
submitted: false,
|
|
951
|
+
oppositeHandled: false
|
|
952
|
+
});
|
|
953
|
+
return { state: r.state, result: r.reason };
|
|
954
|
+
},
|
|
955
|
+
true
|
|
956
|
+
);
|
|
957
|
+
if (admitted.result) return { reason: admitted.result };
|
|
958
|
+
let submitted = false;
|
|
959
|
+
try {
|
|
960
|
+
const value = await send(
|
|
961
|
+
async (qty) => {
|
|
962
|
+
if (!Number.isFinite(qty) || qty <= 0)
|
|
963
|
+
throw new Error("Invalid submitted portfolio quantity");
|
|
964
|
+
submitted = true;
|
|
965
|
+
const update = await updateReservation(now2, entry.id, true, qty);
|
|
966
|
+
if (!update.result)
|
|
967
|
+
throw new Error("PORTFOLIO_SUBMISSION_NO_LONGER_ADMITTED");
|
|
968
|
+
},
|
|
969
|
+
async () => {
|
|
970
|
+
await transact(
|
|
971
|
+
now2,
|
|
972
|
+
(s) => ({
|
|
973
|
+
state: {
|
|
974
|
+
...s,
|
|
975
|
+
reservations: s.reservations.filter((r) => r.id !== entry.id),
|
|
976
|
+
completedSignals: {
|
|
977
|
+
...s.completedSignals,
|
|
978
|
+
[entry.signalId]: now2
|
|
979
|
+
}
|
|
980
|
+
},
|
|
981
|
+
result: void 0
|
|
982
|
+
}),
|
|
983
|
+
true
|
|
984
|
+
);
|
|
985
|
+
}
|
|
986
|
+
);
|
|
987
|
+
if (!submitted) await updateReservation(now2, entry.id, false);
|
|
988
|
+
else await tick(now2, true);
|
|
989
|
+
return { value };
|
|
990
|
+
} catch (error) {
|
|
991
|
+
if (!submitted) await updateReservation(now2, entry.id, false);
|
|
992
|
+
throw error;
|
|
993
|
+
}
|
|
1009
994
|
}
|
|
1010
995
|
};
|
|
1011
|
-
}
|
|
1012
|
-
|
|
1013
|
-
|
|
1014
|
-
|
|
1015
|
-
|
|
1016
|
-
|
|
1017
|
-
|
|
1018
|
-
|
|
1019
|
-
|
|
1020
|
-
|
|
1021
|
-
try {
|
|
1022
|
-
const input = buildJevInput(signal);
|
|
1023
|
-
({ assessment } = await evaluateJevInput({
|
|
1024
|
-
input,
|
|
1025
|
-
config,
|
|
1026
|
-
userName,
|
|
1027
|
-
projectRoot
|
|
1028
|
-
}));
|
|
1029
|
-
} catch (error) {
|
|
1030
|
-
if (strict) throw error;
|
|
1031
|
-
assessment = {
|
|
1032
|
-
questionSet: import_jev4.JEV_QUESTION_SET,
|
|
1033
|
-
schema: "tradejs-signal-assessment/v5",
|
|
1034
|
-
source: config.source,
|
|
1035
|
-
mode: config.mode,
|
|
1036
|
-
status: "unavailable",
|
|
1037
|
-
inputHash: "",
|
|
1038
|
-
questionsHash: "",
|
|
1039
|
-
geometryStatus: "absent",
|
|
1040
|
-
levelsValid: null,
|
|
1041
|
-
model: config.provider?.model ?? config.modelSha256 ?? "",
|
|
1042
|
-
scores: emptyScores(),
|
|
1043
|
-
confidence: emptyScores()
|
|
1044
|
-
};
|
|
1045
|
-
}
|
|
1046
|
-
signal.assessment = assessment;
|
|
1047
|
-
signal.additionalIndicators = {
|
|
1048
|
-
...signal.additionalIndicators,
|
|
1049
|
-
jev: (0, import_jev4.jevAssessmentFeatures)(assessment)
|
|
996
|
+
}
|
|
997
|
+
function createMemoryPortfolioStore() {
|
|
998
|
+
let state = null;
|
|
999
|
+
return {
|
|
1000
|
+
read: async () => state === null ? null : structuredClone(state),
|
|
1001
|
+
compare: async (expected, next) => {
|
|
1002
|
+
if ((state?.revision ?? -1) !== (expected?.revision ?? -1)) return false;
|
|
1003
|
+
state = structuredClone(next);
|
|
1004
|
+
return true;
|
|
1005
|
+
}
|
|
1050
1006
|
};
|
|
1051
|
-
|
|
1052
|
-
signalId: signal.signalId,
|
|
1053
|
-
strategy: signal.strategy,
|
|
1054
|
-
symbol: signal.symbol,
|
|
1055
|
-
timestamp: signal.timestamp,
|
|
1056
|
-
scope,
|
|
1057
|
-
user: (0, import_jev5.jevHash)(userName),
|
|
1058
|
-
config,
|
|
1059
|
-
assessment
|
|
1060
|
-
};
|
|
1061
|
-
await (0, import_jev5.writeJevArtifact)(
|
|
1062
|
-
import_node_path.default.resolve(
|
|
1063
|
-
projectRoot,
|
|
1064
|
-
config.recordsDir ?? "data/ai/jev",
|
|
1065
|
-
"decisions",
|
|
1066
|
-
`${(0, import_jev5.jevHash)(identity)}.json`
|
|
1067
|
-
),
|
|
1068
|
-
identity
|
|
1069
|
-
);
|
|
1070
|
-
return assessment;
|
|
1071
|
-
};
|
|
1072
|
-
|
|
1073
|
-
// src/strategyRuntime.ts
|
|
1074
|
-
var import_constants5 = require("@tradejs/core/constants");
|
|
1075
|
-
var import_strategies6 = require("@tradejs/core/strategies");
|
|
1076
|
-
var import_logger11 = require("@tradejs/infra/logger");
|
|
1077
|
-
|
|
1078
|
-
// src/strategyHelpers/runtime.ts
|
|
1079
|
-
var import_logger9 = require("@tradejs/infra/logger");
|
|
1080
|
-
var import_constants3 = require("@tradejs/core/constants");
|
|
1081
|
-
var import_ml2 = require("@tradejs/infra/ml");
|
|
1007
|
+
}
|
|
1082
1008
|
|
|
1083
|
-
// src/
|
|
1009
|
+
// src/runtimeJournal.ts
|
|
1010
|
+
var import_node_crypto = require("crypto");
|
|
1011
|
+
var import_constants = require("@tradejs/core/constants");
|
|
1012
|
+
var import_time = require("@tradejs/core/time");
|
|
1013
|
+
var import_trade = require("@tradejs/core/trade");
|
|
1084
1014
|
var import_logger = require("@tradejs/infra/logger");
|
|
1085
|
-
|
|
1086
|
-
|
|
1087
|
-
var
|
|
1088
|
-
|
|
1089
|
-
super(...arguments);
|
|
1090
|
-
this.name = "EntrySubmissionValidationError";
|
|
1091
|
-
}
|
|
1092
|
-
};
|
|
1093
|
-
var resolveEntryExecutionLimits = (config, direction) => {
|
|
1094
|
-
const side = config[direction];
|
|
1095
|
-
const minimum = side && typeof side === "object" && "minRiskRatio" in side ? side.minRiskRatio : void 0;
|
|
1096
|
-
const maximum = config.MAX_LOSS_VALUE;
|
|
1097
|
-
if (minimum == null && maximum == null) return void 0;
|
|
1098
|
-
const minimumNetRiskRatio = minimum == null ? void 0 : Number(minimum);
|
|
1099
|
-
const maxLossValue = maximum == null ? void 0 : Number(maximum);
|
|
1100
|
-
const feeRate = Number(config.RISK_FEE_RATE ?? 0);
|
|
1101
|
-
const slippage = Number(config.RISK_SLIPPAGE_BPS ?? 0);
|
|
1102
|
-
const impact = Number(config.RISK_MARKET_IMPACT_BPS ?? 0);
|
|
1103
|
-
const slippageBps = slippage + impact;
|
|
1104
|
-
if (minimumNetRiskRatio != null && (!Number.isFinite(minimumNetRiskRatio) || minimumNetRiskRatio < 0) || maxLossValue != null && (!Number.isFinite(maxLossValue) || maxLossValue <= 0) || !Number.isFinite(feeRate) || feeRate < 0 || feeRate >= 1 || !Number.isFinite(slippage) || slippage < 0 || !Number.isFinite(impact) || impact < 0 || !Number.isFinite(slippageBps) || slippageBps < 0 || slippageBps >= 1e4)
|
|
1105
|
-
throw new Error("INVALID_ENTRY_EXECUTION_LIMITS");
|
|
1106
|
-
return { minimumNetRiskRatio, maxLossValue, feeRate, slippageBps };
|
|
1107
|
-
};
|
|
1108
|
-
var validateEntryExecution = ({
|
|
1015
|
+
var import_redis = require("@tradejs/infra/redis");
|
|
1016
|
+
var now = () => Date.now();
|
|
1017
|
+
var toRandomOrderSuffix = () => (0, import_node_crypto.randomUUID)().replace(/-/g, "").slice(0, 12).toLowerCase();
|
|
1018
|
+
var calculateClosedPnl = ({
|
|
1109
1019
|
direction,
|
|
1110
|
-
|
|
1111
|
-
|
|
1112
|
-
|
|
1113
|
-
takeProfitPrice,
|
|
1114
|
-
limits
|
|
1020
|
+
entryPrice,
|
|
1021
|
+
exitPrice,
|
|
1022
|
+
qty
|
|
1115
1023
|
}) => {
|
|
1116
|
-
|
|
1117
|
-
|
|
1118
|
-
"ENTRY_ECONOMICS_INPUTS_UNAVAILABLE"
|
|
1119
|
-
);
|
|
1120
|
-
const side = direction === "LONG" ? 1 : -1;
|
|
1121
|
-
if (side * (price - stopLossPrice) <= 0 || side * (takeProfitPrice - price) <= 0)
|
|
1122
|
-
throw new EntrySubmissionValidationError(
|
|
1123
|
-
"INVALID_ENTRY_PROTECTION_AT_SUBMISSION"
|
|
1124
|
-
);
|
|
1125
|
-
const slippage = limits.slippageBps / 1e4;
|
|
1126
|
-
const cost = (value, sign) => value * slippage + value * (1 + sign * slippage) * limits.feeRate;
|
|
1127
|
-
const entryCost = cost(price, side);
|
|
1128
|
-
const lossPerUnit = Math.abs(price - stopLossPrice) + entryCost + cost(stopLossPrice, -side);
|
|
1129
|
-
const rewardPerUnit = Math.max(
|
|
1130
|
-
0,
|
|
1131
|
-
Math.abs(takeProfitPrice - price) - entryCost - cost(takeProfitPrice, -side)
|
|
1132
|
-
);
|
|
1133
|
-
const netRiskRatio = rewardPerUnit / lossPerUnit;
|
|
1134
|
-
const plannedLossValue = qty * lossPerUnit;
|
|
1135
|
-
if (!Number.isFinite(netRiskRatio) || !Number.isFinite(plannedLossValue))
|
|
1136
|
-
throw new EntrySubmissionValidationError(
|
|
1137
|
-
"ENTRY_ECONOMICS_INPUTS_UNAVAILABLE"
|
|
1138
|
-
);
|
|
1139
|
-
if (limits.minimumNetRiskRatio != null && netRiskRatio <= limits.minimumNetRiskRatio)
|
|
1140
|
-
throw new EntrySubmissionValidationError(
|
|
1141
|
-
"ENTRY_RR_BELOW_MIN_AT_SUBMISSION"
|
|
1142
|
-
);
|
|
1143
|
-
const riskExceeded = limits.maxLossValue != null && plannedLossValue > limits.maxLossValue * (1 + 1e-9);
|
|
1144
|
-
return { netRiskRatio, plannedLossValue, riskExceeded };
|
|
1024
|
+
const pnl = direction === "LONG" ? (exitPrice - entryPrice) * qty : (entryPrice - exitPrice) * qty;
|
|
1025
|
+
return Number.isFinite(pnl) ? pnl : null;
|
|
1145
1026
|
};
|
|
1146
|
-
|
|
1147
|
-
|
|
1148
|
-
|
|
1149
|
-
|
|
1150
|
-
|
|
1151
|
-
|
|
1152
|
-
|
|
1153
|
-
|
|
1154
|
-
}
|
|
1155
|
-
if (
|
|
1156
|
-
return
|
|
1157
|
-
arrivalSnapshotTime: Date.now(),
|
|
1158
|
-
arrivalSource: "unavailable",
|
|
1159
|
-
bid: null,
|
|
1160
|
-
ask: null,
|
|
1161
|
-
arrivalMid: null,
|
|
1162
|
-
spreadBps: null
|
|
1163
|
-
};
|
|
1027
|
+
var createRuntimeOrderId = (strategy) => {
|
|
1028
|
+
const prefix = (0, import_trade.createRuntimeOrderLinkPrefix)(strategy);
|
|
1029
|
+
if (prefix === "tjs-") {
|
|
1030
|
+
return `tjs-${(0, import_node_crypto.randomUUID)().replace(/-/g, "").slice(0, 24).toLowerCase()}`;
|
|
1031
|
+
}
|
|
1032
|
+
return `${prefix}${toRandomOrderSuffix()}`;
|
|
1033
|
+
};
|
|
1034
|
+
var recordRuntimeTradeOpen = async (params) => {
|
|
1035
|
+
const { userName } = params;
|
|
1036
|
+
if (!userName) {
|
|
1037
|
+
return null;
|
|
1164
1038
|
}
|
|
1039
|
+
const record2 = {
|
|
1040
|
+
...params,
|
|
1041
|
+
entryCount: 1,
|
|
1042
|
+
lastEntryPrice: params.entryPrice,
|
|
1043
|
+
lastEntryQty: params.qty,
|
|
1044
|
+
lastEntryTimestamp: params.entryTimestamp,
|
|
1045
|
+
status: "active",
|
|
1046
|
+
currentPrice: params.entryPrice,
|
|
1047
|
+
currentPnl: 0,
|
|
1048
|
+
closedPnl: null,
|
|
1049
|
+
exitPrice: null,
|
|
1050
|
+
exitTimestamp: null,
|
|
1051
|
+
lastSyncedAt: now()
|
|
1052
|
+
};
|
|
1053
|
+
const dayKey = (0, import_time.getRuntimeStorageDayKey)(record2.entryTimestamp);
|
|
1054
|
+
const runtimeScopeId = record2.deploymentId ?? record2.accountId;
|
|
1165
1055
|
try {
|
|
1166
|
-
|
|
1167
|
-
|
|
1168
|
-
|
|
1169
|
-
|
|
1170
|
-
|
|
1171
|
-
|
|
1172
|
-
|
|
1173
|
-
|
|
1174
|
-
|
|
1175
|
-
|
|
1176
|
-
|
|
1177
|
-
|
|
1178
|
-
|
|
1179
|
-
|
|
1180
|
-
|
|
1056
|
+
await Promise.all([
|
|
1057
|
+
(0, import_redis.setData)(import_redis.redisKeys.runtimeTrade(userName, record2.orderId), record2, {
|
|
1058
|
+
expire: 0
|
|
1059
|
+
}),
|
|
1060
|
+
(0, import_redis.setHashJsonField)(
|
|
1061
|
+
import_redis.redisKeys.runtimeTradeBucket(userName, dayKey),
|
|
1062
|
+
record2.orderId,
|
|
1063
|
+
record2,
|
|
1064
|
+
{ expire: 0 }
|
|
1065
|
+
),
|
|
1066
|
+
(0, import_redis.setData)(
|
|
1067
|
+
import_redis.redisKeys.runtimeActiveTrade(userName, record2.symbol, runtimeScopeId),
|
|
1068
|
+
{ orderId: record2.orderId },
|
|
1069
|
+
{ expire: 0 }
|
|
1070
|
+
)
|
|
1071
|
+
]);
|
|
1181
1072
|
} catch (error) {
|
|
1182
|
-
import_logger.logger.
|
|
1183
|
-
"runtime
|
|
1184
|
-
symbol,
|
|
1073
|
+
import_logger.logger.error(
|
|
1074
|
+
"runtime trade open journal failed: %s %s",
|
|
1075
|
+
record2.symbol,
|
|
1185
1076
|
error?.message || String(error)
|
|
1186
1077
|
);
|
|
1187
|
-
return {
|
|
1188
|
-
arrivalSnapshotTime: Date.now(),
|
|
1189
|
-
arrivalSource: "top_of_book_error",
|
|
1190
|
-
bid: null,
|
|
1191
|
-
ask: null,
|
|
1192
|
-
arrivalMid: null,
|
|
1193
|
-
spreadBps: null
|
|
1194
|
-
};
|
|
1195
1078
|
}
|
|
1079
|
+
return record2;
|
|
1196
1080
|
};
|
|
1197
|
-
var
|
|
1198
|
-
|
|
1199
|
-
|
|
1200
|
-
|
|
1201
|
-
|
|
1202
|
-
|
|
1203
|
-
|
|
1204
|
-
|
|
1205
|
-
|
|
1206
|
-
|
|
1207
|
-
|
|
1208
|
-
|
|
1209
|
-
|
|
1210
|
-
|
|
1211
|
-
|
|
1212
|
-
|
|
1213
|
-
|
|
1214
|
-
}
|
|
1081
|
+
var recordRuntimeTradeIncrease = async (params) => {
|
|
1082
|
+
const {
|
|
1083
|
+
userName,
|
|
1084
|
+
strategy,
|
|
1085
|
+
symbol,
|
|
1086
|
+
direction,
|
|
1087
|
+
resultingQty,
|
|
1088
|
+
resultingEntryPrice,
|
|
1089
|
+
addedQty,
|
|
1090
|
+
addedEntryPrice,
|
|
1091
|
+
entryTimestamp,
|
|
1092
|
+
fee,
|
|
1093
|
+
accountId,
|
|
1094
|
+
deploymentId
|
|
1095
|
+
} = params;
|
|
1096
|
+
if (!userName) {
|
|
1097
|
+
return null;
|
|
1215
1098
|
}
|
|
1216
|
-
|
|
1217
|
-
|
|
1099
|
+
const existing = await getActiveRuntimeTrade({
|
|
1100
|
+
userName,
|
|
1101
|
+
symbol,
|
|
1102
|
+
accountId,
|
|
1103
|
+
deploymentId
|
|
1104
|
+
});
|
|
1105
|
+
if (!existing || existing.strategy !== strategy || existing.direction !== direction) {
|
|
1106
|
+
return null;
|
|
1218
1107
|
}
|
|
1219
|
-
|
|
1220
|
-
|
|
1221
|
-
|
|
1222
|
-
|
|
1223
|
-
|
|
1224
|
-
|
|
1225
|
-
|
|
1226
|
-
|
|
1227
|
-
|
|
1228
|
-
|
|
1229
|
-
|
|
1230
|
-
|
|
1231
|
-
|
|
1232
|
-
|
|
1233
|
-
|
|
1234
|
-
|
|
1235
|
-
|
|
1236
|
-
|
|
1237
|
-
arrivalSnapshotTime: Date.now(),
|
|
1238
|
-
arrivalSource: "simulation",
|
|
1239
|
-
bid: executionPrice,
|
|
1240
|
-
ask: executionPrice,
|
|
1241
|
-
arrivalMid: executionPrice,
|
|
1242
|
-
spreadBps: 0
|
|
1243
|
-
} : await getOrderArrivalSnapshot({
|
|
1244
|
-
connector,
|
|
1245
|
-
symbol,
|
|
1246
|
-
requireTimestamp: true
|
|
1247
|
-
});
|
|
1248
|
-
const age = Date.now() - snapshot2.arrivalSnapshotTime;
|
|
1249
|
-
if (snapshot2.bid == null || snapshot2.ask == null || !Number.isFinite(snapshot2.bid) || !Number.isFinite(snapshot2.ask) || snapshot2.bid <= 0 || snapshot2.ask < snapshot2.bid)
|
|
1250
|
-
throw new EntrySubmissionValidationError(
|
|
1251
|
-
"ENTRY_QUOTE_UNAVAILABLE_AT_SUBMISSION"
|
|
1252
|
-
);
|
|
1253
|
-
if (!Number.isFinite(age) || age < -MAX_ENTRY_QUOTE_AGE_MS || age > MAX_ENTRY_QUOTE_AGE_MS)
|
|
1254
|
-
throw new EntrySubmissionValidationError(
|
|
1255
|
-
"ENTRY_QUOTE_STALE_AT_SUBMISSION"
|
|
1256
|
-
);
|
|
1257
|
-
const price = direction === "LONG" ? snapshot2.ask : snapshot2.bid;
|
|
1258
|
-
validateEntryProtectionAtArrival({
|
|
1259
|
-
direction,
|
|
1260
|
-
signalPrice: price,
|
|
1261
|
-
bid: snapshot2.bid,
|
|
1262
|
-
ask: snapshot2.ask,
|
|
1263
|
-
arrivalMid: snapshot2.arrivalMid,
|
|
1264
|
-
takeProfits,
|
|
1265
|
-
stopLossPrice
|
|
1266
|
-
});
|
|
1267
|
-
const prices = takeProfits.map((tp) => tp.price);
|
|
1268
|
-
const economics2 = validateEntryExecution({
|
|
1269
|
-
direction,
|
|
1270
|
-
price,
|
|
1271
|
-
qty,
|
|
1272
|
-
stopLossPrice,
|
|
1273
|
-
takeProfitPrice: direction === "LONG" ? Math.max(...prices) : Math.min(...prices),
|
|
1274
|
-
limits
|
|
1275
|
-
});
|
|
1276
|
-
onValidated?.(snapshot2, economics2);
|
|
1108
|
+
const addedFee = typeof fee === "number" && Number.isFinite(fee) ? fee : 0;
|
|
1109
|
+
const openFee = (existing.openFee ?? existing.fee ?? 0) + addedFee;
|
|
1110
|
+
const totalFee = (existing.totalFee ?? existing.fee ?? 0) + addedFee;
|
|
1111
|
+
const next = {
|
|
1112
|
+
...existing,
|
|
1113
|
+
...params.orderLeverage ? { orderLeverage: params.orderLeverage } : {},
|
|
1114
|
+
qty: resultingQty,
|
|
1115
|
+
entryPrice: resultingEntryPrice,
|
|
1116
|
+
entryCount: Math.max(1, existing.entryCount ?? 1) + 1,
|
|
1117
|
+
lastEntryPrice: addedEntryPrice,
|
|
1118
|
+
lastEntryQty: addedQty,
|
|
1119
|
+
lastEntryTimestamp: entryTimestamp,
|
|
1120
|
+
currentPrice: resultingEntryPrice,
|
|
1121
|
+
currentPnl: 0,
|
|
1122
|
+
fee: openFee,
|
|
1123
|
+
openFee,
|
|
1124
|
+
totalFee,
|
|
1125
|
+
lastSyncedAt: now()
|
|
1277
1126
|
};
|
|
1278
|
-
|
|
1279
|
-
|
|
1280
|
-
|
|
1281
|
-
|
|
1282
|
-
|
|
1283
|
-
|
|
1284
|
-
|
|
1285
|
-
|
|
1286
|
-
|
|
1287
|
-
|
|
1288
|
-
|
|
1289
|
-
|
|
1290
|
-
|
|
1291
|
-
|
|
1292
|
-
|
|
1293
|
-
|
|
1294
|
-
|
|
1295
|
-
|
|
1296
|
-
}
|
|
1297
|
-
return trimmed.map(
|
|
1298
|
-
(item) => item && typeof item === "object" ? trimSeriesDeep(item) : item
|
|
1299
|
-
);
|
|
1300
|
-
}
|
|
1301
|
-
if (value && typeof value === "object") {
|
|
1302
|
-
return Object.fromEntries(
|
|
1303
|
-
Object.entries(value).map(([key, nested]) => [
|
|
1304
|
-
key,
|
|
1305
|
-
trimSeriesDeep(nested)
|
|
1306
|
-
])
|
|
1127
|
+
const dayKey = (0, import_time.getRuntimeStorageDayKey)(existing.entryTimestamp);
|
|
1128
|
+
try {
|
|
1129
|
+
await Promise.all([
|
|
1130
|
+
(0, import_redis.setData)(import_redis.redisKeys.runtimeTrade(userName, existing.orderId), next, {
|
|
1131
|
+
expire: 0
|
|
1132
|
+
}),
|
|
1133
|
+
(0, import_redis.setHashJsonField)(
|
|
1134
|
+
import_redis.redisKeys.runtimeTradeBucket(userName, dayKey),
|
|
1135
|
+
existing.orderId,
|
|
1136
|
+
next,
|
|
1137
|
+
{ expire: 0 }
|
|
1138
|
+
)
|
|
1139
|
+
]);
|
|
1140
|
+
} catch (error) {
|
|
1141
|
+
import_logger.logger.error(
|
|
1142
|
+
"runtime trade increase journal failed: %s %s",
|
|
1143
|
+
symbol,
|
|
1144
|
+
error?.message || String(error)
|
|
1307
1145
|
);
|
|
1308
1146
|
}
|
|
1309
|
-
return
|
|
1147
|
+
return next;
|
|
1310
1148
|
};
|
|
1311
|
-
var
|
|
1312
|
-
const
|
|
1313
|
-
if (
|
|
1314
|
-
return
|
|
1149
|
+
var getActiveRuntimeTrade = async (params) => {
|
|
1150
|
+
const { userName, symbol, accountId, deploymentId } = params;
|
|
1151
|
+
if (!userName) {
|
|
1152
|
+
return null;
|
|
1315
1153
|
}
|
|
1316
|
-
|
|
1317
|
-
|
|
1318
|
-
|
|
1319
|
-
|
|
1320
|
-
|
|
1321
|
-
if (!
|
|
1154
|
+
const activeRef = await (0, import_redis.getData)(
|
|
1155
|
+
import_redis.redisKeys.runtimeActiveTrade(userName, symbol, deploymentId ?? accountId),
|
|
1156
|
+
null
|
|
1157
|
+
);
|
|
1158
|
+
const orderId = String(activeRef?.orderId || "").trim();
|
|
1159
|
+
if (!orderId) {
|
|
1322
1160
|
return null;
|
|
1323
1161
|
}
|
|
1324
|
-
|
|
1325
|
-
|
|
1326
|
-
|
|
1327
|
-
|
|
1328
|
-
|
|
1329
|
-
|
|
1330
|
-
|
|
1331
|
-
|
|
1332
|
-
|
|
1333
|
-
};
|
|
1334
|
-
var buildMissingSpreadContext = () => ({
|
|
1335
|
-
source: "payload.additionalIndicators.baseContext.relative.execution.venueSpread",
|
|
1336
|
-
indicatorKey: "payload.additionalIndicators.baseContext.relative.execution.venueSpread",
|
|
1337
|
-
available: false,
|
|
1338
|
-
value: null,
|
|
1339
|
-
zScore: null,
|
|
1340
|
-
bps: null,
|
|
1341
|
-
absBps: null,
|
|
1342
|
-
bias: null,
|
|
1343
|
-
severity: null
|
|
1344
|
-
});
|
|
1345
|
-
var buildSpreadContextFromSignal = (signal) => {
|
|
1346
|
-
const baseContext = toRecord(signal.additionalIndicators?.baseContext);
|
|
1347
|
-
const relative = toRecord(baseContext?.relative);
|
|
1348
|
-
const execution = toRecord(relative?.execution);
|
|
1349
|
-
const spread = toFiniteNumber(execution?.venueSpread);
|
|
1350
|
-
const zScore = toFiniteNumber(execution?.venueSpreadZScore);
|
|
1351
|
-
if (spread == null) {
|
|
1352
|
-
return buildMissingSpreadContext();
|
|
1162
|
+
const existing = await (0, import_redis.getData)(
|
|
1163
|
+
import_redis.redisKeys.runtimeTrade(userName, orderId),
|
|
1164
|
+
null
|
|
1165
|
+
);
|
|
1166
|
+
if (!existing || existing.status !== "active") {
|
|
1167
|
+
await (0, import_redis.delKey)(
|
|
1168
|
+
import_redis.redisKeys.runtimeActiveTrade(userName, symbol, deploymentId ?? accountId)
|
|
1169
|
+
);
|
|
1170
|
+
return null;
|
|
1353
1171
|
}
|
|
1354
|
-
|
|
1355
|
-
const bps = roundTo(value * 1e4, 2);
|
|
1356
|
-
const absBps = Math.abs(bps);
|
|
1357
|
-
const bias = absBps < 1 ? "flat" : bps > 0 ? "coinbase_premium" : "binance_premium";
|
|
1358
|
-
const severity = absBps >= 20 ? "wide" : absBps >= 5 ? "elevated" : "normal";
|
|
1359
|
-
return {
|
|
1360
|
-
source: "payload.additionalIndicators.baseContext.relative.execution.venueSpread",
|
|
1361
|
-
indicatorKey: "payload.additionalIndicators.baseContext.relative.execution.venueSpread",
|
|
1362
|
-
available: true,
|
|
1363
|
-
value,
|
|
1364
|
-
zScore,
|
|
1365
|
-
bps,
|
|
1366
|
-
absBps,
|
|
1367
|
-
bias,
|
|
1368
|
-
severity
|
|
1369
|
-
};
|
|
1172
|
+
return existing;
|
|
1370
1173
|
};
|
|
1371
|
-
var
|
|
1372
|
-
const
|
|
1373
|
-
|
|
1374
|
-
|
|
1375
|
-
|
|
1376
|
-
|
|
1377
|
-
|
|
1378
|
-
|
|
1379
|
-
|
|
1380
|
-
|
|
1381
|
-
|
|
1382
|
-
|
|
1383
|
-
|
|
1384
|
-
|
|
1385
|
-
|
|
1386
|
-
signedVolumeZScore: null
|
|
1387
|
-
};
|
|
1174
|
+
var markRuntimeTradeClosed = async (params) => {
|
|
1175
|
+
const {
|
|
1176
|
+
userName,
|
|
1177
|
+
expectedOrderId,
|
|
1178
|
+
symbol,
|
|
1179
|
+
strategy,
|
|
1180
|
+
exitPrice,
|
|
1181
|
+
exitTimestamp,
|
|
1182
|
+
closedPnl,
|
|
1183
|
+
exitType,
|
|
1184
|
+
accountId,
|
|
1185
|
+
deploymentId
|
|
1186
|
+
} = params;
|
|
1187
|
+
if (!userName) {
|
|
1188
|
+
return null;
|
|
1388
1189
|
}
|
|
1389
|
-
|
|
1390
|
-
|
|
1391
|
-
|
|
1392
|
-
|
|
1393
|
-
|
|
1394
|
-
|
|
1395
|
-
|
|
1396
|
-
|
|
1397
|
-
|
|
1398
|
-
|
|
1399
|
-
};
|
|
1400
|
-
var buildTradeFlowContextFromSignal = (signal) => {
|
|
1401
|
-
const baseContext = toRecord(signal.additionalIndicators?.baseContext);
|
|
1402
|
-
const participation = toRecord(baseContext?.participation);
|
|
1403
|
-
const tradeFlow = toRecord(participation?.tradeFlow);
|
|
1404
|
-
if (!tradeFlow) {
|
|
1405
|
-
return {
|
|
1406
|
-
source: null,
|
|
1407
|
-
available: false,
|
|
1408
|
-
interval: null,
|
|
1409
|
-
stale: null,
|
|
1410
|
-
trades: null,
|
|
1411
|
-
buyPressurePct: null,
|
|
1412
|
-
netBaseDelta: null,
|
|
1413
|
-
netQuoteDelta: null
|
|
1414
|
-
};
|
|
1190
|
+
const existing = expectedOrderId ? await (0, import_redis.getDataStrict)(
|
|
1191
|
+
import_redis.redisKeys.runtimeTrade(userName, expectedOrderId)
|
|
1192
|
+
) : await getActiveRuntimeTrade({
|
|
1193
|
+
userName,
|
|
1194
|
+
symbol,
|
|
1195
|
+
accountId,
|
|
1196
|
+
deploymentId
|
|
1197
|
+
});
|
|
1198
|
+
if (!existing || expectedOrderId && existing.orderId !== expectedOrderId) {
|
|
1199
|
+
return null;
|
|
1415
1200
|
}
|
|
1416
|
-
|
|
1417
|
-
|
|
1418
|
-
|
|
1419
|
-
|
|
1420
|
-
|
|
1421
|
-
|
|
1422
|
-
|
|
1423
|
-
|
|
1424
|
-
|
|
1201
|
+
const orderId = existing.orderId;
|
|
1202
|
+
if (strategy && existing.strategy !== strategy) {
|
|
1203
|
+
return null;
|
|
1204
|
+
}
|
|
1205
|
+
const resolvedExitPrice = typeof exitPrice === "number" && Number.isFinite(exitPrice) ? exitPrice : existing.currentPrice ?? existing.entryPrice;
|
|
1206
|
+
const resolvedClosedPnl = typeof closedPnl === "number" && Number.isFinite(closedPnl) ? closedPnl : typeof resolvedExitPrice === "number" && Number.isFinite(resolvedExitPrice) ? calculateClosedPnl({
|
|
1207
|
+
direction: existing.direction,
|
|
1208
|
+
entryPrice: existing.entryPrice,
|
|
1209
|
+
exitPrice: resolvedExitPrice,
|
|
1210
|
+
qty: existing.qty
|
|
1211
|
+
}) : existing.closedPnl ?? existing.currentPnl ?? null;
|
|
1212
|
+
const next = expectedOrderId && existing.status === "closed" ? existing : {
|
|
1213
|
+
...existing,
|
|
1214
|
+
status: "closed",
|
|
1215
|
+
currentPrice: resolvedExitPrice,
|
|
1216
|
+
currentPnl: resolvedClosedPnl,
|
|
1217
|
+
closedPnl: resolvedClosedPnl,
|
|
1218
|
+
exitPrice: resolvedExitPrice,
|
|
1219
|
+
exitTimestamp: typeof exitTimestamp === "number" && Number.isFinite(exitTimestamp) ? exitTimestamp : now(),
|
|
1220
|
+
exitType: exitType ?? existing.exitType ?? null,
|
|
1221
|
+
lastSyncedAt: now()
|
|
1425
1222
|
};
|
|
1426
|
-
|
|
1427
|
-
|
|
1428
|
-
|
|
1429
|
-
|
|
1430
|
-
|
|
1431
|
-
|
|
1432
|
-
|
|
1433
|
-
|
|
1434
|
-
|
|
1435
|
-
|
|
1436
|
-
|
|
1437
|
-
|
|
1438
|
-
|
|
1439
|
-
|
|
1440
|
-
|
|
1441
|
-
|
|
1442
|
-
|
|
1443
|
-
|
|
1444
|
-
|
|
1445
|
-
|
|
1223
|
+
const dayKey = (0, import_time.getRuntimeStorageDayKey)(existing.entryTimestamp);
|
|
1224
|
+
const closeDayKey = (0, import_time.getRuntimeStorageDayKey)(next.exitTimestamp);
|
|
1225
|
+
try {
|
|
1226
|
+
await Promise.all([
|
|
1227
|
+
(expectedOrderId ? import_redis.setDataStrict : import_redis.setData)(
|
|
1228
|
+
import_redis.redisKeys.runtimeTrade(userName, orderId),
|
|
1229
|
+
next,
|
|
1230
|
+
{
|
|
1231
|
+
expire: import_constants.TTL_1M
|
|
1232
|
+
}
|
|
1233
|
+
),
|
|
1234
|
+
(expectedOrderId ? import_redis.setHashJsonFieldStrict : import_redis.setHashJsonField)(
|
|
1235
|
+
import_redis.redisKeys.runtimeTradeBucket(userName, dayKey),
|
|
1236
|
+
orderId,
|
|
1237
|
+
next,
|
|
1238
|
+
{ expire: import_constants.TTL_1M }
|
|
1239
|
+
),
|
|
1240
|
+
(expectedOrderId ? import_redis.setHashJsonFieldStrict : import_redis.setHashJsonField)(
|
|
1241
|
+
import_redis.redisKeys.runtimeClosedTradeBucket(userName, closeDayKey),
|
|
1242
|
+
orderId,
|
|
1243
|
+
next,
|
|
1244
|
+
{ expire: import_constants.TTL_1M }
|
|
1245
|
+
),
|
|
1246
|
+
expectedOrderId ? (0, import_redis.deleteRuntimeTradeReference)(
|
|
1247
|
+
import_redis.redisKeys.runtimeActiveTrade(
|
|
1248
|
+
userName,
|
|
1249
|
+
symbol,
|
|
1250
|
+
deploymentId ?? accountId
|
|
1251
|
+
),
|
|
1252
|
+
expectedOrderId
|
|
1253
|
+
) : (0, import_redis.delKey)(
|
|
1254
|
+
import_redis.redisKeys.runtimeActiveTrade(
|
|
1255
|
+
userName,
|
|
1256
|
+
symbol,
|
|
1257
|
+
deploymentId ?? accountId
|
|
1258
|
+
)
|
|
1259
|
+
)
|
|
1260
|
+
]);
|
|
1261
|
+
} catch (error) {
|
|
1262
|
+
if (expectedOrderId) throw error;
|
|
1263
|
+
import_logger.logger.error(
|
|
1264
|
+
"runtime trade close journal failed: %s %s",
|
|
1265
|
+
symbol,
|
|
1266
|
+
error?.message || String(error)
|
|
1267
|
+
);
|
|
1446
1268
|
}
|
|
1447
|
-
return
|
|
1448
|
-
source: String(breadth.source ?? ""),
|
|
1449
|
-
available: true,
|
|
1450
|
-
universe: String(breadth.universe ?? ""),
|
|
1451
|
-
interval: String(breadth.interval ?? ""),
|
|
1452
|
-
stale: typeof breadth.stale === "boolean" ? breadth.stale : null,
|
|
1453
|
-
symbolsCount: toFiniteNumber(breadth.symbolsCount),
|
|
1454
|
-
advanceDeclineRatio: toFiniteNumber(breadth.advanceDeclineRatio),
|
|
1455
|
-
pctAboveMa20: toFiniteNumber(breadth.pctAboveMa20),
|
|
1456
|
-
pctAboveMa50: toFiniteNumber(breadth.pctAboveMa50),
|
|
1457
|
-
equalWeightedReturn: toFiniteNumber(breadth.equalWeightedReturn),
|
|
1458
|
-
volumeWeightedReturn: toFiniteNumber(breadth.volumeWeightedReturn),
|
|
1459
|
-
dispersion: toFiniteNumber(breadth.dispersion)
|
|
1460
|
-
};
|
|
1269
|
+
return next;
|
|
1461
1270
|
};
|
|
1462
|
-
|
|
1463
|
-
|
|
1464
|
-
|
|
1465
|
-
|
|
1466
|
-
|
|
1467
|
-
|
|
1468
|
-
|
|
1271
|
+
|
|
1272
|
+
// src/strategy/portfolioRuntime.ts
|
|
1273
|
+
var coordinators = /* @__PURE__ */ new WeakMap();
|
|
1274
|
+
async function observeRuntimePortfolio(connector, binding, asOf, reservations, observedNow = Date.now) {
|
|
1275
|
+
if (!connector.getOpenPositionPnl || !connector.getEntryExecutions)
|
|
1276
|
+
throw new Error(
|
|
1277
|
+
"Portfolio policies require position marks and entry executions"
|
|
1278
|
+
);
|
|
1279
|
+
const orders = await Promise.all(
|
|
1280
|
+
reservations.map(async (r) => {
|
|
1281
|
+
if (r.submitted && connector.getEntryOrderObservation) {
|
|
1282
|
+
const fact2 = await connector.getEntryOrderObservation({
|
|
1283
|
+
symbol: r.symbol,
|
|
1284
|
+
orderId: r.id
|
|
1285
|
+
});
|
|
1286
|
+
if (fact2) return fact2;
|
|
1287
|
+
}
|
|
1288
|
+
const executions = r.submitted ? await connector.getEntryExecutions({
|
|
1289
|
+
symbol: r.symbol,
|
|
1290
|
+
startTime: r.timestamp,
|
|
1291
|
+
endTime: asOf
|
|
1292
|
+
}) : [];
|
|
1293
|
+
const filledQty = executions.filter(
|
|
1294
|
+
(e) => (e.orderLinkId === r.id || e.orderId === r.id) && e.direction === r.direction
|
|
1295
|
+
).reduce((sum, e) => sum + e.qty, 0);
|
|
1469
1296
|
return {
|
|
1470
|
-
|
|
1471
|
-
|
|
1472
|
-
|
|
1473
|
-
|
|
1474
|
-
|
|
1475
|
-
|
|
1476
|
-
|
|
1477
|
-
|
|
1478
|
-
|
|
1479
|
-
|
|
1480
|
-
|
|
1481
|
-
|
|
1297
|
+
id: r.id,
|
|
1298
|
+
status: filledQty >= r.qty ? "filled" : filledQty > 0 ? "partial" : "pending",
|
|
1299
|
+
filledQty,
|
|
1300
|
+
positionId: r.id
|
|
1301
|
+
};
|
|
1302
|
+
})
|
|
1303
|
+
);
|
|
1304
|
+
const snapshots2 = await connector.getOpenPositionPnl();
|
|
1305
|
+
const positions = await Promise.all(
|
|
1306
|
+
snapshots2.map(async (p) => {
|
|
1307
|
+
const reserved = reservations.find(
|
|
1308
|
+
(r) => r.symbol === p.symbol && r.direction === p.direction && orders.some(
|
|
1309
|
+
(o) => o.id === r.id && o.filledQty > 0 && p.qty <= o.filledQty * (1 + 1e-8)
|
|
1310
|
+
)
|
|
1311
|
+
);
|
|
1312
|
+
const trade = await getActiveRuntimeTrade({
|
|
1313
|
+
...binding,
|
|
1314
|
+
symbol: p.symbol
|
|
1315
|
+
});
|
|
1316
|
+
const owner = trade && trade.direction === p.direction && p.qty <= trade.qty * (1 + 1e-8) && Math.abs(p.price - (trade.actualEntryPrice ?? trade.entryPrice)) <= p.price * 1e-8 ? trade : null;
|
|
1317
|
+
return {
|
|
1318
|
+
id: reserved?.id ?? owner?.orderId ?? `unknown:${p.symbol}:${p.direction}`,
|
|
1319
|
+
strategy: reserved?.strategy ?? owner?.strategy ?? null,
|
|
1320
|
+
symbol: p.symbol,
|
|
1321
|
+
direction: p.direction,
|
|
1322
|
+
qty: p.qty,
|
|
1323
|
+
entryPrice: p.price,
|
|
1324
|
+
markPrice: p.currentPrice,
|
|
1325
|
+
markedAt: p.observedAt ?? null,
|
|
1326
|
+
stopLossPrice: p.slPrice ?? p.stopLossPrice ?? null
|
|
1482
1327
|
};
|
|
1328
|
+
})
|
|
1329
|
+
);
|
|
1330
|
+
return { asOf: Math.max(asOf, observedNow()), positions, orders };
|
|
1331
|
+
}
|
|
1332
|
+
function persistentStore(key) {
|
|
1333
|
+
const raw = /* @__PURE__ */ new WeakMap();
|
|
1334
|
+
return {
|
|
1335
|
+
async read() {
|
|
1336
|
+
const value = await import_redis2.portfolioStateStorage.read(key);
|
|
1337
|
+
if (value === null) return null;
|
|
1338
|
+
const state = JSON.parse(value);
|
|
1339
|
+
(0, import_portfolio2.assertPortfolioState)(state);
|
|
1340
|
+
raw.set(state, value);
|
|
1341
|
+
return state;
|
|
1342
|
+
},
|
|
1343
|
+
async compare(previous, next) {
|
|
1344
|
+
const expected = previous === null ? null : raw.get(previous);
|
|
1345
|
+
if (expected === void 0)
|
|
1346
|
+
throw new Error("Portfolio CAS requires a storage snapshot");
|
|
1347
|
+
return import_redis2.portfolioStateStorage.compare(key, expected, JSON.stringify(next));
|
|
1483
1348
|
}
|
|
1484
|
-
return {
|
|
1485
|
-
source: String(breadth.source ?? ""),
|
|
1486
|
-
available: true,
|
|
1487
|
-
universe: String(breadth.universe ?? ""),
|
|
1488
|
-
interval: String(breadth.interval ?? ""),
|
|
1489
|
-
stale: typeof breadth.stale === "boolean" ? breadth.stale : null,
|
|
1490
|
-
symbolsCount: toFiniteNumber(breadth.symbolsCount),
|
|
1491
|
-
advanceDeclineRatio: toFiniteNumber(breadth.advanceDeclineRatio),
|
|
1492
|
-
pctAboveMa20: toFiniteNumber(breadth.pctAboveMa20),
|
|
1493
|
-
pctAboveMa50: toFiniteNumber(breadth.pctAboveMa50),
|
|
1494
|
-
equalWeightedReturn: toFiniteNumber(breadth.equalWeightedReturn),
|
|
1495
|
-
volumeWeightedReturn: toFiniteNumber(breadth.volumeWeightedReturn),
|
|
1496
|
-
dispersion: toFiniteNumber(breadth.dispersion)
|
|
1497
|
-
};
|
|
1498
1349
|
};
|
|
1499
|
-
|
|
1500
|
-
|
|
1501
|
-
|
|
1502
|
-
|
|
1503
|
-
|
|
1504
|
-
|
|
1350
|
+
}
|
|
1351
|
+
function getPortfolioRuntime({
|
|
1352
|
+
value,
|
|
1353
|
+
connectorName,
|
|
1354
|
+
strategy,
|
|
1355
|
+
connector,
|
|
1356
|
+
env,
|
|
1357
|
+
userName,
|
|
1358
|
+
accountId,
|
|
1359
|
+
deploymentId
|
|
1360
|
+
}) {
|
|
1361
|
+
const policy = (0, import_portfolio2.parsePortfolioPolicy)(value);
|
|
1362
|
+
if (!policy) return void 0;
|
|
1363
|
+
const replay = (env === "BACKTEST" || env === "PARITY") && Reflect.get(connector, "__tradejsReplayConnector") === true;
|
|
1364
|
+
if ((env === "BACKTEST" || env === "PARITY") && (!replay || !connector.getPortfolioObservation))
|
|
1365
|
+
throw new Error(
|
|
1366
|
+
"Portfolio policies require shared portfolio replay; isolated symbol backtests are unsupported"
|
|
1367
|
+
);
|
|
1368
|
+
if (!replay && (!userName || !accountId || !deploymentId || !connector.getOpenPositionPnl || !connector.getEntryExecutions))
|
|
1369
|
+
throw new Error(
|
|
1370
|
+
"Portfolio runtime requires exact user/account/deployment binding, marks and executions"
|
|
1371
|
+
);
|
|
1372
|
+
const binding = {
|
|
1373
|
+
userName,
|
|
1374
|
+
accountId,
|
|
1375
|
+
deploymentId
|
|
1505
1376
|
};
|
|
1377
|
+
const scope = policy.scope === "strategy" ? strategy : policy.scope === "account" ? "account" : [...policy.scope.strategies].sort();
|
|
1378
|
+
const key = (0, import_node_crypto2.createHash)("sha256").update(JSON.stringify([binding, connectorName, connector.universe, scope])).digest("hex");
|
|
1379
|
+
const fingerprint3 = (0, import_portfolio2.portfolioFingerprint)(policy, strategy);
|
|
1380
|
+
const cacheKey = key;
|
|
1381
|
+
let registry = coordinators.get(connector);
|
|
1382
|
+
if (!registry) {
|
|
1383
|
+
registry = /* @__PURE__ */ new Map();
|
|
1384
|
+
coordinators.set(connector, registry);
|
|
1385
|
+
}
|
|
1386
|
+
const existing = registry.get(cacheKey);
|
|
1387
|
+
if (existing) {
|
|
1388
|
+
if (existing.fingerprint !== fingerprint3)
|
|
1389
|
+
throw new Error("Conflicting portfolio configuration for the same scope");
|
|
1390
|
+
return existing.coordinator;
|
|
1391
|
+
}
|
|
1392
|
+
const coordinator = createPortfolioCoordinator({
|
|
1393
|
+
policy,
|
|
1394
|
+
strategy,
|
|
1395
|
+
store: replay ? createMemoryPortfolioStore() : persistentStore(key),
|
|
1396
|
+
execution: {
|
|
1397
|
+
async confirmClosed(intent, asOf) {
|
|
1398
|
+
if (replay) return;
|
|
1399
|
+
const position = intent.position;
|
|
1400
|
+
await markRuntimeTradeClosed({
|
|
1401
|
+
...binding,
|
|
1402
|
+
strategy: position.strategy,
|
|
1403
|
+
expectedOrderId: position.id,
|
|
1404
|
+
symbol: position.symbol,
|
|
1405
|
+
exitPrice: position.markPrice,
|
|
1406
|
+
exitTimestamp: asOf,
|
|
1407
|
+
exitType: "exit"
|
|
1408
|
+
});
|
|
1409
|
+
},
|
|
1410
|
+
observe: (asOf, reservations) => replay ? connector.getPortfolioObservation(asOf, reservations) : observeRuntimePortfolio(connector, binding, asOf, reservations),
|
|
1411
|
+
async close(position, intent, asOf) {
|
|
1412
|
+
if (!replay) {
|
|
1413
|
+
const trade = await getActiveRuntimeTrade({
|
|
1414
|
+
...binding,
|
|
1415
|
+
symbol: position.symbol
|
|
1416
|
+
});
|
|
1417
|
+
if (!trade || trade.orderId !== position.id)
|
|
1418
|
+
throw new Error("Portfolio close ownership changed");
|
|
1419
|
+
}
|
|
1420
|
+
await connector.closePosition({
|
|
1421
|
+
symbol: position.symbol,
|
|
1422
|
+
direction: position.direction,
|
|
1423
|
+
price: position.markPrice,
|
|
1424
|
+
timestamp: asOf,
|
|
1425
|
+
signal: {
|
|
1426
|
+
signalId: `${position.id}:${intent.reason}`,
|
|
1427
|
+
strategy: position.strategy,
|
|
1428
|
+
symbol: position.symbol,
|
|
1429
|
+
direction: position.direction,
|
|
1430
|
+
interval: "1",
|
|
1431
|
+
timestamp: asOf,
|
|
1432
|
+
prices: {
|
|
1433
|
+
riskRatio: 0,
|
|
1434
|
+
currentPrice: position.markPrice,
|
|
1435
|
+
takeProfitPrice: position.markPrice,
|
|
1436
|
+
stopLossPrice: position.markPrice
|
|
1437
|
+
},
|
|
1438
|
+
figures: {},
|
|
1439
|
+
indicators: {},
|
|
1440
|
+
additionalIndicators: { portfolioExitReason: intent.reason }
|
|
1441
|
+
}
|
|
1442
|
+
});
|
|
1443
|
+
}
|
|
1444
|
+
}
|
|
1445
|
+
});
|
|
1446
|
+
registry.set(cacheKey, { fingerprint: fingerprint3, coordinator });
|
|
1447
|
+
return coordinator;
|
|
1448
|
+
}
|
|
1449
|
+
|
|
1450
|
+
// src/strategyHelpers/tickerProfiles.ts
|
|
1451
|
+
var import_tickerProfiles = require("@tradejs/infra/tickerProfiles");
|
|
1452
|
+
var import_tickerProfiles2 = require("@tradejs/core/tickerProfiles");
|
|
1453
|
+
|
|
1454
|
+
// src/tradejsConfig.ts
|
|
1455
|
+
var import_fs = __toESM(require("fs"));
|
|
1456
|
+
var import_path = __toESM(require("path"));
|
|
1457
|
+
var import_url = require("url");
|
|
1458
|
+
var import_config = require("@tradejs/core/config");
|
|
1459
|
+
var import_logger2 = require("@tradejs/infra/logger");
|
|
1460
|
+
var CONFIG_FILE_NAMES = [
|
|
1461
|
+
"tradejs.config.ts",
|
|
1462
|
+
"tradejs.config.mts",
|
|
1463
|
+
"tradejs.config.js",
|
|
1464
|
+
"tradejs.config.mjs",
|
|
1465
|
+
"tradejs.config.cjs"
|
|
1466
|
+
];
|
|
1467
|
+
var TS_MODULE_RE = /\.(cts|mts|ts)$/i;
|
|
1468
|
+
var cachedByCwd = /* @__PURE__ */ new Map();
|
|
1469
|
+
var announcedConfigFile = /* @__PURE__ */ new Set();
|
|
1470
|
+
var tsNodeRegistered = false;
|
|
1471
|
+
var tsconfigPathsRegisteredByCwd = /* @__PURE__ */ new Set();
|
|
1472
|
+
var tsconfigPathMatchersByCwd = /* @__PURE__ */ new Map();
|
|
1473
|
+
var getTradejsProjectCwd = (cwd) => {
|
|
1474
|
+
const explicit = String(cwd ?? "").trim();
|
|
1475
|
+
if (explicit) {
|
|
1476
|
+
return import_path.default.resolve(explicit);
|
|
1477
|
+
}
|
|
1478
|
+
const fromEnv = String(process.env.PROJECT_CWD || "").trim();
|
|
1479
|
+
if (fromEnv) {
|
|
1480
|
+
return import_path.default.resolve(fromEnv);
|
|
1481
|
+
}
|
|
1482
|
+
return process.cwd();
|
|
1506
1483
|
};
|
|
1507
|
-
var
|
|
1508
|
-
|
|
1509
|
-
|
|
1510
|
-
const targetVsBtc = toRecord(relative?.targetVsBtc);
|
|
1511
|
-
if (!targetVsBtc) {
|
|
1512
|
-
return {
|
|
1513
|
-
source: null,
|
|
1514
|
-
available: false,
|
|
1515
|
-
ratioReturn1h: null,
|
|
1516
|
-
ratioReturn4h: null,
|
|
1517
|
-
ratioReturn24h: null,
|
|
1518
|
-
alphaVsBtc1h: null,
|
|
1519
|
-
alphaVsBtc4h: null,
|
|
1520
|
-
alphaVsBtc24h: null,
|
|
1521
|
-
betaToBtc20: null,
|
|
1522
|
-
correlationToBtc20: null,
|
|
1523
|
-
ratioTrend: null
|
|
1524
|
-
};
|
|
1484
|
+
var normalizeConfig = (rawConfig) => {
|
|
1485
|
+
if (!rawConfig || typeof rawConfig !== "object") {
|
|
1486
|
+
return {};
|
|
1525
1487
|
}
|
|
1488
|
+
const config = rawConfig;
|
|
1489
|
+
const strategies2 = Array.isArray(config.strategies) ? config.strategies.map((value) => String(value || "").trim()).filter(Boolean) : [];
|
|
1490
|
+
const indicators = Array.isArray(config.indicators) ? config.indicators.map((value) => String(value || "").trim()).filter(Boolean) : [];
|
|
1491
|
+
const connectors = Array.isArray(config.connectors) ? config.connectors.map((value) => String(value || "").trim()).filter(Boolean) : [];
|
|
1492
|
+
const hooks = (0, import_config.normalizeTradejsConfigHooks)(
|
|
1493
|
+
config.hooks
|
|
1494
|
+
);
|
|
1495
|
+
const runtime = config.runtime && typeof config.runtime === "object" && !Array.isArray(config.runtime) ? config.runtime : void 0;
|
|
1526
1496
|
return {
|
|
1527
|
-
|
|
1528
|
-
|
|
1529
|
-
|
|
1530
|
-
|
|
1531
|
-
|
|
1532
|
-
alphaVsBtc1h: toFiniteNumber(targetVsBtc.alphaVsBtc1h),
|
|
1533
|
-
alphaVsBtc4h: toFiniteNumber(targetVsBtc.alphaVsBtc4h),
|
|
1534
|
-
alphaVsBtc24h: toFiniteNumber(targetVsBtc.alphaVsBtc24h),
|
|
1535
|
-
betaToBtc20: toFiniteNumber(targetVsBtc.betaToBtc20),
|
|
1536
|
-
correlationToBtc20: toFiniteNumber(targetVsBtc.correlationToBtc20),
|
|
1537
|
-
ratioTrend: typeof targetVsBtc.ratioTrend === "string" ? targetVsBtc.ratioTrend : null
|
|
1497
|
+
strategies: strategies2,
|
|
1498
|
+
indicators,
|
|
1499
|
+
connectors,
|
|
1500
|
+
...hooks ? { hooks } : {},
|
|
1501
|
+
...runtime ? { runtime } : {}
|
|
1538
1502
|
};
|
|
1539
1503
|
};
|
|
1540
|
-
var
|
|
1541
|
-
const
|
|
1542
|
-
|
|
1543
|
-
|
|
1544
|
-
if (!btcAltRegime) {
|
|
1545
|
-
return {
|
|
1546
|
-
source: null,
|
|
1547
|
-
available: false,
|
|
1548
|
-
universe: null,
|
|
1549
|
-
interval: null,
|
|
1550
|
-
stale: null,
|
|
1551
|
-
regime: null,
|
|
1552
|
-
btcReturn24h: null,
|
|
1553
|
-
altBasketReturn24h: null,
|
|
1554
|
-
btcVsAltReturn24h: null,
|
|
1555
|
-
btcTurnoverShare24h: null,
|
|
1556
|
-
btcTurnoverShareChange24h: null,
|
|
1557
|
-
altVolToBtcVol24h: null,
|
|
1558
|
-
altDispersion24h: null
|
|
1559
|
-
};
|
|
1504
|
+
var getNodeCreateRequire = () => {
|
|
1505
|
+
const builtinModule = process.getBuiltinModule?.("module");
|
|
1506
|
+
if (typeof builtinModule?.createRequire === "function") {
|
|
1507
|
+
return builtinModule.createRequire;
|
|
1560
1508
|
}
|
|
1561
|
-
|
|
1562
|
-
source: String(btcAltRegime.source ?? ""),
|
|
1563
|
-
available: true,
|
|
1564
|
-
universe: String(btcAltRegime.universe ?? ""),
|
|
1565
|
-
interval: String(btcAltRegime.interval ?? ""),
|
|
1566
|
-
stale: typeof btcAltRegime.stale === "boolean" ? btcAltRegime.stale : null,
|
|
1567
|
-
regime: typeof btcAltRegime.regime === "string" ? btcAltRegime.regime : null,
|
|
1568
|
-
btcReturn24h: toFiniteNumber(btcAltRegime.btcReturn24h),
|
|
1569
|
-
altBasketReturn24h: toFiniteNumber(btcAltRegime.altBasketReturn24h),
|
|
1570
|
-
btcVsAltReturn24h: toFiniteNumber(btcAltRegime.btcVsAltReturn24h),
|
|
1571
|
-
btcTurnoverShare24h: toFiniteNumber(btcAltRegime.btcTurnoverShare24h),
|
|
1572
|
-
btcTurnoverShareChange24h: toFiniteNumber(
|
|
1573
|
-
btcAltRegime.btcTurnoverShareChange24h
|
|
1574
|
-
),
|
|
1575
|
-
altVolToBtcVol24h: toFiniteNumber(btcAltRegime.altVolToBtcVol24h),
|
|
1576
|
-
altDispersion24h: toFiniteNumber(btcAltRegime.altDispersion24h)
|
|
1577
|
-
};
|
|
1509
|
+
throw new TypeError("module.createRequire is not available");
|
|
1578
1510
|
};
|
|
1579
|
-
var
|
|
1580
|
-
|
|
1581
|
-
|
|
1582
|
-
|
|
1583
|
-
|
|
1584
|
-
|
|
1585
|
-
|
|
1586
|
-
|
|
1587
|
-
|
|
1588
|
-
|
|
1589
|
-
|
|
1590
|
-
|
|
1591
|
-
|
|
1592
|
-
|
|
1593
|
-
|
|
1594
|
-
|
|
1595
|
-
|
|
1596
|
-
|
|
1597
|
-
|
|
1598
|
-
|
|
1599
|
-
|
|
1600
|
-
|
|
1601
|
-
|
|
1602
|
-
|
|
1603
|
-
|
|
1604
|
-
|
|
1605
|
-
|
|
1606
|
-
|
|
1511
|
+
var getRequireFn = (cwd = getTradejsProjectCwd()) => getNodeCreateRequire()(import_path.default.join(import_path.default.resolve(cwd), "__tradejs_loader__.js"));
|
|
1512
|
+
var ensureTsNodeRegistered = async () => {
|
|
1513
|
+
if (tsNodeRegistered) {
|
|
1514
|
+
return;
|
|
1515
|
+
}
|
|
1516
|
+
const tsNodeModule = await import("ts-node");
|
|
1517
|
+
const tsNode = tsNodeModule.default ?? tsNodeModule;
|
|
1518
|
+
tsNode.register?.({
|
|
1519
|
+
transpileOnly: true,
|
|
1520
|
+
compilerOptions: {
|
|
1521
|
+
module: "Node16",
|
|
1522
|
+
moduleResolution: "node16"
|
|
1523
|
+
}
|
|
1524
|
+
});
|
|
1525
|
+
tsNodeRegistered = true;
|
|
1526
|
+
};
|
|
1527
|
+
var ensureTsconfigPathsRegistered = async (cwd = getTradejsProjectCwd()) => {
|
|
1528
|
+
const projectRoot = getTradejsProjectCwd(cwd);
|
|
1529
|
+
if (tsconfigPathsRegisteredByCwd.has(projectRoot)) {
|
|
1530
|
+
return;
|
|
1531
|
+
}
|
|
1532
|
+
const tsconfigPathsModule = await import("tsconfig-paths");
|
|
1533
|
+
const loadConfig = tsconfigPathsModule.loadConfig;
|
|
1534
|
+
const register = tsconfigPathsModule.register;
|
|
1535
|
+
if (typeof loadConfig !== "function" || typeof register !== "function") {
|
|
1536
|
+
return;
|
|
1537
|
+
}
|
|
1538
|
+
const loadedConfig = loadConfig(projectRoot);
|
|
1539
|
+
if (loadedConfig.resultType !== "success") {
|
|
1540
|
+
return;
|
|
1541
|
+
}
|
|
1542
|
+
register({
|
|
1543
|
+
baseUrl: loadedConfig.absoluteBaseUrl,
|
|
1544
|
+
paths: loadedConfig.paths,
|
|
1545
|
+
addMatchAll: false
|
|
1546
|
+
});
|
|
1547
|
+
tsconfigPathsRegisteredByCwd.add(projectRoot);
|
|
1548
|
+
};
|
|
1549
|
+
var resolveTsconfigPathModule = async (moduleName, cwd = getTradejsProjectCwd()) => {
|
|
1550
|
+
const projectRoot = getTradejsProjectCwd(cwd);
|
|
1551
|
+
const cachedMatcher = tsconfigPathMatchersByCwd.get(projectRoot);
|
|
1552
|
+
if (cachedMatcher) {
|
|
1553
|
+
const resolved2 = cachedMatcher(moduleName);
|
|
1554
|
+
return resolved2 || null;
|
|
1555
|
+
}
|
|
1556
|
+
const tsconfigPathsModule = await import("tsconfig-paths");
|
|
1557
|
+
const loadConfig = tsconfigPathsModule.loadConfig;
|
|
1558
|
+
const createMatchPath = tsconfigPathsModule.createMatchPath;
|
|
1559
|
+
if (typeof loadConfig !== "function" || typeof createMatchPath !== "function") {
|
|
1560
|
+
return null;
|
|
1561
|
+
}
|
|
1562
|
+
const loadedConfig = loadConfig(projectRoot);
|
|
1563
|
+
if (loadedConfig.resultType !== "success") {
|
|
1564
|
+
return null;
|
|
1565
|
+
}
|
|
1566
|
+
const matchPath = createMatchPath(
|
|
1567
|
+
loadedConfig.absoluteBaseUrl,
|
|
1568
|
+
loadedConfig.paths
|
|
1569
|
+
);
|
|
1570
|
+
const matcher = (requestedModule) => matchPath(requestedModule, void 0, import_fs.default.existsSync, [
|
|
1571
|
+
".ts",
|
|
1572
|
+
".tsx",
|
|
1573
|
+
".mts",
|
|
1574
|
+
".cts",
|
|
1575
|
+
".js",
|
|
1576
|
+
".jsx",
|
|
1577
|
+
".mjs",
|
|
1578
|
+
".cjs",
|
|
1579
|
+
".json"
|
|
1580
|
+
]) || "";
|
|
1581
|
+
tsconfigPathMatchersByCwd.set(projectRoot, matcher);
|
|
1582
|
+
const resolved = matcher(moduleName);
|
|
1583
|
+
return resolved || null;
|
|
1584
|
+
};
|
|
1585
|
+
var toImportSpecifier = (moduleName) => {
|
|
1586
|
+
if (moduleName.startsWith("file://")) {
|
|
1587
|
+
return moduleName;
|
|
1588
|
+
}
|
|
1589
|
+
if (import_path.default.isAbsolute(moduleName)) {
|
|
1590
|
+
return (0, import_url.pathToFileURL)(moduleName).href;
|
|
1591
|
+
}
|
|
1592
|
+
return moduleName;
|
|
1593
|
+
};
|
|
1594
|
+
var isTsModulePath = (moduleName) => TS_MODULE_RE.test(moduleName.split("?")[0]);
|
|
1595
|
+
var isRelativeModulePath = (moduleName) => moduleName.startsWith("./") || moduleName.startsWith("../");
|
|
1596
|
+
var isBareModuleSpecifier = (moduleName) => {
|
|
1597
|
+
const normalized = String(moduleName ?? "").trim();
|
|
1598
|
+
if (!normalized) {
|
|
1599
|
+
return false;
|
|
1600
|
+
}
|
|
1601
|
+
if (normalized.startsWith("file://") || import_path.default.isAbsolute(normalized) || isRelativeModulePath(normalized)) {
|
|
1602
|
+
return false;
|
|
1603
|
+
}
|
|
1604
|
+
return true;
|
|
1605
|
+
};
|
|
1606
|
+
var importConfigFile = async (configFilePath) => {
|
|
1607
|
+
const ext = import_path.default.extname(configFilePath).toLowerCase();
|
|
1608
|
+
const configFileUrl = `${toImportSpecifier(configFilePath)}?t=${Date.now()}`;
|
|
1609
|
+
if (ext === ".ts" || ext === ".mts") {
|
|
1610
|
+
const requireFn = getRequireFn(import_path.default.dirname(configFilePath));
|
|
1611
|
+
await ensureTsNodeRegistered();
|
|
1612
|
+
await ensureTsconfigPathsRegistered(import_path.default.dirname(configFilePath));
|
|
1613
|
+
return requireFn(configFilePath);
|
|
1614
|
+
}
|
|
1615
|
+
return import(
|
|
1616
|
+
/* webpackIgnore: true */
|
|
1617
|
+
configFileUrl
|
|
1618
|
+
);
|
|
1619
|
+
};
|
|
1620
|
+
var importTradejsModule = async (moduleName, cwd = getTradejsProjectCwd()) => {
|
|
1621
|
+
const normalized = String(moduleName ?? "").trim();
|
|
1622
|
+
if (!normalized) {
|
|
1623
|
+
return {};
|
|
1624
|
+
}
|
|
1625
|
+
let modulePath = normalized;
|
|
1626
|
+
if (normalized.startsWith("file://")) {
|
|
1627
|
+
try {
|
|
1628
|
+
modulePath = (0, import_url.fileURLToPath)(normalized);
|
|
1629
|
+
} catch {
|
|
1630
|
+
modulePath = normalized;
|
|
1631
|
+
}
|
|
1632
|
+
}
|
|
1633
|
+
const requireFn = getRequireFn(
|
|
1634
|
+
import_path.default.isAbsolute(modulePath) ? import_path.default.dirname(modulePath) : cwd
|
|
1635
|
+
);
|
|
1636
|
+
if (isTsModulePath(modulePath)) {
|
|
1637
|
+
await ensureTsNodeRegistered();
|
|
1638
|
+
await ensureTsconfigPathsRegistered(cwd);
|
|
1639
|
+
return requireFn(modulePath);
|
|
1640
|
+
}
|
|
1641
|
+
if (isBareModuleSpecifier(normalized)) {
|
|
1642
|
+
await ensureTsconfigPathsRegistered(cwd);
|
|
1643
|
+
try {
|
|
1644
|
+
return requireFn(normalized);
|
|
1645
|
+
} catch (error) {
|
|
1646
|
+
const resolvedByTsconfig = await resolveTsconfigPathModule(
|
|
1647
|
+
normalized,
|
|
1648
|
+
cwd
|
|
1649
|
+
);
|
|
1650
|
+
if (resolvedByTsconfig && resolvedByTsconfig !== normalized) {
|
|
1651
|
+
return requireFn(resolvedByTsconfig);
|
|
1652
|
+
}
|
|
1653
|
+
throw error;
|
|
1654
|
+
}
|
|
1655
|
+
}
|
|
1656
|
+
try {
|
|
1657
|
+
return await import(
|
|
1658
|
+
/* webpackIgnore: true */
|
|
1659
|
+
toImportSpecifier(normalized)
|
|
1660
|
+
);
|
|
1661
|
+
} catch (error) {
|
|
1662
|
+
if (isTsModulePath(modulePath)) {
|
|
1663
|
+
await ensureTsNodeRegistered();
|
|
1664
|
+
await ensureTsconfigPathsRegistered(cwd);
|
|
1665
|
+
return requireFn(modulePath);
|
|
1666
|
+
}
|
|
1667
|
+
throw error;
|
|
1668
|
+
}
|
|
1669
|
+
};
|
|
1670
|
+
var resolveExportedConfig = (moduleExports) => {
|
|
1671
|
+
const candidate = moduleExports && typeof moduleExports === "object" && "default" in moduleExports ? moduleExports.default : moduleExports;
|
|
1672
|
+
return normalizeConfig(candidate);
|
|
1673
|
+
};
|
|
1674
|
+
var findConfigFilePath = (cwd) => {
|
|
1675
|
+
let currentDir = import_path.default.resolve(cwd);
|
|
1676
|
+
while (true) {
|
|
1677
|
+
for (const fileName of CONFIG_FILE_NAMES) {
|
|
1678
|
+
const fullPath = import_path.default.join(currentDir, fileName);
|
|
1679
|
+
if (import_fs.default.existsSync(fullPath) && import_fs.default.statSync(fullPath).isFile()) {
|
|
1680
|
+
return fullPath;
|
|
1681
|
+
}
|
|
1682
|
+
}
|
|
1683
|
+
const parentDir = import_path.default.dirname(currentDir);
|
|
1684
|
+
if (parentDir === currentDir) {
|
|
1685
|
+
return null;
|
|
1686
|
+
}
|
|
1687
|
+
currentDir = parentDir;
|
|
1688
|
+
}
|
|
1689
|
+
};
|
|
1690
|
+
var resolvePluginModuleSpecifier = (moduleName, cwd = getTradejsProjectCwd()) => {
|
|
1691
|
+
const normalized = String(moduleName ?? "").trim();
|
|
1692
|
+
if (!normalized) {
|
|
1693
|
+
return "";
|
|
1694
|
+
}
|
|
1695
|
+
if (normalized.startsWith("file://")) {
|
|
1696
|
+
try {
|
|
1697
|
+
return (0, import_url.fileURLToPath)(normalized);
|
|
1698
|
+
} catch {
|
|
1699
|
+
return normalized;
|
|
1700
|
+
}
|
|
1701
|
+
}
|
|
1702
|
+
if (import_path.default.isAbsolute(normalized)) {
|
|
1703
|
+
return normalized;
|
|
1704
|
+
}
|
|
1705
|
+
if (isRelativeModulePath(normalized)) {
|
|
1706
|
+
return import_path.default.resolve(cwd, normalized);
|
|
1707
|
+
}
|
|
1708
|
+
return normalized;
|
|
1709
|
+
};
|
|
1710
|
+
var loadTradejsConfig = async (cwd = getTradejsProjectCwd()) => {
|
|
1711
|
+
const cached = cachedByCwd.get(cwd);
|
|
1712
|
+
if (cached) {
|
|
1713
|
+
return cached;
|
|
1714
|
+
}
|
|
1715
|
+
const configFilePath = findConfigFilePath(cwd);
|
|
1716
|
+
if (!configFilePath) {
|
|
1717
|
+
cachedByCwd.set(cwd, {});
|
|
1718
|
+
return {};
|
|
1719
|
+
}
|
|
1720
|
+
try {
|
|
1721
|
+
const moduleExports = await importConfigFile(configFilePath);
|
|
1722
|
+
const config = resolveExportedConfig(moduleExports);
|
|
1723
|
+
cachedByCwd.set(cwd, config);
|
|
1724
|
+
if (!announcedConfigFile.has(configFilePath)) {
|
|
1725
|
+
announcedConfigFile.add(configFilePath);
|
|
1726
|
+
import_logger2.logger.log("debug", "Loaded TradeJS config: %s", configFilePath);
|
|
1727
|
+
}
|
|
1728
|
+
return config;
|
|
1729
|
+
} catch (error) {
|
|
1730
|
+
import_logger2.logger.log(
|
|
1731
|
+
"warn",
|
|
1732
|
+
"Failed to load TradeJS config from %s: %s",
|
|
1733
|
+
configFilePath,
|
|
1734
|
+
String(error)
|
|
1735
|
+
);
|
|
1736
|
+
cachedByCwd.set(cwd, {});
|
|
1737
|
+
return {};
|
|
1738
|
+
}
|
|
1739
|
+
};
|
|
1740
|
+
|
|
1741
|
+
// src/strategy/manifests.ts
|
|
1742
|
+
var import_indicators = require("@tradejs/core/indicators");
|
|
1743
|
+
var SHARED_STRATEGY_REGISTRY_KEY = "__tradejsNodeSharedStrategyRegistryV1__";
|
|
1744
|
+
var sharedRegistryScope = globalThis;
|
|
1745
|
+
var sharedStrategyRegistry = sharedRegistryScope[SHARED_STRATEGY_REGISTRY_KEY] ?? (sharedRegistryScope[SHARED_STRATEGY_REGISTRY_KEY] = {
|
|
1746
|
+
registryStateByProjectRoot: /* @__PURE__ */ new Map()
|
|
1747
|
+
});
|
|
1748
|
+
var createStrategyRegistryState = () => ({
|
|
1749
|
+
strategyCreators: /* @__PURE__ */ new Map(),
|
|
1750
|
+
strategyManifestsMap: /* @__PURE__ */ new Map(),
|
|
1751
|
+
strategyEntriesMap: /* @__PURE__ */ new Map(),
|
|
1752
|
+
strategySourcesMap: /* @__PURE__ */ new Map(),
|
|
1753
|
+
strategyModuleResolutions: /* @__PURE__ */ new Map(),
|
|
1754
|
+
pluginsLoadPromise: null
|
|
1755
|
+
});
|
|
1756
|
+
var registryStateByProjectRoot = sharedStrategyRegistry.registryStateByProjectRoot;
|
|
1757
|
+
var getStrategyRegistryState = (cwd = getTradejsProjectCwd()) => {
|
|
1758
|
+
const projectRoot = getTradejsProjectCwd(cwd);
|
|
1759
|
+
let state = registryStateByProjectRoot.get(projectRoot);
|
|
1760
|
+
if (!state) {
|
|
1761
|
+
state = createStrategyRegistryState();
|
|
1762
|
+
registryStateByProjectRoot.set(projectRoot, state);
|
|
1607
1763
|
}
|
|
1608
1764
|
return {
|
|
1609
|
-
|
|
1610
|
-
|
|
1611
|
-
interval: typeof cmcGlobal.interval === "string" ? cmcGlobal.interval : null,
|
|
1612
|
-
asOfTs: toFiniteNumber(cmcGlobal.asOfTs),
|
|
1613
|
-
stale: typeof cmcGlobal.stale === "boolean" ? cmcGlobal.stale : null,
|
|
1614
|
-
totalMarketCapUsd: toFiniteNumber(cmcGlobal.totalMarketCapUsd),
|
|
1615
|
-
totalVolumeUsd: toFiniteNumber(cmcGlobal.totalVolumeUsd),
|
|
1616
|
-
totalVolumeReportedUsd: toFiniteNumber(cmcGlobal.totalVolumeReportedUsd),
|
|
1617
|
-
altMarketCapUsd: toFiniteNumber(cmcGlobal.altMarketCapUsd),
|
|
1618
|
-
altVolumeUsd: toFiniteNumber(cmcGlobal.altVolumeUsd),
|
|
1619
|
-
altVolumeReportedUsd: toFiniteNumber(cmcGlobal.altVolumeReportedUsd),
|
|
1620
|
-
btcDominancePct: toFiniteNumber(cmcGlobal.btcDominancePct),
|
|
1621
|
-
ethDominancePct: toFiniteNumber(cmcGlobal.ethDominancePct),
|
|
1622
|
-
btcDominanceChange24hPct: toFiniteNumber(
|
|
1623
|
-
cmcGlobal.btcDominanceChange24hPct
|
|
1624
|
-
),
|
|
1625
|
-
ethDominanceChange24hPct: toFiniteNumber(
|
|
1626
|
-
cmcGlobal.ethDominanceChange24hPct
|
|
1627
|
-
),
|
|
1628
|
-
altMarketCapChange24hPct: toFiniteNumber(
|
|
1629
|
-
cmcGlobal.altMarketCapChange24hPct
|
|
1630
|
-
),
|
|
1631
|
-
altVolumeChange24hPct: toFiniteNumber(cmcGlobal.altVolumeChange24hPct),
|
|
1632
|
-
activeCryptocurrencies: toFiniteNumber(cmcGlobal.activeCryptocurrencies),
|
|
1633
|
-
activeExchanges: toFiniteNumber(cmcGlobal.activeExchanges),
|
|
1634
|
-
activeMarketPairs: toFiniteNumber(cmcGlobal.activeMarketPairs),
|
|
1635
|
-
altLiquidityRegime: typeof cmcGlobal.altLiquidityRegime === "string" ? cmcGlobal.altLiquidityRegime : null
|
|
1765
|
+
projectRoot,
|
|
1766
|
+
state
|
|
1636
1767
|
};
|
|
1637
1768
|
};
|
|
1638
|
-
var
|
|
1639
|
-
|
|
1640
|
-
|
|
1641
|
-
|
|
1642
|
-
|
|
1643
|
-
return {
|
|
1644
|
-
source: null,
|
|
1645
|
-
available: false,
|
|
1646
|
-
interval: null,
|
|
1647
|
-
asOfTs: null,
|
|
1648
|
-
stale: null,
|
|
1649
|
-
btcMarketCapUsd: null,
|
|
1650
|
-
ethMarketCapUsd: null,
|
|
1651
|
-
btcVolumeUsd: null,
|
|
1652
|
-
ethVolumeUsd: null,
|
|
1653
|
-
btcVolumeToMarketCap: null,
|
|
1654
|
-
ethVolumeToMarketCap: null,
|
|
1655
|
-
ethBtcMarketCapRatio: null,
|
|
1656
|
-
ethBtcMarketCapRatioChange24hPct: null,
|
|
1657
|
-
ethVsBtcVolumeRatio: null,
|
|
1658
|
-
referenceLiquidityRegime: null
|
|
1659
|
-
};
|
|
1660
|
-
}
|
|
1769
|
+
var toUniqueModules = (modules = []) => [
|
|
1770
|
+
...new Set(modules.map((moduleName) => moduleName.trim()).filter(Boolean))
|
|
1771
|
+
];
|
|
1772
|
+
var getConfiguredPluginModuleNames = async (cwd = getTradejsProjectCwd()) => {
|
|
1773
|
+
const config = await loadTradejsConfig(cwd);
|
|
1661
1774
|
return {
|
|
1662
|
-
|
|
1663
|
-
|
|
1664
|
-
interval: typeof cmcReferenceAssets.interval === "string" ? cmcReferenceAssets.interval : null,
|
|
1665
|
-
asOfTs: toFiniteNumber(cmcReferenceAssets.asOfTs),
|
|
1666
|
-
stale: typeof cmcReferenceAssets.stale === "boolean" ? cmcReferenceAssets.stale : null,
|
|
1667
|
-
btcMarketCapUsd: toFiniteNumber(cmcReferenceAssets.btcMarketCapUsd),
|
|
1668
|
-
ethMarketCapUsd: toFiniteNumber(cmcReferenceAssets.ethMarketCapUsd),
|
|
1669
|
-
btcVolumeUsd: toFiniteNumber(cmcReferenceAssets.btcVolumeUsd),
|
|
1670
|
-
ethVolumeUsd: toFiniteNumber(cmcReferenceAssets.ethVolumeUsd),
|
|
1671
|
-
btcVolumeToMarketCap: toFiniteNumber(
|
|
1672
|
-
cmcReferenceAssets.btcVolumeToMarketCap
|
|
1673
|
-
),
|
|
1674
|
-
ethVolumeToMarketCap: toFiniteNumber(
|
|
1675
|
-
cmcReferenceAssets.ethVolumeToMarketCap
|
|
1676
|
-
),
|
|
1677
|
-
ethBtcMarketCapRatio: toFiniteNumber(
|
|
1678
|
-
cmcReferenceAssets.ethBtcMarketCapRatio
|
|
1679
|
-
),
|
|
1680
|
-
ethBtcMarketCapRatioChange24hPct: toFiniteNumber(
|
|
1681
|
-
cmcReferenceAssets.ethBtcMarketCapRatioChange24hPct
|
|
1682
|
-
),
|
|
1683
|
-
ethVsBtcVolumeRatio: toFiniteNumber(cmcReferenceAssets.ethVsBtcVolumeRatio),
|
|
1684
|
-
referenceLiquidityRegime: typeof cmcReferenceAssets.referenceLiquidityRegime === "string" ? cmcReferenceAssets.referenceLiquidityRegime : null
|
|
1775
|
+
strategyModules: toUniqueModules(config.strategies),
|
|
1776
|
+
indicatorModules: toUniqueModules(config.indicators)
|
|
1685
1777
|
};
|
|
1686
1778
|
};
|
|
1687
|
-
var
|
|
1688
|
-
|
|
1689
|
-
|
|
1690
|
-
|
|
1691
|
-
|
|
1779
|
+
var extractModuleEntries = (moduleExport, key) => {
|
|
1780
|
+
if (!moduleExport || typeof moduleExport !== "object") {
|
|
1781
|
+
return null;
|
|
1782
|
+
}
|
|
1783
|
+
const candidate = moduleExport;
|
|
1784
|
+
if (Array.isArray(candidate[key])) {
|
|
1785
|
+
return candidate[key];
|
|
1786
|
+
}
|
|
1787
|
+
const defaultExport = candidate.default;
|
|
1788
|
+
if (defaultExport && Array.isArray(defaultExport[key])) {
|
|
1789
|
+
return defaultExport[key];
|
|
1790
|
+
}
|
|
1791
|
+
return null;
|
|
1792
|
+
};
|
|
1793
|
+
var extractStrategyPluginDefinition = (moduleExport) => {
|
|
1794
|
+
const strategyEntries = extractModuleEntries(
|
|
1795
|
+
moduleExport,
|
|
1796
|
+
"strategyEntries"
|
|
1797
|
+
);
|
|
1798
|
+
return strategyEntries ? { strategyEntries } : null;
|
|
1799
|
+
};
|
|
1800
|
+
var extractIndicatorPluginDefinition = (moduleExport) => {
|
|
1801
|
+
const indicatorEntries = extractModuleEntries(
|
|
1802
|
+
moduleExport,
|
|
1803
|
+
"indicatorEntries"
|
|
1804
|
+
);
|
|
1805
|
+
return indicatorEntries ? { indicatorEntries } : null;
|
|
1806
|
+
};
|
|
1807
|
+
var validateStrategyEntries = (moduleName, entries, state) => {
|
|
1808
|
+
const issues = [];
|
|
1809
|
+
const names = /* @__PURE__ */ new Set();
|
|
1810
|
+
entries.forEach((entry, index) => {
|
|
1811
|
+
const entryPath = `${moduleName}.strategyEntries[${index}]`;
|
|
1812
|
+
const strategyName = entry?.manifest?.name;
|
|
1813
|
+
if (typeof strategyName !== "string" || !strategyName.trim()) {
|
|
1814
|
+
issues.push(`${entryPath}: manifest.name is required`);
|
|
1815
|
+
} else if (names.has(strategyName) || state?.strategyEntriesMap.has(strategyName)) {
|
|
1816
|
+
issues.push(`${entryPath}: duplicate strategy ${strategyName}`);
|
|
1817
|
+
} else {
|
|
1818
|
+
names.add(strategyName);
|
|
1819
|
+
}
|
|
1820
|
+
if (!entry || typeof entry !== "object" || !entry.defaults || typeof entry.defaults !== "object" || Array.isArray(entry.defaults)) {
|
|
1821
|
+
issues.push(`${entryPath}: defaults must be an object`);
|
|
1822
|
+
}
|
|
1823
|
+
if (typeof entry?.parseConfig !== "function") {
|
|
1824
|
+
issues.push(`${entryPath}: parseConfig is required`);
|
|
1825
|
+
}
|
|
1826
|
+
if (typeof entry?.createCore !== "function") {
|
|
1827
|
+
issues.push(`${entryPath}: createCore is required`);
|
|
1828
|
+
}
|
|
1829
|
+
});
|
|
1830
|
+
return issues;
|
|
1831
|
+
};
|
|
1832
|
+
var registerEntries = (entries, source, state) => {
|
|
1833
|
+
for (const entry of entries) {
|
|
1834
|
+
const strategyName = entry.manifest.name;
|
|
1835
|
+
state.strategyManifestsMap.set(strategyName, entry.manifest);
|
|
1836
|
+
state.strategyEntriesMap.set(strategyName, entry);
|
|
1837
|
+
state.strategySourcesMap.set(strategyName, source);
|
|
1838
|
+
materializeStrategyCreator(strategyName, state);
|
|
1839
|
+
}
|
|
1840
|
+
};
|
|
1841
|
+
var materializeStrategyCreator = (strategyName, state) => {
|
|
1842
|
+
if (state.strategyCreators.has(strategyName) || !sharedStrategyRegistry.strategyRuntimeFactory) {
|
|
1843
|
+
return;
|
|
1844
|
+
}
|
|
1845
|
+
const entry = state.strategyEntriesMap.get(strategyName);
|
|
1846
|
+
if (!entry) return;
|
|
1847
|
+
state.strategyCreators.set(
|
|
1848
|
+
strategyName,
|
|
1849
|
+
sharedStrategyRegistry.strategyRuntimeFactory({
|
|
1850
|
+
strategyName,
|
|
1851
|
+
defaults: entry.defaults,
|
|
1852
|
+
createCore: entry.createCore,
|
|
1853
|
+
manifest: entry.manifest,
|
|
1854
|
+
detectorKey: entry.detectorKey,
|
|
1855
|
+
detectorNoSignalSkipReason: entry.detectorNoSignalSkipReason,
|
|
1856
|
+
resolveRegisteredManifest: (name) => state.strategyManifestsMap.get(name)
|
|
1857
|
+
})
|
|
1858
|
+
);
|
|
1859
|
+
};
|
|
1860
|
+
var setStrategyRuntimeFactory = (factory) => {
|
|
1861
|
+
sharedStrategyRegistry.strategyRuntimeFactory = factory;
|
|
1862
|
+
for (const state of registryStateByProjectRoot.values()) {
|
|
1863
|
+
for (const strategyName of state.strategyEntriesMap.keys()) {
|
|
1864
|
+
materializeStrategyCreator(strategyName, state);
|
|
1865
|
+
}
|
|
1866
|
+
}
|
|
1867
|
+
};
|
|
1868
|
+
var importStrategyPluginModule = async (moduleName, cwd = getTradejsProjectCwd()) => {
|
|
1869
|
+
if (typeof importTradejsModule === "function") {
|
|
1870
|
+
return importTradejsModule(moduleName, cwd);
|
|
1871
|
+
}
|
|
1872
|
+
return import(
|
|
1873
|
+
/* webpackIgnore: true */
|
|
1874
|
+
moduleName
|
|
1875
|
+
);
|
|
1876
|
+
};
|
|
1877
|
+
var resolveStrategyModuleEntry = async ({
|
|
1878
|
+
strategyName,
|
|
1879
|
+
moduleName,
|
|
1880
|
+
cwd
|
|
1881
|
+
}) => {
|
|
1882
|
+
const { projectRoot, state } = getStrategyRegistryState(cwd);
|
|
1883
|
+
const source = moduleName.trim();
|
|
1884
|
+
const resolvedModuleName = resolvePluginModuleSpecifier(source, projectRoot);
|
|
1885
|
+
const cacheKey = `${resolvedModuleName}\0${strategyName}`;
|
|
1886
|
+
const cached = state.strategyModuleResolutions.get(cacheKey);
|
|
1887
|
+
if (cached) return cached;
|
|
1888
|
+
const resolution = (async () => {
|
|
1889
|
+
const moduleExport = await importStrategyPluginModule(
|
|
1890
|
+
resolvedModuleName,
|
|
1891
|
+
projectRoot
|
|
1892
|
+
);
|
|
1893
|
+
const pluginDefinition = extractStrategyPluginDefinition(moduleExport);
|
|
1894
|
+
if (!pluginDefinition) {
|
|
1895
|
+
throw new Error(`${source}: export { strategyEntries } is missing`);
|
|
1896
|
+
}
|
|
1897
|
+
const issues = validateStrategyEntries(
|
|
1898
|
+
source,
|
|
1899
|
+
pluginDefinition.strategyEntries
|
|
1900
|
+
);
|
|
1901
|
+
if (issues.length > 0) {
|
|
1902
|
+
throw new Error(
|
|
1903
|
+
["Invalid TradeJS strategy module:", ...issues].join("\n")
|
|
1904
|
+
);
|
|
1905
|
+
}
|
|
1906
|
+
const entry = pluginDefinition.strategyEntries.find(
|
|
1907
|
+
(candidate) => candidate.manifest.name === strategyName
|
|
1908
|
+
);
|
|
1909
|
+
if (!entry) {
|
|
1910
|
+
throw new Error(`${source}: strategy ${strategyName} is missing`);
|
|
1911
|
+
}
|
|
1912
|
+
const factory = sharedStrategyRegistry.strategyRuntimeFactory;
|
|
1913
|
+
if (!factory) {
|
|
1914
|
+
throw new Error("Strategy runtime factory is not configured");
|
|
1915
|
+
}
|
|
1916
|
+
const manifestsByName = new Map(
|
|
1917
|
+
pluginDefinition.strategyEntries.map(
|
|
1918
|
+
(candidate) => [candidate.manifest.name, candidate.manifest]
|
|
1919
|
+
)
|
|
1920
|
+
);
|
|
1692
1921
|
return {
|
|
1693
|
-
|
|
1694
|
-
|
|
1695
|
-
|
|
1696
|
-
|
|
1697
|
-
|
|
1698
|
-
|
|
1699
|
-
|
|
1700
|
-
|
|
1701
|
-
|
|
1702
|
-
|
|
1703
|
-
|
|
1704
|
-
liquidityRegime: null
|
|
1922
|
+
entry,
|
|
1923
|
+
creator: factory({
|
|
1924
|
+
strategyName,
|
|
1925
|
+
defaults: entry.defaults,
|
|
1926
|
+
createCore: entry.createCore,
|
|
1927
|
+
manifest: entry.manifest,
|
|
1928
|
+
detectorKey: entry.detectorKey,
|
|
1929
|
+
detectorNoSignalSkipReason: entry.detectorNoSignalSkipReason,
|
|
1930
|
+
resolveRegisteredManifest: (name) => manifestsByName.get(name) ?? state.strategyManifestsMap.get(name)
|
|
1931
|
+
}),
|
|
1932
|
+
source
|
|
1705
1933
|
};
|
|
1934
|
+
})();
|
|
1935
|
+
state.strategyModuleResolutions.set(cacheKey, resolution);
|
|
1936
|
+
try {
|
|
1937
|
+
return await resolution;
|
|
1938
|
+
} catch (error) {
|
|
1939
|
+
state.strategyModuleResolutions.delete(cacheKey);
|
|
1940
|
+
throw error;
|
|
1706
1941
|
}
|
|
1707
|
-
return {
|
|
1708
|
-
source: String(cmcExchangeLiquidity.source ?? ""),
|
|
1709
|
-
available: true,
|
|
1710
|
-
interval: typeof cmcExchangeLiquidity.interval === "string" ? cmcExchangeLiquidity.interval : null,
|
|
1711
|
-
asOfTs: toFiniteNumber(cmcExchangeLiquidity.asOfTs),
|
|
1712
|
-
stale: typeof cmcExchangeLiquidity.stale === "boolean" ? cmcExchangeLiquidity.stale : null,
|
|
1713
|
-
exchangesCount: toFiniteNumber(cmcExchangeLiquidity.exchangesCount),
|
|
1714
|
-
totalVolumeUsd: toFiniteNumber(cmcExchangeLiquidity.totalVolumeUsd),
|
|
1715
|
-
totalVolumeChange24hPct: toFiniteNumber(
|
|
1716
|
-
cmcExchangeLiquidity.totalVolumeChange24hPct
|
|
1717
|
-
),
|
|
1718
|
-
binanceVolumeUsd: toFiniteNumber(cmcExchangeLiquidity.binanceVolumeUsd),
|
|
1719
|
-
binanceVolumeShare: toFiniteNumber(cmcExchangeLiquidity.binanceVolumeShare),
|
|
1720
|
-
topExchangeVolumeShare: toFiniteNumber(
|
|
1721
|
-
cmcExchangeLiquidity.topExchangeVolumeShare
|
|
1722
|
-
),
|
|
1723
|
-
liquidityRegime: typeof cmcExchangeLiquidity.liquidityRegime === "string" ? cmcExchangeLiquidity.liquidityRegime : null
|
|
1724
|
-
};
|
|
1725
1942
|
};
|
|
1726
|
-
var
|
|
1727
|
-
const
|
|
1728
|
-
|
|
1729
|
-
|
|
1730
|
-
|
|
1731
|
-
|
|
1732
|
-
|
|
1733
|
-
|
|
1734
|
-
|
|
1735
|
-
|
|
1736
|
-
|
|
1737
|
-
|
|
1738
|
-
|
|
1739
|
-
|
|
1740
|
-
|
|
1741
|
-
|
|
1742
|
-
|
|
1943
|
+
var ensureStrategyPluginsLoaded = async (cwd = getTradejsProjectCwd()) => {
|
|
1944
|
+
const { projectRoot, state } = getStrategyRegistryState(cwd);
|
|
1945
|
+
if (!state.pluginsLoadPromise) {
|
|
1946
|
+
(0, import_indicators.resetIndicatorRegistryCache)(projectRoot);
|
|
1947
|
+
state.pluginsLoadPromise = (async () => {
|
|
1948
|
+
const { strategyModules, indicatorModules } = await getConfiguredPluginModuleNames(projectRoot);
|
|
1949
|
+
const strategySet = new Set(strategyModules);
|
|
1950
|
+
const indicatorSet = new Set(indicatorModules);
|
|
1951
|
+
const pluginModuleNames = [
|
|
1952
|
+
.../* @__PURE__ */ new Set([...strategyModules, ...indicatorModules])
|
|
1953
|
+
];
|
|
1954
|
+
if (!pluginModuleNames.length) {
|
|
1955
|
+
return;
|
|
1956
|
+
}
|
|
1957
|
+
const issues = [];
|
|
1958
|
+
for (const moduleName of pluginModuleNames) {
|
|
1959
|
+
try {
|
|
1960
|
+
const resolvedModuleName = resolvePluginModuleSpecifier(
|
|
1961
|
+
moduleName,
|
|
1962
|
+
projectRoot
|
|
1963
|
+
);
|
|
1964
|
+
const moduleExport = await importStrategyPluginModule(
|
|
1965
|
+
resolvedModuleName,
|
|
1966
|
+
projectRoot
|
|
1967
|
+
);
|
|
1968
|
+
if (strategySet.has(moduleName)) {
|
|
1969
|
+
const pluginDefinition = extractStrategyPluginDefinition(moduleExport);
|
|
1970
|
+
if (!pluginDefinition) {
|
|
1971
|
+
issues.push(
|
|
1972
|
+
`${moduleName}: export { strategyEntries } is missing`
|
|
1973
|
+
);
|
|
1974
|
+
} else {
|
|
1975
|
+
const entryIssues = validateStrategyEntries(
|
|
1976
|
+
moduleName,
|
|
1977
|
+
pluginDefinition.strategyEntries,
|
|
1978
|
+
state
|
|
1979
|
+
);
|
|
1980
|
+
issues.push(...entryIssues);
|
|
1981
|
+
if (entryIssues.length === 0) {
|
|
1982
|
+
registerEntries(
|
|
1983
|
+
pluginDefinition.strategyEntries,
|
|
1984
|
+
moduleName,
|
|
1985
|
+
state
|
|
1986
|
+
);
|
|
1987
|
+
}
|
|
1988
|
+
}
|
|
1989
|
+
}
|
|
1990
|
+
if (indicatorSet.has(moduleName)) {
|
|
1991
|
+
const indicatorPluginDefinition = extractIndicatorPluginDefinition(moduleExport);
|
|
1992
|
+
if (!indicatorPluginDefinition) {
|
|
1993
|
+
issues.push(
|
|
1994
|
+
`${moduleName}: export { indicatorEntries } is missing`
|
|
1995
|
+
);
|
|
1996
|
+
} else {
|
|
1997
|
+
(0, import_indicators.registerIndicatorEntries)(
|
|
1998
|
+
indicatorPluginDefinition.indicatorEntries,
|
|
1999
|
+
moduleName,
|
|
2000
|
+
projectRoot
|
|
2001
|
+
);
|
|
2002
|
+
}
|
|
2003
|
+
}
|
|
2004
|
+
if (!strategySet.has(moduleName) && !indicatorSet.has(moduleName)) {
|
|
2005
|
+
issues.push(`${moduleName}: plugin is not declared in config`);
|
|
2006
|
+
}
|
|
2007
|
+
} catch (error) {
|
|
2008
|
+
issues.push(`${moduleName}: failed to import: ${String(error)}`);
|
|
2009
|
+
}
|
|
2010
|
+
}
|
|
2011
|
+
if (issues.length > 0) {
|
|
2012
|
+
throw new Error(
|
|
2013
|
+
["Invalid TradeJS plugin catalog:", ...issues].join("\n")
|
|
2014
|
+
);
|
|
2015
|
+
}
|
|
2016
|
+
})();
|
|
1743
2017
|
}
|
|
1744
|
-
|
|
1745
|
-
source: String(cmcFearGreed.source ?? ""),
|
|
1746
|
-
available: true,
|
|
1747
|
-
interval: typeof cmcFearGreed.interval === "string" ? cmcFearGreed.interval : null,
|
|
1748
|
-
asOfTs: toFiniteNumber(cmcFearGreed.asOfTs),
|
|
1749
|
-
stale: typeof cmcFearGreed.stale === "boolean" ? cmcFearGreed.stale : null,
|
|
1750
|
-
value: toFiniteNumber(cmcFearGreed.value),
|
|
1751
|
-
valueChange24h: toFiniteNumber(cmcFearGreed.valueChange24h),
|
|
1752
|
-
valueChange7d: toFiniteNumber(cmcFearGreed.valueChange7d),
|
|
1753
|
-
classification: typeof cmcFearGreed.classification === "string" ? cmcFearGreed.classification : null,
|
|
1754
|
-
sentimentRegime: typeof cmcFearGreed.sentimentRegime === "string" ? cmcFearGreed.sentimentRegime : null
|
|
1755
|
-
};
|
|
2018
|
+
await state.pluginsLoadPromise;
|
|
1756
2019
|
};
|
|
1757
|
-
var
|
|
1758
|
-
|
|
1759
|
-
|
|
1760
|
-
|
|
1761
|
-
if (!cmcIndexes) {
|
|
1762
|
-
return {
|
|
1763
|
-
source: null,
|
|
1764
|
-
available: false,
|
|
1765
|
-
interval: null,
|
|
1766
|
-
asOfTs: null,
|
|
1767
|
-
stale: null,
|
|
1768
|
-
cmc100Value: null,
|
|
1769
|
-
cmc100Change24hPct: null,
|
|
1770
|
-
cmc100TopConstituentSymbol: null,
|
|
1771
|
-
cmc100TopConstituentWeightPct: null,
|
|
1772
|
-
cmc20Value: null,
|
|
1773
|
-
cmc20Change24hPct: null,
|
|
1774
|
-
cmc20TopConstituentSymbol: null,
|
|
1775
|
-
cmc20TopConstituentWeightPct: null,
|
|
1776
|
-
cmc20ToCmc100Ratio: null,
|
|
1777
|
-
cmc20ToCmc100RatioChange24hPct: null,
|
|
1778
|
-
indexRegime: null
|
|
1779
|
-
};
|
|
2020
|
+
var getStrategyCreator = async (name, cwd = getTradejsProjectCwd(), moduleName) => {
|
|
2021
|
+
if (moduleName?.trim()) {
|
|
2022
|
+
await ensureStrategyPluginsLoaded(cwd);
|
|
2023
|
+
return (await resolveStrategyModuleEntry({ strategyName: name, moduleName, cwd })).creator;
|
|
1780
2024
|
}
|
|
1781
|
-
|
|
1782
|
-
|
|
1783
|
-
|
|
1784
|
-
interval: typeof cmcIndexes.interval === "string" ? cmcIndexes.interval : null,
|
|
1785
|
-
asOfTs: toFiniteNumber(cmcIndexes.asOfTs),
|
|
1786
|
-
stale: typeof cmcIndexes.stale === "boolean" ? cmcIndexes.stale : null,
|
|
1787
|
-
cmc100Value: toFiniteNumber(cmcIndexes.cmc100Value),
|
|
1788
|
-
cmc100Change24hPct: toFiniteNumber(cmcIndexes.cmc100Change24hPct),
|
|
1789
|
-
cmc100TopConstituentSymbol: typeof cmcIndexes.cmc100TopConstituentSymbol === "string" ? cmcIndexes.cmc100TopConstituentSymbol : null,
|
|
1790
|
-
cmc100TopConstituentWeightPct: toFiniteNumber(
|
|
1791
|
-
cmcIndexes.cmc100TopConstituentWeightPct
|
|
1792
|
-
),
|
|
1793
|
-
cmc20Value: toFiniteNumber(cmcIndexes.cmc20Value),
|
|
1794
|
-
cmc20Change24hPct: toFiniteNumber(cmcIndexes.cmc20Change24hPct),
|
|
1795
|
-
cmc20TopConstituentSymbol: typeof cmcIndexes.cmc20TopConstituentSymbol === "string" ? cmcIndexes.cmc20TopConstituentSymbol : null,
|
|
1796
|
-
cmc20TopConstituentWeightPct: toFiniteNumber(
|
|
1797
|
-
cmcIndexes.cmc20TopConstituentWeightPct
|
|
1798
|
-
),
|
|
1799
|
-
cmc20ToCmc100Ratio: toFiniteNumber(cmcIndexes.cmc20ToCmc100Ratio),
|
|
1800
|
-
cmc20ToCmc100RatioChange24hPct: toFiniteNumber(
|
|
1801
|
-
cmcIndexes.cmc20ToCmc100RatioChange24hPct
|
|
1802
|
-
),
|
|
1803
|
-
indexRegime: typeof cmcIndexes.indexRegime === "string" ? cmcIndexes.indexRegime : null
|
|
1804
|
-
};
|
|
2025
|
+
await ensureStrategyPluginsLoaded(cwd);
|
|
2026
|
+
const { state } = getStrategyRegistryState(cwd);
|
|
2027
|
+
return state.strategyCreators.get(name);
|
|
1805
2028
|
};
|
|
1806
|
-
var
|
|
1807
|
-
|
|
1808
|
-
|
|
1809
|
-
|
|
1810
|
-
|
|
1811
|
-
|
|
1812
|
-
const
|
|
1813
|
-
|
|
1814
|
-
|
|
1815
|
-
|
|
1816
|
-
|
|
1817
|
-
|
|
1818
|
-
|
|
1819
|
-
|
|
1820
|
-
|
|
1821
|
-
|
|
2029
|
+
var getStrategyEntry = async (name, cwd = getTradejsProjectCwd(), moduleName) => {
|
|
2030
|
+
if (moduleName?.trim()) {
|
|
2031
|
+
await ensureStrategyPluginsLoaded(cwd);
|
|
2032
|
+
return (await resolveStrategyModuleEntry({ strategyName: name, moduleName, cwd })).entry;
|
|
2033
|
+
}
|
|
2034
|
+
await ensureStrategyPluginsLoaded(cwd);
|
|
2035
|
+
const { state } = getStrategyRegistryState(cwd);
|
|
2036
|
+
return state.strategyEntriesMap.get(name);
|
|
2037
|
+
};
|
|
2038
|
+
var getStrategyPluginSource = async (name, cwd = getTradejsProjectCwd(), moduleName) => {
|
|
2039
|
+
if (moduleName?.trim()) {
|
|
2040
|
+
await ensureStrategyPluginsLoaded(cwd);
|
|
2041
|
+
return (await resolveStrategyModuleEntry({ strategyName: name, moduleName, cwd })).source;
|
|
2042
|
+
}
|
|
2043
|
+
await ensureStrategyPluginsLoaded(cwd);
|
|
2044
|
+
const { state } = getStrategyRegistryState(cwd);
|
|
2045
|
+
return state.strategySourcesMap.get(name);
|
|
2046
|
+
};
|
|
2047
|
+
var getStrategyManifest = (name, cwd = getTradejsProjectCwd()) => {
|
|
2048
|
+
if (!name) {
|
|
2049
|
+
return void 0;
|
|
1822
2050
|
}
|
|
1823
|
-
|
|
1824
|
-
|
|
1825
|
-
available: true,
|
|
1826
|
-
primaryReferenceSymbol,
|
|
1827
|
-
referenceSymbols: Array.isArray(refs.referenceSymbols) ? refs.referenceSymbols.map(String) : [],
|
|
1828
|
-
primaryTradeFlowBuyPressurePct: toFiniteNumber(
|
|
1829
|
-
primaryTradeFlow?.buyPressurePct
|
|
1830
|
-
),
|
|
1831
|
-
primaryTradeFlowStale: typeof primaryTradeFlow?.stale === "boolean" ? primaryTradeFlow.stale : null
|
|
1832
|
-
};
|
|
2051
|
+
const { state } = getStrategyRegistryState(cwd);
|
|
2052
|
+
return state.strategyManifestsMap.get(name);
|
|
1833
2053
|
};
|
|
1834
|
-
var
|
|
1835
|
-
|
|
1836
|
-
|
|
1837
|
-
|
|
1838
|
-
|
|
1839
|
-
|
|
1840
|
-
|
|
1841
|
-
|
|
1842
|
-
|
|
1843
|
-
|
|
1844
|
-
|
|
1845
|
-
|
|
1846
|
-
|
|
1847
|
-
|
|
1848
|
-
|
|
1849
|
-
|
|
1850
|
-
cmcFearGreed: buildCmcFearGreedContextFromSignal(signal),
|
|
1851
|
-
cmcIndexes: buildCmcIndexesContextFromSignal(signal),
|
|
1852
|
-
referenceTradeFlow: buildReferenceTradeFlowContextFromSignal(signal)
|
|
2054
|
+
var strategies = new Proxy(
|
|
2055
|
+
{},
|
|
2056
|
+
{
|
|
2057
|
+
get: (_target, property) => {
|
|
2058
|
+
if (typeof property !== "string") {
|
|
2059
|
+
return void 0;
|
|
2060
|
+
}
|
|
2061
|
+
return getStrategyRegistryState().state.strategyCreators.get(property);
|
|
2062
|
+
},
|
|
2063
|
+
ownKeys: () => {
|
|
2064
|
+
return [...getStrategyRegistryState().state.strategyCreators.keys()];
|
|
2065
|
+
},
|
|
2066
|
+
getOwnPropertyDescriptor: () => ({
|
|
2067
|
+
enumerable: true,
|
|
2068
|
+
configurable: true
|
|
2069
|
+
})
|
|
1853
2070
|
}
|
|
1854
|
-
|
|
1855
|
-
|
|
1856
|
-
// src/strategy/manifests.ts
|
|
1857
|
-
var import_indicators = require("@tradejs/core/indicators");
|
|
2071
|
+
);
|
|
1858
2072
|
|
|
1859
|
-
// src/
|
|
1860
|
-
var
|
|
1861
|
-
var
|
|
1862
|
-
|
|
1863
|
-
|
|
1864
|
-
|
|
1865
|
-
|
|
1866
|
-
|
|
1867
|
-
|
|
1868
|
-
|
|
1869
|
-
|
|
1870
|
-
|
|
1871
|
-
|
|
1872
|
-
|
|
1873
|
-
var
|
|
1874
|
-
|
|
1875
|
-
|
|
1876
|
-
|
|
1877
|
-
|
|
1878
|
-
|
|
1879
|
-
|
|
1880
|
-
|
|
1881
|
-
|
|
2073
|
+
// src/strategyHelpers/tickerProfiles.ts
|
|
2074
|
+
var snapshots = /* @__PURE__ */ new Map();
|
|
2075
|
+
var resolveTickerProfileSource = (strategy) => {
|
|
2076
|
+
const declared = getStrategyManifest(strategy)?.contextRequirements?.tickerProfiles;
|
|
2077
|
+
if (declared) return declared;
|
|
2078
|
+
const provider = process.env.TICKER_PROFILES_PROVIDER?.trim();
|
|
2079
|
+
const universeId = process.env.TICKER_PROFILES_UNIVERSE?.trim();
|
|
2080
|
+
if (!provider && !universeId) return void 0;
|
|
2081
|
+
if (!provider || !universeId)
|
|
2082
|
+
throw new Error(
|
|
2083
|
+
"Set both TICKER_PROFILES_PROVIDER and TICKER_PROFILES_UNIVERSE"
|
|
2084
|
+
);
|
|
2085
|
+
return { provider, universeId };
|
|
2086
|
+
};
|
|
2087
|
+
var loadTickerProfileContext = async ({
|
|
2088
|
+
projectRoot,
|
|
2089
|
+
provider,
|
|
2090
|
+
universeId,
|
|
2091
|
+
symbol,
|
|
2092
|
+
timestamp
|
|
2093
|
+
}) => {
|
|
2094
|
+
const asOf = (0, import_tickerProfiles2.tickerProfileMonth)(timestamp), key = JSON.stringify([projectRoot, provider, universeId, asOf]);
|
|
2095
|
+
let cached = snapshots.get(key);
|
|
2096
|
+
if (!cached || cached.expires < Date.now()) {
|
|
2097
|
+
const value = (0, import_tickerProfiles.readTickerProfiles)(projectRoot, provider, universeId, asOf).then((envelope) => {
|
|
2098
|
+
if (!envelope) return null;
|
|
2099
|
+
const s = envelope.snapshot;
|
|
2100
|
+
if (!(0, import_tickerProfiles2.isTickerProfileSnapshot)(s) || s.asOf !== asOf || s.provider !== provider || s.universeId !== universeId)
|
|
2101
|
+
throw new Error("Ticker profile identity/schema mismatch");
|
|
2102
|
+
const entry = snapshots.get(key);
|
|
2103
|
+
if (entry) entry.expires = Infinity;
|
|
2104
|
+
return new Map(
|
|
2105
|
+
s.profiles.map((p) => [
|
|
2106
|
+
p.symbol,
|
|
2107
|
+
Object.freeze({
|
|
2108
|
+
...p,
|
|
2109
|
+
definition: s.definition,
|
|
2110
|
+
provider,
|
|
2111
|
+
universeId,
|
|
2112
|
+
snapshotId: envelope.snapshotId
|
|
2113
|
+
})
|
|
2114
|
+
])
|
|
2115
|
+
);
|
|
2116
|
+
}).catch((error) => {
|
|
2117
|
+
snapshots.delete(key);
|
|
2118
|
+
throw error;
|
|
2119
|
+
});
|
|
2120
|
+
cached = { expires: Date.now() + 6e4, value };
|
|
2121
|
+
snapshots.set(key, cached);
|
|
2122
|
+
if (snapshots.size > 24) {
|
|
2123
|
+
const oldest = snapshots.keys().next().value;
|
|
2124
|
+
if (oldest) snapshots.delete(oldest);
|
|
2125
|
+
}
|
|
1882
2126
|
}
|
|
1883
|
-
|
|
1884
|
-
|
|
1885
|
-
|
|
2127
|
+
return (await cached.value)?.get(symbol);
|
|
2128
|
+
};
|
|
2129
|
+
var withTickerProfile = (baseContext, profile) => Object.defineProperty(
|
|
2130
|
+
Object.create(
|
|
2131
|
+
Object.getPrototypeOf(baseContext),
|
|
2132
|
+
Object.getOwnPropertyDescriptors(baseContext)
|
|
2133
|
+
),
|
|
2134
|
+
"tickerProfile",
|
|
2135
|
+
{ enumerable: true, configurable: true, value: profile }
|
|
2136
|
+
);
|
|
2137
|
+
var enrichSignalWithTickerProfile = async (signal) => {
|
|
2138
|
+
const source = resolveTickerProfileSource(signal.strategy);
|
|
2139
|
+
if (!source || signal.universe === "tradfi" || !signal.symbol.endsWith("USDT"))
|
|
2140
|
+
return;
|
|
2141
|
+
const profile = await loadTickerProfileContext({
|
|
2142
|
+
...source,
|
|
2143
|
+
projectRoot: getTradejsProjectCwd(),
|
|
2144
|
+
symbol: signal.symbol,
|
|
2145
|
+
timestamp: signal.timestamp
|
|
2146
|
+
});
|
|
2147
|
+
if (profile) {
|
|
2148
|
+
signal.additionalIndicators = {
|
|
2149
|
+
...signal.additionalIndicators,
|
|
2150
|
+
tickerProfile: profile
|
|
2151
|
+
};
|
|
1886
2152
|
}
|
|
1887
|
-
return process.cwd();
|
|
1888
2153
|
};
|
|
1889
|
-
|
|
1890
|
-
|
|
1891
|
-
|
|
2154
|
+
|
|
2155
|
+
// src/strategyRuntime.ts
|
|
2156
|
+
var import_jev6 = require("@tradejs/core/jev");
|
|
2157
|
+
|
|
2158
|
+
// src/jev.ts
|
|
2159
|
+
var import_promises = __toESM(require("fs/promises"));
|
|
2160
|
+
var import_node_path = __toESM(require("path"));
|
|
2161
|
+
var import_jev4 = require("@tradejs/core/jev");
|
|
2162
|
+
var import_jev5 = require("@tradejs/infra/jev");
|
|
2163
|
+
var import_userSettings = require("@tradejs/infra/userSettings");
|
|
2164
|
+
init_jevInput();
|
|
2165
|
+
init_jevInput();
|
|
2166
|
+
init_jevTraining();
|
|
2167
|
+
var resolveJevProvider = async (userName) => {
|
|
2168
|
+
const settings = await (0, import_userSettings.getUserSettings)(userName);
|
|
2169
|
+
const provider = {
|
|
2170
|
+
endpoint: settings.JEV_API_ENDPOINT || import_jev4.JEV_PROVIDERS[0].endpoint,
|
|
2171
|
+
model: settings.JEV_MODEL || import_jev4.JEV_PROVIDERS[0].model
|
|
2172
|
+
};
|
|
2173
|
+
(0, import_jev4.parseJevConfig)({ source: "provider", mode: "observe", provider });
|
|
2174
|
+
if (!settings.JEV_API_KEY)
|
|
2175
|
+
throw new Error("Configure the Jev API key in Account settings");
|
|
2176
|
+
return provider;
|
|
2177
|
+
};
|
|
2178
|
+
var emptyScores = () => Object.fromEntries(import_jev4.JEV_DIMENSIONS.map((key) => [key, null]));
|
|
2179
|
+
var pending = /* @__PURE__ */ new Map();
|
|
2180
|
+
var pendingResponses = /* @__PURE__ */ new Map();
|
|
2181
|
+
var evaluateJevInput = async ({
|
|
2182
|
+
input,
|
|
2183
|
+
config,
|
|
2184
|
+
userName,
|
|
2185
|
+
projectRoot
|
|
2186
|
+
}) => {
|
|
2187
|
+
config = (0, import_jev4.parseJevConfig)(config);
|
|
2188
|
+
const inputHash = (0, import_jev5.jevHash)(input);
|
|
2189
|
+
const questions = questionsForJevInput(input);
|
|
2190
|
+
const questionsHash = (0, import_jev5.jevHash)(questions);
|
|
2191
|
+
const base = {
|
|
2192
|
+
questionSet: import_jev4.JEV_QUESTION_SET,
|
|
2193
|
+
schema: "tradejs-signal-assessment/v5",
|
|
2194
|
+
source: config.source,
|
|
2195
|
+
mode: config.mode,
|
|
2196
|
+
inputHash,
|
|
2197
|
+
questionsHash,
|
|
2198
|
+
geometryStatus: input.geometryStatus,
|
|
2199
|
+
levelsValid: typeof input.features["signal.validLevels"] === "boolean" ? input.features["signal.validLevels"] : null
|
|
2200
|
+
};
|
|
2201
|
+
if (!input.questions.length)
|
|
2202
|
+
return {
|
|
2203
|
+
assessment: {
|
|
2204
|
+
...base,
|
|
2205
|
+
status: "unavailable",
|
|
2206
|
+
model: "",
|
|
2207
|
+
scores: emptyScores(),
|
|
2208
|
+
confidence: emptyScores()
|
|
2209
|
+
}
|
|
2210
|
+
};
|
|
2211
|
+
if (config.source === "local") {
|
|
2212
|
+
const contents = await import_promises.default.readFile(
|
|
2213
|
+
import_node_path.default.resolve(projectRoot, config.modelFile),
|
|
2214
|
+
"utf8"
|
|
2215
|
+
);
|
|
2216
|
+
if ((0, import_jev5.jevFileHash)(contents) !== config.modelSha256)
|
|
2217
|
+
throw new Error("Local Jev gate checksum mismatch");
|
|
2218
|
+
const { validateJevGateModel: validateJevGateModel2 } = await Promise.resolve().then(() => (init_jevTraining(), jevTraining_exports));
|
|
2219
|
+
const model = validateJevGateModel2(JSON.parse(contents));
|
|
2220
|
+
if (model.strategy !== input.strategy || model.questionsHash !== (0, import_jev5.jevHash)(JEV_QUESTIONS))
|
|
2221
|
+
throw new Error("Local Jev gate strategy or question version mismatch");
|
|
2222
|
+
const scores = Object.fromEntries(
|
|
2223
|
+
import_jev4.JEV_DIMENSIONS.map((key) => [
|
|
2224
|
+
key,
|
|
2225
|
+
input.questions.includes(key) && model.trees[key] ? (0, import_jev4.predictJevTree)(model.trees[key], input.features) : null
|
|
2226
|
+
])
|
|
2227
|
+
);
|
|
2228
|
+
return {
|
|
2229
|
+
assessment: {
|
|
2230
|
+
...base,
|
|
2231
|
+
status: "available",
|
|
2232
|
+
model: config.modelSha256,
|
|
2233
|
+
scores,
|
|
2234
|
+
confidence: emptyScores()
|
|
2235
|
+
}
|
|
2236
|
+
};
|
|
1892
2237
|
}
|
|
1893
|
-
const
|
|
1894
|
-
const
|
|
1895
|
-
const
|
|
1896
|
-
const
|
|
1897
|
-
const
|
|
1898
|
-
|
|
1899
|
-
|
|
1900
|
-
|
|
1901
|
-
|
|
1902
|
-
|
|
1903
|
-
|
|
1904
|
-
|
|
1905
|
-
|
|
1906
|
-
|
|
2238
|
+
const provider = config.provider ?? await resolveJevProvider(userName);
|
|
2239
|
+
const id = (0, import_jev5.jevHash)({ inputHash, questionsHash, provider });
|
|
2240
|
+
const dir = import_node_path.default.resolve(projectRoot, config.recordsDir ?? "data/ai/jev");
|
|
2241
|
+
const file = import_node_path.default.join(dir, "records", `${id}.json`);
|
|
2242
|
+
const getRecord = async () => {
|
|
2243
|
+
const existing = await (0, import_jev5.readJevArtifact)(file);
|
|
2244
|
+
if (existing) {
|
|
2245
|
+
if (existing.schema !== "tradejs-jev-record/v4" || existing.id !== id || existing.inputHash !== inputHash || existing.questionsHash !== questionsHash || (0, import_jev5.jevHash)(existing.input) !== inputHash || (0, import_jev5.jevHash)(existing.provider) !== (0, import_jev5.jevHash)(provider))
|
|
2246
|
+
throw new Error("Jev recording identity mismatch");
|
|
2247
|
+
(0, import_jev5.validateJevResponse)(existing.response, input.questions);
|
|
2248
|
+
for (const key of import_jev4.JEV_DIMENSIONS) {
|
|
2249
|
+
const expected = input.questions.includes(key) ? existing.response.answers[key].score / (0, import_jev5.jevScoreMaximum)(key) : null;
|
|
2250
|
+
if (existing.scores[key] !== expected)
|
|
2251
|
+
throw new Error("Jev recording scores do not match the response");
|
|
2252
|
+
}
|
|
2253
|
+
return existing;
|
|
2254
|
+
}
|
|
2255
|
+
if (config.source === "recorded")
|
|
2256
|
+
throw new Error(
|
|
2257
|
+
`Missing Jev recording ${id} for ${input.strategy} ${input.symbol} at ${new Date(input.timestamp).toISOString()}. Recorded mode requires the same signal-time facts and provider; a shorter backtest can change warm-up indicators or prior trade state.`
|
|
2258
|
+
);
|
|
2259
|
+
const settings = await (0, import_userSettings.getUserSettings)(userName);
|
|
2260
|
+
if (!settings.JEV_API_KEY)
|
|
2261
|
+
throw new Error("Configure the Jev API key in Account settings");
|
|
2262
|
+
const apiKey = settings.JEV_API_KEY;
|
|
2263
|
+
const configuredProvider = await resolveJevProvider(userName);
|
|
2264
|
+
if (configuredProvider.endpoint !== provider.endpoint)
|
|
2265
|
+
throw new Error(
|
|
2266
|
+
"Jev account endpoint changed; update the frozen provider configuration"
|
|
2267
|
+
);
|
|
2268
|
+
const started = Date.now();
|
|
2269
|
+
const state = stateForJevInput(input);
|
|
2270
|
+
const responseId = (0, import_jev5.jevHash)({
|
|
2271
|
+
state,
|
|
2272
|
+
questionsHash,
|
|
2273
|
+
provider,
|
|
2274
|
+
user: (0, import_jev5.jevHash)(userName)
|
|
2275
|
+
});
|
|
2276
|
+
const responseFile = import_node_path.default.join(dir, "responses", `${responseId}.json`);
|
|
2277
|
+
let responsePromise = pendingResponses.get(responseFile);
|
|
2278
|
+
if (!responsePromise) {
|
|
2279
|
+
responsePromise = (async () => {
|
|
2280
|
+
const saved = await (0, import_jev5.readJevArtifact)(responseFile);
|
|
2281
|
+
if (saved) return (0, import_jev5.validateJevResponse)(saved, input.questions);
|
|
2282
|
+
const fresh = await (0, import_jev5.requestJev)(provider, apiKey, state, questions);
|
|
2283
|
+
await (0, import_jev5.writeJevArtifact)(responseFile, fresh);
|
|
2284
|
+
return fresh;
|
|
2285
|
+
})();
|
|
2286
|
+
pendingResponses.set(responseFile, responsePromise);
|
|
2287
|
+
}
|
|
2288
|
+
let response;
|
|
2289
|
+
try {
|
|
2290
|
+
response = await responsePromise;
|
|
2291
|
+
} finally {
|
|
2292
|
+
pendingResponses.delete(responseFile);
|
|
2293
|
+
}
|
|
2294
|
+
const scores = Object.fromEntries(
|
|
2295
|
+
import_jev4.JEV_DIMENSIONS.map((key) => [
|
|
2296
|
+
key,
|
|
2297
|
+
input.questions.includes(key) ? response.answers[key].score / (0, import_jev5.jevScoreMaximum)(key) : null
|
|
2298
|
+
])
|
|
2299
|
+
);
|
|
2300
|
+
const value = {
|
|
2301
|
+
schema: "tradejs-jev-record/v4",
|
|
2302
|
+
id,
|
|
2303
|
+
inputHash,
|
|
2304
|
+
questionsHash,
|
|
2305
|
+
provider,
|
|
2306
|
+
input,
|
|
2307
|
+
response,
|
|
2308
|
+
scores,
|
|
2309
|
+
createdAt: (/* @__PURE__ */ new Date()).toISOString(),
|
|
2310
|
+
elapsedMs: Date.now() - started
|
|
2311
|
+
};
|
|
2312
|
+
await (0, import_jev5.writeJevArtifact)(file, value);
|
|
2313
|
+
return await (0, import_jev5.readJevArtifact)(file);
|
|
1907
2314
|
};
|
|
1908
|
-
}
|
|
1909
|
-
|
|
1910
|
-
|
|
1911
|
-
|
|
1912
|
-
|
|
2315
|
+
const pendingKey = `${file}:${(0, import_jev5.jevHash)(userName)}`;
|
|
2316
|
+
let promise = pending.get(pendingKey);
|
|
2317
|
+
if (!promise) {
|
|
2318
|
+
promise = getRecord();
|
|
2319
|
+
pending.set(pendingKey, promise);
|
|
1913
2320
|
}
|
|
1914
|
-
|
|
1915
|
-
|
|
1916
|
-
|
|
1917
|
-
|
|
1918
|
-
|
|
1919
|
-
return;
|
|
2321
|
+
let record2;
|
|
2322
|
+
try {
|
|
2323
|
+
record2 = await promise;
|
|
2324
|
+
} finally {
|
|
2325
|
+
pending.delete(pendingKey);
|
|
1920
2326
|
}
|
|
1921
|
-
|
|
1922
|
-
|
|
1923
|
-
|
|
1924
|
-
|
|
1925
|
-
|
|
1926
|
-
|
|
1927
|
-
|
|
2327
|
+
return {
|
|
2328
|
+
record: record2,
|
|
2329
|
+
assessment: {
|
|
2330
|
+
...base,
|
|
2331
|
+
status: "available",
|
|
2332
|
+
recordId: id,
|
|
2333
|
+
model: record2.response.model,
|
|
2334
|
+
scores: record2.scores,
|
|
2335
|
+
confidence: Object.fromEntries(
|
|
2336
|
+
import_jev4.JEV_DIMENSIONS.map((key) => [
|
|
2337
|
+
key,
|
|
2338
|
+
record2.response.answers[key]?.confidence ?? null
|
|
2339
|
+
])
|
|
2340
|
+
)
|
|
1928
2341
|
}
|
|
1929
|
-
}
|
|
1930
|
-
tsNodeRegistered = true;
|
|
1931
|
-
};
|
|
1932
|
-
var ensureTsconfigPathsRegistered = async (cwd = getTradejsProjectCwd()) => {
|
|
1933
|
-
const projectRoot = getTradejsProjectCwd(cwd);
|
|
1934
|
-
if (tsconfigPathsRegisteredByCwd.has(projectRoot)) {
|
|
1935
|
-
return;
|
|
1936
|
-
}
|
|
1937
|
-
const tsconfigPathsModule = await import("tsconfig-paths");
|
|
1938
|
-
const loadConfig = tsconfigPathsModule.loadConfig;
|
|
1939
|
-
const register = tsconfigPathsModule.register;
|
|
1940
|
-
if (typeof loadConfig !== "function" || typeof register !== "function") {
|
|
1941
|
-
return;
|
|
1942
|
-
}
|
|
1943
|
-
const loadedConfig = loadConfig(projectRoot);
|
|
1944
|
-
if (loadedConfig.resultType !== "success") {
|
|
1945
|
-
return;
|
|
1946
|
-
}
|
|
1947
|
-
register({
|
|
1948
|
-
baseUrl: loadedConfig.absoluteBaseUrl,
|
|
1949
|
-
paths: loadedConfig.paths,
|
|
1950
|
-
addMatchAll: false
|
|
1951
|
-
});
|
|
1952
|
-
tsconfigPathsRegisteredByCwd.add(projectRoot);
|
|
2342
|
+
};
|
|
1953
2343
|
};
|
|
1954
|
-
var
|
|
1955
|
-
|
|
1956
|
-
|
|
1957
|
-
|
|
1958
|
-
|
|
1959
|
-
|
|
1960
|
-
|
|
1961
|
-
|
|
1962
|
-
|
|
1963
|
-
|
|
1964
|
-
|
|
1965
|
-
|
|
1966
|
-
|
|
1967
|
-
|
|
1968
|
-
|
|
1969
|
-
|
|
2344
|
+
var assessSignalWithJev = async ({
|
|
2345
|
+
signal,
|
|
2346
|
+
config,
|
|
2347
|
+
userName,
|
|
2348
|
+
projectRoot,
|
|
2349
|
+
strict,
|
|
2350
|
+
scope = "runtime"
|
|
2351
|
+
}) => {
|
|
2352
|
+
let assessment;
|
|
2353
|
+
try {
|
|
2354
|
+
const input = buildJevInput(signal);
|
|
2355
|
+
({ assessment } = await evaluateJevInput({
|
|
2356
|
+
input,
|
|
2357
|
+
config,
|
|
2358
|
+
userName,
|
|
2359
|
+
projectRoot
|
|
2360
|
+
}));
|
|
2361
|
+
} catch (error) {
|
|
2362
|
+
if (strict) throw error;
|
|
2363
|
+
assessment = {
|
|
2364
|
+
questionSet: import_jev4.JEV_QUESTION_SET,
|
|
2365
|
+
schema: "tradejs-signal-assessment/v5",
|
|
2366
|
+
source: config.source,
|
|
2367
|
+
mode: config.mode,
|
|
2368
|
+
status: "unavailable",
|
|
2369
|
+
inputHash: "",
|
|
2370
|
+
questionsHash: "",
|
|
2371
|
+
geometryStatus: "absent",
|
|
2372
|
+
levelsValid: null,
|
|
2373
|
+
model: config.provider?.model ?? config.modelSha256 ?? "",
|
|
2374
|
+
scores: emptyScores(),
|
|
2375
|
+
confidence: emptyScores()
|
|
2376
|
+
};
|
|
1970
2377
|
}
|
|
1971
|
-
|
|
1972
|
-
|
|
1973
|
-
|
|
2378
|
+
signal.assessment = assessment;
|
|
2379
|
+
signal.additionalIndicators = {
|
|
2380
|
+
...signal.additionalIndicators,
|
|
2381
|
+
jev: (0, import_jev4.jevAssessmentFeatures)(assessment)
|
|
2382
|
+
};
|
|
2383
|
+
const identity = {
|
|
2384
|
+
signalId: signal.signalId,
|
|
2385
|
+
strategy: signal.strategy,
|
|
2386
|
+
symbol: signal.symbol,
|
|
2387
|
+
timestamp: signal.timestamp,
|
|
2388
|
+
scope,
|
|
2389
|
+
user: (0, import_jev5.jevHash)(userName),
|
|
2390
|
+
config,
|
|
2391
|
+
assessment
|
|
2392
|
+
};
|
|
2393
|
+
await (0, import_jev5.writeJevArtifact)(
|
|
2394
|
+
import_node_path.default.resolve(
|
|
2395
|
+
projectRoot,
|
|
2396
|
+
config.recordsDir ?? "data/ai/jev",
|
|
2397
|
+
"decisions",
|
|
2398
|
+
`${(0, import_jev5.jevHash)(identity)}.json`
|
|
2399
|
+
),
|
|
2400
|
+
identity
|
|
1974
2401
|
);
|
|
1975
|
-
|
|
1976
|
-
".ts",
|
|
1977
|
-
".tsx",
|
|
1978
|
-
".mts",
|
|
1979
|
-
".cts",
|
|
1980
|
-
".js",
|
|
1981
|
-
".jsx",
|
|
1982
|
-
".mjs",
|
|
1983
|
-
".cjs",
|
|
1984
|
-
".json"
|
|
1985
|
-
]) || "";
|
|
1986
|
-
tsconfigPathMatchersByCwd.set(projectRoot, matcher);
|
|
1987
|
-
const resolved = matcher(moduleName);
|
|
1988
|
-
return resolved || null;
|
|
2402
|
+
return assessment;
|
|
1989
2403
|
};
|
|
1990
|
-
|
|
1991
|
-
|
|
1992
|
-
|
|
1993
|
-
|
|
1994
|
-
|
|
1995
|
-
|
|
2404
|
+
|
|
2405
|
+
// src/strategyRuntime.ts
|
|
2406
|
+
var import_constants5 = require("@tradejs/core/constants");
|
|
2407
|
+
var import_strategies6 = require("@tradejs/core/strategies");
|
|
2408
|
+
var import_logger11 = require("@tradejs/infra/logger");
|
|
2409
|
+
|
|
2410
|
+
// src/strategyHelpers/runtime.ts
|
|
2411
|
+
var import_logger9 = require("@tradejs/infra/logger");
|
|
2412
|
+
var import_constants3 = require("@tradejs/core/constants");
|
|
2413
|
+
var import_ml2 = require("@tradejs/infra/ml");
|
|
2414
|
+
|
|
2415
|
+
// src/strategy/entrySubmissionValidation.ts
|
|
2416
|
+
var import_logger3 = require("@tradejs/infra/logger");
|
|
2417
|
+
|
|
2418
|
+
// src/strategy/entryExecutionValidation.ts
|
|
2419
|
+
var EntrySubmissionValidationError = class extends Error {
|
|
2420
|
+
constructor() {
|
|
2421
|
+
super(...arguments);
|
|
2422
|
+
this.name = "EntrySubmissionValidationError";
|
|
1996
2423
|
}
|
|
1997
|
-
return moduleName;
|
|
1998
2424
|
};
|
|
1999
|
-
var
|
|
2000
|
-
|
|
2001
|
-
|
|
2002
|
-
const
|
|
2003
|
-
if (
|
|
2004
|
-
|
|
2005
|
-
|
|
2006
|
-
|
|
2007
|
-
|
|
2008
|
-
|
|
2009
|
-
|
|
2425
|
+
var resolveEntryExecutionLimits = (config, direction) => {
|
|
2426
|
+
const side = config[direction];
|
|
2427
|
+
const minimum = side && typeof side === "object" && "minRiskRatio" in side ? side.minRiskRatio : void 0;
|
|
2428
|
+
const maximum = config.MAX_LOSS_VALUE;
|
|
2429
|
+
if (minimum == null && maximum == null) return void 0;
|
|
2430
|
+
const minimumNetRiskRatio = minimum == null ? void 0 : Number(minimum);
|
|
2431
|
+
const maxLossValue = maximum == null ? void 0 : Number(maximum);
|
|
2432
|
+
const feeRate = Number(config.RISK_FEE_RATE ?? 0);
|
|
2433
|
+
const slippage = Number(config.RISK_SLIPPAGE_BPS ?? 0);
|
|
2434
|
+
const impact = Number(config.RISK_MARKET_IMPACT_BPS ?? 0);
|
|
2435
|
+
const slippageBps = slippage + impact;
|
|
2436
|
+
if (minimumNetRiskRatio != null && (!Number.isFinite(minimumNetRiskRatio) || minimumNetRiskRatio < 0) || maxLossValue != null && (!Number.isFinite(maxLossValue) || maxLossValue <= 0) || !Number.isFinite(feeRate) || feeRate < 0 || feeRate >= 1 || !Number.isFinite(slippage) || slippage < 0 || !Number.isFinite(impact) || impact < 0 || !Number.isFinite(slippageBps) || slippageBps < 0 || slippageBps >= 1e4)
|
|
2437
|
+
throw new Error("INVALID_ENTRY_EXECUTION_LIMITS");
|
|
2438
|
+
return { minimumNetRiskRatio, maxLossValue, feeRate, slippageBps };
|
|
2010
2439
|
};
|
|
2011
|
-
var
|
|
2012
|
-
|
|
2013
|
-
|
|
2014
|
-
|
|
2015
|
-
|
|
2016
|
-
|
|
2017
|
-
|
|
2018
|
-
|
|
2019
|
-
|
|
2020
|
-
|
|
2021
|
-
|
|
2022
|
-
|
|
2440
|
+
var validateEntryExecution = ({
|
|
2441
|
+
direction,
|
|
2442
|
+
price,
|
|
2443
|
+
qty,
|
|
2444
|
+
stopLossPrice,
|
|
2445
|
+
takeProfitPrice,
|
|
2446
|
+
limits
|
|
2447
|
+
}) => {
|
|
2448
|
+
if (!Number.isFinite(price) || price <= 0 || !Number.isFinite(qty) || qty <= 0 || stopLossPrice == null || !Number.isFinite(stopLossPrice) || stopLossPrice <= 0 || !Number.isFinite(takeProfitPrice) || takeProfitPrice <= 0)
|
|
2449
|
+
throw new EntrySubmissionValidationError(
|
|
2450
|
+
"ENTRY_ECONOMICS_INPUTS_UNAVAILABLE"
|
|
2451
|
+
);
|
|
2452
|
+
const side = direction === "LONG" ? 1 : -1;
|
|
2453
|
+
if (side * (price - stopLossPrice) <= 0 || side * (takeProfitPrice - price) <= 0)
|
|
2454
|
+
throw new EntrySubmissionValidationError(
|
|
2455
|
+
"INVALID_ENTRY_PROTECTION_AT_SUBMISSION"
|
|
2456
|
+
);
|
|
2457
|
+
const slippage = limits.slippageBps / 1e4;
|
|
2458
|
+
const cost = (value, sign) => value * slippage + value * (1 + sign * slippage) * limits.feeRate;
|
|
2459
|
+
const entryCost = cost(price, side);
|
|
2460
|
+
const lossPerUnit = Math.abs(price - stopLossPrice) + entryCost + cost(stopLossPrice, -side);
|
|
2461
|
+
const rewardPerUnit = Math.max(
|
|
2462
|
+
0,
|
|
2463
|
+
Math.abs(takeProfitPrice - price) - entryCost - cost(takeProfitPrice, -side)
|
|
2023
2464
|
);
|
|
2465
|
+
const netRiskRatio = rewardPerUnit / lossPerUnit;
|
|
2466
|
+
const plannedLossValue = qty * lossPerUnit;
|
|
2467
|
+
if (!Number.isFinite(netRiskRatio) || !Number.isFinite(plannedLossValue))
|
|
2468
|
+
throw new EntrySubmissionValidationError(
|
|
2469
|
+
"ENTRY_ECONOMICS_INPUTS_UNAVAILABLE"
|
|
2470
|
+
);
|
|
2471
|
+
const belowMinimumNetRiskRatio = limits.minimumNetRiskRatio != null && netRiskRatio <= limits.minimumNetRiskRatio;
|
|
2472
|
+
const riskExceeded = limits.maxLossValue != null && plannedLossValue > limits.maxLossValue * (1 + 1e-9);
|
|
2473
|
+
return {
|
|
2474
|
+
netRiskRatio,
|
|
2475
|
+
plannedLossValue,
|
|
2476
|
+
riskExceeded,
|
|
2477
|
+
belowMinimumNetRiskRatio
|
|
2478
|
+
};
|
|
2024
2479
|
};
|
|
2025
|
-
|
|
2026
|
-
|
|
2027
|
-
|
|
2028
|
-
|
|
2029
|
-
|
|
2030
|
-
|
|
2031
|
-
|
|
2032
|
-
|
|
2033
|
-
|
|
2034
|
-
|
|
2035
|
-
|
|
2036
|
-
|
|
2037
|
-
|
|
2038
|
-
|
|
2039
|
-
|
|
2040
|
-
|
|
2041
|
-
|
|
2042
|
-
|
|
2043
|
-
await ensureTsconfigPathsRegistered(cwd);
|
|
2044
|
-
return requireFn(modulePath);
|
|
2045
|
-
}
|
|
2046
|
-
if (isBareModuleSpecifier(normalized)) {
|
|
2047
|
-
await ensureTsconfigPathsRegistered(cwd);
|
|
2048
|
-
try {
|
|
2049
|
-
return requireFn(normalized);
|
|
2050
|
-
} catch (error) {
|
|
2051
|
-
const resolvedByTsconfig = await resolveTsconfigPathModule(
|
|
2052
|
-
normalized,
|
|
2053
|
-
cwd
|
|
2054
|
-
);
|
|
2055
|
-
if (resolvedByTsconfig && resolvedByTsconfig !== normalized) {
|
|
2056
|
-
return requireFn(resolvedByTsconfig);
|
|
2057
|
-
}
|
|
2058
|
-
throw error;
|
|
2059
|
-
}
|
|
2480
|
+
|
|
2481
|
+
// src/strategy/entrySubmissionValidation.ts
|
|
2482
|
+
var MAX_ENTRY_QUOTE_AGE_MS = 5e3;
|
|
2483
|
+
var toFiniteNumberOrNull = (value) => typeof value === "number" && Number.isFinite(value) ? value : null;
|
|
2484
|
+
var getOrderArrivalSnapshot = async ({
|
|
2485
|
+
connector,
|
|
2486
|
+
symbol,
|
|
2487
|
+
requireTimestamp = false
|
|
2488
|
+
}) => {
|
|
2489
|
+
if (typeof connector.getTopOfBookTicker !== "function") {
|
|
2490
|
+
return {
|
|
2491
|
+
arrivalSnapshotTime: Date.now(),
|
|
2492
|
+
arrivalSource: "unavailable",
|
|
2493
|
+
bid: null,
|
|
2494
|
+
ask: null,
|
|
2495
|
+
arrivalMid: null,
|
|
2496
|
+
spreadBps: null
|
|
2497
|
+
};
|
|
2060
2498
|
}
|
|
2061
2499
|
try {
|
|
2062
|
-
|
|
2063
|
-
|
|
2064
|
-
|
|
2065
|
-
);
|
|
2500
|
+
const ticker = await connector.getTopOfBookTicker(symbol);
|
|
2501
|
+
const arrivalSnapshotTime = toFiniteNumberOrNull(ticker?.timestamp);
|
|
2502
|
+
const timestampUnavailable = requireTimestamp && arrivalSnapshotTime == null;
|
|
2503
|
+
const bid = timestampUnavailable ? null : toFiniteNumberOrNull(ticker?.bidPrice);
|
|
2504
|
+
const ask = timestampUnavailable ? null : toFiniteNumberOrNull(ticker?.askPrice);
|
|
2505
|
+
const arrivalMid = bid != null && ask != null ? (bid + ask) / 2 : null;
|
|
2506
|
+
const spreadBps = bid != null && ask != null && arrivalMid != null && arrivalMid > 0 ? (ask - bid) / arrivalMid * 1e4 : null;
|
|
2507
|
+
return {
|
|
2508
|
+
arrivalSnapshotTime: arrivalSnapshotTime ?? Date.now(),
|
|
2509
|
+
arrivalSource: "top_of_book",
|
|
2510
|
+
bid,
|
|
2511
|
+
ask,
|
|
2512
|
+
arrivalMid,
|
|
2513
|
+
spreadBps
|
|
2514
|
+
};
|
|
2066
2515
|
} catch (error) {
|
|
2067
|
-
|
|
2068
|
-
|
|
2069
|
-
|
|
2070
|
-
|
|
2071
|
-
|
|
2072
|
-
|
|
2073
|
-
|
|
2074
|
-
|
|
2075
|
-
|
|
2076
|
-
|
|
2077
|
-
|
|
2078
|
-
|
|
2079
|
-
|
|
2080
|
-
let currentDir = import_path.default.resolve(cwd);
|
|
2081
|
-
while (true) {
|
|
2082
|
-
for (const fileName of CONFIG_FILE_NAMES) {
|
|
2083
|
-
const fullPath = import_path.default.join(currentDir, fileName);
|
|
2084
|
-
if (import_fs.default.existsSync(fullPath) && import_fs.default.statSync(fullPath).isFile()) {
|
|
2085
|
-
return fullPath;
|
|
2086
|
-
}
|
|
2087
|
-
}
|
|
2088
|
-
const parentDir = import_path.default.dirname(currentDir);
|
|
2089
|
-
if (parentDir === currentDir) {
|
|
2090
|
-
return null;
|
|
2091
|
-
}
|
|
2092
|
-
currentDir = parentDir;
|
|
2516
|
+
import_logger3.logger.warn(
|
|
2517
|
+
"runtime order arrival snapshot failed: %s %s",
|
|
2518
|
+
symbol,
|
|
2519
|
+
error?.message || String(error)
|
|
2520
|
+
);
|
|
2521
|
+
return {
|
|
2522
|
+
arrivalSnapshotTime: Date.now(),
|
|
2523
|
+
arrivalSource: "top_of_book_error",
|
|
2524
|
+
bid: null,
|
|
2525
|
+
ask: null,
|
|
2526
|
+
arrivalMid: null,
|
|
2527
|
+
spreadBps: null
|
|
2528
|
+
};
|
|
2093
2529
|
}
|
|
2094
2530
|
};
|
|
2095
|
-
var
|
|
2096
|
-
|
|
2097
|
-
|
|
2098
|
-
|
|
2531
|
+
var validateEntryProtectionAtArrival = ({
|
|
2532
|
+
direction,
|
|
2533
|
+
signalPrice,
|
|
2534
|
+
bid,
|
|
2535
|
+
ask,
|
|
2536
|
+
arrivalMid,
|
|
2537
|
+
takeProfits,
|
|
2538
|
+
stopLossPrice
|
|
2539
|
+
}) => {
|
|
2540
|
+
const entryReference = direction === "LONG" ? ask ?? arrivalMid ?? signalPrice : bid ?? arrivalMid ?? signalPrice;
|
|
2541
|
+
const stopReference = direction === "LONG" ? bid ?? arrivalMid ?? signalPrice : ask ?? arrivalMid ?? signalPrice;
|
|
2542
|
+
if (!Number.isFinite(entryReference) || entryReference <= 0 || !Number.isFinite(stopReference) || stopReference <= 0) {
|
|
2543
|
+
throw new Error("INVALID_ENTRY_REFERENCE_AT_ARRIVAL");
|
|
2099
2544
|
}
|
|
2100
|
-
|
|
2101
|
-
|
|
2102
|
-
|
|
2103
|
-
} catch {
|
|
2104
|
-
return normalized;
|
|
2545
|
+
for (const takeProfit of takeProfits) {
|
|
2546
|
+
if (!Number.isFinite(takeProfit.price) || takeProfit.price <= 0 || (direction === "LONG" ? takeProfit.price <= entryReference : takeProfit.price >= entryReference)) {
|
|
2547
|
+
throw new Error("TAKE_PROFIT_CROSSED_BEFORE_ENTRY");
|
|
2105
2548
|
}
|
|
2106
2549
|
}
|
|
2107
|
-
if (
|
|
2108
|
-
|
|
2109
|
-
}
|
|
2110
|
-
if (isRelativeModulePath(normalized)) {
|
|
2111
|
-
return import_path.default.resolve(cwd, normalized);
|
|
2550
|
+
if (stopLossPrice != null && (!Number.isFinite(stopLossPrice) || stopLossPrice <= 0 || (direction === "LONG" ? stopLossPrice >= stopReference : stopLossPrice <= stopReference))) {
|
|
2551
|
+
throw new Error("STOP_LOSS_CROSSED_BEFORE_ENTRY");
|
|
2112
2552
|
}
|
|
2113
|
-
return normalized;
|
|
2114
2553
|
};
|
|
2115
|
-
var
|
|
2116
|
-
|
|
2117
|
-
|
|
2118
|
-
|
|
2119
|
-
|
|
2120
|
-
|
|
2121
|
-
|
|
2122
|
-
|
|
2123
|
-
|
|
2124
|
-
|
|
2125
|
-
|
|
2126
|
-
|
|
2127
|
-
|
|
2128
|
-
|
|
2129
|
-
|
|
2130
|
-
|
|
2131
|
-
|
|
2554
|
+
var createEntrySubmissionValidation = ({
|
|
2555
|
+
connector,
|
|
2556
|
+
symbol,
|
|
2557
|
+
direction,
|
|
2558
|
+
takeProfits,
|
|
2559
|
+
stopLossPrice,
|
|
2560
|
+
limits,
|
|
2561
|
+
onValidated
|
|
2562
|
+
}) => {
|
|
2563
|
+
if (!limits) return void 0;
|
|
2564
|
+
if (!connector.capabilities?.orderSubmissionValidation)
|
|
2565
|
+
throw new EntrySubmissionValidationError(
|
|
2566
|
+
"ENTRY_SUBMISSION_VALIDATION_UNSUPPORTED"
|
|
2567
|
+
);
|
|
2568
|
+
return async ({ qty, executionPrice }) => {
|
|
2569
|
+
const simulated = Reflect.get(connector, "__tradejsTestConnector") === true;
|
|
2570
|
+
const snapshot2 = simulated && executionPrice != null ? {
|
|
2571
|
+
arrivalSnapshotTime: Date.now(),
|
|
2572
|
+
arrivalSource: "simulation",
|
|
2573
|
+
bid: executionPrice,
|
|
2574
|
+
ask: executionPrice,
|
|
2575
|
+
arrivalMid: executionPrice,
|
|
2576
|
+
spreadBps: 0
|
|
2577
|
+
} : await getOrderArrivalSnapshot({
|
|
2578
|
+
connector,
|
|
2579
|
+
symbol,
|
|
2580
|
+
requireTimestamp: true
|
|
2581
|
+
});
|
|
2582
|
+
const age = Date.now() - snapshot2.arrivalSnapshotTime;
|
|
2583
|
+
if (snapshot2.bid == null || snapshot2.ask == null || !Number.isFinite(snapshot2.bid) || !Number.isFinite(snapshot2.ask) || snapshot2.bid <= 0 || snapshot2.ask < snapshot2.bid)
|
|
2584
|
+
throw new EntrySubmissionValidationError(
|
|
2585
|
+
"ENTRY_QUOTE_UNAVAILABLE_AT_SUBMISSION"
|
|
2586
|
+
);
|
|
2587
|
+
if (!Number.isFinite(age) || age < -MAX_ENTRY_QUOTE_AGE_MS || age > MAX_ENTRY_QUOTE_AGE_MS)
|
|
2588
|
+
throw new EntrySubmissionValidationError(
|
|
2589
|
+
"ENTRY_QUOTE_STALE_AT_SUBMISSION"
|
|
2590
|
+
);
|
|
2591
|
+
const price = direction === "LONG" ? snapshot2.ask : snapshot2.bid;
|
|
2592
|
+
validateEntryProtectionAtArrival({
|
|
2593
|
+
direction,
|
|
2594
|
+
signalPrice: price,
|
|
2595
|
+
bid: snapshot2.bid,
|
|
2596
|
+
ask: snapshot2.ask,
|
|
2597
|
+
arrivalMid: snapshot2.arrivalMid,
|
|
2598
|
+
takeProfits,
|
|
2599
|
+
stopLossPrice
|
|
2600
|
+
});
|
|
2601
|
+
const prices = takeProfits.map((tp) => tp.price);
|
|
2602
|
+
const economics2 = validateEntryExecution({
|
|
2603
|
+
direction,
|
|
2604
|
+
price,
|
|
2605
|
+
qty,
|
|
2606
|
+
stopLossPrice,
|
|
2607
|
+
takeProfitPrice: direction === "LONG" ? Math.max(...prices) : Math.min(...prices),
|
|
2608
|
+
limits
|
|
2609
|
+
});
|
|
2610
|
+
if (economics2.belowMinimumNetRiskRatio) {
|
|
2611
|
+
import_logger3.logger.warn(
|
|
2612
|
+
"entry submission warning: %s %s ENTRY_RR_BELOW_MIN_AT_SUBMISSION (RR %s, threshold %s)",
|
|
2613
|
+
symbol,
|
|
2614
|
+
direction,
|
|
2615
|
+
economics2.netRiskRatio,
|
|
2616
|
+
limits.minimumNetRiskRatio
|
|
2617
|
+
);
|
|
2618
|
+
}
|
|
2619
|
+
onValidated?.(snapshot2, economics2);
|
|
2620
|
+
};
|
|
2621
|
+
};
|
|
2622
|
+
|
|
2623
|
+
// src/ai.ts
|
|
2624
|
+
var import_aiLanguages2 = require("@tradejs/core/aiLanguages");
|
|
2625
|
+
var import_redis3 = require("@tradejs/infra/redis");
|
|
2626
|
+
|
|
2627
|
+
// src/strategyAdapters/ai.ts
|
|
2628
|
+
var import_indicators2 = require("@tradejs/core/indicators");
|
|
2629
|
+
var import_aiFeatures = require("@tradejs/core/aiFeatures");
|
|
2630
|
+
|
|
2631
|
+
// src/aiShared.ts
|
|
2632
|
+
var MAX_AI_SERIES_POINTS = 5;
|
|
2633
|
+
var COMPACT_INDICATORS_SNAPSHOT_SYMBOL = /* @__PURE__ */ Symbol.for(
|
|
2634
|
+
"tradejs.indicators.compactSnapshot"
|
|
2635
|
+
);
|
|
2636
|
+
var COMPACT_INDICATORS_SNAPSHOT_KEY = "__tradejsCompactIndicatorsSnapshot";
|
|
2637
|
+
var trimSeriesDeep = (value) => {
|
|
2638
|
+
if (Array.isArray(value)) {
|
|
2639
|
+
const trimmed = value.slice(-MAX_AI_SERIES_POINTS);
|
|
2640
|
+
const isMatrix = trimmed.every((item) => Array.isArray(item));
|
|
2641
|
+
if (isMatrix) {
|
|
2642
|
+
return trimmed;
|
|
2132
2643
|
}
|
|
2133
|
-
return
|
|
2134
|
-
|
|
2135
|
-
import_logger2.logger.log(
|
|
2136
|
-
"warn",
|
|
2137
|
-
"Failed to load TradeJS config from %s: %s",
|
|
2138
|
-
configFilePath,
|
|
2139
|
-
String(error)
|
|
2644
|
+
return trimmed.map(
|
|
2645
|
+
(item) => item && typeof item === "object" ? trimSeriesDeep(item) : item
|
|
2140
2646
|
);
|
|
2141
|
-
cachedByCwd.set(cwd, {});
|
|
2142
|
-
return {};
|
|
2143
2647
|
}
|
|
2648
|
+
if (value && typeof value === "object") {
|
|
2649
|
+
return Object.fromEntries(
|
|
2650
|
+
Object.entries(value).map(([key, nested]) => [
|
|
2651
|
+
key,
|
|
2652
|
+
trimSeriesDeep(nested)
|
|
2653
|
+
])
|
|
2654
|
+
);
|
|
2655
|
+
}
|
|
2656
|
+
return value;
|
|
2657
|
+
};
|
|
2658
|
+
var buildCompactAiIndicatorsSnapshot = (value) => {
|
|
2659
|
+
const compactSnapshot = value && typeof value === "object" ? value[COMPACT_INDICATORS_SNAPSHOT_SYMBOL] ?? value[COMPACT_INDICATORS_SNAPSHOT_KEY] : void 0;
|
|
2660
|
+
if (typeof compactSnapshot === "function") {
|
|
2661
|
+
return compactSnapshot({ limit: MAX_AI_SERIES_POINTS });
|
|
2662
|
+
}
|
|
2663
|
+
return trimSeriesDeep(value);
|
|
2144
2664
|
};
|
|
2145
2665
|
|
|
2146
|
-
// src/
|
|
2147
|
-
var
|
|
2148
|
-
|
|
2149
|
-
|
|
2150
|
-
|
|
2151
|
-
|
|
2152
|
-
|
|
2153
|
-
|
|
2154
|
-
|
|
2155
|
-
|
|
2156
|
-
|
|
2157
|
-
|
|
2158
|
-
|
|
2666
|
+
// src/aiMarketContext.ts
|
|
2667
|
+
var toRecord = (value) => {
|
|
2668
|
+
if (!value || typeof value !== "object" || Array.isArray(value)) {
|
|
2669
|
+
return null;
|
|
2670
|
+
}
|
|
2671
|
+
return value;
|
|
2672
|
+
};
|
|
2673
|
+
var toFiniteNumber = (value) => {
|
|
2674
|
+
const numeric = typeof value === "number" ? value : typeof value === "string" && value.trim() ? Number(value) : Number.NaN;
|
|
2675
|
+
return Number.isFinite(numeric) ? numeric : null;
|
|
2676
|
+
};
|
|
2677
|
+
var roundTo = (value, decimals) => {
|
|
2678
|
+
const factor = 10 ** decimals;
|
|
2679
|
+
return Math.round(value * factor) / factor;
|
|
2680
|
+
};
|
|
2681
|
+
var buildMissingSpreadContext = () => ({
|
|
2682
|
+
source: "payload.additionalIndicators.baseContext.relative.execution.venueSpread",
|
|
2683
|
+
indicatorKey: "payload.additionalIndicators.baseContext.relative.execution.venueSpread",
|
|
2684
|
+
available: false,
|
|
2685
|
+
value: null,
|
|
2686
|
+
zScore: null,
|
|
2687
|
+
bps: null,
|
|
2688
|
+
absBps: null,
|
|
2689
|
+
bias: null,
|
|
2690
|
+
severity: null
|
|
2159
2691
|
});
|
|
2160
|
-
var
|
|
2161
|
-
|
|
2162
|
-
const
|
|
2163
|
-
|
|
2164
|
-
|
|
2165
|
-
|
|
2166
|
-
|
|
2692
|
+
var buildSpreadContextFromSignal = (signal) => {
|
|
2693
|
+
const baseContext = toRecord(signal.additionalIndicators?.baseContext);
|
|
2694
|
+
const relative = toRecord(baseContext?.relative);
|
|
2695
|
+
const execution = toRecord(relative?.execution);
|
|
2696
|
+
const spread = toFiniteNumber(execution?.venueSpread);
|
|
2697
|
+
const zScore = toFiniteNumber(execution?.venueSpreadZScore);
|
|
2698
|
+
if (spread == null) {
|
|
2699
|
+
return buildMissingSpreadContext();
|
|
2167
2700
|
}
|
|
2701
|
+
const value = roundTo(spread, 8);
|
|
2702
|
+
const bps = roundTo(value * 1e4, 2);
|
|
2703
|
+
const absBps = Math.abs(bps);
|
|
2704
|
+
const bias = absBps < 1 ? "flat" : bps > 0 ? "coinbase_premium" : "binance_premium";
|
|
2705
|
+
const severity = absBps >= 20 ? "wide" : absBps >= 5 ? "elevated" : "normal";
|
|
2168
2706
|
return {
|
|
2169
|
-
|
|
2170
|
-
|
|
2707
|
+
source: "payload.additionalIndicators.baseContext.relative.execution.venueSpread",
|
|
2708
|
+
indicatorKey: "payload.additionalIndicators.baseContext.relative.execution.venueSpread",
|
|
2709
|
+
available: true,
|
|
2710
|
+
value,
|
|
2711
|
+
zScore,
|
|
2712
|
+
bps,
|
|
2713
|
+
absBps,
|
|
2714
|
+
bias,
|
|
2715
|
+
severity
|
|
2171
2716
|
};
|
|
2172
2717
|
};
|
|
2173
|
-
var
|
|
2174
|
-
|
|
2175
|
-
|
|
2176
|
-
|
|
2177
|
-
const
|
|
2718
|
+
var buildTrueDeltaContextFromSignal = (signal) => {
|
|
2719
|
+
const baseContext = toRecord(signal.additionalIndicators?.baseContext);
|
|
2720
|
+
const participation = toRecord(baseContext?.participation);
|
|
2721
|
+
const delta = toRecord(participation?.delta);
|
|
2722
|
+
const source = String(delta?.source ?? "");
|
|
2723
|
+
const isTrueDeltaSource = source === "kline_taker_volume" || source === "agg_trades" || source === "trades";
|
|
2724
|
+
if (!delta || !isTrueDeltaSource) {
|
|
2725
|
+
return {
|
|
2726
|
+
source: source || null,
|
|
2727
|
+
available: false,
|
|
2728
|
+
buyPressurePct: null,
|
|
2729
|
+
buyVolume: null,
|
|
2730
|
+
sellVolume: null,
|
|
2731
|
+
netDelta: null,
|
|
2732
|
+
deltaPct: null,
|
|
2733
|
+
signedVolumeZScore: null
|
|
2734
|
+
};
|
|
2735
|
+
}
|
|
2178
2736
|
return {
|
|
2179
|
-
|
|
2180
|
-
|
|
2737
|
+
source,
|
|
2738
|
+
available: true,
|
|
2739
|
+
buyPressurePct: toFiniteNumber(delta.buyPressurePct),
|
|
2740
|
+
buyVolume: toFiniteNumber(delta.buyVolume),
|
|
2741
|
+
sellVolume: toFiniteNumber(delta.sellVolume),
|
|
2742
|
+
netDelta: toFiniteNumber(delta.netDelta),
|
|
2743
|
+
deltaPct: toFiniteNumber(delta.deltaPct),
|
|
2744
|
+
signedVolumeZScore: toFiniteNumber(delta.signedVolumeZScore)
|
|
2181
2745
|
};
|
|
2182
2746
|
};
|
|
2183
|
-
var
|
|
2184
|
-
|
|
2185
|
-
|
|
2186
|
-
|
|
2187
|
-
|
|
2188
|
-
|
|
2189
|
-
|
|
2190
|
-
|
|
2191
|
-
|
|
2192
|
-
|
|
2193
|
-
|
|
2747
|
+
var buildTradeFlowContextFromSignal = (signal) => {
|
|
2748
|
+
const baseContext = toRecord(signal.additionalIndicators?.baseContext);
|
|
2749
|
+
const participation = toRecord(baseContext?.participation);
|
|
2750
|
+
const tradeFlow = toRecord(participation?.tradeFlow);
|
|
2751
|
+
if (!tradeFlow) {
|
|
2752
|
+
return {
|
|
2753
|
+
source: null,
|
|
2754
|
+
available: false,
|
|
2755
|
+
interval: null,
|
|
2756
|
+
stale: null,
|
|
2757
|
+
trades: null,
|
|
2758
|
+
buyPressurePct: null,
|
|
2759
|
+
netBaseDelta: null,
|
|
2760
|
+
netQuoteDelta: null
|
|
2761
|
+
};
|
|
2194
2762
|
}
|
|
2195
|
-
return
|
|
2196
|
-
|
|
2197
|
-
|
|
2198
|
-
|
|
2199
|
-
|
|
2200
|
-
|
|
2201
|
-
|
|
2202
|
-
|
|
2763
|
+
return {
|
|
2764
|
+
source: String(tradeFlow.source ?? ""),
|
|
2765
|
+
available: true,
|
|
2766
|
+
interval: String(tradeFlow.interval ?? ""),
|
|
2767
|
+
stale: typeof tradeFlow.stale === "boolean" ? tradeFlow.stale : null,
|
|
2768
|
+
trades: toFiniteNumber(tradeFlow.trades),
|
|
2769
|
+
buyPressurePct: toFiniteNumber(tradeFlow.buyPressurePct),
|
|
2770
|
+
netBaseDelta: toFiniteNumber(tradeFlow.netBaseDelta),
|
|
2771
|
+
netQuoteDelta: toFiniteNumber(tradeFlow.netQuoteDelta)
|
|
2772
|
+
};
|
|
2203
2773
|
};
|
|
2204
|
-
var
|
|
2205
|
-
const
|
|
2206
|
-
|
|
2207
|
-
|
|
2208
|
-
)
|
|
2209
|
-
|
|
2774
|
+
var buildMarketBreadthContextFromSignal = (signal) => {
|
|
2775
|
+
const baseContext = toRecord(signal.additionalIndicators?.baseContext);
|
|
2776
|
+
const relative = toRecord(baseContext?.relative);
|
|
2777
|
+
const breadth = toRecord(relative?.marketBreadth);
|
|
2778
|
+
if (!breadth) {
|
|
2779
|
+
return {
|
|
2780
|
+
source: null,
|
|
2781
|
+
available: false,
|
|
2782
|
+
universe: null,
|
|
2783
|
+
interval: null,
|
|
2784
|
+
stale: null,
|
|
2785
|
+
symbolsCount: null,
|
|
2786
|
+
advanceDeclineRatio: null,
|
|
2787
|
+
pctAboveMa20: null,
|
|
2788
|
+
pctAboveMa50: null,
|
|
2789
|
+
equalWeightedReturn: null,
|
|
2790
|
+
volumeWeightedReturn: null,
|
|
2791
|
+
dispersion: null
|
|
2792
|
+
};
|
|
2793
|
+
}
|
|
2794
|
+
return {
|
|
2795
|
+
source: String(breadth.source ?? ""),
|
|
2796
|
+
available: true,
|
|
2797
|
+
universe: String(breadth.universe ?? ""),
|
|
2798
|
+
interval: String(breadth.interval ?? ""),
|
|
2799
|
+
stale: typeof breadth.stale === "boolean" ? breadth.stale : null,
|
|
2800
|
+
symbolsCount: toFiniteNumber(breadth.symbolsCount),
|
|
2801
|
+
advanceDeclineRatio: toFiniteNumber(breadth.advanceDeclineRatio),
|
|
2802
|
+
pctAboveMa20: toFiniteNumber(breadth.pctAboveMa20),
|
|
2803
|
+
pctAboveMa50: toFiniteNumber(breadth.pctAboveMa50),
|
|
2804
|
+
equalWeightedReturn: toFiniteNumber(breadth.equalWeightedReturn),
|
|
2805
|
+
volumeWeightedReturn: toFiniteNumber(breadth.volumeWeightedReturn),
|
|
2806
|
+
dispersion: toFiniteNumber(breadth.dispersion)
|
|
2807
|
+
};
|
|
2210
2808
|
};
|
|
2211
|
-
var
|
|
2212
|
-
const
|
|
2213
|
-
const
|
|
2214
|
-
|
|
2215
|
-
|
|
2216
|
-
const
|
|
2217
|
-
if (
|
|
2218
|
-
|
|
2219
|
-
|
|
2220
|
-
|
|
2221
|
-
|
|
2222
|
-
|
|
2223
|
-
|
|
2224
|
-
|
|
2225
|
-
|
|
2226
|
-
|
|
2227
|
-
|
|
2228
|
-
|
|
2229
|
-
|
|
2230
|
-
|
|
2231
|
-
|
|
2809
|
+
var buildMarketBreadthsContextFromSignal = (signal) => {
|
|
2810
|
+
const baseContext = toRecord(signal.additionalIndicators?.baseContext);
|
|
2811
|
+
const relative = toRecord(baseContext?.relative);
|
|
2812
|
+
const breadths = toRecord(relative?.marketBreadths);
|
|
2813
|
+
const build = (key) => {
|
|
2814
|
+
const breadth = toRecord(breadths?.[key]);
|
|
2815
|
+
if (!breadth) {
|
|
2816
|
+
return {
|
|
2817
|
+
source: null,
|
|
2818
|
+
available: false,
|
|
2819
|
+
universe: null,
|
|
2820
|
+
interval: null,
|
|
2821
|
+
stale: null,
|
|
2822
|
+
symbolsCount: null,
|
|
2823
|
+
advanceDeclineRatio: null,
|
|
2824
|
+
pctAboveMa20: null,
|
|
2825
|
+
pctAboveMa50: null,
|
|
2826
|
+
equalWeightedReturn: null,
|
|
2827
|
+
volumeWeightedReturn: null,
|
|
2828
|
+
dispersion: null
|
|
2829
|
+
};
|
|
2232
2830
|
}
|
|
2233
|
-
|
|
2234
|
-
|
|
2235
|
-
|
|
2236
|
-
|
|
2237
|
-
|
|
2238
|
-
|
|
2239
|
-
|
|
2240
|
-
|
|
2241
|
-
|
|
2242
|
-
|
|
2243
|
-
|
|
2831
|
+
return {
|
|
2832
|
+
source: String(breadth.source ?? ""),
|
|
2833
|
+
available: true,
|
|
2834
|
+
universe: String(breadth.universe ?? ""),
|
|
2835
|
+
interval: String(breadth.interval ?? ""),
|
|
2836
|
+
stale: typeof breadth.stale === "boolean" ? breadth.stale : null,
|
|
2837
|
+
symbolsCount: toFiniteNumber(breadth.symbolsCount),
|
|
2838
|
+
advanceDeclineRatio: toFiniteNumber(breadth.advanceDeclineRatio),
|
|
2839
|
+
pctAboveMa20: toFiniteNumber(breadth.pctAboveMa20),
|
|
2840
|
+
pctAboveMa50: toFiniteNumber(breadth.pctAboveMa50),
|
|
2841
|
+
equalWeightedReturn: toFiniteNumber(breadth.equalWeightedReturn),
|
|
2842
|
+
volumeWeightedReturn: toFiniteNumber(breadth.volumeWeightedReturn),
|
|
2843
|
+
dispersion: toFiniteNumber(breadth.dispersion)
|
|
2844
|
+
};
|
|
2845
|
+
};
|
|
2846
|
+
return {
|
|
2847
|
+
top5: build("top5"),
|
|
2848
|
+
top10: build("top10"),
|
|
2849
|
+
top30: build("top30"),
|
|
2850
|
+
top50: build("top50"),
|
|
2851
|
+
top100: build("top100")
|
|
2852
|
+
};
|
|
2244
2853
|
};
|
|
2245
|
-
var
|
|
2246
|
-
|
|
2247
|
-
|
|
2248
|
-
}
|
|
2249
|
-
|
|
2250
|
-
|
|
2251
|
-
|
|
2252
|
-
|
|
2253
|
-
|
|
2254
|
-
|
|
2255
|
-
|
|
2256
|
-
|
|
2257
|
-
|
|
2258
|
-
|
|
2259
|
-
|
|
2260
|
-
|
|
2261
|
-
|
|
2262
|
-
);
|
|
2854
|
+
var buildTargetVsReference = (signal, asset) => {
|
|
2855
|
+
const base = toRecord(signal.additionalIndicators?.baseContext);
|
|
2856
|
+
const relative = toRecord(base?.relative);
|
|
2857
|
+
const target = toRecord(relative?.[`targetVs${asset}`]);
|
|
2858
|
+
return {
|
|
2859
|
+
source: target ? String(target.source ?? "") : null,
|
|
2860
|
+
available: Boolean(target),
|
|
2861
|
+
ratioReturn1h: toFiniteNumber(target?.ratioReturn1h),
|
|
2862
|
+
ratioReturn4h: toFiniteNumber(target?.ratioReturn4h),
|
|
2863
|
+
ratioReturn24h: toFiniteNumber(target?.ratioReturn24h),
|
|
2864
|
+
alpha1h: toFiniteNumber(target?.[`alphaVs${asset}1h`]),
|
|
2865
|
+
alpha4h: toFiniteNumber(target?.[`alphaVs${asset}4h`]),
|
|
2866
|
+
alpha24h: toFiniteNumber(target?.[`alphaVs${asset}24h`]),
|
|
2867
|
+
beta: toFiniteNumber(target?.[`betaTo${asset}20`]),
|
|
2868
|
+
correlation: toFiniteNumber(target?.[`correlationTo${asset}20`]),
|
|
2869
|
+
ratioTrend: typeof target?.ratioTrend === "string" ? target.ratioTrend : null
|
|
2870
|
+
};
|
|
2263
2871
|
};
|
|
2264
|
-
var
|
|
2265
|
-
|
|
2266
|
-
|
|
2267
|
-
|
|
2268
|
-
|
|
2269
|
-
|
|
2270
|
-
|
|
2872
|
+
var buildTargetVsBtcContextFromSignal = (signal) => {
|
|
2873
|
+
const { alpha1h, alpha4h, alpha24h, beta, correlation, ...shared } = buildTargetVsReference(signal, "Btc");
|
|
2874
|
+
return {
|
|
2875
|
+
...shared,
|
|
2876
|
+
alphaVsBtc1h: alpha1h,
|
|
2877
|
+
alphaVsBtc4h: alpha4h,
|
|
2878
|
+
alphaVsBtc24h: alpha24h,
|
|
2879
|
+
betaToBtc20: beta,
|
|
2880
|
+
correlationToBtc20: correlation
|
|
2881
|
+
};
|
|
2271
2882
|
};
|
|
2272
|
-
var
|
|
2273
|
-
|
|
2274
|
-
|
|
2275
|
-
|
|
2276
|
-
|
|
2277
|
-
|
|
2278
|
-
|
|
2279
|
-
|
|
2883
|
+
var buildTargetVsEthContextFromSignal = (signal) => {
|
|
2884
|
+
const { alpha1h, alpha4h, alpha24h, beta, correlation, ...shared } = buildTargetVsReference(signal, "Eth");
|
|
2885
|
+
return {
|
|
2886
|
+
...shared,
|
|
2887
|
+
alphaVsEth1h: alpha1h,
|
|
2888
|
+
alphaVsEth4h: alpha4h,
|
|
2889
|
+
alphaVsEth24h: alpha24h,
|
|
2890
|
+
betaToEth20: beta,
|
|
2891
|
+
correlationToEth20: correlation
|
|
2892
|
+
};
|
|
2280
2893
|
};
|
|
2281
|
-
var
|
|
2282
|
-
|
|
2283
|
-
|
|
2284
|
-
|
|
2285
|
-
|
|
2286
|
-
const { projectRoot, state } = getStrategyRegistryState(cwd);
|
|
2287
|
-
const source = moduleName.trim();
|
|
2288
|
-
const resolvedModuleName = resolvePluginModuleSpecifier(source, projectRoot);
|
|
2289
|
-
const cacheKey = `${resolvedModuleName}\0${strategyName}`;
|
|
2290
|
-
const cached = state.strategyModuleResolutions.get(cacheKey);
|
|
2291
|
-
if (cached) return cached;
|
|
2292
|
-
const resolution = (async () => {
|
|
2293
|
-
const moduleExport = await importStrategyPluginModule(
|
|
2294
|
-
resolvedModuleName,
|
|
2295
|
-
projectRoot
|
|
2296
|
-
);
|
|
2297
|
-
const pluginDefinition = extractStrategyPluginDefinition(moduleExport);
|
|
2298
|
-
if (!pluginDefinition) {
|
|
2299
|
-
throw new Error(`${source}: export { strategyEntries } is missing`);
|
|
2300
|
-
}
|
|
2301
|
-
const issues = validateStrategyEntries(
|
|
2302
|
-
source,
|
|
2303
|
-
pluginDefinition.strategyEntries
|
|
2304
|
-
);
|
|
2305
|
-
if (issues.length > 0) {
|
|
2306
|
-
throw new Error(
|
|
2307
|
-
["Invalid TradeJS strategy module:", ...issues].join("\n")
|
|
2308
|
-
);
|
|
2309
|
-
}
|
|
2310
|
-
const entry = pluginDefinition.strategyEntries.find(
|
|
2311
|
-
(candidate) => candidate.manifest.name === strategyName
|
|
2312
|
-
);
|
|
2313
|
-
if (!entry) {
|
|
2314
|
-
throw new Error(`${source}: strategy ${strategyName} is missing`);
|
|
2315
|
-
}
|
|
2316
|
-
const factory = sharedStrategyRegistry.strategyRuntimeFactory;
|
|
2317
|
-
if (!factory) {
|
|
2318
|
-
throw new Error("Strategy runtime factory is not configured");
|
|
2319
|
-
}
|
|
2320
|
-
const manifestsByName = new Map(
|
|
2321
|
-
pluginDefinition.strategyEntries.map(
|
|
2322
|
-
(candidate) => [candidate.manifest.name, candidate.manifest]
|
|
2323
|
-
)
|
|
2324
|
-
);
|
|
2894
|
+
var buildBtcAltRegimeContextFromSignal = (signal) => {
|
|
2895
|
+
const baseContext = toRecord(signal.additionalIndicators?.baseContext);
|
|
2896
|
+
const relative = toRecord(baseContext?.relative);
|
|
2897
|
+
const btcAltRegime = toRecord(relative?.btcAltRegime);
|
|
2898
|
+
if (!btcAltRegime) {
|
|
2325
2899
|
return {
|
|
2326
|
-
|
|
2327
|
-
|
|
2328
|
-
|
|
2329
|
-
|
|
2330
|
-
|
|
2331
|
-
|
|
2332
|
-
|
|
2333
|
-
|
|
2334
|
-
|
|
2335
|
-
|
|
2336
|
-
|
|
2900
|
+
source: null,
|
|
2901
|
+
available: false,
|
|
2902
|
+
universe: null,
|
|
2903
|
+
interval: null,
|
|
2904
|
+
stale: null,
|
|
2905
|
+
regime: null,
|
|
2906
|
+
btcReturn24h: null,
|
|
2907
|
+
altBasketReturn24h: null,
|
|
2908
|
+
btcVsAltReturn24h: null,
|
|
2909
|
+
btcTurnoverShare24h: null,
|
|
2910
|
+
btcTurnoverShareChange24h: null,
|
|
2911
|
+
altVolToBtcVol24h: null,
|
|
2912
|
+
altDispersion24h: null
|
|
2337
2913
|
};
|
|
2338
|
-
})();
|
|
2339
|
-
state.strategyModuleResolutions.set(cacheKey, resolution);
|
|
2340
|
-
try {
|
|
2341
|
-
return await resolution;
|
|
2342
|
-
} catch (error) {
|
|
2343
|
-
state.strategyModuleResolutions.delete(cacheKey);
|
|
2344
|
-
throw error;
|
|
2345
2914
|
}
|
|
2915
|
+
return {
|
|
2916
|
+
source: String(btcAltRegime.source ?? ""),
|
|
2917
|
+
available: true,
|
|
2918
|
+
universe: String(btcAltRegime.universe ?? ""),
|
|
2919
|
+
interval: String(btcAltRegime.interval ?? ""),
|
|
2920
|
+
stale: typeof btcAltRegime.stale === "boolean" ? btcAltRegime.stale : null,
|
|
2921
|
+
regime: typeof btcAltRegime.regime === "string" ? btcAltRegime.regime : null,
|
|
2922
|
+
btcReturn24h: toFiniteNumber(btcAltRegime.btcReturn24h),
|
|
2923
|
+
altBasketReturn24h: toFiniteNumber(btcAltRegime.altBasketReturn24h),
|
|
2924
|
+
btcVsAltReturn24h: toFiniteNumber(btcAltRegime.btcVsAltReturn24h),
|
|
2925
|
+
btcTurnoverShare24h: toFiniteNumber(btcAltRegime.btcTurnoverShare24h),
|
|
2926
|
+
btcTurnoverShareChange24h: toFiniteNumber(
|
|
2927
|
+
btcAltRegime.btcTurnoverShareChange24h
|
|
2928
|
+
),
|
|
2929
|
+
altVolToBtcVol24h: toFiniteNumber(btcAltRegime.altVolToBtcVol24h),
|
|
2930
|
+
altDispersion24h: toFiniteNumber(btcAltRegime.altDispersion24h)
|
|
2931
|
+
};
|
|
2346
2932
|
};
|
|
2347
|
-
var
|
|
2348
|
-
const
|
|
2349
|
-
|
|
2350
|
-
|
|
2351
|
-
|
|
2352
|
-
|
|
2353
|
-
|
|
2354
|
-
|
|
2355
|
-
|
|
2356
|
-
|
|
2357
|
-
|
|
2358
|
-
|
|
2359
|
-
|
|
2360
|
-
|
|
2361
|
-
|
|
2362
|
-
|
|
2363
|
-
|
|
2364
|
-
|
|
2365
|
-
|
|
2366
|
-
|
|
2367
|
-
|
|
2368
|
-
|
|
2369
|
-
|
|
2370
|
-
|
|
2371
|
-
|
|
2372
|
-
|
|
2373
|
-
|
|
2374
|
-
|
|
2375
|
-
issues.push(
|
|
2376
|
-
`${moduleName}: export { strategyEntries } is missing`
|
|
2377
|
-
);
|
|
2378
|
-
} else {
|
|
2379
|
-
const entryIssues = validateStrategyEntries(
|
|
2380
|
-
moduleName,
|
|
2381
|
-
pluginDefinition.strategyEntries,
|
|
2382
|
-
state
|
|
2383
|
-
);
|
|
2384
|
-
issues.push(...entryIssues);
|
|
2385
|
-
if (entryIssues.length === 0) {
|
|
2386
|
-
registerEntries(
|
|
2387
|
-
pluginDefinition.strategyEntries,
|
|
2388
|
-
moduleName,
|
|
2389
|
-
state
|
|
2390
|
-
);
|
|
2391
|
-
}
|
|
2392
|
-
}
|
|
2393
|
-
}
|
|
2394
|
-
if (indicatorSet.has(moduleName)) {
|
|
2395
|
-
const indicatorPluginDefinition = extractIndicatorPluginDefinition(moduleExport);
|
|
2396
|
-
if (!indicatorPluginDefinition) {
|
|
2397
|
-
issues.push(
|
|
2398
|
-
`${moduleName}: export { indicatorEntries } is missing`
|
|
2399
|
-
);
|
|
2400
|
-
} else {
|
|
2401
|
-
(0, import_indicators.registerIndicatorEntries)(
|
|
2402
|
-
indicatorPluginDefinition.indicatorEntries,
|
|
2403
|
-
moduleName,
|
|
2404
|
-
projectRoot
|
|
2405
|
-
);
|
|
2406
|
-
}
|
|
2407
|
-
}
|
|
2408
|
-
if (!strategySet.has(moduleName) && !indicatorSet.has(moduleName)) {
|
|
2409
|
-
issues.push(`${moduleName}: plugin is not declared in config`);
|
|
2410
|
-
}
|
|
2411
|
-
} catch (error) {
|
|
2412
|
-
issues.push(`${moduleName}: failed to import: ${String(error)}`);
|
|
2413
|
-
}
|
|
2414
|
-
}
|
|
2415
|
-
if (issues.length > 0) {
|
|
2416
|
-
throw new Error(
|
|
2417
|
-
["Invalid TradeJS plugin catalog:", ...issues].join("\n")
|
|
2418
|
-
);
|
|
2419
|
-
}
|
|
2420
|
-
})();
|
|
2933
|
+
var buildCmcGlobalContextFromSignal = (signal) => {
|
|
2934
|
+
const baseContext = toRecord(signal.additionalIndicators?.baseContext);
|
|
2935
|
+
const relative = toRecord(baseContext?.relative);
|
|
2936
|
+
const cmcGlobal = toRecord(relative?.cmcGlobal);
|
|
2937
|
+
if (!cmcGlobal) {
|
|
2938
|
+
return {
|
|
2939
|
+
source: null,
|
|
2940
|
+
available: false,
|
|
2941
|
+
interval: null,
|
|
2942
|
+
asOfTs: null,
|
|
2943
|
+
stale: null,
|
|
2944
|
+
totalMarketCapUsd: null,
|
|
2945
|
+
totalVolumeUsd: null,
|
|
2946
|
+
totalVolumeReportedUsd: null,
|
|
2947
|
+
altMarketCapUsd: null,
|
|
2948
|
+
altVolumeUsd: null,
|
|
2949
|
+
altVolumeReportedUsd: null,
|
|
2950
|
+
btcDominancePct: null,
|
|
2951
|
+
ethDominancePct: null,
|
|
2952
|
+
btcDominanceChange24hPct: null,
|
|
2953
|
+
ethDominanceChange24hPct: null,
|
|
2954
|
+
altMarketCapChange24hPct: null,
|
|
2955
|
+
altVolumeChange24hPct: null,
|
|
2956
|
+
activeCryptocurrencies: null,
|
|
2957
|
+
activeExchanges: null,
|
|
2958
|
+
activeMarketPairs: null,
|
|
2959
|
+
altLiquidityRegime: null
|
|
2960
|
+
};
|
|
2421
2961
|
}
|
|
2422
|
-
|
|
2962
|
+
return {
|
|
2963
|
+
source: String(cmcGlobal.source ?? ""),
|
|
2964
|
+
available: true,
|
|
2965
|
+
interval: typeof cmcGlobal.interval === "string" ? cmcGlobal.interval : null,
|
|
2966
|
+
asOfTs: toFiniteNumber(cmcGlobal.asOfTs),
|
|
2967
|
+
stale: typeof cmcGlobal.stale === "boolean" ? cmcGlobal.stale : null,
|
|
2968
|
+
totalMarketCapUsd: toFiniteNumber(cmcGlobal.totalMarketCapUsd),
|
|
2969
|
+
totalVolumeUsd: toFiniteNumber(cmcGlobal.totalVolumeUsd),
|
|
2970
|
+
totalVolumeReportedUsd: toFiniteNumber(cmcGlobal.totalVolumeReportedUsd),
|
|
2971
|
+
altMarketCapUsd: toFiniteNumber(cmcGlobal.altMarketCapUsd),
|
|
2972
|
+
altVolumeUsd: toFiniteNumber(cmcGlobal.altVolumeUsd),
|
|
2973
|
+
altVolumeReportedUsd: toFiniteNumber(cmcGlobal.altVolumeReportedUsd),
|
|
2974
|
+
btcDominancePct: toFiniteNumber(cmcGlobal.btcDominancePct),
|
|
2975
|
+
ethDominancePct: toFiniteNumber(cmcGlobal.ethDominancePct),
|
|
2976
|
+
btcDominanceChange24hPct: toFiniteNumber(
|
|
2977
|
+
cmcGlobal.btcDominanceChange24hPct
|
|
2978
|
+
),
|
|
2979
|
+
ethDominanceChange24hPct: toFiniteNumber(
|
|
2980
|
+
cmcGlobal.ethDominanceChange24hPct
|
|
2981
|
+
),
|
|
2982
|
+
altMarketCapChange24hPct: toFiniteNumber(
|
|
2983
|
+
cmcGlobal.altMarketCapChange24hPct
|
|
2984
|
+
),
|
|
2985
|
+
altVolumeChange24hPct: toFiniteNumber(cmcGlobal.altVolumeChange24hPct),
|
|
2986
|
+
activeCryptocurrencies: toFiniteNumber(cmcGlobal.activeCryptocurrencies),
|
|
2987
|
+
activeExchanges: toFiniteNumber(cmcGlobal.activeExchanges),
|
|
2988
|
+
activeMarketPairs: toFiniteNumber(cmcGlobal.activeMarketPairs),
|
|
2989
|
+
altLiquidityRegime: typeof cmcGlobal.altLiquidityRegime === "string" ? cmcGlobal.altLiquidityRegime : null
|
|
2990
|
+
};
|
|
2423
2991
|
};
|
|
2424
|
-
var
|
|
2425
|
-
|
|
2426
|
-
|
|
2427
|
-
|
|
2992
|
+
var buildCmcReferenceAssetsContextFromSignal = (signal) => {
|
|
2993
|
+
const baseContext = toRecord(signal.additionalIndicators?.baseContext);
|
|
2994
|
+
const relative = toRecord(baseContext?.relative);
|
|
2995
|
+
const cmcReferenceAssets = toRecord(relative?.cmcReferenceAssets);
|
|
2996
|
+
if (!cmcReferenceAssets) {
|
|
2997
|
+
return {
|
|
2998
|
+
source: null,
|
|
2999
|
+
available: false,
|
|
3000
|
+
interval: null,
|
|
3001
|
+
asOfTs: null,
|
|
3002
|
+
stale: null,
|
|
3003
|
+
btcMarketCapUsd: null,
|
|
3004
|
+
ethMarketCapUsd: null,
|
|
3005
|
+
btcVolumeUsd: null,
|
|
3006
|
+
ethVolumeUsd: null,
|
|
3007
|
+
btcVolumeToMarketCap: null,
|
|
3008
|
+
ethVolumeToMarketCap: null,
|
|
3009
|
+
ethBtcMarketCapRatio: null,
|
|
3010
|
+
ethBtcMarketCapRatioChange24hPct: null,
|
|
3011
|
+
ethVsBtcVolumeRatio: null,
|
|
3012
|
+
referenceLiquidityRegime: null
|
|
3013
|
+
};
|
|
2428
3014
|
}
|
|
2429
|
-
|
|
2430
|
-
|
|
2431
|
-
|
|
3015
|
+
return {
|
|
3016
|
+
source: String(cmcReferenceAssets.source ?? ""),
|
|
3017
|
+
available: true,
|
|
3018
|
+
interval: typeof cmcReferenceAssets.interval === "string" ? cmcReferenceAssets.interval : null,
|
|
3019
|
+
asOfTs: toFiniteNumber(cmcReferenceAssets.asOfTs),
|
|
3020
|
+
stale: typeof cmcReferenceAssets.stale === "boolean" ? cmcReferenceAssets.stale : null,
|
|
3021
|
+
btcMarketCapUsd: toFiniteNumber(cmcReferenceAssets.btcMarketCapUsd),
|
|
3022
|
+
ethMarketCapUsd: toFiniteNumber(cmcReferenceAssets.ethMarketCapUsd),
|
|
3023
|
+
btcVolumeUsd: toFiniteNumber(cmcReferenceAssets.btcVolumeUsd),
|
|
3024
|
+
ethVolumeUsd: toFiniteNumber(cmcReferenceAssets.ethVolumeUsd),
|
|
3025
|
+
btcVolumeToMarketCap: toFiniteNumber(
|
|
3026
|
+
cmcReferenceAssets.btcVolumeToMarketCap
|
|
3027
|
+
),
|
|
3028
|
+
ethVolumeToMarketCap: toFiniteNumber(
|
|
3029
|
+
cmcReferenceAssets.ethVolumeToMarketCap
|
|
3030
|
+
),
|
|
3031
|
+
ethBtcMarketCapRatio: toFiniteNumber(
|
|
3032
|
+
cmcReferenceAssets.ethBtcMarketCapRatio
|
|
3033
|
+
),
|
|
3034
|
+
ethBtcMarketCapRatioChange24hPct: toFiniteNumber(
|
|
3035
|
+
cmcReferenceAssets.ethBtcMarketCapRatioChange24hPct
|
|
3036
|
+
),
|
|
3037
|
+
ethVsBtcVolumeRatio: toFiniteNumber(cmcReferenceAssets.ethVsBtcVolumeRatio),
|
|
3038
|
+
referenceLiquidityRegime: typeof cmcReferenceAssets.referenceLiquidityRegime === "string" ? cmcReferenceAssets.referenceLiquidityRegime : null
|
|
3039
|
+
};
|
|
2432
3040
|
};
|
|
2433
|
-
var
|
|
2434
|
-
|
|
2435
|
-
|
|
2436
|
-
|
|
3041
|
+
var buildCmcExchangeLiquidityContextFromSignal = (signal) => {
|
|
3042
|
+
const baseContext = toRecord(signal.additionalIndicators?.baseContext);
|
|
3043
|
+
const relative = toRecord(baseContext?.relative);
|
|
3044
|
+
const cmcExchangeLiquidity = toRecord(relative?.cmcExchangeLiquidity);
|
|
3045
|
+
if (!cmcExchangeLiquidity) {
|
|
3046
|
+
return {
|
|
3047
|
+
source: null,
|
|
3048
|
+
available: false,
|
|
3049
|
+
interval: null,
|
|
3050
|
+
asOfTs: null,
|
|
3051
|
+
stale: null,
|
|
3052
|
+
exchangesCount: null,
|
|
3053
|
+
totalVolumeUsd: null,
|
|
3054
|
+
totalVolumeChange24hPct: null,
|
|
3055
|
+
binanceVolumeUsd: null,
|
|
3056
|
+
binanceVolumeShare: null,
|
|
3057
|
+
topExchangeVolumeShare: null,
|
|
3058
|
+
liquidityRegime: null
|
|
3059
|
+
};
|
|
2437
3060
|
}
|
|
2438
|
-
|
|
2439
|
-
|
|
2440
|
-
|
|
3061
|
+
return {
|
|
3062
|
+
source: String(cmcExchangeLiquidity.source ?? ""),
|
|
3063
|
+
available: true,
|
|
3064
|
+
interval: typeof cmcExchangeLiquidity.interval === "string" ? cmcExchangeLiquidity.interval : null,
|
|
3065
|
+
asOfTs: toFiniteNumber(cmcExchangeLiquidity.asOfTs),
|
|
3066
|
+
stale: typeof cmcExchangeLiquidity.stale === "boolean" ? cmcExchangeLiquidity.stale : null,
|
|
3067
|
+
exchangesCount: toFiniteNumber(cmcExchangeLiquidity.exchangesCount),
|
|
3068
|
+
totalVolumeUsd: toFiniteNumber(cmcExchangeLiquidity.totalVolumeUsd),
|
|
3069
|
+
totalVolumeChange24hPct: toFiniteNumber(
|
|
3070
|
+
cmcExchangeLiquidity.totalVolumeChange24hPct
|
|
3071
|
+
),
|
|
3072
|
+
binanceVolumeUsd: toFiniteNumber(cmcExchangeLiquidity.binanceVolumeUsd),
|
|
3073
|
+
binanceVolumeShare: toFiniteNumber(cmcExchangeLiquidity.binanceVolumeShare),
|
|
3074
|
+
topExchangeVolumeShare: toFiniteNumber(
|
|
3075
|
+
cmcExchangeLiquidity.topExchangeVolumeShare
|
|
3076
|
+
),
|
|
3077
|
+
liquidityRegime: typeof cmcExchangeLiquidity.liquidityRegime === "string" ? cmcExchangeLiquidity.liquidityRegime : null
|
|
3078
|
+
};
|
|
2441
3079
|
};
|
|
2442
|
-
var
|
|
2443
|
-
|
|
2444
|
-
|
|
2445
|
-
|
|
3080
|
+
var buildCmcFearGreedContextFromSignal = (signal) => {
|
|
3081
|
+
const baseContext = toRecord(signal.additionalIndicators?.baseContext);
|
|
3082
|
+
const relative = toRecord(baseContext?.relative);
|
|
3083
|
+
const cmcFearGreed = toRecord(relative?.cmcFearGreed);
|
|
3084
|
+
if (!cmcFearGreed) {
|
|
3085
|
+
return {
|
|
3086
|
+
source: null,
|
|
3087
|
+
available: false,
|
|
3088
|
+
interval: null,
|
|
3089
|
+
asOfTs: null,
|
|
3090
|
+
stale: null,
|
|
3091
|
+
value: null,
|
|
3092
|
+
valueChange24h: null,
|
|
3093
|
+
valueChange7d: null,
|
|
3094
|
+
classification: null,
|
|
3095
|
+
sentimentRegime: null
|
|
3096
|
+
};
|
|
2446
3097
|
}
|
|
2447
|
-
|
|
2448
|
-
|
|
2449
|
-
|
|
3098
|
+
return {
|
|
3099
|
+
source: String(cmcFearGreed.source ?? ""),
|
|
3100
|
+
available: true,
|
|
3101
|
+
interval: typeof cmcFearGreed.interval === "string" ? cmcFearGreed.interval : null,
|
|
3102
|
+
asOfTs: toFiniteNumber(cmcFearGreed.asOfTs),
|
|
3103
|
+
stale: typeof cmcFearGreed.stale === "boolean" ? cmcFearGreed.stale : null,
|
|
3104
|
+
value: toFiniteNumber(cmcFearGreed.value),
|
|
3105
|
+
valueChange24h: toFiniteNumber(cmcFearGreed.valueChange24h),
|
|
3106
|
+
valueChange7d: toFiniteNumber(cmcFearGreed.valueChange7d),
|
|
3107
|
+
classification: typeof cmcFearGreed.classification === "string" ? cmcFearGreed.classification : null,
|
|
3108
|
+
sentimentRegime: typeof cmcFearGreed.sentimentRegime === "string" ? cmcFearGreed.sentimentRegime : null
|
|
3109
|
+
};
|
|
2450
3110
|
};
|
|
2451
|
-
var
|
|
2452
|
-
|
|
2453
|
-
|
|
3111
|
+
var buildCmcIndexesContextFromSignal = (signal) => {
|
|
3112
|
+
const baseContext = toRecord(signal.additionalIndicators?.baseContext);
|
|
3113
|
+
const relative = toRecord(baseContext?.relative);
|
|
3114
|
+
const cmcIndexes = toRecord(relative?.cmcIndexes);
|
|
3115
|
+
if (!cmcIndexes) {
|
|
3116
|
+
return {
|
|
3117
|
+
source: null,
|
|
3118
|
+
available: false,
|
|
3119
|
+
interval: null,
|
|
3120
|
+
asOfTs: null,
|
|
3121
|
+
stale: null,
|
|
3122
|
+
cmc100Value: null,
|
|
3123
|
+
cmc100Change24hPct: null,
|
|
3124
|
+
cmc100TopConstituentSymbol: null,
|
|
3125
|
+
cmc100TopConstituentWeightPct: null,
|
|
3126
|
+
cmc20Value: null,
|
|
3127
|
+
cmc20Change24hPct: null,
|
|
3128
|
+
cmc20TopConstituentSymbol: null,
|
|
3129
|
+
cmc20TopConstituentWeightPct: null,
|
|
3130
|
+
cmc20ToCmc100Ratio: null,
|
|
3131
|
+
cmc20ToCmc100RatioChange24hPct: null,
|
|
3132
|
+
indexRegime: null
|
|
3133
|
+
};
|
|
2454
3134
|
}
|
|
2455
|
-
|
|
2456
|
-
|
|
3135
|
+
return {
|
|
3136
|
+
source: String(cmcIndexes.source ?? ""),
|
|
3137
|
+
available: true,
|
|
3138
|
+
interval: typeof cmcIndexes.interval === "string" ? cmcIndexes.interval : null,
|
|
3139
|
+
asOfTs: toFiniteNumber(cmcIndexes.asOfTs),
|
|
3140
|
+
stale: typeof cmcIndexes.stale === "boolean" ? cmcIndexes.stale : null,
|
|
3141
|
+
cmc100Value: toFiniteNumber(cmcIndexes.cmc100Value),
|
|
3142
|
+
cmc100Change24hPct: toFiniteNumber(cmcIndexes.cmc100Change24hPct),
|
|
3143
|
+
cmc100TopConstituentSymbol: typeof cmcIndexes.cmc100TopConstituentSymbol === "string" ? cmcIndexes.cmc100TopConstituentSymbol : null,
|
|
3144
|
+
cmc100TopConstituentWeightPct: toFiniteNumber(
|
|
3145
|
+
cmcIndexes.cmc100TopConstituentWeightPct
|
|
3146
|
+
),
|
|
3147
|
+
cmc20Value: toFiniteNumber(cmcIndexes.cmc20Value),
|
|
3148
|
+
cmc20Change24hPct: toFiniteNumber(cmcIndexes.cmc20Change24hPct),
|
|
3149
|
+
cmc20TopConstituentSymbol: typeof cmcIndexes.cmc20TopConstituentSymbol === "string" ? cmcIndexes.cmc20TopConstituentSymbol : null,
|
|
3150
|
+
cmc20TopConstituentWeightPct: toFiniteNumber(
|
|
3151
|
+
cmcIndexes.cmc20TopConstituentWeightPct
|
|
3152
|
+
),
|
|
3153
|
+
cmc20ToCmc100Ratio: toFiniteNumber(cmcIndexes.cmc20ToCmc100Ratio),
|
|
3154
|
+
cmc20ToCmc100RatioChange24hPct: toFiniteNumber(
|
|
3155
|
+
cmcIndexes.cmc20ToCmc100RatioChange24hPct
|
|
3156
|
+
),
|
|
3157
|
+
indexRegime: typeof cmcIndexes.indexRegime === "string" ? cmcIndexes.indexRegime : null
|
|
3158
|
+
};
|
|
3159
|
+
};
|
|
3160
|
+
var buildReferenceTradeFlowContextFromSignal = (signal) => {
|
|
3161
|
+
const baseContext = toRecord(signal.additionalIndicators?.baseContext);
|
|
3162
|
+
const relative = toRecord(baseContext?.relative);
|
|
3163
|
+
const refs = toRecord(relative?.referenceTradeFlow);
|
|
3164
|
+
const primaryReferenceSymbol = typeof refs?.primaryReferenceSymbol === "string" ? refs.primaryReferenceSymbol : null;
|
|
3165
|
+
const tradeFlowBySymbol = toRecord(refs?.tradeFlowBySymbol);
|
|
3166
|
+
const primaryTradeFlow = primaryReferenceSymbol != null ? toRecord(tradeFlowBySymbol?.[primaryReferenceSymbol]) : null;
|
|
3167
|
+
if (!refs) {
|
|
3168
|
+
return {
|
|
3169
|
+
source: null,
|
|
3170
|
+
available: false,
|
|
3171
|
+
primaryReferenceSymbol: null,
|
|
3172
|
+
referenceSymbols: [],
|
|
3173
|
+
primaryTradeFlowBuyPressurePct: null,
|
|
3174
|
+
primaryTradeFlowStale: null
|
|
3175
|
+
};
|
|
3176
|
+
}
|
|
3177
|
+
return {
|
|
3178
|
+
source: String(refs.source ?? ""),
|
|
3179
|
+
available: true,
|
|
3180
|
+
primaryReferenceSymbol,
|
|
3181
|
+
referenceSymbols: Array.isArray(refs.referenceSymbols) ? refs.referenceSymbols.map(String) : [],
|
|
3182
|
+
primaryTradeFlowBuyPressurePct: toFiniteNumber(
|
|
3183
|
+
primaryTradeFlow?.buyPressurePct
|
|
3184
|
+
),
|
|
3185
|
+
primaryTradeFlowStale: typeof primaryTradeFlow?.stale === "boolean" ? primaryTradeFlow.stale : null
|
|
3186
|
+
};
|
|
2457
3187
|
};
|
|
2458
|
-
var
|
|
2459
|
-
{
|
|
2460
|
-
|
|
2461
|
-
|
|
2462
|
-
|
|
2463
|
-
|
|
2464
|
-
|
|
2465
|
-
|
|
2466
|
-
|
|
2467
|
-
|
|
2468
|
-
|
|
2469
|
-
|
|
2470
|
-
|
|
2471
|
-
|
|
2472
|
-
|
|
2473
|
-
|
|
3188
|
+
var buildAiMarketContext = (signal) => ({
|
|
3189
|
+
execution: {
|
|
3190
|
+
binanceCoinbaseSpread: buildSpreadContextFromSignal(signal)
|
|
3191
|
+
},
|
|
3192
|
+
participation: {
|
|
3193
|
+
trueDelta: buildTrueDeltaContextFromSignal(signal),
|
|
3194
|
+
tradeFlow: buildTradeFlowContextFromSignal(signal)
|
|
3195
|
+
},
|
|
3196
|
+
relative: {
|
|
3197
|
+
marketBreadth: buildMarketBreadthContextFromSignal(signal),
|
|
3198
|
+
marketBreadths: buildMarketBreadthsContextFromSignal(signal),
|
|
3199
|
+
targetVsBtc: buildTargetVsBtcContextFromSignal(signal),
|
|
3200
|
+
targetVsEth: buildTargetVsEthContextFromSignal(signal),
|
|
3201
|
+
btcAltRegime: buildBtcAltRegimeContextFromSignal(signal),
|
|
3202
|
+
cmcGlobal: buildCmcGlobalContextFromSignal(signal),
|
|
3203
|
+
cmcReferenceAssets: buildCmcReferenceAssetsContextFromSignal(signal),
|
|
3204
|
+
cmcExchangeLiquidity: buildCmcExchangeLiquidityContextFromSignal(signal),
|
|
3205
|
+
cmcFearGreed: buildCmcFearGreedContextFromSignal(signal),
|
|
3206
|
+
cmcIndexes: buildCmcIndexesContextFromSignal(signal),
|
|
3207
|
+
referenceTradeFlow: buildReferenceTradeFlowContextFromSignal(signal)
|
|
2474
3208
|
}
|
|
2475
|
-
);
|
|
3209
|
+
});
|
|
2476
3210
|
|
|
2477
3211
|
// src/strategy/policyProfiles.ts
|
|
2478
3212
|
var profileMatches = (profile, universe, assetClass) => {
|
|
@@ -2574,12 +3308,61 @@ var buildBaseAiPayload = (signal) => {
|
|
|
2574
3308
|
};
|
|
2575
3309
|
};
|
|
2576
3310
|
var defaultAiAdapter = {};
|
|
3311
|
+
var tickerProfileFeatureIds = new Set(
|
|
3312
|
+
import_aiFeatures.TICKER_PROFILE_AI_FEATURES.map(({ id }) => id)
|
|
3313
|
+
);
|
|
2577
3314
|
var getStrategyAiAdapter = (strategy, profileId) => getStrategyProfileAiAdapter(getStrategyManifest(strategy), profileId) ?? defaultAiAdapter;
|
|
2578
3315
|
var getSignalAiAdapter = (signal) => getStrategyAiAdapter(signal.strategy, signal.policyProfileId);
|
|
2579
3316
|
var buildAiPayloadByStrategy = (signal) => {
|
|
2580
3317
|
const basePayload = buildBaseAiPayload(signal);
|
|
2581
3318
|
const adapter = getSignalAiAdapter(signal);
|
|
2582
|
-
|
|
3319
|
+
const payload = adapter.buildPayload?.({ signal, basePayload }) ?? basePayload;
|
|
3320
|
+
const custom = getStrategyManifest(signal.strategy)?.aiFeatures ?? [];
|
|
3321
|
+
const frozen = signal.aiFeatureReplay?.snapshot;
|
|
3322
|
+
if (frozen) (0, import_aiFeatures.validateAiFeatureSnapshot)(frozen);
|
|
3323
|
+
const tickerProfile = signal.additionalIndicators?.tickerProfile ?? signal.additionalIndicators?.baseContext?.tickerProfile;
|
|
3324
|
+
const hasProfile = Boolean(
|
|
3325
|
+
tickerProfile || frozen?.definitions.some(({ id }) => tickerProfileFeatureIds.has(id))
|
|
3326
|
+
);
|
|
3327
|
+
const indicatorFeatures = (0, import_indicators2.getRegisteredIndicatorEntries)(
|
|
3328
|
+
getTradejsProjectCwd()
|
|
3329
|
+
).flatMap((entry) => entry.indicator.enabled ? entry.aiFeatures ?? [] : []);
|
|
3330
|
+
const hasPortfolio = Boolean(
|
|
3331
|
+
signal.additionalIndicators?.portfolioContext || frozen?.definitions.some(
|
|
3332
|
+
({ id }) => import_aiFeatures.PORTFOLIO_AI_FEATURES.some((d) => d.id === id)
|
|
3333
|
+
)
|
|
3334
|
+
);
|
|
3335
|
+
const definitions = [
|
|
3336
|
+
...hasPortfolio ? import_aiFeatures.PORTFOLIO_AI_FEATURES : [],
|
|
3337
|
+
...hasProfile ? import_aiFeatures.TICKER_PROFILE_AI_FEATURES : [],
|
|
3338
|
+
...indicatorFeatures,
|
|
3339
|
+
...custom
|
|
3340
|
+
];
|
|
3341
|
+
if (!definitions.length && !signal.aiFeatureReplay?.snapshot) return payload;
|
|
3342
|
+
(0, import_aiFeatures.validateAiFeatureDefinitions)(definitions);
|
|
3343
|
+
if (signal.aiFeatureReplay && !frozen) {
|
|
3344
|
+
throw new Error(
|
|
3345
|
+
"Dataset has no frozen AI features; regenerate the decision-time export"
|
|
3346
|
+
);
|
|
3347
|
+
}
|
|
3348
|
+
if (frozen && JSON.stringify(frozen.definitions) !== JSON.stringify(definitions)) {
|
|
3349
|
+
throw new Error(
|
|
3350
|
+
"AI feature definition changed; regenerate the decision-time export"
|
|
3351
|
+
);
|
|
3352
|
+
}
|
|
3353
|
+
return {
|
|
3354
|
+
...payload,
|
|
3355
|
+
featureSnapshot: frozen ?? (0, import_aiFeatures.projectAiFeatures)(definitions, {
|
|
3356
|
+
signal: tickerProfile ? {
|
|
3357
|
+
...signal,
|
|
3358
|
+
additionalIndicators: {
|
|
3359
|
+
...signal.additionalIndicators,
|
|
3360
|
+
tickerProfile
|
|
3361
|
+
}
|
|
3362
|
+
} : signal,
|
|
3363
|
+
payload
|
|
3364
|
+
})
|
|
3365
|
+
};
|
|
2583
3366
|
};
|
|
2584
3367
|
var buildAiSystemPromptAddonByStrategy = (signal) => getSignalAiAdapter(signal).buildSystemPromptAddon?.({ signal }) ?? "";
|
|
2585
3368
|
var buildAiHumanPromptAddonByStrategy = (signal, payload) => getSignalAiAdapter(signal).buildHumanPromptAddon?.({
|
|
@@ -2988,357 +3771,109 @@ var runAiPrompt = async ({ systemPrompt, humanPrompt }, options = {}) => {
|
|
|
2988
3771
|
const response = await invokeAiPromptChat({
|
|
2989
3772
|
userName: options.userName,
|
|
2990
3773
|
model: options.model,
|
|
2991
|
-
messages: [
|
|
2992
|
-
{ role: "system", content: systemPrompt },
|
|
2993
|
-
{
|
|
2994
|
-
role: "system",
|
|
2995
|
-
content: `Write all user-visible text fields in ${responseLanguage}. Keep field names and JSON syntax unchanged.`
|
|
2996
|
-
},
|
|
2997
|
-
{ role: "user", content: humanPrompt }
|
|
2998
|
-
]
|
|
2999
|
-
});
|
|
3000
|
-
const parsed = parseAIResponse(response.content);
|
|
3001
|
-
const normalized = normalizeAnalysis(parsed);
|
|
3002
|
-
if (!options.signal) {
|
|
3003
|
-
return normalized;
|
|
3004
|
-
}
|
|
3005
|
-
return postProcessAiAnalysisByStrategy(
|
|
3006
|
-
options.signal,
|
|
3007
|
-
normalized,
|
|
3008
|
-
options.payload
|
|
3009
|
-
);
|
|
3010
|
-
};
|
|
3011
|
-
var runAiPromptLocal = async (signal, options = {}) => {
|
|
3012
|
-
const payload = options.payload ?? buildAiPayload(signal);
|
|
3013
|
-
const gateContext = getDeterministicAiGateContext(payload);
|
|
3014
|
-
const signalDirection = getSignalDirection(signal);
|
|
3015
|
-
const deterministicQuality = getDeterministicQuality(gateContext);
|
|
3016
|
-
const approvalAllowedNow = typeof gateContext?.approvalAllowedNow === "boolean" ? gateContext.approvalAllowedNow : deterministicQuality >= 4;
|
|
3017
|
-
return postProcessLocalAiAnalysisByStrategy(
|
|
3018
|
-
signal,
|
|
3019
|
-
{
|
|
3020
|
-
direction: approvalAllowedNow ? signalDirection : null,
|
|
3021
|
-
quality: deterministicQuality,
|
|
3022
|
-
needRetest: !approvalAllowedNow,
|
|
3023
|
-
retestPrice: null,
|
|
3024
|
-
takeProfitPrice: approvalAllowedNow ? signal.prices?.takeProfitPrice ?? null : null,
|
|
3025
|
-
stopLossPrice: approvalAllowedNow ? signal.prices?.stopLossPrice ?? null : null
|
|
3026
|
-
},
|
|
3027
|
-
payload
|
|
3028
|
-
);
|
|
3029
|
-
};
|
|
3030
|
-
var askAI = async (signal, options = {}) => {
|
|
3031
|
-
const { symbol } = signal;
|
|
3032
|
-
const payload = buildAiPayload(signal);
|
|
3033
|
-
const content = await runAiPrompt(
|
|
3034
|
-
{
|
|
3035
|
-
systemPrompt: buildAiSystemPrompt(signal),
|
|
3036
|
-
humanPrompt: buildAiHumanPrompt(signal, payload)
|
|
3037
|
-
},
|
|
3038
|
-
{
|
|
3039
|
-
...options,
|
|
3040
|
-
signal,
|
|
3041
|
-
payload
|
|
3042
|
-
}
|
|
3043
|
-
);
|
|
3044
|
-
await (0, import_redis.setData)(import_redis.redisKeys.analysis(symbol, signal.signalId), content);
|
|
3045
|
-
return content;
|
|
3046
|
-
};
|
|
3047
|
-
|
|
3048
|
-
// src/strategyAdapters/ml.ts
|
|
3049
|
-
var defaultMlAdapter = {
|
|
3050
|
-
normalizeStrategyConfig: (strategyConfig) => strategyConfig
|
|
3051
|
-
};
|
|
3052
|
-
var getStrategyMlAdapter = (strategy, profileId) => {
|
|
3053
|
-
const strategyAdapter = getStrategyProfileMlAdapter(
|
|
3054
|
-
getStrategyManifest(strategy),
|
|
3055
|
-
profileId
|
|
3056
|
-
);
|
|
3057
|
-
if (!strategyAdapter) return defaultMlAdapter;
|
|
3058
|
-
return {
|
|
3059
|
-
...defaultMlAdapter,
|
|
3060
|
-
...strategyAdapter
|
|
3061
|
-
};
|
|
3062
|
-
};
|
|
3063
|
-
|
|
3064
|
-
// src/mlPayload.ts
|
|
3065
|
-
var normalizeStrategyConfig = (strategyConfig, strategyName, profileId) => {
|
|
3066
|
-
return getStrategyMlAdapter(
|
|
3067
|
-
strategyName,
|
|
3068
|
-
profileId
|
|
3069
|
-
).normalizeStrategyConfig?.(strategyConfig);
|
|
3070
|
-
};
|
|
3071
|
-
var buildMlPayload = (payload) => {
|
|
3072
|
-
const strategyName = payload.signal?.strategy ?? payload.context?.strategyName;
|
|
3073
|
-
const profileId = payload.signal?.policyProfileId;
|
|
3074
|
-
const mlAdapter = getStrategyMlAdapter(strategyName, profileId);
|
|
3075
|
-
const normalizedSignal = mlAdapter.normalizeSignal?.(payload.signal) ?? payload.signal;
|
|
3076
|
-
const nextSignal = {
|
|
3077
|
-
...normalizedSignal,
|
|
3078
|
-
indicators: {
|
|
3079
|
-
...normalizedSignal?.indicators ?? {}
|
|
3080
|
-
}
|
|
3081
|
-
};
|
|
3082
|
-
const nextContext = payload.context ? {
|
|
3083
|
-
...payload.context,
|
|
3084
|
-
strategyConfig: normalizeStrategyConfig(
|
|
3085
|
-
payload.context.strategyConfig,
|
|
3086
|
-
strategyName,
|
|
3087
|
-
profileId
|
|
3088
|
-
)
|
|
3089
|
-
} : void 0;
|
|
3090
|
-
return {
|
|
3091
|
-
signal: nextSignal,
|
|
3092
|
-
context: nextContext
|
|
3093
|
-
};
|
|
3094
|
-
};
|
|
3095
|
-
|
|
3096
|
-
// src/runtimeJournal.ts
|
|
3097
|
-
var import_node_crypto = require("crypto");
|
|
3098
|
-
var import_constants = require("@tradejs/core/constants");
|
|
3099
|
-
var import_time = require("@tradejs/core/time");
|
|
3100
|
-
var import_trade = require("@tradejs/core/trade");
|
|
3101
|
-
var import_logger3 = require("@tradejs/infra/logger");
|
|
3102
|
-
var import_redis2 = require("@tradejs/infra/redis");
|
|
3103
|
-
var now = () => Date.now();
|
|
3104
|
-
var toRandomOrderSuffix = () => (0, import_node_crypto.randomUUID)().replace(/-/g, "").slice(0, 12).toLowerCase();
|
|
3105
|
-
var calculateClosedPnl = ({
|
|
3106
|
-
direction,
|
|
3107
|
-
entryPrice,
|
|
3108
|
-
exitPrice,
|
|
3109
|
-
qty
|
|
3110
|
-
}) => {
|
|
3111
|
-
const pnl = direction === "LONG" ? (exitPrice - entryPrice) * qty : (entryPrice - exitPrice) * qty;
|
|
3112
|
-
return Number.isFinite(pnl) ? pnl : null;
|
|
3113
|
-
};
|
|
3114
|
-
var createRuntimeOrderId = (strategy) => {
|
|
3115
|
-
const prefix = (0, import_trade.createRuntimeOrderLinkPrefix)(strategy);
|
|
3116
|
-
if (prefix === "tjs-") {
|
|
3117
|
-
return `tjs-${(0, import_node_crypto.randomUUID)().replace(/-/g, "").slice(0, 24).toLowerCase()}`;
|
|
3118
|
-
}
|
|
3119
|
-
return `${prefix}${toRandomOrderSuffix()}`;
|
|
3120
|
-
};
|
|
3121
|
-
var recordRuntimeTradeOpen = async (params) => {
|
|
3122
|
-
const { userName } = params;
|
|
3123
|
-
if (!userName) {
|
|
3124
|
-
return null;
|
|
3125
|
-
}
|
|
3126
|
-
const record2 = {
|
|
3127
|
-
...params,
|
|
3128
|
-
entryCount: 1,
|
|
3129
|
-
lastEntryPrice: params.entryPrice,
|
|
3130
|
-
lastEntryQty: params.qty,
|
|
3131
|
-
lastEntryTimestamp: params.entryTimestamp,
|
|
3132
|
-
status: "active",
|
|
3133
|
-
currentPrice: params.entryPrice,
|
|
3134
|
-
currentPnl: 0,
|
|
3135
|
-
closedPnl: null,
|
|
3136
|
-
exitPrice: null,
|
|
3137
|
-
exitTimestamp: null,
|
|
3138
|
-
lastSyncedAt: now()
|
|
3139
|
-
};
|
|
3140
|
-
const dayKey = (0, import_time.getRuntimeStorageDayKey)(record2.entryTimestamp);
|
|
3141
|
-
const runtimeScopeId = record2.deploymentId ?? record2.accountId;
|
|
3142
|
-
try {
|
|
3143
|
-
await Promise.all([
|
|
3144
|
-
(0, import_redis2.setData)(import_redis2.redisKeys.runtimeTrade(userName, record2.orderId), record2, {
|
|
3145
|
-
expire: 0
|
|
3146
|
-
}),
|
|
3147
|
-
(0, import_redis2.setHashJsonField)(
|
|
3148
|
-
import_redis2.redisKeys.runtimeTradeBucket(userName, dayKey),
|
|
3149
|
-
record2.orderId,
|
|
3150
|
-
record2,
|
|
3151
|
-
{ expire: 0 }
|
|
3152
|
-
),
|
|
3153
|
-
(0, import_redis2.setData)(
|
|
3154
|
-
import_redis2.redisKeys.runtimeActiveTrade(userName, record2.symbol, runtimeScopeId),
|
|
3155
|
-
{ orderId: record2.orderId },
|
|
3156
|
-
{ expire: 0 }
|
|
3157
|
-
)
|
|
3158
|
-
]);
|
|
3159
|
-
} catch (error) {
|
|
3160
|
-
import_logger3.logger.error(
|
|
3161
|
-
"runtime trade open journal failed: %s %s",
|
|
3162
|
-
record2.symbol,
|
|
3163
|
-
error?.message || String(error)
|
|
3164
|
-
);
|
|
3165
|
-
}
|
|
3166
|
-
return record2;
|
|
3167
|
-
};
|
|
3168
|
-
var recordRuntimeTradeIncrease = async (params) => {
|
|
3169
|
-
const {
|
|
3170
|
-
userName,
|
|
3171
|
-
strategy,
|
|
3172
|
-
symbol,
|
|
3173
|
-
direction,
|
|
3174
|
-
resultingQty,
|
|
3175
|
-
resultingEntryPrice,
|
|
3176
|
-
addedQty,
|
|
3177
|
-
addedEntryPrice,
|
|
3178
|
-
entryTimestamp,
|
|
3179
|
-
fee,
|
|
3180
|
-
accountId,
|
|
3181
|
-
deploymentId
|
|
3182
|
-
} = params;
|
|
3183
|
-
if (!userName) {
|
|
3184
|
-
return null;
|
|
3185
|
-
}
|
|
3186
|
-
const existing = await getActiveRuntimeTrade({
|
|
3187
|
-
userName,
|
|
3188
|
-
symbol,
|
|
3189
|
-
accountId,
|
|
3190
|
-
deploymentId
|
|
3774
|
+
messages: [
|
|
3775
|
+
{ role: "system", content: systemPrompt },
|
|
3776
|
+
{
|
|
3777
|
+
role: "system",
|
|
3778
|
+
content: `Write all user-visible text fields in ${responseLanguage}. Keep field names and JSON syntax unchanged.`
|
|
3779
|
+
},
|
|
3780
|
+
{ role: "user", content: humanPrompt }
|
|
3781
|
+
]
|
|
3191
3782
|
});
|
|
3192
|
-
|
|
3193
|
-
|
|
3194
|
-
|
|
3195
|
-
|
|
3196
|
-
const openFee = (existing.openFee ?? existing.fee ?? 0) + addedFee;
|
|
3197
|
-
const totalFee = (existing.totalFee ?? existing.fee ?? 0) + addedFee;
|
|
3198
|
-
const next = {
|
|
3199
|
-
...existing,
|
|
3200
|
-
...params.orderLeverage ? { orderLeverage: params.orderLeverage } : {},
|
|
3201
|
-
qty: resultingQty,
|
|
3202
|
-
entryPrice: resultingEntryPrice,
|
|
3203
|
-
entryCount: Math.max(1, existing.entryCount ?? 1) + 1,
|
|
3204
|
-
lastEntryPrice: addedEntryPrice,
|
|
3205
|
-
lastEntryQty: addedQty,
|
|
3206
|
-
lastEntryTimestamp: entryTimestamp,
|
|
3207
|
-
currentPrice: resultingEntryPrice,
|
|
3208
|
-
currentPnl: 0,
|
|
3209
|
-
fee: openFee,
|
|
3210
|
-
openFee,
|
|
3211
|
-
totalFee,
|
|
3212
|
-
lastSyncedAt: now()
|
|
3213
|
-
};
|
|
3214
|
-
const dayKey = (0, import_time.getRuntimeStorageDayKey)(existing.entryTimestamp);
|
|
3215
|
-
try {
|
|
3216
|
-
await Promise.all([
|
|
3217
|
-
(0, import_redis2.setData)(import_redis2.redisKeys.runtimeTrade(userName, existing.orderId), next, {
|
|
3218
|
-
expire: 0
|
|
3219
|
-
}),
|
|
3220
|
-
(0, import_redis2.setHashJsonField)(
|
|
3221
|
-
import_redis2.redisKeys.runtimeTradeBucket(userName, dayKey),
|
|
3222
|
-
existing.orderId,
|
|
3223
|
-
next,
|
|
3224
|
-
{ expire: 0 }
|
|
3225
|
-
)
|
|
3226
|
-
]);
|
|
3227
|
-
} catch (error) {
|
|
3228
|
-
import_logger3.logger.error(
|
|
3229
|
-
"runtime trade increase journal failed: %s %s",
|
|
3230
|
-
symbol,
|
|
3231
|
-
error?.message || String(error)
|
|
3232
|
-
);
|
|
3783
|
+
const parsed = parseAIResponse(response.content);
|
|
3784
|
+
const normalized = normalizeAnalysis(parsed);
|
|
3785
|
+
if (!options.signal) {
|
|
3786
|
+
return normalized;
|
|
3233
3787
|
}
|
|
3234
|
-
return
|
|
3788
|
+
return postProcessAiAnalysisByStrategy(
|
|
3789
|
+
options.signal,
|
|
3790
|
+
normalized,
|
|
3791
|
+
options.payload
|
|
3792
|
+
);
|
|
3235
3793
|
};
|
|
3236
|
-
var
|
|
3237
|
-
const
|
|
3238
|
-
|
|
3239
|
-
|
|
3240
|
-
|
|
3241
|
-
const
|
|
3242
|
-
|
|
3243
|
-
|
|
3794
|
+
var runAiPromptLocal = async (signal, options = {}) => {
|
|
3795
|
+
const payload = options.payload ?? buildAiPayload(signal);
|
|
3796
|
+
const gateContext = getDeterministicAiGateContext(payload);
|
|
3797
|
+
const signalDirection = getSignalDirection(signal);
|
|
3798
|
+
const deterministicQuality = getDeterministicQuality(gateContext);
|
|
3799
|
+
const approvalAllowedNow = typeof gateContext?.approvalAllowedNow === "boolean" ? gateContext.approvalAllowedNow : deterministicQuality >= 4;
|
|
3800
|
+
return postProcessLocalAiAnalysisByStrategy(
|
|
3801
|
+
signal,
|
|
3802
|
+
{
|
|
3803
|
+
direction: approvalAllowedNow ? signalDirection : null,
|
|
3804
|
+
quality: deterministicQuality,
|
|
3805
|
+
needRetest: !approvalAllowedNow,
|
|
3806
|
+
retestPrice: null,
|
|
3807
|
+
takeProfitPrice: approvalAllowedNow ? signal.prices?.takeProfitPrice ?? null : null,
|
|
3808
|
+
stopLossPrice: approvalAllowedNow ? signal.prices?.stopLossPrice ?? null : null
|
|
3809
|
+
},
|
|
3810
|
+
payload
|
|
3244
3811
|
);
|
|
3245
|
-
|
|
3246
|
-
|
|
3247
|
-
|
|
3248
|
-
|
|
3249
|
-
const
|
|
3250
|
-
|
|
3251
|
-
|
|
3812
|
+
};
|
|
3813
|
+
var askAI = async (signal, options = {}) => {
|
|
3814
|
+
const { symbol } = signal;
|
|
3815
|
+
const payload = buildAiPayload(signal);
|
|
3816
|
+
const content = await runAiPrompt(
|
|
3817
|
+
{
|
|
3818
|
+
systemPrompt: buildAiSystemPrompt(signal),
|
|
3819
|
+
humanPrompt: buildAiHumanPrompt(signal, payload)
|
|
3820
|
+
},
|
|
3821
|
+
{
|
|
3822
|
+
...options,
|
|
3823
|
+
signal,
|
|
3824
|
+
payload
|
|
3825
|
+
}
|
|
3252
3826
|
);
|
|
3253
|
-
|
|
3254
|
-
|
|
3255
|
-
import_redis2.redisKeys.runtimeActiveTrade(userName, symbol, deploymentId ?? accountId)
|
|
3256
|
-
);
|
|
3257
|
-
return null;
|
|
3258
|
-
}
|
|
3259
|
-
return existing;
|
|
3827
|
+
await (0, import_redis3.setData)(import_redis3.redisKeys.analysis(symbol, signal.signalId), content);
|
|
3828
|
+
return content;
|
|
3260
3829
|
};
|
|
3261
|
-
|
|
3262
|
-
|
|
3263
|
-
|
|
3264
|
-
|
|
3265
|
-
|
|
3266
|
-
|
|
3267
|
-
|
|
3268
|
-
|
|
3269
|
-
|
|
3270
|
-
|
|
3271
|
-
|
|
3272
|
-
|
|
3273
|
-
|
|
3274
|
-
|
|
3275
|
-
}
|
|
3276
|
-
|
|
3277
|
-
|
|
3278
|
-
|
|
3279
|
-
|
|
3280
|
-
|
|
3281
|
-
|
|
3282
|
-
|
|
3283
|
-
|
|
3284
|
-
|
|
3285
|
-
|
|
3286
|
-
|
|
3287
|
-
|
|
3288
|
-
|
|
3289
|
-
const
|
|
3290
|
-
const
|
|
3291
|
-
|
|
3292
|
-
|
|
3293
|
-
|
|
3294
|
-
|
|
3295
|
-
}
|
|
3296
|
-
const
|
|
3297
|
-
...
|
|
3298
|
-
|
|
3299
|
-
|
|
3300
|
-
|
|
3301
|
-
|
|
3302
|
-
|
|
3303
|
-
|
|
3304
|
-
|
|
3305
|
-
|
|
3830
|
+
|
|
3831
|
+
// src/strategyAdapters/ml.ts
|
|
3832
|
+
var defaultMlAdapter = {
|
|
3833
|
+
normalizeStrategyConfig: (strategyConfig) => strategyConfig
|
|
3834
|
+
};
|
|
3835
|
+
var getStrategyMlAdapter = (strategy, profileId) => {
|
|
3836
|
+
const strategyAdapter = getStrategyProfileMlAdapter(
|
|
3837
|
+
getStrategyManifest(strategy),
|
|
3838
|
+
profileId
|
|
3839
|
+
);
|
|
3840
|
+
if (!strategyAdapter) return defaultMlAdapter;
|
|
3841
|
+
return {
|
|
3842
|
+
...defaultMlAdapter,
|
|
3843
|
+
...strategyAdapter
|
|
3844
|
+
};
|
|
3845
|
+
};
|
|
3846
|
+
|
|
3847
|
+
// src/mlPayload.ts
|
|
3848
|
+
var normalizeStrategyConfig = (strategyConfig, strategyName, profileId) => {
|
|
3849
|
+
return getStrategyMlAdapter(
|
|
3850
|
+
strategyName,
|
|
3851
|
+
profileId
|
|
3852
|
+
).normalizeStrategyConfig?.(strategyConfig);
|
|
3853
|
+
};
|
|
3854
|
+
var buildMlPayload = (payload) => {
|
|
3855
|
+
const strategyName = payload.signal?.strategy ?? payload.context?.strategyName;
|
|
3856
|
+
const profileId = payload.signal?.policyProfileId;
|
|
3857
|
+
const mlAdapter = getStrategyMlAdapter(strategyName, profileId);
|
|
3858
|
+
const normalizedSignal = mlAdapter.normalizeSignal?.(payload.signal) ?? payload.signal;
|
|
3859
|
+
const nextSignal = {
|
|
3860
|
+
...normalizedSignal,
|
|
3861
|
+
indicators: {
|
|
3862
|
+
...normalizedSignal?.indicators ?? {}
|
|
3863
|
+
}
|
|
3864
|
+
};
|
|
3865
|
+
const nextContext = payload.context ? {
|
|
3866
|
+
...payload.context,
|
|
3867
|
+
strategyConfig: normalizeStrategyConfig(
|
|
3868
|
+
payload.context.strategyConfig,
|
|
3869
|
+
strategyName,
|
|
3870
|
+
profileId
|
|
3871
|
+
)
|
|
3872
|
+
} : void 0;
|
|
3873
|
+
return {
|
|
3874
|
+
signal: nextSignal,
|
|
3875
|
+
context: nextContext
|
|
3306
3876
|
};
|
|
3307
|
-
const dayKey = (0, import_time.getRuntimeStorageDayKey)(existing.entryTimestamp);
|
|
3308
|
-
const closeDayKey = (0, import_time.getRuntimeStorageDayKey)(next.exitTimestamp);
|
|
3309
|
-
try {
|
|
3310
|
-
await Promise.all([
|
|
3311
|
-
(0, import_redis2.setData)(import_redis2.redisKeys.runtimeTrade(userName, orderId), next, {
|
|
3312
|
-
expire: import_constants.TTL_1M
|
|
3313
|
-
}),
|
|
3314
|
-
(0, import_redis2.setHashJsonField)(
|
|
3315
|
-
import_redis2.redisKeys.runtimeTradeBucket(userName, dayKey),
|
|
3316
|
-
orderId,
|
|
3317
|
-
next,
|
|
3318
|
-
{ expire: import_constants.TTL_1M }
|
|
3319
|
-
),
|
|
3320
|
-
(0, import_redis2.setHashJsonField)(
|
|
3321
|
-
import_redis2.redisKeys.runtimeClosedTradeBucket(userName, closeDayKey),
|
|
3322
|
-
orderId,
|
|
3323
|
-
next,
|
|
3324
|
-
{ expire: import_constants.TTL_1M }
|
|
3325
|
-
),
|
|
3326
|
-
(0, import_redis2.delKey)(
|
|
3327
|
-
import_redis2.redisKeys.runtimeActiveTrade(
|
|
3328
|
-
userName,
|
|
3329
|
-
symbol,
|
|
3330
|
-
deploymentId ?? accountId
|
|
3331
|
-
)
|
|
3332
|
-
)
|
|
3333
|
-
]);
|
|
3334
|
-
} catch (error) {
|
|
3335
|
-
import_logger3.logger.error(
|
|
3336
|
-
"runtime trade close journal failed: %s %s",
|
|
3337
|
-
symbol,
|
|
3338
|
-
error?.message || String(error)
|
|
3339
|
-
);
|
|
3340
|
-
}
|
|
3341
|
-
return next;
|
|
3342
3877
|
};
|
|
3343
3878
|
|
|
3344
3879
|
// src/strategyHelpers/marketContextStages.ts
|
|
@@ -3350,7 +3885,7 @@ var import_logger4 = require("@tradejs/infra/logger");
|
|
|
3350
3885
|
var import_strategies = require("@tradejs/core/strategies");
|
|
3351
3886
|
|
|
3352
3887
|
// src/binanceBreadthUniverses.ts
|
|
3353
|
-
var
|
|
3888
|
+
var import_node_crypto3 = require("crypto");
|
|
3354
3889
|
|
|
3355
3890
|
// src/config/binanceBreadthUniverses.json
|
|
3356
3891
|
var binanceBreadthUniverses_default = {
|
|
@@ -3589,7 +4124,7 @@ var BINANCE_BREADTH_UNIVERSE_KEYS = [
|
|
|
3589
4124
|
"top50",
|
|
3590
4125
|
"top100"
|
|
3591
4126
|
];
|
|
3592
|
-
var fingerprint = (value, length) => (0,
|
|
4127
|
+
var fingerprint = (value, length) => (0, import_node_crypto3.createHash)("sha256").update(JSON.stringify(value)).digest("hex").slice(0, length);
|
|
3593
4128
|
var normalizeSymbols = (symbols) => symbols.map((symbol) => symbol.trim().toUpperCase()).filter(Boolean);
|
|
3594
4129
|
var buildBinanceBreadthUniverseSnapshot = ({
|
|
3595
4130
|
rankedSymbols,
|
|
@@ -4613,7 +5148,7 @@ var enrichSignalWithCoinMarketCapContext = async (params) => {
|
|
|
4613
5148
|
};
|
|
4614
5149
|
|
|
4615
5150
|
// src/strategyHelpers/derivativesContext.ts
|
|
4616
|
-
var
|
|
5151
|
+
var import_indicators3 = require("@tradejs/core/indicators");
|
|
4617
5152
|
var import_data2 = require("@tradejs/core/data");
|
|
4618
5153
|
var import_strategies3 = require("@tradejs/core/strategies");
|
|
4619
5154
|
var import_constants2 = require("@tradejs/core/constants");
|
|
@@ -4647,7 +5182,7 @@ var parseLookbackMs = () => {
|
|
|
4647
5182
|
};
|
|
4648
5183
|
var withHourlyFallbackRows = (rowsByInterval) => ({
|
|
4649
5184
|
"15m": rowsByInterval["15m"] ?? [],
|
|
4650
|
-
"1h": (0,
|
|
5185
|
+
"1h": (0, import_indicators3.buildCoinalyzeHourlyRowsWithFallback)({
|
|
4651
5186
|
rows15m: rowsByInterval["15m"],
|
|
4652
5187
|
fallbackRows1h: rowsByInterval["1h"]
|
|
4653
5188
|
})
|
|
@@ -4775,7 +5310,7 @@ var enrichSignalWithDerivativesContext = async (params) => {
|
|
|
4775
5310
|
const targetSymbol = normalizeSymbol(signal.symbol);
|
|
4776
5311
|
const lookbackMs = parseLookbackMs();
|
|
4777
5312
|
const decisionTimeMs = signal.timestamp + (0, import_data2.intervalToMs)(signal.interval);
|
|
4778
|
-
const derivativesEndMs = (0,
|
|
5313
|
+
const derivativesEndMs = (0, import_indicators3.getLastClosedDerivativesBarStartMs)(
|
|
4779
5314
|
decisionTimeMs,
|
|
4780
5315
|
"15m"
|
|
4781
5316
|
);
|
|
@@ -4790,7 +5325,7 @@ var enrichSignalWithDerivativesContext = async (params) => {
|
|
|
4790
5325
|
});
|
|
4791
5326
|
return [
|
|
4792
5327
|
symbol,
|
|
4793
|
-
(0,
|
|
5328
|
+
(0, import_indicators3.buildDerivativesContext)({
|
|
4794
5329
|
symbol,
|
|
4795
5330
|
direction: signal.direction,
|
|
4796
5331
|
timestamp: derivativesEndMs,
|
|
@@ -4817,7 +5352,7 @@ var enrichSignalWithDerivativesContext = async (params) => {
|
|
|
4817
5352
|
lookbackMs,
|
|
4818
5353
|
...params.abortSignal ? { signal: params.abortSignal } : {}
|
|
4819
5354
|
});
|
|
4820
|
-
const context = (0,
|
|
5355
|
+
const context = (0, import_indicators3.buildDerivativesContext)({
|
|
4821
5356
|
symbol: targetSymbol,
|
|
4822
5357
|
direction: signal.direction,
|
|
4823
5358
|
timestamp: derivativesEndMs,
|
|
@@ -4865,7 +5400,7 @@ var import_hyperliquidWhales2 = require("@tradejs/infra/timescale/hyperliquidWha
|
|
|
4865
5400
|
var import_logger7 = require("@tradejs/infra/logger");
|
|
4866
5401
|
|
|
4867
5402
|
// src/hyperliquidWhaleUniverse.ts
|
|
4868
|
-
var
|
|
5403
|
+
var import_node_crypto4 = require("crypto");
|
|
4869
5404
|
|
|
4870
5405
|
// src/config/hyperliquidPerpUniverse.json
|
|
4871
5406
|
var hyperliquidPerpUniverse_default = {
|
|
@@ -5037,7 +5572,7 @@ var hyperliquidWhales_default = {
|
|
|
5037
5572
|
};
|
|
5038
5573
|
|
|
5039
5574
|
// src/hyperliquidWhaleUniverse.ts
|
|
5040
|
-
var fingerprint2 = (value) => (0,
|
|
5575
|
+
var fingerprint2 = (value) => (0, import_node_crypto4.createHash)("sha256").update(JSON.stringify(value)).digest("hex").slice(0, 16);
|
|
5041
5576
|
var validateUnique = (values, label) => {
|
|
5042
5577
|
if (new Set(values).size !== values.length) {
|
|
5043
5578
|
throw new Error(`Hyperliquid ${label} snapshot contains duplicates`);
|
|
@@ -5524,6 +6059,7 @@ var enrichSignalWithMarketContextStages = async ({
|
|
|
5524
6059
|
})
|
|
5525
6060
|
});
|
|
5526
6061
|
}
|
|
6062
|
+
await enrichSignalWithTickerProfile(signal);
|
|
5527
6063
|
const results = [];
|
|
5528
6064
|
for (const stage of stages) {
|
|
5529
6065
|
if (abortSignal?.aborted) break;
|
|
@@ -5571,12 +6107,12 @@ var findReplayAiAnalysis = ({
|
|
|
5571
6107
|
direction,
|
|
5572
6108
|
ai
|
|
5573
6109
|
}) => {
|
|
5574
|
-
const
|
|
5575
|
-
if (!Array.isArray(
|
|
6110
|
+
const snapshots2 = ai?.replayAnalyses;
|
|
6111
|
+
if (!Array.isArray(snapshots2) || !snapshots2.length) {
|
|
5576
6112
|
return void 0;
|
|
5577
6113
|
}
|
|
5578
6114
|
let best = null;
|
|
5579
|
-
for (const snapshot2 of
|
|
6115
|
+
for (const snapshot2 of snapshots2) {
|
|
5580
6116
|
if (snapshot2.symbol !== signal.symbol || snapshot2.direction !== direction || snapshot2.strategy && snapshot2.strategy !== signal.strategy) {
|
|
5581
6117
|
continue;
|
|
5582
6118
|
}
|
|
@@ -5736,7 +6272,9 @@ var executeEntryOrder = async ({
|
|
|
5736
6272
|
beforePlaceOrder,
|
|
5737
6273
|
recordRuntimeTrade = true,
|
|
5738
6274
|
leverage,
|
|
5739
|
-
executionLimits
|
|
6275
|
+
executionLimits,
|
|
6276
|
+
markPortfolioSubmitted,
|
|
6277
|
+
rejectPortfolioSubmission
|
|
5740
6278
|
}) => {
|
|
5741
6279
|
await beforePlaceOrder?.();
|
|
5742
6280
|
const previousPosition = positionIntent === "increase" ? await connector.getPosition(symbol) : null;
|
|
@@ -5809,7 +6347,13 @@ var executeEntryOrder = async ({
|
|
|
5809
6347
|
...typeof leverage === "number" && Number.isFinite(leverage) ? { leverage } : {},
|
|
5810
6348
|
orderId,
|
|
5811
6349
|
signal,
|
|
5812
|
-
...
|
|
6350
|
+
...rejectPortfolioSubmission ? { onRejected: rejectPortfolioSubmission } : {},
|
|
6351
|
+
...beforeSubmit || markPortfolioSubmitted ? {
|
|
6352
|
+
beforeSubmit: async (context) => {
|
|
6353
|
+
await beforeSubmit?.(context);
|
|
6354
|
+
await markPortfolioSubmitted?.(context.qty);
|
|
6355
|
+
}
|
|
6356
|
+
} : {}
|
|
5813
6357
|
});
|
|
5814
6358
|
const orderAckTime = Date.now();
|
|
5815
6359
|
const placedQty = typeof signal.orderQty === "number" && Number.isFinite(signal.orderQty) && signal.orderQty > 0 ? signal.orderQty : qty;
|
|
@@ -6797,7 +7341,7 @@ var handleProtectDecision = async ({
|
|
|
6797
7341
|
}
|
|
6798
7342
|
return decision.code;
|
|
6799
7343
|
};
|
|
6800
|
-
var
|
|
7344
|
+
var executeAdmittedEntryDecision = async ({
|
|
6801
7345
|
connector,
|
|
6802
7346
|
symbol,
|
|
6803
7347
|
decision,
|
|
@@ -6811,7 +7355,9 @@ var executeEntryDecision = async ({
|
|
|
6811
7355
|
ai,
|
|
6812
7356
|
recordRuntimeJournal,
|
|
6813
7357
|
invokeStageHooks,
|
|
6814
|
-
notifyRuntimeError
|
|
7358
|
+
notifyRuntimeError,
|
|
7359
|
+
markPortfolioSubmitted,
|
|
7360
|
+
rejectPortfolioSubmission
|
|
6815
7361
|
}) => {
|
|
6816
7362
|
const signal = decision.signal;
|
|
6817
7363
|
const beforePlaceOrder = async () => {
|
|
@@ -6858,6 +7404,8 @@ var executeEntryDecision = async ({
|
|
|
6858
7404
|
...Number.isFinite(Number(hookCtx.strategyConfig.LEVERAGE)) ? { leverage: Number(hookCtx.strategyConfig.LEVERAGE) } : {},
|
|
6859
7405
|
signal,
|
|
6860
7406
|
beforePlaceOrder,
|
|
7407
|
+
markPortfolioSubmitted,
|
|
7408
|
+
rejectPortfolioSubmission,
|
|
6861
7409
|
recordRuntimeTrade: recordRuntimeJournal,
|
|
6862
7410
|
executionLimits: resolveEntryExecutionLimits(
|
|
6863
7411
|
hookCtx.strategyConfig,
|
|
@@ -6998,6 +7546,37 @@ var executeEntryDecision = async ({
|
|
|
6998
7546
|
}
|
|
6999
7547
|
return signal ?? decision.code;
|
|
7000
7548
|
};
|
|
7549
|
+
async function executeEntryDecision(params) {
|
|
7550
|
+
if (!params.portfolio) return executeAdmittedEntryDecision(params);
|
|
7551
|
+
const { decision, portfolio } = params;
|
|
7552
|
+
const signal = decision.signal;
|
|
7553
|
+
if (!signal || decision.orderPlan.positionIntent === "increase")
|
|
7554
|
+
return "PORTFOLIO_REQUIRES_NEW_SIGNAL_POSITION";
|
|
7555
|
+
signal.orderId ??= createRuntimeOrderId(signal.strategy);
|
|
7556
|
+
const result = await portfolio.submit(
|
|
7557
|
+
params.portfolioTime ?? decision.entryContext.timestamp,
|
|
7558
|
+
{
|
|
7559
|
+
id: signal.orderId,
|
|
7560
|
+
signalId: signal.signalId,
|
|
7561
|
+
strategy: signal.strategy,
|
|
7562
|
+
symbol: params.symbol,
|
|
7563
|
+
direction: decision.entryContext.direction,
|
|
7564
|
+
qty: decision.orderPlan.qty,
|
|
7565
|
+
timestamp: decision.entryContext.timestamp
|
|
7566
|
+
},
|
|
7567
|
+
(markPortfolioSubmitted, rejectPortfolioSubmission) => executeAdmittedEntryDecision({
|
|
7568
|
+
...params,
|
|
7569
|
+
markPortfolioSubmitted,
|
|
7570
|
+
rejectPortfolioSubmission
|
|
7571
|
+
})
|
|
7572
|
+
);
|
|
7573
|
+
if (result.reason) {
|
|
7574
|
+
signal.orderStatus = "failed";
|
|
7575
|
+
signal.orderFailureReason = result.reason;
|
|
7576
|
+
return signal;
|
|
7577
|
+
}
|
|
7578
|
+
return result.value;
|
|
7579
|
+
}
|
|
7001
7580
|
|
|
7002
7581
|
// src/strategyRuntime.ts
|
|
7003
7582
|
var cloneWithPropertyDescriptors = (value) => Object.create(
|
|
@@ -7025,6 +7604,7 @@ var createStrategyRuntime = ({
|
|
|
7025
7604
|
};
|
|
7026
7605
|
const creator = async ({
|
|
7027
7606
|
userName,
|
|
7607
|
+
connectorName,
|
|
7028
7608
|
config: baseConfig,
|
|
7029
7609
|
symbol,
|
|
7030
7610
|
universe: requestedUniverse,
|
|
@@ -7063,6 +7643,17 @@ var createStrategyRuntime = ({
|
|
|
7063
7643
|
const projectConfig = await loadTradejsConfig(projectRoot);
|
|
7064
7644
|
const projectHooks = projectConfig.hooks;
|
|
7065
7645
|
const env = String(config.ENV ?? "BACKTEST");
|
|
7646
|
+
const portfolio = getPortfolioRuntime({
|
|
7647
|
+
connectorName,
|
|
7648
|
+
value: baseConfig?.PORTFOLIO_POLICY ?? config.PORTFOLIO_POLICY,
|
|
7649
|
+
strategy: strategyName,
|
|
7650
|
+
connector,
|
|
7651
|
+
env,
|
|
7652
|
+
userName,
|
|
7653
|
+
accountId,
|
|
7654
|
+
deploymentId
|
|
7655
|
+
});
|
|
7656
|
+
const portfolioContext = portfolio ? (now2) => isRuntimeOrderExecutionEnabled({ config, env, connector }) ? portfolio.tick(now2) : portfolio.context(now2) : void 0;
|
|
7066
7657
|
const researchPolicyValue = baseConfig?.RESEARCH_ENTRY_POLICY ?? config.RESEARCH_ENTRY_POLICY;
|
|
7067
7658
|
const researchEntryPolicy = researchPolicyValue == null ? void 0 : parseResearchEntryPolicy(researchPolicyValue);
|
|
7068
7659
|
if (researchEntryPolicy && (env !== "BACKTEST" || Reflect.get(connector, "__tradejsTestConnector") !== true))
|
|
@@ -7361,6 +7952,20 @@ var createStrategyRuntime = ({
|
|
|
7361
7952
|
interval: decisionInterval
|
|
7362
7953
|
}) => {
|
|
7363
7954
|
if (!baseContext) return void 0;
|
|
7955
|
+
const profileSource = strategyManifest?.contextRequirements?.tickerProfiles;
|
|
7956
|
+
if (profileSource) {
|
|
7957
|
+
const profile = await loadTickerProfileContext({
|
|
7958
|
+
...profileSource,
|
|
7959
|
+
projectRoot,
|
|
7960
|
+
symbol: decisionSymbol,
|
|
7961
|
+
timestamp: candle.timestamp
|
|
7962
|
+
});
|
|
7963
|
+
if (!profile)
|
|
7964
|
+
throw new Error(
|
|
7965
|
+
"Required ticker profile is unavailable at decision time"
|
|
7966
|
+
);
|
|
7967
|
+
baseContext = withTickerProfile(baseContext, profile);
|
|
7968
|
+
}
|
|
7364
7969
|
if (!coreContextRequirements.has("hyperliquidWhales")) {
|
|
7365
7970
|
return baseContext;
|
|
7366
7971
|
}
|
|
@@ -7528,6 +8133,8 @@ var createStrategyRuntime = ({
|
|
|
7528
8133
|
runtime: pending2.runtime
|
|
7529
8134
|
});
|
|
7530
8135
|
return executeEntryDecision({
|
|
8136
|
+
portfolio,
|
|
8137
|
+
portfolioTime: env === "BACKTEST" || env === "PARITY" ? candle.timestamp : Date.now(),
|
|
7531
8138
|
connector,
|
|
7532
8139
|
symbol,
|
|
7533
8140
|
decision: pending2.decision,
|
|
@@ -7545,6 +8152,10 @@ var createStrategyRuntime = ({
|
|
|
7545
8152
|
});
|
|
7546
8153
|
};
|
|
7547
8154
|
const runWithDecisionOverride = async (candle, btcCandle, options = {}) => {
|
|
8155
|
+
if (portfolioContext)
|
|
8156
|
+
await portfolioContext(
|
|
8157
|
+
env === "BACKTEST" || env === "PARITY" ? candle.timestamp : Date.now()
|
|
8158
|
+
);
|
|
7548
8159
|
appendCurrentMarketData(candle, btcCandle, options.ethCandle);
|
|
7549
8160
|
const ethCandle = resolveEthCandle(candle, options.ethCandle);
|
|
7550
8161
|
indicatorsState.setCurrentBar(candle, btcCandle, ethCandle);
|
|
@@ -7715,6 +8326,13 @@ var createStrategyRuntime = ({
|
|
|
7715
8326
|
});
|
|
7716
8327
|
const signal = decision.signal;
|
|
7717
8328
|
if (signal) {
|
|
8329
|
+
if (portfolio)
|
|
8330
|
+
signal.additionalIndicators = {
|
|
8331
|
+
...signal.additionalIndicators,
|
|
8332
|
+
portfolioContext: await portfolioContext(
|
|
8333
|
+
env === "BACKTEST" || env === "PARITY" ? decision.entryContext.timestamp : Date.now()
|
|
8334
|
+
)
|
|
8335
|
+
};
|
|
7718
8336
|
if (runtimeLineage) signal.runtimeLineage = runtimeLineage;
|
|
7719
8337
|
if (universe) signal.universe = universe;
|
|
7720
8338
|
if (assetClass) signal.assetClass = assetClass;
|
|
@@ -7954,6 +8572,8 @@ var createStrategyRuntime = ({
|
|
|
7954
8572
|
});
|
|
7955
8573
|
}
|
|
7956
8574
|
return executeEntryDecision({
|
|
8575
|
+
portfolio,
|
|
8576
|
+
portfolioTime: env === "BACKTEST" || env === "PARITY" ? candle.timestamp : Date.now(),
|
|
7957
8577
|
connector,
|
|
7958
8578
|
symbol,
|
|
7959
8579
|
decision,
|
|
@@ -8065,7 +8685,7 @@ var normalizeForCanonicalJson = (value) => {
|
|
|
8065
8685
|
}
|
|
8066
8686
|
return value;
|
|
8067
8687
|
};
|
|
8068
|
-
var revision = (prefix, value) => `${prefix}:${(0,
|
|
8688
|
+
var revision = (prefix, value) => `${prefix}:${(0, import_node_crypto5.createHash)("sha256").update(JSON.stringify(normalizeForCanonicalJson(value))).digest("hex").slice(0, 16)}`;
|
|
8069
8689
|
var computeStrategyRevision = ({
|
|
8070
8690
|
strategyName,
|
|
8071
8691
|
strategyPackage,
|
|
@@ -8669,13 +9289,13 @@ var assertCurrentRuntimeEvidenceArtifact = (artifact) => {
|
|
|
8669
9289
|
throw new Error(`Runtime evidence payload ${field} must be an array`);
|
|
8670
9290
|
}
|
|
8671
9291
|
}
|
|
8672
|
-
const
|
|
9292
|
+
const snapshots2 = new Map(
|
|
8673
9293
|
activeStrategies.map((strategy) => [strategy.strategyName, strategy])
|
|
8674
9294
|
);
|
|
8675
9295
|
const assertRows = (label, rows, lineageField) => {
|
|
8676
9296
|
for (const row of rows) {
|
|
8677
9297
|
const strategyName = String(row.strategy ?? "").trim();
|
|
8678
|
-
const strategy =
|
|
9298
|
+
const strategy = snapshots2.get(strategyName);
|
|
8679
9299
|
if (!strategy || row.deploymentId !== deployment.id || row.accountId !== deployment.accountId || !runtimeLineageMatchesStrategySnapshot({
|
|
8680
9300
|
lineage: isRecord2(row[lineageField]) ? row[lineageField] : void 0,
|
|
8681
9301
|
deployment,
|
|
@@ -8849,7 +9469,7 @@ var RUNTIME_EVIDENCE_MANIFEST_FILE = "manifest.json";
|
|
|
8849
9469
|
var RUNTIME_EVIDENCE_PAYLOAD_FILE = "runtime-evidence.json";
|
|
8850
9470
|
var RUNTIME_EVIDENCE_COMPLETE_FILE = ".complete";
|
|
8851
9471
|
var asRecord2 = (value) => value && typeof value === "object" && !Array.isArray(value) ? value : null;
|
|
8852
|
-
var sha256 = (value) => (0,
|
|
9472
|
+
var sha256 = (value) => (0, import_node_crypto6.createHash)("sha256").update(value).digest("hex");
|
|
8853
9473
|
var runtimeEvidenceIdentitySha256 = (artifact) => {
|
|
8854
9474
|
const identityArtifact = { ...artifact };
|
|
8855
9475
|
delete identityArtifact.generatedAt;
|
|
@@ -8966,7 +9586,7 @@ var publishRuntimeEvidenceBundle = async ({
|
|
|
8966
9586
|
const bundleDir = import_node_path3.default.join(readyRoot, artifactId);
|
|
8967
9587
|
const temporaryDir = import_node_path3.default.join(
|
|
8968
9588
|
incomingRoot,
|
|
8969
|
-
`${artifactId}.tmp-${(0,
|
|
9589
|
+
`${artifactId}.tmp-${(0, import_node_crypto6.randomUUID)()}`
|
|
8970
9590
|
);
|
|
8971
9591
|
await import_promises3.default.mkdir(temporaryDir, { recursive: true });
|
|
8972
9592
|
try {
|
|
@@ -9067,11 +9687,11 @@ var discoverRuntimeEvidenceBundles = async (rootDir) => {
|
|
|
9067
9687
|
};
|
|
9068
9688
|
|
|
9069
9689
|
// src/diagnostics/runtimeEvidenceProducer.ts
|
|
9070
|
-
var
|
|
9690
|
+
var import_node_crypto7 = require("crypto");
|
|
9071
9691
|
var import_promises4 = __toESM(require("fs/promises"));
|
|
9072
9692
|
var import_node_path4 = __toESM(require("path"));
|
|
9073
9693
|
var isRecord3 = (value) => value != null && typeof value === "object" && !Array.isArray(value);
|
|
9074
|
-
var sha2562 = (value) => (0,
|
|
9694
|
+
var sha2562 = (value) => (0, import_node_crypto7.createHash)("sha256").update(value).digest("hex");
|
|
9075
9695
|
var parseRuntimeEvidenceProducer = (value) => {
|
|
9076
9696
|
const producer = isRecord3(value) ? value : null;
|
|
9077
9697
|
const runtimePackageManifest = isRecord3(producer?.runtimePackageManifest) ? producer.runtimePackageManifest : null;
|
|
@@ -9126,7 +9746,7 @@ var resolveRuntimeEvidenceProducer = async ({
|
|
|
9126
9746
|
};
|
|
9127
9747
|
|
|
9128
9748
|
// src/diagnostics/runtimeFeedbackArtifacts.ts
|
|
9129
|
-
var
|
|
9749
|
+
var import_node_crypto8 = require("crypto");
|
|
9130
9750
|
var import_promises5 = __toESM(require("fs/promises"));
|
|
9131
9751
|
var import_node_path5 = __toESM(require("path"));
|
|
9132
9752
|
var RUNTIME_FEEDBACK_MANIFEST_FILE = "manifest.json";
|
|
@@ -9134,7 +9754,7 @@ var RUNTIME_FEEDBACK_REPLAY_FILE = "replay-runtime-evidence.json";
|
|
|
9134
9754
|
var RUNTIME_FEEDBACK_LOG_FILE = "replay.log";
|
|
9135
9755
|
var RUNTIME_FEEDBACK_COMPLETE_FILE = ".complete";
|
|
9136
9756
|
var isRecord4 = (value) => value != null && typeof value === "object" && !Array.isArray(value);
|
|
9137
|
-
var sha2563 = (value) => (0,
|
|
9757
|
+
var sha2563 = (value) => (0, import_node_crypto8.createHash)("sha256").update(value).digest("hex");
|
|
9138
9758
|
var safeSegment2 = (value, fallback) => {
|
|
9139
9759
|
const normalized = value.trim().replace(/[^a-zA-Z0-9._-]+/g, "-");
|
|
9140
9760
|
return normalized && normalized !== "." && normalized !== ".." ? normalized : fallback;
|
|
@@ -9409,7 +10029,7 @@ var assertMcpFeedbackContract = (version, tools) => {
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9409
10029
|
};
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9410
10030
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9411
10031
|
// src/diagnostics/mcpBundleDownload.ts
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|
9412
|
-
var
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|
10032
|
+
var import_node_crypto9 = require("crypto");
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9413
10033
|
var import_promises6 = __toESM(require("fs/promises"));
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|
9414
10034
|
var import_node_path6 = __toESM(require("path"));
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9415
10035
|
var McpReadTransportError = class extends Error {
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@@ -9419,7 +10039,7 @@ var McpReadTransportError = class extends Error {
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9419
10039
|
}
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|
9420
10040
|
};
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9421
10041
|
var record = (value) => value !== null && typeof value === "object" && !Array.isArray(value);
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|
9422
|
-
var digest = (bytes) => (0,
|
|
10042
|
+
var digest = (bytes) => (0, import_node_crypto9.createHash)("sha256").update(bytes).digest("hex");
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|
9423
10043
|
var exists = async (file) => import_promises6.default.lstat(file).catch((error) => {
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|
9424
10044
|
if (error.code === "ENOENT") return void 0;
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|
9425
10045
|
throw error;
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