@xbbg/core 1.2.1 → 1.2.3

package/README.md

@@ -46,8 +46,8 @@ cargo build -p napi-xbbg
 # Stage the current platform package template with the built addon
 npm --prefix js-xbbg run stage:native-package
 
-# Run JS smoke test from js-xbbg/
-npm test
+# Run package smoke tests from js-xbbg/
+npm run test:smoke
 ```
 
 The JS package automatically loads a local `js-xbbg/napi_xbbg.node` addon first, then falls back to packaged optional native dependencies for supported platforms.
@@ -78,7 +78,7 @@ Pass `{ allFields: true }` to `stream()` / `subscribe()` / service stream helper
 
 ### Subscription replay benchmark
 
-`npm run bench:subscription-replay` is a JS-only benchmark for one-update-at-a-time subscription processing. It does not change the production streaming API and does not batch updates by default. Use `--path legacy` for the original encode+decode measurement, `--path arrow-decode-only` to exclude benchmark-only IPC encoding from timed results, and `--path subscription-wrapper` to time the current JS `Subscription.next()` wrapper with fake native zero-copy descriptors. `--consume rows|vector|schema|none` controls how much decoded output is touched; `rows` remains the default for continuity with prior results. Use `--warmup-iterations N` for untimed replay warmup. Live capture exercises the default native subscription path and prints `sub.stats` telemetry; unsupported-schema diagnostics are surfaced when the native stream returns a schema the zero-copy bridge cannot describe.
+`npm run bench:subscription-replay` is a TypeScript benchmark script for one-update-at-a-time subscription processing. It does not change the production streaming API and does not batch updates by default. Use `--path legacy` for the original encode+decode measurement, `--path arrow-decode-only` to exclude benchmark-only IPC encoding from timed results, and `--path subscription-wrapper` to time the current JS `Subscription.next()` wrapper with fake native zero-copy descriptors. `--consume rows|vector|schema|none` controls how much decoded output is touched; `rows` remains the default for continuity with prior results. Use `--warmup-iterations N` for untimed replay warmup. Live capture exercises the default native subscription path and prints `sub.stats` telemetry; unsupported-schema diagnostics are surfaced when the native stream returns a schema the zero-copy bridge cannot describe.
 
 ```bash
 # Synthetic one-update replay, no Bloomberg connection needed; row materialization is the default
@@ -137,7 +137,11 @@ const hist = await xbbg.blp.abdh(['AAPL US Equity'], ['PX_LAST'], '2024-01-01',
 const ref = await xbbg.blp.abdp(['AAPL US Equity'], ['PX_LAST', 'SECURITY_NAME']);
 const bulk = await xbbg.blp.abds(['ES1 Index'], ['FUT_CHAIN_LAST_TRADE_DATES']);
 const bars = await xbbg.blp.abdib('AAPL US Equity', '2024-12-01', 5);
-const ticks = await xbbg.blp.abdtick('AAPL US Equity', '2024-12-01T09:30:00', '2024-12-01T10:00:00');
+const ticks = await xbbg.blp.abdtick(
+  'AAPL US Equity',
+  '2024-12-01T09:30:00',
+  '2024-12-01T10:00:00',
+);
 
 // Live streaming
 const sub = await xbbg.blp.asubscribe(['AAPL US Equity'], ['LAST_PRICE', 'BID', 'ASK']);
@@ -185,6 +189,7 @@ const corpBonds = await engine.corporateBonds('AAPL', { ccy: 'USD' });
 // Futures and CDX resolution
 const front = await engine.futTicker('ES1 Index', '20240301');
 const active = await engine.activeFutures('CL1 Comdty', '20240301', { freq: 'M' });
+const curve = await engine.futuresCurve('ES1 Index', { maxContracts: 6 });
 const cdx = await engine.cdxTicker('CDX IG CDSI GEN 5Y Corp', '20240301');
 const activeCdx = await engine.activeCdx('CDX IG CDSI GEN 5Y Corp', '20240301', {
   lookbackDays: 10,
@@ -196,6 +201,17 @@ const turn = await engine.turnover(['AAPL US Equity'], '20240101', '20240131', {
   ccy: 'USD',
 });
 const holdings = await engine.etfHoldings('SPY US Equity');
+const realizedYield = await engine.dividendYield('AAPL US Equity', '20230101', '20231231', {
+  dividendTypes: ['Regular Cash'],
+});
+const members = await engine.indexMembers('SPX Index', { field: 'INDX_MWEIGHT', asof: '20240102' });
+const surface = await engine.volSurface('SPX Index', '20240102', '20240105', {
+  preset: 'MONEYNESS_30D',
+  includeDerived: true,
+  riskFreeRate: 0.05,
+});
+const resolved = await engine.resolveIsins(['US0378331005', 'INVALIDISIN000']);
+const issuers = await engine.issuerIsins(['US037833FB15', 'INVALIDISIN000']);
 
 // Currency-converted prices
 const px = await engine.currencyConversion('700 HK Equity', 'USD', '20240101', '20240131');

package/dist/index.d.ts

@@ -319,6 +319,13 @@ interface FuturesResolveOptions {
     freq?: string;
     backend?: BackendKind;
 }
+interface FuturesCurveOptions {
+    asof?: DateLike;
+    chainField?: string;
+    fields?: readonly string[];
+    maxContracts?: number;
+    backend?: BackendKind;
+}
 interface ActiveCdxOptions {
     lookbackDays?: number;
     backend?: BackendKind;
@@ -327,6 +334,11 @@ interface DividendOptions {
     dvdType?: string;
     backend?: BackendKind;
 }
+interface DividendYieldOptions {
+    dividendTypes?: readonly string[];
+    windowDays?: number;
+    backend?: BackendKind;
+}
 interface TurnoverOptions {
     ccy?: string;
     factor?: number;
@@ -336,6 +348,27 @@ interface EtfHoldingsOptions {
     fields?: readonly string[];
     backend?: BackendKind;
 }
+type VolSurfacePreset = 'DELTA_1M_2M' | 'MONEYNESS_30D' | 'MONEYNESS_60D' | 'MONEYNESS_3M' | 'MONEYNESS_6M' | 'MONEYNESS_12M';
+interface VolFieldSpec {
+    metric?: string;
+    tenor?: string;
+    pointType?: string;
+    point?: number;
+}
+interface VolSurfaceOptions {
+    preset?: VolSurfacePreset | readonly VolSurfacePreset[] | null;
+    fields?: readonly string[] | Record<string, VolFieldSpec>;
+    asDecimal?: boolean;
+    includeDerived?: boolean;
+    riskFreeRate?: number;
+    dividendYieldField?: string;
+    backend?: BackendKind;
+}
+interface IndexMembersOptions {
+    field?: 'INDX_MWEIGHT' | 'INDX_MEMBERS' | 'INDX_MEMBERS3';
+    asof?: DateLike;
+    backend?: BackendKind;
+}
 interface RecipeBackendOptions {
     backend?: BackendKind;
 }
@@ -509,9 +542,9 @@ declare class FieldHandle {
     constructor(name: string);
 }
 declare class Tick {
-    private readonly _update;
-    private readonly _positions;
-    constructor(_update: NativeSubscriptionUpdate);
+    private readonly update;
+    private readonly positions;
+    constructor(update: NativeSubscriptionUpdate);
     get topic(): string;
     get timestampUs(): number;
     get layoutVersion(): number;
@@ -522,14 +555,14 @@ declare class Tick {
     toObject(): Record<string, unknown>;
 }
 declare class ArrowSubscription implements AsyncIterator<Table>, AsyncIterable<Table> {
-    private readonly _inner;
-    constructor(_inner: NativeSubscription);
+    private readonly inner;
+    constructor(inner: NativeSubscription);
     next(): Promise<IteratorResult<Table>>;
     unsubscribe(drain?: boolean): Promise<Table[]>;
     [Symbol.asyncIterator](): this;
 }
 declare class Subscription implements AsyncIterator<Tick>, AsyncIterable<Tick> {
-    private readonly _inner;
+    private readonly inner;
     constructor(inner: NativeSubscription);
     next(): Promise<IteratorResult<Tick>>;
     add(tickers: readonly string[]): Promise<void>;
@@ -544,7 +577,7 @@ declare class Subscription implements AsyncIterator<Tick>, AsyncIterable<Tick> {
     [Symbol.asyncIterator](): this;
 }
 declare class Engine {
-    private _inner;
+    private inner;
     constructor(host?: string, port?: number);
     static withConfig(config?: EngineConfig): Engine;
     request(params: RequestInput): Promise<unknown>;
@@ -597,11 +630,17 @@ declare class Engine {
     corporateBonds(ticker: string, options?: CorporateBondsOptions): Promise<unknown>;
     futTicker(genTicker: string, dt: DateLike, options?: FuturesResolveOptions): Promise<unknown>;
     activeFutures(genTicker: string, dt: DateLike, options?: FuturesResolveOptions): Promise<unknown>;
+    futuresCurve(genTicker: string, options?: FuturesCurveOptions): Promise<unknown>;
     cdxTicker(genTicker: string, dt: DateLike, options?: RecipeBackendOptions): Promise<unknown>;
     activeCdx(genTicker: string, dt: DateLike, options?: ActiveCdxOptions): Promise<unknown>;
     dividend(tickers: string | readonly string[], startDate: DateLike, endDate: DateLike, options?: DividendOptions): Promise<unknown>;
+    dividendYield(tickers: string | readonly string[], startDate: DateLike, endDate: DateLike, options?: DividendYieldOptions): Promise<unknown>;
     turnover(tickers: string | readonly string[], startDate: DateLike, endDate: DateLike, options?: TurnoverOptions): Promise<unknown>;
     etfHoldings(etfTicker: string, options?: EtfHoldingsOptions): Promise<unknown>;
+    volSurface(tickers: string | readonly string[], startDate: DateLike, endDate: DateLike, options?: VolSurfaceOptions): Promise<unknown>;
+    indexMembers(index: string, options?: IndexMembersOptions): Promise<unknown>;
+    resolveIsins(isins: string | readonly string[], options?: RecipeBackendOptions): Promise<unknown>;
+    issuerIsins(bondIsins: string | readonly string[], options?: RecipeBackendOptions): Promise<unknown>;
     currencyConversion(ticker: string, targetCcy: string, startDate: DateLike, endDate: DateLike, options?: RecipeBackendOptions): Promise<unknown>;
 }
 declare function connect(config?: EngineConfig): Promise<Engine>;
@@ -623,73 +662,73 @@ declare function acdxInfo(ticker: string, options?: BdpOptions): Promise<unknown
 declare function acdxPricing(ticker: string, options?: CdxOptions): Promise<unknown>;
 declare function acdxRisk(ticker: string, options?: CdxOptions): Promise<unknown>;
 declare const blp: Readonly<{
-    bdp: typeof bdp;
-    bdh: typeof bdh;
-    bds: typeof bds;
-    bdib: typeof bdib;
-    bdtick: typeof bdtick;
-    subscribe: typeof subscribe;
-    abdp: typeof abdp;
     abdh: typeof abdh;
-    abds: typeof abds;
     abdib: typeof abdib;
+    abdp: typeof abdp;
+    abds: typeof abds;
     abdtick: typeof abdtick;
     asubscribe: typeof asubscribe;
+    bdh: typeof bdh;
+    bdib: typeof bdib;
+    bdp: typeof bdp;
+    bds: typeof bds;
+    bdtick: typeof bdtick;
+    subscribe: typeof subscribe;
 }>;
 declare const ext: Readonly<{
+    buildCorporateBondsQuery: (ticker: string, ccy?: string, extraFields?: readonly string[], activeOnly?: boolean) => string;
+    buildEarningHeaderRename: (headerRow: readonly StringPair[], dataColumns: readonly string[]) => StringPair[];
+    buildEtfHoldingsQuery: (etfTicker: string, extraFields?: readonly string[]) => string;
+    buildFuturesTicker: (prefix: string, monthCode: string, year: string, asset: string) => string;
+    buildFxPair: (fromCcy: string, toCcy: string) => FxPairInfo;
+    buildPreferredsQuery: (equityTicker: string, extraFields?: readonly string[]) => string;
+    buildYasOverrides: (settleDt?: string, yieldType?: number, spread?: number, yieldVal?: number, price?: number, benchmark?: string) => StringPair[];
+    calculateLevelPercentages: (values: readonly (number | null)[], levels: readonly (number | null)[]) => (number | null)[];
     cdx: Readonly<{
         acdx_info: typeof acdxInfo;
         acdx_pricing: typeof acdxPricing;
         acdx_risk: typeof acdxRisk;
     }>;
-    parseDate: (dateStr: string) => number[];
-    fmtDate: (year: number, month: number, day: number, fmt?: string) => string;
-    pivotToWide: (ipcBuffer: Buffer) => Buffer;
-    isLongFormat: (ipcBuffer: Buffer) => boolean;
-    parseTicker: (ticker: string) => TickerParts;
-    isSpecificContract: (ticker: string) => boolean;
-    buildFuturesTicker: (prefix: string, monthCode: string, year: string, asset: string) => string;
-    normalizeTickers: (tickers: readonly string[]) => string[];
-    filterEquityTickers: (tickers: readonly string[]) => string[];
-    generateFuturesCandidates: (genTicker: string, year: number, month: number, day: number, freq?: string, count?: number) => FuturesCandidate[];
-    validateGenericTicker: (ticker: string) => void;
+    cdxGenToSpecific: (genTicker: string, series: number) => string;
+    clearExchangeOverride: (ticker?: string) => void;
     contractIndex: (genTicker: string) => number;
+    currenciesNeedingConversion: (currencies: readonly string[], target: string) => string[];
+    defaultBqrDatetimes: (startDatetime?: string, endDatetime?: string) => TimeRange;
+    defaultTurnoverDates: (startDate?: string, endDate?: string) => TimeRange;
+    deriveSessions: (dayStart: string, dayEnd: string, mic?: string, exchCode?: string) => SessionWindowsInfo;
     filterCandidatesByCycle: (candidates: readonly FuturesCandidate[], cycle: string) => FuturesCandidate[];
+    filterEquityTickers: (tickers: readonly string[]) => string[];
     filterValidContracts: (contracts: readonly StringPair[], year: number, month: number, day: number) => string[];
-    parseCdxTicker: (ticker: string) => CdxTickerInfo;
-    previousCdxSeries: (ticker: string) => string | null;
-    cdxGenToSpecific: (genTicker: string, series: number) => string;
-    buildFxPair: (fromCcy: string, toCcy: string) => FxPairInfo;
-    sameCurrency: (ccy1: string, ccy2: string) => boolean;
-    currenciesNeedingConversion: (currencies: readonly string[], target: string) => string[];
-    renameDividendColumns: (columns: readonly string[]) => StringPair[];
-    renameEtfColumns: (columns: readonly string[]) => StringPair[];
-    getMonthCode: (monthName: string) => string | null;
-    getMonthName: (code: string) => string | null;
-    getFuturesMonths: () => StringPair[];
+    fmtDate: (year: number, month: number, day: number, fmt?: string) => string;
+    generateFuturesCandidates: (genTicker: string, year: number, month: number, day: number, freq?: string, count?: number) => FuturesCandidate[];
+    getDvdCols: () => StringPair[];
     getDvdType: (typ: string) => string | null;
     getDvdTypes: () => StringPair[];
-    getDvdCols: () => StringPair[];
     getEtfCols: () => StringPair[];
-    buildYasOverrides: (settleDt?: string, yieldType?: number, spread?: number, yieldVal?: number, price?: number, benchmark?: string) => StringPair[];
-    buildEarningHeaderRename: (headerRow: readonly StringPair[], dataColumns: readonly string[]) => StringPair[];
-    calculateLevelPercentages: (values: readonly (number | null)[], levels: readonly (number | null)[]) => (number | null)[];
-    buildPreferredsQuery: (equityTicker: string, extraFields?: readonly string[]) => string;
-    buildCorporateBondsQuery: (ticker: string, ccy?: string, extraFields?: readonly string[], activeOnly?: boolean) => string;
-    buildEtfHoldingsQuery: (etfTicker: string, extraFields?: readonly string[]) => string;
-    defaultTurnoverDates: (startDate?: string, endDate?: string) => TimeRange;
-    defaultBqrDatetimes: (startDatetime?: string, endDatetime?: string) => TimeRange;
-    deriveSessions: (dayStart: string, dayEnd: string, mic?: string, exchCode?: string) => SessionWindowsInfo;
+    getExchangeOverride: (ticker: string) => ExchangeInfoResult | null;
+    getFuturesMonths: () => StringPair[];
     getMarketRule: (mic?: string, exchCode?: string) => MarketRule | null;
+    getMonthCode: (monthName: string) => string | null;
+    getMonthName: (code: string) => string | null;
     inferTimezone: (countryIso: string) => string | null;
-    setExchangeOverride: (ticker: string, input: ExchangeOverrideInput) => void;
-    getExchangeOverride: (ticker: string) => ExchangeInfoResult | null;
-    clearExchangeOverride: (ticker?: string) => void;
+    isLongFormat: (ipcBuffer: Buffer) => boolean;
+    isSpecificContract: (ticker: string) => boolean;
     listExchangeOverrides: () => ExchangeInfoResult[];
+    normalizeTickers: (tickers: readonly string[]) => string[];
+    parseCdxTicker: (ticker: string) => CdxTickerInfo;
+    parseDate: (dateStr: string) => number[];
+    parseTicker: (ticker: string) => TickerParts;
+    pivotToWide: (ipcBuffer: Buffer) => Buffer;
+    previousCdxSeries: (ticker: string) => string | null;
+    renameDividendColumns: (columns: readonly string[]) => StringPair[];
+    renameEtfColumns: (columns: readonly string[]) => StringPair[];
+    sameCurrency: (ccy1: string, ccy2: string) => boolean;
     sessionTimesToUtc: (startTime: string, endTime: string, exchangeTz: string, date: string) => TimeRange;
+    setExchangeOverride: (ticker: string, input: ExchangeOverrideInput) => void;
+    validateGenericTicker: (ticker: string) => void;
 }>;
 declare function version(): string;
 declare const setLogLevel: (level: string) => void;
 declare const getLogLevel: () => string;
 
-export { type ActiveCdxOptions, ArrowSubscription, type AuthConfig, Backend, type BackendKind, type BdhOptions, type BdibOptions, type BdpOptions, type BdtickOptions, type BeqsOptions, type BfldsOptions, type BlkpOptions, BlpError, BlpInternalError, BlpRequestError, BlpSessionError, BlpTimeoutError, BlpValidationError, type BqlOptions, type BqrOptions, type BsrchOptions, type BtaOptions, type CdxOptions, type CdxTickerInfo, type CorporateBondsOptions, type DateLike, type DateTimeLike, type DividendOptions, Engine, type EngineConfig, type EtfHoldingsOptions, type ExchangeInfoResult, type ExchangeOverrideInput, FieldHandle, type FieldInfo, Format, type FormatKind, type FuturesCandidate, type FuturesResolveOptions, type FxPairInfo, type MarketRule, type OverridesMap, type PreferredsOptions, type PrimitiveValue, type RecipeBackendOptions, type RequestInput, type RequestOptions, type ServerAddress, type SessionWindowsInfo, type Socks5Config, type StreamOptions, type StringPair, Subscription, type SubscriptionStats, Tick, type TickValue, type TickerParts, type TimeRange, type TlsConfig, type TurnoverOptions, type YasOptions, abdh, abdib, abdp, abds, abdtick, asubscribe, bdh, bdib, bdp, bds, bdtick, blp, configure, connect, ext, formatDate, formatDateTime, getLogLevel, setLogLevel, subscribe, version, wrapError };
+export { type ActiveCdxOptions, ArrowSubscription, type AuthConfig, Backend, type BackendKind, type BdhOptions, type BdibOptions, type BdpOptions, type BdtickOptions, type BeqsOptions, type BfldsOptions, type BlkpOptions, BlpError, BlpInternalError, BlpRequestError, BlpSessionError, BlpTimeoutError, BlpValidationError, type BqlOptions, type BqrOptions, type BsrchOptions, type BtaOptions, type CdxOptions, type CdxTickerInfo, type CorporateBondsOptions, type DateLike, type DateTimeLike, type DividendOptions, type DividendYieldOptions, Engine, type EngineConfig, type EtfHoldingsOptions, type ExchangeInfoResult, type ExchangeOverrideInput, FieldHandle, type FieldInfo, Format, type FormatKind, type FuturesCandidate, type FuturesCurveOptions, type FuturesResolveOptions, type FxPairInfo, type IndexMembersOptions, type MarketRule, type OverridesMap, type PreferredsOptions, type PrimitiveValue, type RecipeBackendOptions, type RequestInput, type RequestOptions, type ServerAddress, type SessionWindowsInfo, type Socks5Config, type StreamOptions, type StringPair, Subscription, type SubscriptionStats, Tick, type TickValue, type TickerParts, type TimeRange, type TlsConfig, type TurnoverOptions, type VolFieldSpec, type VolSurfaceOptions, type VolSurfacePreset, type YasOptions, abdh, abdib, abdp, abds, abdtick, asubscribe, bdh, bdib, bdp, bds, bdtick, blp, configure, connect, ext, formatDate, formatDateTime, getLogLevel, setLogLevel, subscribe, version, wrapError };