aiden-shared-calculations-unified 1.0.34 → 1.0.36

package/calculations/meta/capital_vintage_performance.js

@@ -1,159 +1,122 @@
-/**
- * @fileoverview Meta-calculation (Pass 3) that tracks the performance 
- * of capital "vintages" by analyzing the market returns of assets 
- * that were bought following a crowd-wide deposit signal.
- *
- * This answers: "Does capital deployed from a fresh deposit event 
- * outperform capital deployed earlier?"
- */
-
-class CapitalVintagePerformance {
-    constructor() {
-        // How many days to look back/forward to measure performance
-        this.PERFORMANCE_WINDOW_DAYS = 7; 
-        this.dependenciesLoaded = false;
-        this.priceMap = null;
-        this.tickerToIdMap = null;
-    }
-
-    /**
-     * Helper to load all dependencies in parallel
-     */
-    async _loadDependencies(calculationUtils) {
-        if (this.dependenciesLoaded) return;
-        
-        const { loadAllPriceData, loadInstrumentMappings } = calculationUtils;
-        
-        const [priceData, mappings] = await Promise.all([
-            loadAllPriceData(),
-            loadInstrumentMappings()
-        ]);
-
-        this.priceMap = priceData;
-        
-        // Create a reverse map for easy lookup
-        this.tickerToIdMap = {};
-        if (mappings && mappings.instrumentToTicker) {
-            for (const [id, ticker] of Object.entries(mappings.instrumentToTicker)) {
-                this.tickerToIdMap[ticker] = id;
-            }
-        }
-        
-        this.dependenciesLoaded = true;
-    }
-
-    /**
-     * Helper to get a date string X days from a base date
-     */
-    _getDateStr(baseDateStr, daysOffset) {
-        const date = new Date(baseDateStr + 'T00:00:00Z');
-        date.setUTCDate(date.getUTCDate() + daysOffset);
-        return date.toISOString().slice(0, 10);
-    }
-
-    /**
-     * Helper to calculate the average return of a basket of assets
-     * over a specified period.
-     */
-    _calculateBasketPerformance(assets, startDateStr, endDateStr) {
-        if (!assets || assets.length === 0) {
-            return 0;
-        }
-
-        let totalReturn = 0;
-        let validAssets = 0;
-
-        for (const asset of assets) {
-            const ticker = asset.ticker;
-            const instrumentId = this.tickerToIdMap[ticker];
-
-            if (!instrumentId || !this.priceMap[instrumentId]) {
-                continue; // No price data for this ticker
-            }
-
-            const startPrice = this.priceMap[instrumentId][startDateStr];
-            const endPrice = this.priceMap[instrumentId][endDateStr];
-
-            if (startPrice && endPrice && startPrice > 0) {
-                const assetReturn = (endPrice - startPrice) / startPrice;
-                totalReturn += assetReturn;
-                validAssets++;
-            }
-        }
-
-        if (validAssets === 0) return 0;
-        return (totalReturn / validAssets) * 100; // Return as percentage
-    }
-
-    /**
-     * @param {string} dateStr The date to run the analysis for (e.g., "2025-10-31").
-     * @param {object} dependencies The shared dependencies (db, logger, calculationUtils).
-     * @param {object} config The computation system configuration.
-     * @returns {Promise<object|null>} The analysis result or null.
-     */
-    async process(dateStr, dependencies, config) {
-        const { db, logger, calculationUtils } = dependencies;
-        
-        // 1. Load all price/mapping data
-        await this._loadDependencies(calculationUtils);
-
-        // 2. Define and fetch dependency: cash-flow-deployment
-        const depRef = db.collection(config.resultsCollection).doc(dateStr)
-            .collection('results').doc('meta')
-            .collection('computations').doc('cash-flow-deployment');
-            
-        const snapshot = await depRef.get();
-
-        if (!snapshot.exists || snapshot.data().status !== 'analysis_complete') {
-            logger.log('WARN', `[CapitalVintage] Skipping ${dateStr}, no valid 'cash-flow-deployment' data found.`);
-            return null;
-        }
-
-        const data = snapshot.data();
-        const topAssets = data.top_deployment_assets; // [{ ticker: 'AAPL', ... }]
-        const signalDate = data.signal_date; // The day the deposit signal occurred
-        const deploymentDate = data.analysis_date; // The day the capital was spent (dateStr)
-
-        if (!topAssets || topAssets.length === 0) {
-             logger.log('INFO', `[CapitalVintage] No top assets deployed on ${dateStr}.`);
-             return { status: 'no_deployment' };
-        }
-
-        // 3. Define performance windows
-        // "Before" window: 7 days leading up to the signal
-        const preSignalStart = this._getDateStr(signalDate, -this.PERFORMANCE_WINDOW_DAYS);
-        const preSignalEnd = signalDate;
-        
-        // "After" window: 7 days starting from the deployment
-        const postDeployStart = deploymentDate;
-        const postDeployEnd = this._getDateStr(deploymentDate, this.PERFORMANCE_WINDOW_DAYS);
-
-        // 4. Calculate performance
-        const preSignalReturnPct = this._calculateBasketPerformance(
-            topAssets, preSignalStart, preSignalEnd
-        );
-        
-        const postDeploymentReturnPct = this._calculateBasketPerformance(
-            topAssets, postDeployStart, postDeployEnd
-        );
-        
-        const momentum = postDeploymentReturnPct - preSignalReturnPct;
-
-        return {
-            status: 'analysis_complete',
-            signal_date: signalDate,
-            deployment_date: deploymentDate,
-            performance_window_days: this.PERFORMANCE_WINDOW_DAYS,
-            deployed_assets: topAssets.map(a => a.ticker),
-            pre_signal_return_pct: preSignalReturnPct,
-            post_deployment_return_pct: postDeploymentReturnPct,
-            return_momentum: momentum,
-            interpretation: "Measures the 7-day return of deployed assets *after* deployment vs. 7-days *before* the signal."
-        };
-    }
-
-    async getResult() { return null; }
-    reset() {}
-}
-
+/**
+ * @fileoverview Meta-calculation (Pass 3) that tracks the performance 
+ * of capital "vintages" by analyzing the market returns of assets 
+ * that were bought following a crowd-wide deposit signal.
+ */
+
+class CapitalVintagePerformance {
+    constructor() {
+        this.PERFORMANCE_WINDOW_DAYS = 7; 
+        this.dependenciesLoaded = false;
+        this.priceMap = null;
+        this.tickerToIdMap = null;
+    }
+
+    async _loadDependencies(calculationUtils) {
+        if (this.dependenciesLoaded) return;
+        const { loadAllPriceData, loadInstrumentMappings } = calculationUtils;
+        const [priceData, mappings] = await Promise.all([
+            loadAllPriceData(),
+            loadInstrumentMappings()
+        ]);
+        this.priceMap = priceData;
+        this.tickerToIdMap = {};
+        if (mappings && mappings.instrumentToTicker) {
+            for (const [id, ticker] of Object.entries(mappings.instrumentToTicker)) {
+                this.tickerToIdMap[ticker] = id;
+            }
+        }
+        this.dependenciesLoaded = true;
+    }
+
+    _getDateStr(baseDateStr, daysOffset) {
+        const date = new Date(baseDateStr + 'T00:00:00Z');
+        date.setUTCDate(date.getUTCDate() + daysOffset);
+        return date.toISOString().slice(0, 10);
+    }
+
+    _calculateBasketPerformance(assets, startDateStr, endDateStr) {
+        if (!assets || assets.length === 0) return 0;
+        let totalReturn = 0;
+        let validAssets = 0;
+        for (const asset of assets) {
+            const ticker = asset.ticker;
+            const instrumentId = this.tickerToIdMap[ticker];
+            if (!instrumentId || !this.priceMap[instrumentId]) continue;
+            const startPrice = this.priceMap[instrumentId][startDateStr];
+            const endPrice = this.priceMap[instrumentId][endDateStr];
+            if (startPrice && endPrice && startPrice > 0) {
+                const assetReturn = (endPrice - startPrice) / startPrice;
+                totalReturn += assetReturn;
+                validAssets++;
+            }
+        }
+        if (validAssets === 0) return 0;
+        return (totalReturn / validAssets) * 100;
+    }
+
+    /**
+     * @param {string} dateStr The date to run the analysis for (e.g., "2025-10-31").
+     * @param {object} dependencies The shared dependencies (db, logger, calculationUtils).
+     * @param {object} config The computation system configuration.
+     * @param {object} computedDependencies In-memory results from previous passes.
+     * @returns {Promise<object|null>} The analysis result or null.
+     */
+    async process(dateStr, dependencies, config, computedDependencies) {
+        const { db, logger, calculationUtils } = dependencies;
+        
+        // 1. Load all price/mapping data
+        await this._loadDependencies(calculationUtils);
+
+        // 2. Get dependency from in-memory cache
+        const data = computedDependencies['cash-flow-deployment'];
+
+        if (!data || data.status !== 'analysis_complete') {
+            logger.log('WARN', `[CapitalVintage] Skipping ${dateStr}, no valid 'cash-flow-deployment' data found.`);
+            return null;
+        }
+
+        const topAssets = data.top_deployment_assets; // [{ ticker: 'AAPL', ... }]
+        const signalDate = data.signal_date; // The day the deposit signal occurred
+        const deploymentDate = data.analysis_date; // The day the capital was spent (dateStr)
+
+        if (!topAssets || topAssets.length === 0) {
+             logger.log('INFO', `[CapitalVintage] No top assets deployed on ${dateStr}.`);
+             return { status: 'no_deployment' };
+        }
+
+        // 3. Define performance windows
+        const preSignalStart = this._getDateStr(signalDate, -this.PERFORMANCE_WINDOW_DAYS);
+        const preSignalEnd = signalDate;
+        const postDeployStart = deploymentDate;
+        const postDeployEnd = this._getDateStr(deploymentDate, this.PERFORMANCE_WINDOW_DAYS);
+
+        // 4. Calculate performance
+        const preSignalReturnPct = this._calculateBasketPerformance(
+            topAssets, preSignalStart, preSignalEnd
+        );
+        
+        const postDeploymentReturnPct = this._calculateBasketPerformance(
+            topAssets, postDeployStart, postDeployEnd
+        );
+        
+        const momentum = postDeploymentReturnPct - preSignalReturnPct;
+
+        return {
+            status: 'analysis_complete',
+            signal_date: signalDate,
+            deployment_date: deploymentDate,
+            performance_window_days: this.PERFORMANCE_WINDOW_DAYS,
+            deployed_assets: topAssets.map(a => a.ticker),
+            pre_signal_return_pct: preSignalReturnPct,
+            post_deployment_return_pct: postDeploymentReturnPct,
+            return_momentum: momentum,
+            interpretation: "Measures the 7-day return of deployed assets *after* deployment vs. 7-days *before* the signal."
+        };
+    }
+
+    async getResult() { return null; }
+    reset() {}
+}
+
 module.exports = CapitalVintagePerformance;

package/calculations/meta/cash-flow-deployment.js

@@ -1,125 +1,111 @@
-const { FieldValue } = require('@google-cloud/firestore');
-
-class CashFlowDeployment {
-    constructor() {
-        this.lookbackDays = 7;
-        this.correlationWindow = 3;
-        this.depositSignalThreshold = -0.005; // Formerly -1.0
-    }
-
-    _getDateStr(baseDate, daysAgo) {
-        const date = new Date(baseDate + 'T00:00:00Z');
-        date.setUTCDate(date.getUTCDate() - daysAgo);
-        return date.toISOString().slice(0, 10);
-    }
-
-    async process(dateStr, dependencies, config) {
-        const { db, logger } = dependencies;
-        const collection = config.resultsCollection;
-
-        // build all needed refs in advance for this day
-        const dateRefs = [];
-        const dates = [];
-
-        for (let i = 1; i <= this.lookbackDays; i++) {
-            const checkDate = this._getDateStr(dateStr, i);
-            dates.push({ date: checkDate, category: 'capital_flow', computation: 'crowd-cash-flow-proxy' });
-        }
-
-        // add refs for today's 2 dependencies
-        dates.push({ date: dateStr, category: 'capital_flow', computation: 'crowd-cash-flow-proxy' });
-        dates.push({ date: dateStr, category: 'behavioural', computation: 'asset-crowd-flow' });
-
-        // build refs array
-        const refs = dates.map(d =>
-            db.collection(collection).doc(d.date)
-                .collection('results').doc(d.category)
-                .collection('computations').doc(d.computation)
-        );
-
-        const snapshots = await db.getAll(...refs);
-
-        // build map(path -> data)
-        const dataMap = new Map();
-        snapshots.forEach((snap, idx) => {
-            if (snap.exists) dataMap.set(idx, snap.data());
-        });
-
-        // --- START MODIFICATION ---
-        // Check for THIS DATE's dependencies (cash-flow and asset-flow) FIRST.
-        // These are at the end of the 'dates' array.
-        const cashFlowData = dataMap.get(this.lookbackDays);
-        const assetFlowData = dataMap.get(this.lookbackDays + 1);
-
-        if (!cashFlowData || !assetFlowData) {
-            logger.log('WARN', `[CashFlowDeployment] Missing critical dependency data (cash-flow or asset-flow) for ${dateStr}. Skipping to allow backfill.`);
-            return null; // This allows backfill
-        }
-        // --- END MODIFICATION ---
-
-        // find deposit signal
-        let depositSignal = null;
-        let depositSignalDay = null;
-
-        for (let i = 0; i < this.lookbackDays; i++) {
-            const flowData = dataMap.get(i);
-            const dateUsed = dates[i].date;
-            if (flowData && flowData.cash_flow_effect_proxy < this.depositSignalThreshold) {
-                depositSignal = flowData;
-                depositSignalDay = dateUsed;
-                break;
-            }
-        }
-
-        if (!depositSignal) {
-            return {
-                status: 'no_signal_found',
-                lookback_days: this.lookbackDays,
-                signal_threshold: this.depositSignalThreshold
-            };
-        }
-
-        const daysSinceSignal = (new Date(dateStr) - new Date(depositSignalDay)) / (1000 * 60 * 60 * 24);
-
-        if (daysSinceSignal <= 0 || daysSinceSignal > this.correlationWindow) {
-            return {
-                status: 'outside_correlation_window',
-                signal_day: depositSignalDay,
-                days_since_signal: daysSinceSignal
-            };
-        }
-
-        // --- REMOVED ---
-        // The check for cashFlowData and assetFlowData was here
-        // but has been moved up.
-        // --- END REMOVED ---
-
-        const netSpendPct = cashFlowData.components?.trading_effect || 0;
-        const netDepositPct = Math.abs(depositSignal.cash_flow_effect_proxy);
-
-        const topBuys = Object.entries(assetFlowData)
-            .filter(([ticker, data]) => data.net_crowd_flow_pct > 0)
-            .sort(([, a], [, b]) => b.net_crowd_flow_pct - a.net_crowd_flow_pct)
-            .slice(0, 10)
-            .map(([ticker, data]) => ({
-                ticker,
-                net_flow_pct: data.net_crowd_flow_pct
-            }));
-
-        return {
-            status: 'analysis_complete',
-            analysis_date: dateStr,
-            signal_date: depositSignalDay,
-            days_since_signal: daysSinceSignal,
-            signal_deposit_proxy_pct: netDepositPct,
-            day_net_spend_pct: netSpendPct,
-            pct_of_deposit_deployed_today: (netSpendPct / netDepositPct) * 100,
-            top_deployment_assets: topBuys
-        };
-    }
-
-    async getResult() { return null; }
-    reset() {}
-}
-
+const { FieldValue } = require('@google-cloud/firestore');
+
+class CashFlowDeployment {
+    constructor() {
+        this.lookbackDays = 7;
+        this.correlationWindow = 3;
+        this.depositSignalThreshold = -0.005; // Formerly -1.0
+    }
+
+    _getDateStr(baseDate, daysAgo) {
+        const date = new Date(baseDate + 'T00:00:00Z');
+        date.setUTCDate(date.getUTCDate() - daysAgo);
+        return date.toISOString().slice(0, 10);
+    }
+
+    async process(dateStr, dependencies, config, computedDependencies) {
+        const { db, logger } = dependencies;
+        const collection = config.resultsCollection;
+
+        // --- MODIFICATION: Get same-day dependencies from cache ---
+        const cashFlowData = computedDependencies['crowd-cash-flow-proxy'];
+        const assetFlowData = computedDependencies['asset-crowd-flow'];
+
+        if (!cashFlowData || !assetFlowData) {
+            logger.log('WARN', `[CashFlowDeployment] Missing critical in-memory dependency data for ${dateStr}. Skipping.`);
+            return null;
+        }
+        // --- END MODIFICATION ---
+
+        // --- Historical lookback for signal still uses Firestore ---
+        const refs = [];
+        const dates = [];
+        for (let i = 1; i <= this.lookbackDays; i++) {
+            const checkDate = this._getDateStr(dateStr, i);
+            dates.push({ date: checkDate, category: 'capital_flow', computation: 'crowd-cash-flow-proxy' });
+        }
+        const histRefs = dates.map(d =>
+            db.collection(collection).doc(d.date)
+                .collection('results').doc(d.category)
+                .collection('computations').doc(d.computation)
+        );
+        const snapshots = await db.getAll(...histRefs);
+        const dataMap = new Map();
+        snapshots.forEach((snap, idx) => {
+            if (snap.exists) dataMap.set(idx, snap.data());
+        });
+        // --- End historical lookback ---
+
+
+        // find deposit signal
+        let depositSignal = null;
+        let depositSignalDay = null;
+
+        for (let i = 0; i < this.lookbackDays; i++) {
+            const flowData = dataMap.get(i);
+            const dateUsed = dates[i].date;
+            if (flowData && flowData.cash_flow_effect_proxy < this.depositSignalThreshold) {
+                depositSignal = flowData;
+                depositSignalDay = dateUsed;
+                break;
+            }
+        }
+
+        if (!depositSignal) {
+            return {
+                status: 'no_signal_found',
+                lookback_days: this.lookbackDays,
+                signal_threshold: this.depositSignalThreshold
+            };
+        }
+
+        const daysSinceSignal = (new Date(dateStr) - new Date(depositSignalDay)) / (1000 * 60 * 60 * 24);
+
+        if (daysSinceSignal <= 0 || daysSinceSignal > this.correlationWindow) {
+            return {
+                status: 'outside_correlation_window',
+                signal_day: depositSignalDay,
+                days_since_signal: daysSinceSignal
+            };
+        }
+
+        // Use the in-memory data for today
+        const netSpendPct = cashFlowData.components?.trading_effect || 0;
+        const netDepositPct = Math.abs(depositSignal.cash_flow_effect_proxy);
+
+        const topBuys = Object.entries(assetFlowData)
+            .filter(([ticker, data]) => data.net_crowd_flow_pct > 0)
+            .sort(([, a], [, b]) => b.net_crowd_flow_pct - a.net_crowd_flow_pct)
+            .slice(0, 10)
+            .map(([ticker, data]) => ({
+                ticker,
+                net_flow_pct: data.net_crowd_flow_pct
+            }));
+
+        return {
+            status: 'analysis_complete',
+            analysis_date: dateStr,
+            signal_date: depositSignalDay,
+            days_since_signal: daysSinceSignal,
+            signal_deposit_proxy_pct: netDepositPct,
+            day_net_spend_pct: netSpendPct,
+            pct_of_deposit_deployed_today: (netSpendPct / netDepositPct) * 100,
+            top_deployment_assets: topBuys
+        };
+    }
+
+    async getResult() { return null; }
+    reset() {}
+}
+
 module.exports = CashFlowDeployment;