backtest-kit 1.5.15 → 1.5.16

package/build/index.cjs

@@ -6487,7 +6487,7 @@ const columns$3 = [
     },
 ];
 /** Maximum number of events to store in live trading reports */
-const MAX_EVENTS$3 = 250;
+const MAX_EVENTS$4 = 250;
 /**
  * Storage class for accumulating all tick events per strategy.
  * Maintains a chronological list of all events (idle, opened, active, closed).
@@ -6520,7 +6520,7 @@ let ReportStorage$3 = class ReportStorage {
         }
         {
             this._eventList.push(newEvent);
-            if (this._eventList.length > MAX_EVENTS$3) {
+            if (this._eventList.length > MAX_EVENTS$4) {
                 this._eventList.shift();
             }
         }
@@ -6544,7 +6544,7 @@ let ReportStorage$3 = class ReportStorage {
             stopLoss: data.signal.priceStopLoss,
         });
         // Trim queue if exceeded MAX_EVENTS
-        if (this._eventList.length > MAX_EVENTS$3) {
+        if (this._eventList.length > MAX_EVENTS$4) {
             this._eventList.shift();
         }
     }
@@ -6570,7 +6570,7 @@ let ReportStorage$3 = class ReportStorage {
         };
         this._eventList.push(newEvent);
         // Trim queue if exceeded MAX_EVENTS
-        if (this._eventList.length > MAX_EVENTS$3) {
+        if (this._eventList.length > MAX_EVENTS$4) {
             this._eventList.shift();
         }
     }
@@ -6599,7 +6599,7 @@ let ReportStorage$3 = class ReportStorage {
         };
         this._eventList.push(newEvent);
         // Trim queue if exceeded MAX_EVENTS
-        if (this._eventList.length > MAX_EVENTS$3) {
+        if (this._eventList.length > MAX_EVENTS$4) {
             this._eventList.shift();
         }
     }
@@ -7001,7 +7001,7 @@ const columns$2 = [
     },
 ];
 /** Maximum number of events to store in schedule reports */
-const MAX_EVENTS$2 = 250;
+const MAX_EVENTS$3 = 250;
 /**
  * Storage class for accumulating scheduled signal events per strategy.
  * Maintains a chronological list of scheduled and cancelled events.
@@ -7030,7 +7030,34 @@ let ReportStorage$2 = class ReportStorage {
             stopLoss: data.signal.priceStopLoss,
         });
         // Trim queue if exceeded MAX_EVENTS
-        if (this._eventList.length > MAX_EVENTS$2) {
+        if (this._eventList.length > MAX_EVENTS$3) {
+            this._eventList.shift();
+        }
+    }
+    /**
+     * Adds an opened event to the storage.
+     *
+     * @param data - Opened tick result
+     */
+    addOpenedEvent(data) {
+        const durationMs = data.signal.pendingAt - data.signal.scheduledAt;
+        const durationMin = Math.round(durationMs / 60000);
+        const newEvent = {
+            timestamp: data.signal.pendingAt,
+            action: "opened",
+            symbol: data.signal.symbol,
+            signalId: data.signal.id,
+            position: data.signal.position,
+            note: data.signal.note,
+            currentPrice: data.currentPrice,
+            priceOpen: data.signal.priceOpen,
+            takeProfit: data.signal.priceTakeProfit,
+            stopLoss: data.signal.priceStopLoss,
+            duration: durationMin,
+        };
+        this._eventList.push(newEvent);
+        // Trim queue if exceeded MAX_EVENTS
+        if (this._eventList.length > MAX_EVENTS$3) {
             this._eventList.shift();
         }
     }
@@ -7058,7 +7085,7 @@ let ReportStorage$2 = class ReportStorage {
         };
         this._eventList.push(newEvent);
         // Trim queue if exceeded MAX_EVENTS
-        if (this._eventList.length > MAX_EVENTS$2) {
+        if (this._eventList.length > MAX_EVENTS$3) {
             this._eventList.shift();
         }
     }
@@ -7073,29 +7100,44 @@ let ReportStorage$2 = class ReportStorage {
                 eventList: [],
                 totalEvents: 0,
                 totalScheduled: 0,
+                totalOpened: 0,
                 totalCancelled: 0,
                 cancellationRate: null,
+                activationRate: null,
                 avgWaitTime: null,
+                avgActivationTime: null,
             };
         }
         const scheduledEvents = this._eventList.filter((e) => e.action === "scheduled");
+        const openedEvents = this._eventList.filter((e) => e.action === "opened");
         const cancelledEvents = this._eventList.filter((e) => e.action === "cancelled");
         const totalScheduled = scheduledEvents.length;
+        const totalOpened = openedEvents.length;
         const totalCancelled = cancelledEvents.length;
         // Calculate cancellation rate
         const cancellationRate = totalScheduled > 0 ? (totalCancelled / totalScheduled) * 100 : null;
+        // Calculate activation rate
+        const activationRate = totalScheduled > 0 ? (totalOpened / totalScheduled) * 100 : null;
         // Calculate average wait time for cancelled signals
         const avgWaitTime = totalCancelled > 0
             ? cancelledEvents.reduce((sum, e) => sum + (e.duration || 0), 0) /
                 totalCancelled
             : null;
+        // Calculate average activation time for opened signals
+        const avgActivationTime = totalOpened > 0
+            ? openedEvents.reduce((sum, e) => sum + (e.duration || 0), 0) /
+                totalOpened
+            : null;
         return {
             eventList: this._eventList,
             totalEvents: this._eventList.length,
             totalScheduled,
+            totalOpened,
             totalCancelled,
             cancellationRate,
+            activationRate,
             avgWaitTime,
+            avgActivationTime,
         };
     }
     /**
@@ -7125,8 +7167,11 @@ let ReportStorage$2 = class ReportStorage {
             "",
             `**Total events:** ${stats.totalEvents}`,
             `**Scheduled signals:** ${stats.totalScheduled}`,
+            `**Opened signals:** ${stats.totalOpened}`,
             `**Cancelled signals:** ${stats.totalCancelled}`,
+            `**Activation rate:** ${stats.activationRate === null ? "N/A" : `${stats.activationRate.toFixed(2)}% (higher is better)`}`,
             `**Cancellation rate:** ${stats.cancellationRate === null ? "N/A" : `${stats.cancellationRate.toFixed(2)}% (lower is better)`}`,
+            `**Average activation time:** ${stats.avgActivationTime === null ? "N/A" : `${stats.avgActivationTime.toFixed(2)} minutes`}`,
             `**Average wait time (cancelled):** ${stats.avgWaitTime === null ? "N/A" : `${stats.avgWaitTime.toFixed(2)} minutes`}`
         ].join("\n");
     }
@@ -7182,10 +7227,10 @@ class ScheduleMarkdownService {
          */
         this.getStorage = functoolsKit.memoize(([symbol, strategyName]) => `${symbol}:${strategyName}`, () => new ReportStorage$2());
         /**
-         * Processes tick events and accumulates scheduled/cancelled events.
-         * Should be called from signalLiveEmitter subscription.
+         * Processes tick events and accumulates scheduled/opened/cancelled events.
+         * Should be called from signalEmitter subscription.
          *
-         * Processes only scheduled and cancelled event types.
+         * Processes only scheduled, opened and cancelled event types.
          *
          * @param data - Tick result from strategy execution
          *
@@ -7203,6 +7248,13 @@ class ScheduleMarkdownService {
             if (data.action === "scheduled") {
                 storage.addScheduledEvent(data);
             }
+            else if (data.action === "opened") {
+                // Check if this opened signal was previously scheduled
+                // by checking if signal has scheduledAt != pendingAt
+                if (data.signal.scheduledAt !== data.signal.pendingAt) {
+                    storage.addOpenedEvent(data);
+                }
+            }
             else if (data.action === "cancelled") {
                 storage.addCancelledEvent(data);
             }
@@ -7340,7 +7392,7 @@ function percentile(sortedArray, p) {
     return sortedArray[Math.max(0, index)];
 }
 /** Maximum number of performance events to store per strategy */
-const MAX_EVENTS$1 = 10000;
+const MAX_EVENTS$2 = 10000;
 /**
  * Storage class for accumulating performance metrics per strategy.
  * Maintains a list of all performance events and provides aggregated statistics.
@@ -7358,7 +7410,7 @@ class PerformanceStorage {
     addEvent(event) {
         this._events.push(event);
         // Trim queue if exceeded MAX_EVENTS (keep most recent)
-        if (this._events.length > MAX_EVENTS$1) {
+        if (this._events.length > MAX_EVENTS$2) {
             this._events.shift();
         }
     }
@@ -8270,6 +8322,8 @@ const columns$1 = [
         format: (data) => data.totalTrades.toString(),
     },
 ];
+/** Maximum number of signals to store per symbol in heatmap reports */
+const MAX_EVENTS$1 = 250;
 /**
  * Storage class for accumulating closed signals per strategy and generating heatmap.
  * Maintains symbol-level statistics and provides portfolio-wide metrics.
@@ -8289,7 +8343,12 @@ class HeatmapStorage {
         if (!this.symbolData.has(symbol)) {
             this.symbolData.set(symbol, []);
         }
-        this.symbolData.get(symbol).push(data);
+        const signals = this.symbolData.get(symbol);
+        signals.push(data);
+        // Trim queue if exceeded MAX_EVENTS per symbol
+        if (signals.length > MAX_EVENTS$1) {
+            signals.shift();
+        }
     }
     /**
      * Calculates statistics for a single symbol.

package/build/index.mjs

@@ -6485,7 +6485,7 @@ const columns$3 = [
     },
 ];
 /** Maximum number of events to store in live trading reports */
-const MAX_EVENTS$3 = 250;
+const MAX_EVENTS$4 = 250;
 /**
  * Storage class for accumulating all tick events per strategy.
  * Maintains a chronological list of all events (idle, opened, active, closed).
@@ -6518,7 +6518,7 @@ let ReportStorage$3 = class ReportStorage {
         }
         {
             this._eventList.push(newEvent);
-            if (this._eventList.length > MAX_EVENTS$3) {
+            if (this._eventList.length > MAX_EVENTS$4) {
                 this._eventList.shift();
             }
         }
@@ -6542,7 +6542,7 @@ let ReportStorage$3 = class ReportStorage {
             stopLoss: data.signal.priceStopLoss,
         });
         // Trim queue if exceeded MAX_EVENTS
-        if (this._eventList.length > MAX_EVENTS$3) {
+        if (this._eventList.length > MAX_EVENTS$4) {
             this._eventList.shift();
         }
     }
@@ -6568,7 +6568,7 @@ let ReportStorage$3 = class ReportStorage {
         };
         this._eventList.push(newEvent);
         // Trim queue if exceeded MAX_EVENTS
-        if (this._eventList.length > MAX_EVENTS$3) {
+        if (this._eventList.length > MAX_EVENTS$4) {
             this._eventList.shift();
         }
     }
@@ -6597,7 +6597,7 @@ let ReportStorage$3 = class ReportStorage {
         };
         this._eventList.push(newEvent);
         // Trim queue if exceeded MAX_EVENTS
-        if (this._eventList.length > MAX_EVENTS$3) {
+        if (this._eventList.length > MAX_EVENTS$4) {
             this._eventList.shift();
         }
     }
@@ -6999,7 +6999,7 @@ const columns$2 = [
     },
 ];
 /** Maximum number of events to store in schedule reports */
-const MAX_EVENTS$2 = 250;
+const MAX_EVENTS$3 = 250;
 /**
  * Storage class for accumulating scheduled signal events per strategy.
  * Maintains a chronological list of scheduled and cancelled events.
@@ -7028,7 +7028,34 @@ let ReportStorage$2 = class ReportStorage {
             stopLoss: data.signal.priceStopLoss,
         });
         // Trim queue if exceeded MAX_EVENTS
-        if (this._eventList.length > MAX_EVENTS$2) {
+        if (this._eventList.length > MAX_EVENTS$3) {
+            this._eventList.shift();
+        }
+    }
+    /**
+     * Adds an opened event to the storage.
+     *
+     * @param data - Opened tick result
+     */
+    addOpenedEvent(data) {
+        const durationMs = data.signal.pendingAt - data.signal.scheduledAt;
+        const durationMin = Math.round(durationMs / 60000);
+        const newEvent = {
+            timestamp: data.signal.pendingAt,
+            action: "opened",
+            symbol: data.signal.symbol,
+            signalId: data.signal.id,
+            position: data.signal.position,
+            note: data.signal.note,
+            currentPrice: data.currentPrice,
+            priceOpen: data.signal.priceOpen,
+            takeProfit: data.signal.priceTakeProfit,
+            stopLoss: data.signal.priceStopLoss,
+            duration: durationMin,
+        };
+        this._eventList.push(newEvent);
+        // Trim queue if exceeded MAX_EVENTS
+        if (this._eventList.length > MAX_EVENTS$3) {
             this._eventList.shift();
         }
     }
@@ -7056,7 +7083,7 @@ let ReportStorage$2 = class ReportStorage {
         };
         this._eventList.push(newEvent);
         // Trim queue if exceeded MAX_EVENTS
-        if (this._eventList.length > MAX_EVENTS$2) {
+        if (this._eventList.length > MAX_EVENTS$3) {
             this._eventList.shift();
         }
     }
@@ -7071,29 +7098,44 @@ let ReportStorage$2 = class ReportStorage {
                 eventList: [],
                 totalEvents: 0,
                 totalScheduled: 0,
+                totalOpened: 0,
                 totalCancelled: 0,
                 cancellationRate: null,
+                activationRate: null,
                 avgWaitTime: null,
+                avgActivationTime: null,
             };
         }
         const scheduledEvents = this._eventList.filter((e) => e.action === "scheduled");
+        const openedEvents = this._eventList.filter((e) => e.action === "opened");
         const cancelledEvents = this._eventList.filter((e) => e.action === "cancelled");
         const totalScheduled = scheduledEvents.length;
+        const totalOpened = openedEvents.length;
         const totalCancelled = cancelledEvents.length;
         // Calculate cancellation rate
         const cancellationRate = totalScheduled > 0 ? (totalCancelled / totalScheduled) * 100 : null;
+        // Calculate activation rate
+        const activationRate = totalScheduled > 0 ? (totalOpened / totalScheduled) * 100 : null;
         // Calculate average wait time for cancelled signals
         const avgWaitTime = totalCancelled > 0
             ? cancelledEvents.reduce((sum, e) => sum + (e.duration || 0), 0) /
                 totalCancelled
             : null;
+        // Calculate average activation time for opened signals
+        const avgActivationTime = totalOpened > 0
+            ? openedEvents.reduce((sum, e) => sum + (e.duration || 0), 0) /
+                totalOpened
+            : null;
         return {
             eventList: this._eventList,
             totalEvents: this._eventList.length,
             totalScheduled,
+            totalOpened,
             totalCancelled,
             cancellationRate,
+            activationRate,
             avgWaitTime,
+            avgActivationTime,
         };
     }
     /**
@@ -7123,8 +7165,11 @@ let ReportStorage$2 = class ReportStorage {
             "",
             `**Total events:** ${stats.totalEvents}`,
             `**Scheduled signals:** ${stats.totalScheduled}`,
+            `**Opened signals:** ${stats.totalOpened}`,
             `**Cancelled signals:** ${stats.totalCancelled}`,
+            `**Activation rate:** ${stats.activationRate === null ? "N/A" : `${stats.activationRate.toFixed(2)}% (higher is better)`}`,
             `**Cancellation rate:** ${stats.cancellationRate === null ? "N/A" : `${stats.cancellationRate.toFixed(2)}% (lower is better)`}`,
+            `**Average activation time:** ${stats.avgActivationTime === null ? "N/A" : `${stats.avgActivationTime.toFixed(2)} minutes`}`,
             `**Average wait time (cancelled):** ${stats.avgWaitTime === null ? "N/A" : `${stats.avgWaitTime.toFixed(2)} minutes`}`
         ].join("\n");
     }
@@ -7180,10 +7225,10 @@ class ScheduleMarkdownService {
          */
         this.getStorage = memoize(([symbol, strategyName]) => `${symbol}:${strategyName}`, () => new ReportStorage$2());
         /**
-         * Processes tick events and accumulates scheduled/cancelled events.
-         * Should be called from signalLiveEmitter subscription.
+         * Processes tick events and accumulates scheduled/opened/cancelled events.
+         * Should be called from signalEmitter subscription.
          *
-         * Processes only scheduled and cancelled event types.
+         * Processes only scheduled, opened and cancelled event types.
          *
          * @param data - Tick result from strategy execution
          *
@@ -7201,6 +7246,13 @@ class ScheduleMarkdownService {
             if (data.action === "scheduled") {
                 storage.addScheduledEvent(data);
             }
+            else if (data.action === "opened") {
+                // Check if this opened signal was previously scheduled
+                // by checking if signal has scheduledAt != pendingAt
+                if (data.signal.scheduledAt !== data.signal.pendingAt) {
+                    storage.addOpenedEvent(data);
+                }
+            }
             else if (data.action === "cancelled") {
                 storage.addCancelledEvent(data);
             }
@@ -7338,7 +7390,7 @@ function percentile(sortedArray, p) {
     return sortedArray[Math.max(0, index)];
 }
 /** Maximum number of performance events to store per strategy */
-const MAX_EVENTS$1 = 10000;
+const MAX_EVENTS$2 = 10000;
 /**
  * Storage class for accumulating performance metrics per strategy.
  * Maintains a list of all performance events and provides aggregated statistics.
@@ -7356,7 +7408,7 @@ class PerformanceStorage {
     addEvent(event) {
         this._events.push(event);
         // Trim queue if exceeded MAX_EVENTS (keep most recent)
-        if (this._events.length > MAX_EVENTS$1) {
+        if (this._events.length > MAX_EVENTS$2) {
             this._events.shift();
         }
     }
@@ -8268,6 +8320,8 @@ const columns$1 = [
         format: (data) => data.totalTrades.toString(),
     },
 ];
+/** Maximum number of signals to store per symbol in heatmap reports */
+const MAX_EVENTS$1 = 250;
 /**
  * Storage class for accumulating closed signals per strategy and generating heatmap.
  * Maintains symbol-level statistics and provides portfolio-wide metrics.
@@ -8287,7 +8341,12 @@ class HeatmapStorage {
         if (!this.symbolData.has(symbol)) {
             this.symbolData.set(symbol, []);
         }
-        this.symbolData.get(symbol).push(data);
+        const signals = this.symbolData.get(symbol);
+        signals.push(data);
+        // Trim queue if exceeded MAX_EVENTS per symbol
+        if (signals.length > MAX_EVENTS$1) {
+            signals.shift();
+        }
     }
     /**
      * Calculates statistics for a single symbol.

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "backtest-kit",
-  "version": "1.5.15",
+  "version": "1.5.16",
   "description": "A TypeScript library for trading system backtest",
   "author": {
     "name": "Petr Tripolsky",

package/types.d.ts

@@ -4079,13 +4079,13 @@ declare class LiveMarkdownService {
 
 /**
  * Unified scheduled signal event data for report generation.
- * Contains all information about scheduled and cancelled events.
+ * Contains all information about scheduled, opened and cancelled events.
  */
 interface ScheduledEvent {
     /** Event timestamp in milliseconds (scheduledAt for scheduled/cancelled events) */
     timestamp: number;
     /** Event action type */
-    action: "scheduled" | "cancelled";
+    action: "scheduled" | "opened" | "cancelled";
     /** Trading pair symbol */
     symbol: string;
     /** Signal ID */
@@ -4104,13 +4104,13 @@ interface ScheduledEvent {
     stopLoss: number;
     /** Close timestamp (only for cancelled) */
     closeTimestamp?: number;
-    /** Duration in minutes (only for cancelled) */
+    /** Duration in minutes (only for cancelled/opened) */
     duration?: number;
 }
 /**
  * Statistical data calculated from scheduled signals.
  *
- * Provides metrics for scheduled signal tracking and cancellation analysis.
+ * Provides metrics for scheduled signal tracking, activation and cancellation analysis.
  *
  * @example
  * ```typescript
@@ -4118,10 +4118,11 @@ interface ScheduledEvent {
  *
  * console.log(`Total events: ${stats.totalEvents}`);
  * console.log(`Scheduled signals: ${stats.totalScheduled}`);
+ * console.log(`Opened signals: ${stats.totalOpened}`);
  * console.log(`Cancelled signals: ${stats.totalCancelled}`);
  * console.log(`Cancellation rate: ${stats.cancellationRate}%`);
  *
- * // Access raw event data (includes scheduled, cancelled)
+ * // Access raw event data (includes scheduled, opened, cancelled)
  * stats.eventList.forEach(event => {
  *   if (event.action === "cancelled") {
  *     console.log(`Cancelled signal: ${event.signalId}`);
@@ -4130,18 +4131,24 @@ interface ScheduledEvent {
  * ```
  */
 interface ScheduleStatistics {
-    /** Array of all scheduled/cancelled events with full details */
+    /** Array of all scheduled/opened/cancelled events with full details */
     eventList: ScheduledEvent[];
-    /** Total number of all events (includes scheduled, cancelled) */
+    /** Total number of all events (includes scheduled, opened, cancelled) */
     totalEvents: number;
     /** Total number of scheduled signals */
     totalScheduled: number;
+    /** Total number of opened signals (activated from scheduled) */
+    totalOpened: number;
     /** Total number of cancelled signals */
     totalCancelled: number;
     /** Cancellation rate as percentage (0-100), null if no scheduled signals. Lower is better. */
     cancellationRate: number | null;
+    /** Activation rate as percentage (0-100), null if no scheduled signals. Higher is better. */
+    activationRate: number | null;
     /** Average waiting time for cancelled signals in minutes, null if no cancelled signals */
     avgWaitTime: number | null;
+    /** Average waiting time for opened signals in minutes, null if no opened signals */
+    avgActivationTime: number | null;
 }
 /**
  * Service for generating and saving scheduled signals markdown reports.
@@ -4173,10 +4180,10 @@ declare class ScheduleMarkdownService {
      */
     private getStorage;
     /**
-     * Processes tick events and accumulates scheduled/cancelled events.
-     * Should be called from signalLiveEmitter subscription.
+     * Processes tick events and accumulates scheduled/opened/cancelled events.
+     * Should be called from signalEmitter subscription.
      *
-     * Processes only scheduled and cancelled event types.
+     * Processes only scheduled, opened and cancelled event types.
      *
      * @param data - Tick result from strategy execution
      *