desic-okx-agent 0.2.0 → 0.3.0

package/dist/bars/store.js

@@ -0,0 +1,415 @@
+import { RuntimeError } from "../core/errors.js";
+import { PublicRestLimiter } from "./rate-limiter.js";
+import { BAR_INDEX_SQL, BAR_MIGRATION_STEPS, BAR_SCHEMA_SQL } from "./schema.js";
+import { environmentHeaders } from "../network/connectivity.js";
+import { ONE_MINUTE_MS, alignMinuteOpen, expectedBarCount } from "./types.js";
+/** OKX returns at most 300 rows per candle page. */
+const PAGE_LIMIT = 300;
+/**
+ * Extra pages allowed beyond the number a gap actually needs.
+ *
+ * The ceiling is derived from the gap's own width rather than fixed: a flat 400
+ * was fewer than the 480 pages a 100-day range requires, so a long download
+ * stopped short and reported the rest as unavailable. The budget still bounds
+ * the loop if OKX keeps returning rows that never reach the lower bound.
+ */
+const GAP_PAGE_SLACK = 32;
+/** Hard stop, so a pathological response cannot page forever. */
+const MAX_PAGES_PER_GAP = 8_000;
+/**
+ * Persists confirmed one-minute bars and repairs an exact closed window.
+ *
+ * `syncWindow` deliberately targets an exact inclusive range instead of a
+ * rolling retention period: a reproducible backtest needs the bars belonging
+ * to its own snapshot repaired, and nothing else.
+ */
+export class BarStore {
+    db;
+    client;
+    limiter;
+    now;
+    confirmedListeners = new Set();
+    environment;
+    constructor(db, options) {
+        this.db = db;
+        this.client = options.client;
+        this.limiter = options.limiter ?? new PublicRestLimiter();
+        this.now = options.now ?? Date.now;
+        this.environment = options.environment ?? "live";
+        this.db.exec(BAR_SCHEMA_SQL);
+        this.migrate();
+        // Indexes naming the environment column go last: on a pre-environment database the
+        // column only exists once the migration above has run.
+        this.db.exec(BAR_INDEX_SQL);
+    }
+    /**
+     * Brings a pre-environment database up to the current schema.
+     *
+     * `bars_1m` and `bar_coverage` are keyed on the environment and SQLite cannot add a
+     * column to an existing primary key, so both are rebuilt. Existing rows become
+     * `live`, which is where they came from — demo is opt-in and could not have been
+     * written before this column existed.
+     */
+    migrate() {
+        for (const step of BAR_MIGRATION_STEPS) {
+            const columns = new Set(this.db.prepare(`PRAGMA table_info(${step.table})`).all().map((row) => row.name));
+            if (columns.has("environment"))
+                continue;
+            // One transaction per table: a failure rolls back rather than leaving a
+            // half-migrated store that later reads would misinterpret.
+            this.db.transaction(() => this.db.exec(step.sql))();
+        }
+        const syncColumns = new Set(this.db.prepare("PRAGMA table_info(bar_sync_runs)").all().map((row) => row.name));
+        // An audit table with an autoincrement key takes a plain column addition.
+        if (!syncColumns.has("environment")) {
+            this.db.exec("ALTER TABLE bar_sync_runs ADD COLUMN environment TEXT NOT NULL DEFAULT 'live'");
+        }
+    }
+    /**
+     * Subscribes to bars arriving from the live feed.
+     *
+     * Only `appendConfirmed` notifies, which is the websocket's path. Backfill uses
+     * a bulk insert and stays silent on purpose: repairing history must not look
+     * like a minute that just closed, or downloading three months of data would
+     * emit three months of trading decisions.
+     *
+     * Returns a function that removes the listener.
+     */
+    onConfirmed(listener) {
+        this.confirmedListeners.add(listener);
+        return () => this.confirmedListeners.delete(listener);
+    }
+    /**
+     * Records one confirmed bar arriving from the live websocket feed.
+     *
+     * This writes synchronously. A deferred write would let a live evaluation
+     * read a window that is missing the minute that just triggered it.
+     */
+    appendConfirmed(instId, bar, source = "ws") {
+        this.db
+            .prepare(`INSERT INTO bars_1m(environment,inst_id,open_time,close_time,open,high,low,close,volume,source,updated_at)
+         VALUES(?,?,?,?,?,?,?,?,?,?,?)
+         ON CONFLICT(environment,inst_id,open_time) DO UPDATE SET
+           close_time=excluded.close_time, open=excluded.open, high=excluded.high,
+           low=excluded.low, close=excluded.close, volume=excluded.volume,
+           source=excluded.source, updated_at=excluded.updated_at`)
+            .run(this.environment, instId, bar.openTimeMs, bar.closeTimeMs, bar.open, bar.high, bar.low, bar.close, bar.volume, source, this.now());
+        this.refreshCoverage(instId);
+        // Notified only after the row and its coverage are committed, so a listener
+        // that immediately reads the window sees the minute that triggered it.
+        this.notifyConfirmed(instId, bar);
+    }
+    notifyConfirmed(instId, bar) {
+        for (const listener of this.confirmedListeners) {
+            try {
+                listener(instId, bar);
+            }
+            catch {
+                // A throwing listener must not abort the write path: the bar is already
+                // stored, and losing the websocket feed over one subscriber's failure
+                // would stop every other instrument too.
+            }
+        }
+    }
+    /** Every instrument with locally stored history, newest coverage first. */
+    coverageAll() {
+        const rows = this.db
+            .prepare("SELECT inst_id FROM bar_coverage WHERE environment=? ORDER BY inst_id ASC")
+            .all(this.environment);
+        return rows
+            .map((row) => this.coverage(row.inst_id))
+            .filter((row) => row !== undefined);
+    }
+    coverage(instId) {
+        const row = this.db
+            .prepare("SELECT inst_id,oldest_open,newest_open,bar_count,exhausted_before,updated_at FROM bar_coverage WHERE environment=? AND inst_id=?")
+            .get(this.environment, instId);
+        if (!row)
+            return undefined;
+        const expected = expectedBarCount(row.oldest_open, row.newest_open);
+        return {
+            instId: row.inst_id,
+            oldestOpen: row.oldest_open,
+            newestOpen: row.newest_open,
+            barCount: row.bar_count,
+            exhaustedBefore: row.exhausted_before,
+            updatedAt: row.updated_at,
+            missingCount: Math.max(0, expected - row.bar_count)
+        };
+    }
+    /**
+     * Contiguous ranges of missing open times inside an inclusive window, each
+     * returned as `[firstMissingOpen, lastMissingOpen]`.
+     */
+    gaps(instId, startOpen, endOpen) {
+        const present = this.presentOpenTimes(instId, startOpen, endOpen);
+        const gaps = [];
+        let cursor = startOpen;
+        for (const open of present) {
+            if (open > cursor)
+                gaps.push([cursor, open - ONE_MINUTE_MS]);
+            cursor = open + ONE_MINUTE_MS;
+        }
+        if (cursor <= endOpen)
+            gaps.push([cursor, endOpen]);
+        return gaps;
+    }
+    /**
+     * Loads an exact inclusive window and verifies it is contiguous.
+     *
+     * This fails closed. A backtest that silently skipped an absent minute would
+     * report performance for a timeline that never happened.
+     */
+    loadWindow(instId, startOpen, endOpen) {
+        if (endOpen < startOpen) {
+            throw new RuntimeError("VALIDATION", "Bar window must end at or after it starts");
+        }
+        const rows = this.db
+            .prepare(`SELECT open_time,close_time,open,high,low,close,volume FROM bars_1m
+         WHERE environment=? AND inst_id=? AND open_time>=? AND open_time<=? ORDER BY open_time ASC`)
+            .all(this.environment, instId, startOpen, endOpen);
+        const expected = expectedBarCount(startOpen, endOpen);
+        if (rows.length !== expected) {
+            const missing = this.gaps(instId, startOpen, endOpen);
+            throw new RuntimeError("STALE_DATA", `Local one-minute history does not fully cover ${instId}: ${expected - rows.length} of ${expected} bars are missing`, true, { instId, startOpen, endOpen, expected, present: rows.length, gaps: missing.slice(0, 20) });
+        }
+        return rows.map((row, index) => {
+            const openTimeMs = startOpen + index * ONE_MINUTE_MS;
+            if (row.open_time !== openTimeMs) {
+                throw new RuntimeError("STALE_DATA", `Local one-minute history for ${instId} is not contiguous`, true, {
+                    expectedOpenTimeMs: openTimeMs,
+                    storedOpenTimeMs: row.open_time
+                });
+            }
+            return {
+                openTimeMs: row.open_time,
+                closeTimeMs: row.close_time,
+                open: row.open,
+                high: row.high,
+                low: row.low,
+                close: row.close,
+                volume: row.volume
+            };
+        });
+    }
+    /**
+     * Repairs an exact inclusive one-minute window, fetching only the bars that
+     * are actually absent.
+     */
+    async syncWindow(instId, startOpenInput, endOpenInput, onProgress) {
+        const startOpen = alignMinuteOpen(startOpenInput);
+        const endOpen = alignMinuteOpen(endOpenInput);
+        const startedAt = this.now();
+        if (endOpen < startOpen) {
+            throw new RuntimeError("VALIDATION", "Synchronization window must end at or after it starts");
+        }
+        const expected = expectedBarCount(startOpen, endOpen);
+        const existing = this.countInRange(instId, startOpen, endOpen);
+        const runId = this.beginSyncRun(instId, startOpen, endOpen, expected, existing, startedAt);
+        let fetched = 0;
+        let inserted = 0;
+        let exhaustedBefore = this.coverage(instId)?.exhaustedBefore ?? null;
+        const report = () => onProgress?.({ instId, expected, present: existing + inserted, fetched, inserted });
+        report();
+        try {
+            // Repair newest-first: `history-candles` pages backwards from `after`, so
+            // walking gaps in reverse keeps every page useful for the gap it targets.
+            for (const [gapStart, gapEnd] of this.gaps(instId, startOpen, endOpen).reverse()) {
+                if (exhaustedBefore !== null && gapEnd < exhaustedBefore)
+                    continue;
+                const outcome = await this.fillGap(instId, gapStart, gapEnd, (pageFetched, pageInserted) => {
+                    fetched += pageFetched;
+                    inserted += pageInserted;
+                    report();
+                });
+                if (outcome.exhaustedBefore !== null) {
+                    exhaustedBefore =
+                        exhaustedBefore === null ? outcome.exhaustedBefore : Math.min(exhaustedBefore, outcome.exhaustedBefore);
+                }
+            }
+        }
+        catch (error) {
+            const message = error instanceof Error ? error.message : "Bar synchronization failed";
+            this.finishSyncRun(runId, "failed", fetched, inserted, message, this.now());
+            this.refreshCoverage(instId, exhaustedBefore);
+            throw error;
+        }
+        this.refreshCoverage(instId, exhaustedBefore);
+        const finalPresent = this.countInRange(instId, startOpen, endOpen);
+        const missing = Math.max(0, expected - finalPresent);
+        const status = missing === 0 ? "completed" : "incomplete";
+        const message = missing === 0
+            ? `Synchronized ${expected} one-minute bars`
+            : `${missing} of ${expected} one-minute bars remain unavailable`;
+        const finishedAt = this.now();
+        this.finishSyncRun(runId, status, fetched, inserted, message, finishedAt);
+        return {
+            instId,
+            status,
+            startOpen,
+            endOpen,
+            expected,
+            existing,
+            missing,
+            fetched,
+            inserted,
+            exhaustedBefore,
+            startedAt,
+            finishedAt,
+            message
+        };
+    }
+    /**
+     * Backfills one contiguous gap by paging `history-candles` backwards from
+     * just past `gapEnd` until the requested lower bound is reached.
+     */
+    async fillGap(instId, gapStart, gapEnd, onPage) {
+        let after = gapEnd + ONE_MINUTE_MS;
+        // Size the budget to the gap: a fixed ceiling silently truncated any range
+        // wider than it, which is how a 100-day download lost its oldest month.
+        const needed = Math.ceil(expectedBarCount(gapStart, gapEnd) / PAGE_LIMIT);
+        const budget = Math.min(MAX_PAGES_PER_GAP, needed + GAP_PAGE_SLACK);
+        for (let page = 0; page < budget; page += 1) {
+            const rows = await this.fetchHistoryPage(instId, after);
+            if (rows.length === 0) {
+                // OKX has no data before `after`; record it so later runs skip this
+                // range instead of re-requesting it every time.
+                return { exhaustedBefore: after };
+            }
+            const bars = rows
+                .map((row) => normalizeCandle(row))
+                .filter((bar) => bar !== undefined);
+            if (bars.length === 0)
+                return { exhaustedBefore: after };
+            let oldestOpen = after;
+            const inRange = [];
+            for (const bar of bars) {
+                oldestOpen = Math.min(oldestOpen, bar.openTimeMs);
+                if (bar.openTimeMs >= gapStart && bar.openTimeMs <= gapEnd)
+                    inRange.push(bar);
+            }
+            const insertedCount = this.insertBars(instId, inRange, "history");
+            onPage(bars.length, insertedCount);
+            if (oldestOpen <= gapStart)
+                return { exhaustedBefore: null };
+            if (oldestOpen >= after) {
+                // No backward progress: stop rather than request the same page forever.
+                return { exhaustedBefore: null };
+            }
+            after = oldestOpen;
+        }
+        return { exhaustedBefore: null };
+    }
+    async fetchHistoryPage(instId, after) {
+        const path = "/api/v5/market/history-candles";
+        return this.limiter.run(path, () => 
+        // Public market data differs per environment, so the header matters here as much
+        // as on a private call: without it a demo store would backfill live bars and
+        // hold two incompatible sources under one snapshot id.
+        this.client.publicGet(path, { instId, bar: "1m", after, limit: PAGE_LIMIT }, environmentHeaders(this.environment)));
+    }
+    /** Inserts bars in one transaction and returns how many rows were new. */
+    insertBars(instId, bars, source) {
+        if (bars.length === 0)
+            return 0;
+        const statement = this.db.prepare(`INSERT INTO bars_1m(environment,inst_id,open_time,close_time,open,high,low,close,volume,source,updated_at)
+       VALUES(?,?,?,?,?,?,?,?,?,?,?)
+       ON CONFLICT(environment,inst_id,open_time) DO NOTHING`);
+        const updatedAt = this.now();
+        const transaction = this.db.transaction((items) => {
+            let count = 0;
+            for (const bar of items) {
+                const result = statement.run(this.environment, instId, bar.openTimeMs, bar.closeTimeMs, bar.open, bar.high, bar.low, bar.close, bar.volume, source, updatedAt);
+                count += result.changes;
+            }
+            return count;
+        });
+        return transaction(bars);
+    }
+    presentOpenTimes(instId, startOpen, endOpen) {
+        const rows = this.db
+            .prepare("SELECT open_time FROM bars_1m WHERE environment=? AND inst_id=? AND open_time>=? AND open_time<=? ORDER BY open_time ASC")
+            .all(this.environment, instId, startOpen, endOpen);
+        return rows.map((row) => row.open_time);
+    }
+    countInRange(instId, startOpen, endOpen) {
+        const row = this.db
+            .prepare("SELECT COUNT(*) AS count FROM bars_1m WHERE environment=? AND inst_id=? AND open_time>=? AND open_time<=?")
+            .get(this.environment, instId, startOpen, endOpen);
+        return Number(row.count);
+    }
+    /** Recomputes the derived coverage row from the stored bars. */
+    refreshCoverage(instId, exhaustedBefore) {
+        const row = this.db
+            .prepare("SELECT MIN(open_time) AS oldest, MAX(open_time) AS newest, COUNT(*) AS count FROM bars_1m WHERE environment=? AND inst_id=?")
+            .get(this.environment, instId);
+        if (row.oldest === null || row.newest === null || row.count === 0) {
+            this.db.prepare("DELETE FROM bar_coverage WHERE environment=? AND inst_id=?").run(this.environment, instId);
+            return;
+        }
+        const previous = exhaustedBefore === undefined ? this.coverage(instId)?.exhaustedBefore ?? null : exhaustedBefore;
+        this.db
+            .prepare(`INSERT INTO bar_coverage(environment,inst_id,oldest_open,newest_open,bar_count,exhausted_before,updated_at)
+         VALUES(?,?,?,?,?,?,?)
+         ON CONFLICT(environment,inst_id) DO UPDATE SET
+           oldest_open=excluded.oldest_open, newest_open=excluded.newest_open,
+           bar_count=excluded.bar_count, exhausted_before=excluded.exhausted_before,
+           updated_at=excluded.updated_at`)
+            .run(this.environment, instId, row.oldest, row.newest, Number(row.count), previous, this.now());
+    }
+    beginSyncRun(instId, startOpen, endOpen, expected, existing, startedAt) {
+        const result = this.db
+            .prepare(`INSERT INTO bar_sync_runs(environment,inst_id,status,start_open,end_open,expected,existing,missing,fetched,inserted,started_at,message)
+         VALUES(?,?,'running',?,?,?,?,?,0,0,?,'')`)
+            .run(this.environment, instId, startOpen, endOpen, expected, existing, Math.max(0, expected - existing), startedAt);
+        return Number(result.lastInsertRowid);
+    }
+    finishSyncRun(id, status, fetched, inserted, message, finishedAt) {
+        this.db
+            .prepare("UPDATE bar_sync_runs SET status=?,fetched=?,inserted=?,message=?,finished_at=? WHERE id=?")
+            .run(status, fetched, inserted, message, finishedAt, id);
+    }
+}
+/**
+ * OKX candle row: `[ts, o, h, l, c, vol, volCcy, volCcyQuote, confirm]`.
+ * Unconfirmed rows are rejected — only closed bars belong in storage.
+ */
+export function normalizeCandle(row) {
+    if (row.length < 6)
+        return undefined;
+    const openTimeMs = Number(row[0]);
+    if (!Number.isFinite(openTimeMs) || openTimeMs < 0)
+        return undefined;
+    if (row.length >= 9 && row[8] !== "1")
+        return undefined;
+    const [, open, high, low, close, volume] = row;
+    if (open === undefined ||
+        high === undefined ||
+        low === undefined ||
+        close === undefined ||
+        volume === undefined) {
+        return undefined;
+    }
+    for (const value of [open, high, low, close]) {
+        const parsed = Number(value);
+        if (!Number.isFinite(parsed) || parsed <= 0)
+            return undefined;
+    }
+    const parsedVolume = Number(volume);
+    if (!Number.isFinite(parsedVolume) || parsedVolume < 0)
+        return undefined;
+    if (Number(high) < Math.max(Number(open), Number(close)))
+        return undefined;
+    if (Number(low) > Math.min(Number(open), Number(close)))
+        return undefined;
+    return {
+        openTimeMs: alignMinuteOpen(openTimeMs),
+        closeTimeMs: alignMinuteOpen(openTimeMs) + ONE_MINUTE_MS,
+        open,
+        high,
+        low,
+        close,
+        volume
+    };
+}
+//# sourceMappingURL=store.js.map

package/dist/bars/store.js.map

@@ -0,0 +1 @@
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package/dist/bars/timeframe.d.ts

@@ -0,0 +1,40 @@
+import { type AggregateBar, type Bar } from "./types.js";
+/** Timeframes derived from the confirmed one-minute source. */
+export declare const SUPPORTED_INTERVALS: readonly ["1m", "3m", "5m", "15m", "30m", "1H", "2H", "4H", "6H", "12H", "1D"];
+export type SupportedInterval = (typeof SUPPORTED_INTERVALS)[number];
+export declare function isSupportedInterval(value: string): value is SupportedInterval;
+export declare function intervalMs(interval: string): number;
+/**
+ * Incrementally aggregates a contiguous confirmed one-minute feed into one
+ * higher timeframe.
+ *
+ * Two rules make the output safe to hand to a strategy:
+ *
+ * 1. When the supplied history starts mid-bucket, that leading partial bucket
+ *    is discarded rather than presented as a completed candle — publishing it
+ *    would manufacture a bar that never existed in the local snapshot.
+ * 2. Only the final item may be unconfirmed. Its OHLCV contains solely the
+ *    minutes already known, never a future minute, so a developing-value rule
+ *    is expressible without leaking look-ahead data.
+ */
+export declare class TimeframeAggregator {
+    readonly interval: SupportedInterval;
+    private readonly maximumBars;
+    private readonly completed;
+    private current?;
+    private started;
+    private lastInputOpen?;
+    constructor(interval: SupportedInterval, maximumBars?: number);
+    get intervalMs(): number;
+    /**
+     * Incorporates one confirmed one-minute bar. Duplicate, out-of-order, or
+     * gapped input is rejected: silently accepting it would double-count volume
+     * or fabricate a bucket from discontiguous minutes.
+     */
+    push(bar: Bar): void;
+    /** Time-ascending view; the last item may be an active, unconfirmed bucket. */
+    snapshot(): AggregateBar[];
+    latest(): AggregateBar | undefined;
+}
+/** Convenience: aggregate a complete one-minute window in one pass. */
+export declare function aggregate(bars: Bar[], interval: SupportedInterval, maximumBars?: number): AggregateBar[];

package/dist/bars/timeframe.js

@@ -0,0 +1,146 @@
+import { RuntimeError } from "../core/errors.js";
+import { ONE_MINUTE_MS } from "./types.js";
+/** Timeframes derived from the confirmed one-minute source. */
+export const SUPPORTED_INTERVALS = ["1m", "3m", "5m", "15m", "30m", "1H", "2H", "4H", "6H", "12H", "1D"];
+const INTERVAL_MS = {
+    "1m": ONE_MINUTE_MS,
+    "3m": 3 * ONE_MINUTE_MS,
+    "5m": 5 * ONE_MINUTE_MS,
+    "15m": 15 * ONE_MINUTE_MS,
+    "30m": 30 * ONE_MINUTE_MS,
+    "1H": 60 * ONE_MINUTE_MS,
+    "2H": 120 * ONE_MINUTE_MS,
+    "4H": 240 * ONE_MINUTE_MS,
+    "6H": 360 * ONE_MINUTE_MS,
+    "12H": 720 * ONE_MINUTE_MS,
+    "1D": 1_440 * ONE_MINUTE_MS
+};
+export function isSupportedInterval(value) {
+    return Object.hasOwn(INTERVAL_MS, value);
+}
+export function intervalMs(interval) {
+    if (!isSupportedInterval(interval)) {
+        throw new RuntimeError("VALIDATION", `Unsupported interval '${interval}'`, false, {
+            supported: [...SUPPORTED_INTERVALS]
+        });
+    }
+    return INTERVAL_MS[interval];
+}
+/**
+ * Incrementally aggregates a contiguous confirmed one-minute feed into one
+ * higher timeframe.
+ *
+ * Two rules make the output safe to hand to a strategy:
+ *
+ * 1. When the supplied history starts mid-bucket, that leading partial bucket
+ *    is discarded rather than presented as a completed candle — publishing it
+ *    would manufacture a bar that never existed in the local snapshot.
+ * 2. Only the final item may be unconfirmed. Its OHLCV contains solely the
+ *    minutes already known, never a future minute, so a developing-value rule
+ *    is expressible without leaking look-ahead data.
+ */
+export class TimeframeAggregator {
+    interval;
+    maximumBars;
+    completed = [];
+    current;
+    started = false;
+    lastInputOpen;
+    constructor(interval, maximumBars = 20_000) {
+        this.interval = interval;
+        this.maximumBars = maximumBars;
+        if (maximumBars <= 0)
+            throw new RuntimeError("VALIDATION", "maximumBars must be greater than zero");
+    }
+    get intervalMs() {
+        return INTERVAL_MS[this.interval];
+    }
+    /**
+     * Incorporates one confirmed one-minute bar. Duplicate, out-of-order, or
+     * gapped input is rejected: silently accepting it would double-count volume
+     * or fabricate a bucket from discontiguous minutes.
+     */
+    push(bar) {
+        if (bar.closeTimeMs - bar.openTimeMs !== ONE_MINUTE_MS) {
+            throw new RuntimeError("VALIDATION", "Timeframe aggregation requires closed one-minute bars", false, {
+                openTimeMs: bar.openTimeMs,
+                closeTimeMs: bar.closeTimeMs
+            });
+        }
+        if (this.lastInputOpen !== undefined) {
+            if (bar.openTimeMs === this.lastInputOpen) {
+                throw new RuntimeError("STALE_DATA", "Timeframe aggregation received a duplicate one-minute bar", false, {
+                    openTimeMs: bar.openTimeMs
+                });
+            }
+            if (bar.openTimeMs < this.lastInputOpen) {
+                throw new RuntimeError("STALE_DATA", "Timeframe aggregation received an out-of-order one-minute bar", false, {
+                    openTimeMs: bar.openTimeMs,
+                    previousOpenTimeMs: this.lastInputOpen
+                });
+            }
+            if (bar.openTimeMs !== this.lastInputOpen + ONE_MINUTE_MS) {
+                throw new RuntimeError("STALE_DATA", "Timeframe aggregation detected a missing one-minute bar", false, {
+                    expectedOpenTimeMs: this.lastInputOpen + ONE_MINUTE_MS,
+                    receivedOpenTimeMs: bar.openTimeMs
+                });
+            }
+        }
+        this.lastInputOpen = bar.openTimeMs;
+        const step = this.intervalMs;
+        const bucketOpen = Math.floor(bar.openTimeMs / step) * step;
+        const bucketClose = bucketOpen + step;
+        if (!this.started) {
+            // Wait for the first natural UTC boundary so no partial bucket is ever
+            // published as history.
+            if (bar.openTimeMs !== bucketOpen)
+                return;
+            this.started = true;
+        }
+        const open = Number(bar.open);
+        const high = Number(bar.high);
+        const low = Number(bar.low);
+        const close = Number(bar.close);
+        const volume = Number(bar.volume);
+        if (this.current && this.current.openTimeMs === bucketOpen) {
+            this.current.high = Math.max(this.current.high, high);
+            this.current.low = Math.min(this.current.low, low);
+            this.current.close = close;
+            this.current.volume += volume;
+            this.current.confirmed = bar.closeTimeMs === this.current.closeTimeMs;
+            return;
+        }
+        if (this.current) {
+            this.completed.push(this.current);
+            while (this.completed.length > this.maximumBars)
+                this.completed.shift();
+        }
+        this.current = {
+            openTimeMs: bucketOpen,
+            closeTimeMs: bucketClose,
+            open,
+            high,
+            low,
+            close,
+            volume,
+            confirmed: bar.closeTimeMs === bucketClose
+        };
+    }
+    /** Time-ascending view; the last item may be an active, unconfirmed bucket. */
+    snapshot() {
+        return this.current ? [...this.completed, { ...this.current }] : [...this.completed];
+    }
+    latest() {
+        return this.current ? { ...this.current } : undefined;
+    }
+}
+/** Convenience: aggregate a complete one-minute window in one pass. */
+export function aggregate(bars, interval, maximumBars = 20_000) {
+    if (!isSupportedInterval(interval))
+        throw new RuntimeError("VALIDATION", `Unsupported interval '${interval}'`);
+    const aggregator = new TimeframeAggregator(interval, maximumBars);
+    for (const bar of bars)
+        aggregator.push(bar);
+    return aggregator.snapshot();
+}
+//# sourceMappingURL=timeframe.js.map

package/dist/bars/timeframe.js.map

@@ -0,0 +1 @@
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