gloomberb 0.18.0 → 0.18.2

package/src/plugins/builtin/analytics/risk-client.ts

@@ -16,12 +16,15 @@ import { qualifySharpeCadence } from "./sharpe-cadence";
 import { evidenceDay } from "./risk-evidence";
 import { FX_LIVE_RATE_MAX_DEVIATION } from "../../../market-data/coordinator/fx-legs";
 import {
+  accountFxPair,
+  accountFxReason,
   convertClosesToUsd,
   FX_DISAGREES,
   FX_NO_PAIR,
   FX_UNAVAILABLE,
   riskConversion,
   validateFxHistory,
+  type AccountFx,
   type FxCloses,
   type RiskConversion,
 } from "./risk-fx";
@@ -65,8 +68,10 @@ export interface RiskMarketSnapshot {
   fetchedAt: string;
   warnings: string[];
   brokerOptions?: import("./risk-options").PortfolioOptionBook;
-  /** USD per unit of each listing or position currency of the holdings, at load time. */
+  /** USD per unit of the account currency and of each listing or position currency of the holdings, at load time. */
   fxRates?: Record<string, number>;
+  /** For an account not in USD: the daily closes its returns convert at, or why they cannot. */
+  accountFx?: AccountFx;
 }
 /**
  * The most holdings one load requests daily history for, largest current USD
@@ -81,13 +86,14 @@ const RISK_QUOTE_LIMIT = 500;
 const HISTORY_CONCURRENCY = 4;
 const MAX_FX_CURRENCIES = 24;
 export const BEYOND_SIZE_REASON = `Beyond the supported size: only the ${RISK_HISTORY_LIMIT} largest holdings by value are modelled`;
-// Listing venues as the quotes report them; MTUM lists on Cboe BZX, not Arca.
+// Listing venues as the quotes report them; MTUM and QUAL list on Cboe BZX, not Arca.
 export const RISK_FACTOR_INSTRUMENTS: RiskInstrument[] = [
   ["SPY", "ARCA"],
   ["IWM", "ARCA"],
   ["IWD", "ARCA"],
   ["IWF", "ARCA"],
   ["MTUM", "BATS"],
+  ["QUAL", "BATS"],
   ["IEF", "ARCA"],
   ["HYG", "ARCA"],
 ].map(([symbol, exchange]) => ({ symbol: symbol!, exchange: exchange! }));
@@ -313,7 +319,9 @@ const largestFirst = (
  * competes at its value at the current rate and, when requested, also loads
  * its currency's daily FX history once per currency, so its closes convert to
  * USD. Holdings with no FX pair, positions the caller marks unsupported and
- * holdings past the limit get no history request; their entry says why. The
+ * holdings past the limit get no history request; their entry says why. An
+ * account in another currency than USD also loads that currency's current
+ * rate and daily FX history, which the model converts every return with. The
  * signal stops the fetch: no request starts once it
  * aborts, the ones in flight are cancelled, and the call rejects instead of
  * returning a partial snapshot nobody is waiting for.
@@ -323,6 +331,7 @@ export async function fetchPortfolioRiskMarket(
   client: RiskCloudClient = apiClient,
   now = new Date(),
   signal?: AbortSignal,
+  accountCurrency = "USD",
 ): Promise<RiskMarketSnapshot> {
   signal?.throwIfAborted();
   const normalized = (row: RiskInstrument): RiskInstrument => ({
@@ -417,14 +426,16 @@ export async function fetchPortfolioRiskMarket(
     }
   }
   // Current rates value a foreign holding: its rank, its mark, and its size when left out.
+  // The account currency's comes first: it values every holding.
+  const account = accountCurrency === "USD" ? null : accountCurrency;
   const fxCurrencies = [
     ...new Set(
-      [...entries.values()].flatMap((row) => {
+      [...(account ? [account] : []), ...[...entries.values()].flatMap((row) => {
         const currency = resolveCurrencyUnit(
           listings.get(row.id)?.currency ?? (quotes.has(row.id) ? null : row.request.currency),
         ).currency;
         return currency && currency !== "USD" ? [currency] : [];
-      }),
+      })],
     ),
   ].slice(0, MAX_FX_CURRENCIES);
   const fx = await Promise.allSettled(
@@ -539,6 +550,22 @@ export async function fetchPortfolioRiskMarket(
     }
     return loading;
   };
+  // The account currency's daily closes, shared with any listing that converts from it.
+  const accountWork: Promise<AccountFx | undefined> = (async () => {
+    if (!account) return undefined;
+    const failed = (error: string): AccountFx =>
+      ({ currency: account, pair: accountFxPair(account), closes: {}, first: null, asOf: null, error });
+    const conversion = riskConversion(account);
+    if (!conversion || conversion.divisor !== 1) return failed(accountFxReason(account, FX_NO_PAIR));
+    try {
+      const closes = await fxHistory(conversion);
+      return { currency: account, pair: accountFxPair(account), closes: Object.fromEntries(closes.closes),
+        first: closes.first, asOf: closes.asOf, error: null };
+    } catch (error) {
+      if (isAccessDenied(error) || signal?.aborted) throw error;
+      return failed(accountFxReason(account, message(error)));
+    }
+  })();
   const pending = instruments.flatMap(([id], index) =>
     requestedIds.has(id) ? [index] : [],
   );
@@ -596,7 +623,7 @@ export async function fetchPortfolioRiskMarket(
       }
     }),
   );
-  const [, fred] = await Promise.all([
+  const [, fred, accountFx] = await Promise.all([
     historyWork,
     Promise.allSettled(
       ["DGS10", "VIXCLS"].map(async (id) =>
@@ -611,6 +638,7 @@ export async function fetchPortfolioRiskMarket(
         ),
       ),
     ),
+    accountWork,
   ]);
   signal?.throwIfAborted();
   for (const [index, result] of fred.entries()) {
@@ -628,25 +656,30 @@ export async function fetchPortfolioRiskMarket(
     fetchedAt: now.toISOString(),
     warnings,
     fxRates,
+    ...(accountFx ? { accountFx } : {}),
   };
 }
-/** What changes the requests: identity, size and whether a holding can enter the basket. */
-const cacheKey = (holdings: readonly RiskHoldingRequest[]) =>
+/**
+ * What changes the requests: identity, size, whether a holding can enter the
+ * basket, and an account currency other than USD (whose daily FX the load adds).
+ */
+const cacheKey = (holdings: readonly RiskHoldingRequest[], accountCurrency: string) =>
   [
     ...new Set(
       holdings.map(
         (row) => `${riskInstrumentId(row)}|${row.quantity ?? ""}|${row.currency ?? ""}|${row.unsupported ? 1 : 0}`,
       ),
     ),
-  ].sort().join(",");
+  ].sort().join(",") + (accountCurrency === "USD" ? "" : `@${accountCurrency}`);
 export async function loadPortfolioRiskMarket(
   holdings: readonly RiskHoldingRequest[],
   force = false,
+  accountCurrency = "USD",
 ) {
   const { payload, stale, refreshError } = await loadCloudResource(
     portfolioRiskCache,
-    cacheKey(holdings),
-    () => fetchPortfolioRiskMarket(holdings),
+    cacheKey(holdings, accountCurrency),
+    () => fetchPortfolioRiskMarket(holdings, undefined, undefined, undefined, accountCurrency),
     { force },
   );
   return {

package/src/plugins/builtin/analytics/risk-fx.ts

@@ -4,9 +4,26 @@ import { dailyFxCloses, FxHistoryError, type FxCloses } from "../../../market-da
 import { getPublishedUsEquityCalendarDay } from "../../../market-data/published-us-sessions";
 import type { PricePoint } from "../../../types/financials";
 import { resolveCurrencyUnit } from "../../../utils/currency-units";
+import type { DatedReturn } from "./metrics";
 
 export type { FxCloses };
 
+/**
+ * The daily closes that restate a non-USD account's returns, as the market
+ * load keeps them (plain data, so the cache can hold them), or why there are none.
+ */
+export interface AccountFx {
+  currency: string;
+  /** "USD/TRY" or "EUR/USD", as the pair trades; null when no daily pair prices the currency. */
+  pair: string | null;
+  /** USD per unit of the account currency at each completed daily close; empty with an error. */
+  closes: Record<string, number>;
+  first: string | null;
+  asOf: string | null;
+  /** Why returns cannot convert into the account currency; every holding is left out with it. */
+  error: string | null;
+}
+
 /** How a listing quoted in another currency is restated in USD. */
 export interface RiskConversion {
   /** The listing currency as quoted, sub-units included (GBp, ZAc). */
@@ -35,6 +52,50 @@ const MAX_LOCAL_CLOSED_DAYS = 10;
 const BASKET_CALENDAR = "NYSE";
 const DAY_MS = 86_400_000;
 
+/** The daily pair of an account currency as dealers quote it ("USD/TRY", "EUR/USD"), or null when none prices it. */
+export function accountFxPair(currency: string): string | null {
+  const leg = fxLegForCurrency(currency);
+  return !leg ? null : leg.invert ? `USD/${leg.currency}` : `${leg.currency}/USD`;
+}
+
+/**
+ * Why the account currency's daily closes cannot convert a holding: the
+ * problem a listing's own conversion would report (stale, unavailable,
+ * gapped, disagreeing with the current rate), said of the account's pair.
+ */
+export function accountFxReason(currency: string, problem: string): string {
+  const pair = accountFxPair(currency);
+  if (!pair) return `No daily FX pair converts USD into the account currency ${currency}`;
+  const tail = /^Foreign holdings: (daily FX .*)$/.exec(problem)?.[1];
+  return `${pair} ${tail ?? "daily FX closes unavailable"}`;
+}
+
+/**
+ * Restates daily USD returns in the account currency at the FX closes of each
+ * return's own start and end dates: the holding's USD value is divided by the
+ * USD price of one account unit on both dates, so a return becomes
+ * (1 + r) * fx(start) / fx(end) - 1. A listing already converted from its own
+ * currency to USD therefore converts at the cross of the two closes of the
+ * same date. Returns before the first FX close or after the last are dropped,
+ * so the series starts and ends with the FX history; a return inside it with an
+ * endpoint that has no FX close rejects the whole series instead of bridging it.
+ */
+export function convertReturnsToAccount(
+  returns: readonly DatedReturn[],
+  fx: Pick<AccountFx, "currency" | "closes" | "first" | "asOf">,
+): DatedReturn[] {
+  if (!fx.first || !fx.asOf) throw new Error(accountFxReason(fx.currency, FX_UNAVAILABLE));
+  const converted: DatedReturn[] = [];
+  for (const point of returns) {
+    if (point.startDateKey < fx.first || point.dateKey > fx.asOf) continue;
+    const start = fx.closes[point.startDateKey],
+      end = fx.closes[point.dateKey];
+    if (!(start! > 0) || !(end! > 0)) throw new Error(accountFxReason(fx.currency, FX_GAP));
+    converted.push({ ...point, value: (1 + point.value) * (start! / end!) - 1 });
+  }
+  return converted;
+}
+
 /** The pair that restates a listing currency in USD, or null when there is none. */
 export function riskConversion(listingCurrency: string): RiskConversion | null {
   const unit = resolveCurrencyUnit(listingCurrency);

package/src/plugins/builtin/analytics/risk-headless.ts

@@ -15,6 +15,7 @@ import {
   RISK_VIEWS,
   riskEvidence,
   riskPercentile,
+  riskReturnsCurrency,
   riskValue,
   sinceFallbackNote,
   sinceFiledMethod,
@@ -142,7 +143,7 @@ export const portfolioRiskHeadless: HeadlessPaneDefinition<"bundle"> = {
       "Explicit local evidence for account returns and attribution",
     ],
     limitations: [
-      `Fixed-current-weight USD equity basket over the holdings that qualify, largest ${RISK_HISTORY_LIMIT} by value; foreign listings convert to USD at daily FX closes; metadata.coverage states the covered share of market value and each holding left out.`,
+      `Fixed-current-weight equity basket over the holdings that qualify, largest ${RISK_HISTORY_LIMIT} by value, in the account's currency; foreign listings convert to USD at daily FX closes, and a non-USD account's returns then convert into its currency at its own daily FX closes; metadata.coverage states the covered share of market value and each holding left out.`,
       "--since filed buys the 13F's own weights at the filing-date close and holds them (--weights current holds today's weights fixed instead).",
       "No account performance inferred.",
       "ETF price-return factor proxies.",
@@ -246,6 +247,7 @@ export const portfolioRiskHeadless: HeadlessPaneDefinition<"bundle"> = {
             ctx.apiClient,
             new Date(),
             ctx.signal,
+            local.portfolio.currency,
           ),
       localOnly
         ? Promise.resolve(undefined)
@@ -270,7 +272,12 @@ export const portfolioRiskHeadless: HeadlessPaneDefinition<"bundle"> = {
     // Options for views the report does not print are named, not dropped silently; the fallback from --since opens the report.
     const fallback = sinceFallbackNote(local.portfolio);
     const shifted = ["equity-shift", "rate-shift", "vol-shift"].filter((key) => args.options[key] != null);
+    // A non-USD account's returns were converted, and the basket views say into what.
+    const returnsCurrency = riskReturnsCurrency(model);
     const notices = [
+      ...(returnsCurrency && (!requestedView || (BASKET_VIEWS.has(requestedView) && requestedView !== "holdings"))
+        ? [`${returnsCurrency[0]!.toUpperCase()}${returnsCurrency.slice(1)}.`]
+        : []),
       ...(model.window.kind === "since-filed" ? [sinceFiledMethod(model.window, model.benchmark)] : []),
       ...(args.options.since === "filed" && model.window.kind !== "since-filed" ? [fallback] : []),
       ...(requestedView && requestedView !== "stress" && shifted.length ? [`${shifted.map((key) => `--${key}`).join(", ")} change${shifted.length === 1 ? "s" : ""} the stress view only, not --view ${requestedView}`] : []),
@@ -335,6 +342,8 @@ export const portfolioRiskHeadless: HeadlessPaneDefinition<"bundle"> = {
         ...(basketView && model.coverage
           ? { coverage: coverageSummary(model.coverage, COMPACT_LEFT_OUT_LIMIT) }
           : {}),
+        // The currency a non-USD account's returns and amounts are in, and the daily pair they converted at.
+        ...(basketView && model.accountConversion ? { accountConversion: model.accountConversion } : {}),
         asOf: model.fetchedAt,
         ...(notices.length ? { notices } : {}),
       },

package/src/plugins/builtin/analytics/risk-model.ts

@@ -36,6 +36,7 @@ import {
   type RiskHoldingRequest,
   type RiskMarketSnapshot,
 } from "./risk-client";
+import { accountFxPair, accountFxReason, convertReturnsToAccount, FX_UNAVAILABLE, type AccountFx } from "./risk-fx";
 
 interface PortfolioRiskHolding {
   id: string;
@@ -43,7 +44,10 @@ interface PortfolioRiskHolding {
   exchange: string;
   quantity: number;
   currency: string;
-  /** Signed USD value at the current mark; only these marks weight the basket. */
+  /**
+   * Signed value at the current USD mark, in the account currency at its
+   * current rate; only these marks weight the basket.
+   */
   value: number | null;
   /** Weight in the covered basket, null outside it. */
   weight: number | null;
@@ -59,6 +63,7 @@ interface PortfolioRiskHolding {
   /** The listing currency its closes were converted from at daily FX closes; null for a USD listing. */
   convertedFrom: string | null;
   historyAsOf: string | null;
+  /** Daily returns in the account currency. */
   returns: DatedReturn[];
   error: string | null;
   /** Why the holding is outside the basket; null when it qualifies. */
@@ -325,6 +330,24 @@ function outsideValue(
   const value = resolvePortfolioMarketValue(metrics, unit != null && Number.isFinite(unit) ? unit : null)?.gross;
   return value != null && Number.isFinite(value) ? value : null;
 }
+/** USD returns in the account currency, or none with the reason its daily closes cannot convert them. */
+function accountReturns(returns: readonly DatedReturn[], account: AccountFx): { returns: DatedReturn[]; error: string | null } {
+  if (account.error) return { returns: [], error: account.error };
+  try {
+    return { returns: convertReturnsToAccount(returns, account), error: null };
+  } catch (error) {
+    return { returns: [], error: error instanceof Error ? error.message : accountFxReason(account.currency, FX_UNAVAILABLE) };
+  }
+}
+/**
+ * "returns in TRY at daily USD/TRY closes": the currency the basket views of a
+ * non-USD account are in and how they got there; null for a USD account, or
+ * when its daily closes were unavailable and nothing converted.
+ */
+export function riskReturnsCurrency(model: Pick<PortfolioRiskModel, "accountConversion"> | null | undefined): string | null {
+  const conversion = model?.accountConversion;
+  return conversion ? `returns in ${conversion.currency} at daily ${conversion.pair} closes` : null;
+}
 // The epsilon keeps 29 of 100 at 29%, not the 28 that 0.29 * 100 rounds down to.
 const coveragePercent = (share: number) => Math.floor(share * 100 + 1e-9);
 const holdingCount = (count: number) => `${count} holding${count === 1 ? "" : "s"}`;
@@ -441,7 +464,27 @@ export function buildPortfolioRisk(
   const byId = new Map(
     market.histories.map((row) => [riskInstrumentId(row.instrument), row]),
   );
-  const rates = market.fxRates ?? {};
+  // A non-USD account converts every USD return at its currency's daily closes and every USD mark at its current rate.
+  const account: AccountFx | null =
+    portfolio.currency === "USD"
+      ? null
+      : market.accountFx?.currency === portfolio.currency
+        ? market.accountFx
+        : {
+            currency: portfolio.currency,
+            pair: accountFxPair(portfolio.currency),
+            closes: {},
+            first: null,
+            asOf: null,
+            error: accountFxReason(portfolio.currency, FX_UNAVAILABLE),
+          };
+  // Without a current rate the latest daily close values the account.
+  const latestAccountClose = account?.asOf ? account.closes[account.asOf] : undefined;
+  const rates: Readonly<Record<string, number>> =
+    account && !((market.fxRates?.[account.currency] ?? 0) > 0) && latestAccountClose
+      ? { ...market.fxRates, [account.currency]: latestAccountClose }
+      : (market.fxRates ?? {});
+  const accountRate = account ? rates[account.currency] : undefined;
   const holdings: PortfolioRiskHolding[] = portfolioRiskTickers(
     tickers,
     portfolio.id,
@@ -471,14 +514,11 @@ export function buildPortfolioRisk(
     const listingCurrency =
       quote?.currency ?? close?.currency ?? history?.listing?.currency ?? ticker.metadata.currency;
     const foreign = !convertedFrom && listingCurrency !== "USD";
-    const error =
+    const usdError =
       syntheticPositionUnsupportedReason(ticker, "USD", portfolio.id) ??
       (lots.some((row) => !Number.isFinite(row.shares))
         ? "Invalid position quantity"
         : null) ??
-      (portfolio.currency !== "USD"
-        ? "Historical account-currency FX is required"
-        : null) ??
       (ticker.metadata.currency &&
       (convertedFrom ?? mark?.currency) &&
       ticker.metadata.currency !== (convertedFrom ?? mark?.currency)
@@ -490,10 +530,13 @@ export function buildPortfolioRisk(
         : null) ??
       history?.error ??
       (!history ? "Daily history unavailable" : null);
+    // A holding with a USD history converts into the account currency, or is left out with the reason it cannot.
+    const inAccount = account && !usdError ? accountReturns(history?.returns ?? [], account) : null;
+    const error = usdError ?? inAccount?.error ?? null;
     const priceDate = close ? close.date : regularClose ? regularClose.date : quoteDate(quote?.lastUpdated);
     const marked =
       mark &&
-      mark.currency === portfolio.currency &&
+      mark.currency === "USD" &&
       !mark.stale &&
       Number.isFinite(mark.price) &&
       mark.price > 0 &&
@@ -506,8 +549,9 @@ export function buildPortfolioRisk(
         error?.startsWith("Short positions"))
         ? quantity * mark.price
         : null;
-    const value = marked != null && Number.isFinite(marked) ? marked : null;
-    const returns = history?.returns ?? [];
+    const accountValue = marked == null || !account ? marked : accountRate! > 0 ? marked / accountRate! : null;
+    const value = accountValue != null && Number.isFinite(accountValue) ? accountValue : null;
+    const returns = inAccount?.returns ?? history?.returns ?? [];
     const leftOut =
       error ??
       (value == null || value <= 0
@@ -529,7 +573,8 @@ export function buildPortfolioRisk(
       priceAsOf: priceDate,
       markSource: close ? "close" : regularClose ? "regular-close" : quote ? "quote" : null,
       convertedFrom,
-      historyAsOf: history?.asOf ?? null,
+      // Converted returns end with the account currency's last daily close.
+      historyAsOf: (inAccount ? inAccount.returns.at(-1)?.dateKey : null) ?? history?.asOf ?? null,
       returns,
       error,
       leftOut,
@@ -610,7 +655,14 @@ export function buildPortfolioRisk(
     );
     return (instrument && byId.get(riskInstrumentId(instrument))?.returns) || [];
   };
-  const benchmark = proxy(RISK_BENCHMARK);
+  // SPY's USD returns are the market factor and the equity stress; the risk
+  // rows compare the basket with SPY in the basket's own currency. A session
+  // without an account close is a gap in that benchmark, never bridged, so it
+  // cannot blank the holdings the closes do cover.
+  const spy = proxy(RISK_BENCHMARK);
+  const benchmark = account
+    ? accountReturns(spy.filter((point) => account.closes[point.startDateKey] && account.closes[point.dateKey]), account).returns
+    : spy;
   // Since the filing only for a portfolio that has one; any other keeps the trailing window and says why.
   const filed = window.since === "filed" ? portfolio.importedFrom?.filed ?? null : null;
   if (window.since === "filed" && !filed)
@@ -647,12 +699,13 @@ export function buildPortfolioRisk(
   const metrics = filed
     ? sinceBasketRisk(sample, filed, RISK_BENCHMARK)
     : rollingBasketRisk(sample, undefined, RISK_BENCHMARK);
+  // Factor proxies stay in USD: a beta is the account-currency move per unit of the factor as it trades.
   const factors = [
-    { id: "market", label: "Market (SPY)", series: benchmark },
+    { id: "market", label: "Market (SPY)", series: spy },
     {
       id: "size",
       label: "Size (IWM - SPY)",
-      series: subtractReturns(proxy("IWM"), benchmark),
+      series: subtractReturns(proxy("IWM"), spy),
     },
     {
       id: "value",
@@ -662,7 +715,12 @@ export function buildPortfolioRisk(
     {
       id: "momentum",
       label: "Momentum (MTUM - SPY)",
-      series: subtractReturns(proxy("MTUM"), benchmark),
+      series: subtractReturns(proxy("MTUM"), spy),
+    },
+    {
+      id: "quality",
+      label: "Quality (QUAL - SPY)",
+      series: subtractReturns(proxy("QUAL"), spy),
     },
     { id: "rates", label: "Rates (IEF)", series: proxy("IEF") },
     {
@@ -690,7 +748,7 @@ export function buildPortfolioRisk(
     {
       id: "equity",
       label: `Index ${shifts.equity > 0 ? "+" : ""}${shifts.equity}%`,
-      series: benchmark,
+      series: spy,
       shock: shifts.equity / 100,
       source: "SPY price return",
     },
@@ -772,7 +830,7 @@ export function buildPortfolioRisk(
       asOf: row.priceAsOf,
       detail: row.leftOut
         ? row.leftOut
-        : `${row.quantity} shares; ${formatNumber(row.value ?? undefined)} ${row.currency}${row.markSource === "close" || row.markSource === "regular-close" ? ` at ${row.priceAsOf} close` : ""}${row.convertedFrom ? ` from ${row.convertedFrom} at daily FX` : ""}; history ${row.historyAsOf}`,
+        : `${row.quantity} shares; ${formatNumber(row.value ?? undefined)} ${portfolio.currency}${row.markSource === "close" || row.markSource === "regular-close" ? ` at ${row.priceAsOf} close` : ""}${row.convertedFrom ? ` from ${row.convertedFrom} at daily FX` : ""}; history ${row.historyAsOf}`,
       ...(row.leftOut ? { leftOut: row.leftOut } : {}),
     })),
     correlation: correlation.map((row) => ({
@@ -947,6 +1005,11 @@ export function buildPortfolioRisk(
     notes,
     fetchedAt: market.fetchedAt,
     benchmark: RISK_BENCHMARK,
+    /** The currency a non-USD account's returns converted into, at the daily closes of `pair`; null for USD. */
+    accountConversion:
+      account && !account.error && account.pair
+        ? { currency: account.currency, pair: account.pair, asOf: account.asOf }
+        : null,
     window: filed
       ? {
           kind: "since-filed" as const,

package/src/plugins/builtin/analytics/risk-pane.tsx

@@ -58,6 +58,7 @@ import {
   riskPercentile,
   riskAmountBase,
   riskEvidence,
+  riskReturnsCurrency,
   riskValue,
   RISK_VIEWS,
   type PortfolioRiskModel,
@@ -301,7 +302,7 @@ export function PortfolioRiskPane({ focused, width, height }: PaneProps) {
   const loader = useCallback(
     async (force: boolean) => {
       const [market, brokerOptions] = await Promise.all([
-        loadPortfolioRiskMarket(requests, force),
+        loadPortfolioRiskMarket(requests, force, portfolio!.currency),
         loadPortfolioOptionBook(localTickers, portfolio!),
       ]);
       return { ...market, brokerOptions };
@@ -466,6 +467,9 @@ export function PortfolioRiskPane({ focused, width, height }: PaneProps) {
   // What the basket views leave out, unless the body already says why they show nothing.
   const coverageText = model && BASKET_VIEWS.has(view) && !basketBody ? riskCoverageHeadline(model.coverage) : null;
   const asOfDate = model?.rows[view].find((row) => row.asOf)?.asOf?.slice(0, 10) ?? null;
+  // The views estimated from returns name the currency a non-USD account's returns were converted into.
+  const returnsCurrency = BASKET_VIEWS.has(view) && view !== "holdings" ? riskReturnsCurrency(model) : null;
+  const amountBase = rows.map(riskAmountBase).find(Boolean);
   // Dated evidence only when a row has a date; a missing date is not a claim about history.
   const asOfText = !model
     ? null
@@ -473,7 +477,9 @@ export function PortfolioRiskPane({ focused, width, height }: PaneProps) {
         ...(basketBody ? [] : [
           ...(asOfDate && sharedEvidence ? [sharedEvidence] : []),
           // The value the tail losses in money are taken on names the currency too.
-          rows.map(riskAmountBase).find(Boolean) ?? model.portfolio.currency,
+          ...(amountBase
+            ? [amountBase, ...(returnsCurrency ? [returnsCurrency] : [])]
+            : [returnsCurrency ?? model.portfolio.currency]),
           ...(asOfDate ? [asOfDate] : []),
           ...(EVIDENCE_VIEWS.has(view) && model.evidence ? [model.evidence.source] : []),
         ]),

package/src/plugins/builtin/analytics/risk-test-data.ts

@@ -76,6 +76,9 @@ const BROKER_FX_RATES: Readonly<Record<string, number>> = {
   HKD: 0.128,
   JPY: 0.0068,
   TWD: 0.031,
+  // An account currency, and a listing currency with no daily FX pair.
+  TRY: 0.0202,
+  SAR: 0.2667,
 };
 export const BROKER_PORTFOLIO: Portfolio = { id: "broker", name: "Broker account", currency: "USD" };
 

package/src/plugins/builtin/attention/trending.tsx

@@ -21,18 +21,20 @@ function useTrending(symbol?: string) {
   useAutoRefresh(resource.updatedAt, resource.load);
   return { resource, session, access };
 }
-/** Optional profile context. A failure here never hides or blocks the description. */
+/**
+ * Optional profile context. A failure here never hides or blocks the description,
+ * and a symbol with no published research hours shows no section at all: the
+ * Overview leaves out what it has nothing to say about.
+ */
 export function TrendingSummary({ symbol, onOpen }: { symbol: string; onOpen?: () => void }) {
   const { resource, access } = useTrending(symbol);
   const data = resource.data?.payload;
   const row = data?.rows[0];
-  if (!access.signedIn || !data) return null;
+  if (!access.signedIn || !data || !row) return null;
   return <Box flexDirection="column">
     <SectionHeading title="Gloom Trending" />
-    {row ? <>
-      <KeyValueRow label="Research rank" value={`#${row.rank}`} detail={`Today · ${number(row.researchUnits)} research hours`} />
-      <KeyValueRow label="Latest-hour Z" value={signed(row.zScore)} detail={data.asOf ? date(data.asOf) : undefined} />
-    </> : <EmptyState title={data.status === "ready" ? data.entitlement === "preview" ? "Outside the current preview." : "No published research hours today." : emptyAttention(data)} />}
+    <KeyValueRow label="Research rank" value={`#${row.rank}`} detail={`Today · ${number(row.researchUnits)} research hours`} />
+    <KeyValueRow label="Latest-hour Z" value={signed(row.zScore)} detail={data.asOf ? date(data.asOf) : undefined} />
     {onOpen ? <ActionRow label="Open research attention" onPress={onOpen} /> : null}
   </Box>;
 }

package/src/plugins/builtin/backtest/client.ts

@@ -2,7 +2,7 @@ import { getSharedMarketDataCoordinator, MarketDataCoordinator, resolveEntryValu
 import type { ChartRequest, InstrumentRef } from "../../../market-data/request-types";
 import type { QueryEntry } from "../../../market-data/result-types";
 import type { DataProvider } from "../../../types/data-provider";
-import type { PricePoint } from "../../../types/financials";
+import type { ListingDelisting, PricePoint } from "../../../types/financials";
 import type { BacktestBar } from "./rules";
 import { isFiniteNumber } from "../../../utils/guards";
 
@@ -27,6 +27,8 @@ export interface BacktestHistory {
   skippedDates: string[];
   undatedSkipped: number;
   fetchedAt: number;
+  /** The listing no longer trades: its last bar is its last session, and no later one will come. */
+  delisting?: ListingDelisting;
 }
 
 /**
@@ -85,5 +87,6 @@ export async function loadBacktestHistory(
   options.signal?.throwIfAborted();
   const history = toBacktestBars(resolveEntryValue(entry) ?? [], entry.history?.nonPositiveCloseDates);
   if (!history.bars.length) throw new Error(entry.error?.message ?? "Daily price history unavailable");
-  return { symbol, ...history, fetchedAt: entry.fetchedAt ?? Date.now() };
+  const delisting = entry.history?.delisting;
+  return { symbol, ...history, fetchedAt: entry.fetchedAt ?? Date.now(), ...(delisting ? { delisting } : {}) };
 }

package/src/plugins/builtin/backtest/window.ts

@@ -2,6 +2,7 @@ import { parsePublicTickerKey } from "../../../utils/exchanges";
 import { futuresGenericCaption, futuresGenericListing } from "../../../utils/futures-generic";
 import type { BacktestHistory } from "./client";
 import { runBacktest, type BacktestOptions, type BacktestResult } from "./engine";
+import { delistingLabel } from "../../../market-data/quotes/delisting";
 import type { BacktestBar, Rule } from "./rules";
 
 /** Which served sessions a run tests. */
@@ -39,10 +40,12 @@ export interface HistoryBacktestResult extends BacktestResult {
  * and a session still forming, which is left out unless asked for so the
  * newest complete session ends the run and a repeat gives the same answer.
  * An end after the newest complete session is warned too: sessions still to
- * come up to it change the run until it has passed.
+ * come up to it change the run until it has passed. A listing that no longer
+ * trades has none to come: a run that reaches its last session ends there,
+ * says so, and is repeatable.
  */
 export function backtestWindow(
-  history: Pick<BacktestHistory, "bars" | "skippedDates" | "undatedSkipped">,
+  history: Pick<BacktestHistory, "bars" | "skippedDates" | "undatedSkipped" | "delisting"> & { symbol?: string },
   options: BacktestWindowOptions = {},
 ): { bars: BacktestBar[]; warnings: string[]; repeatable: boolean } {
   const end = options.end?.trim() || null;
@@ -70,6 +73,16 @@ export function backtestWindow(
         + `${through ? `: the test runs through ${through}, the last complete session` : ""}.`);
   }
   const newestComplete = history.bars.findLast((bar) => !bar.partial)?.date;
+  const delisting = history.delisting;
+  if (delisting) {
+    const listing = `${history.symbol ? `${parsePublicTickerKey(history.symbol).symbol}: ` : ""}${delistingLabel(delisting)}`;
+    if (through && through >= delisting.lastTradeDate) {
+      warnings.push(`${listing}. The run ends on its last session, ${through}, and a position still held`
+        + " is valued at that close, not at anything holders received after it.");
+      return { bars, warnings, repeatable: true };
+    }
+    warnings.push(`${listing}.`);
+  }
   const repeatable = !!end && !!newestComplete && end <= newestComplete;
   if (end && !repeatable && through) {
     warnings.push(`The end date ${end} is after the newest complete session, so the run ends at ${through}`
@@ -80,7 +93,7 @@ export function backtestWindow(
 
 /** The run over a loaded history: its window's bars, then the engine, every left-out session warned first. */
 export function runHistoryBacktest(
-  history: Pick<BacktestHistory, "bars" | "skippedDates" | "undatedSkipped">,
+  history: Pick<BacktestHistory, "bars" | "skippedDates" | "undatedSkipped" | "delisting"> & { symbol?: string },
   entry: Rule,
   exit: Rule,
   options: BacktestOptions & BacktestWindowOptions,