oakscriptjs 0.12.3 → 0.13.1

package/dist/cjs/script/index.d.ts

@@ -145,6 +145,24 @@ export interface StrategySetup {
 export interface ScriptOptions {
     /** Creates the order engine of a strategy script; called by strategy(). */
     strategyEngine?: (setup: StrategySetup) => StrategyEngine;
+    /**
+     * Records the strategy engine's answers of each bar and the `varip` values, for the intrabar runs of a strategy
+     * (see {@link executeIntrabar}). The host keeps one recorder for the main run of a backtest and its intrabar runs.
+     */
+    recorder?: StrategyRecorder;
+}
+/**
+ * Answers of the strategy engine recorded in the main run of a strategy, bar by bar, and its `varip` values: an
+ * intrabar run replays the bars before its bar from them (see {@link executeIntrabar}). Create one per backtest and
+ * pass it to the main run (`ScriptOptions.recorder`) and to every intrabar run.
+ */
+export declare class StrategyRecorder {
+    /** Per bar: the values the engine returned to the strategy.eachBar() callback (strategy.*, trades...), in order. */
+    readonly answers: unknown[][];
+    /** Per bar: the `varip` values when the bar's strategy.eachBar() callback started in the main run. */
+    readonly varipStarts: unknown[][];
+    /** Current `varip` values: kept through the intrabar runs (no rollback). */
+    readonly varip: unknown[];
 }
 /**
  * Runs a script body against `bars` with the given input overrides and
@@ -154,6 +172,40 @@ export interface ScriptOptions {
  * panels, workers and tests call it; scripts never do.
  */
 export declare function executeScript(body: () => void, barsInput: Bar[], inputs?: Record<string, unknown>, chart?: ChartContext, options?: ScriptOptions): ScriptRunResult;
+/** What {@link executeIntrabar} needs besides the script. */
+export interface IntrabarOptions {
+    /** The bar calculated inside the bar: `bars` ends with it, as it stands at the tick (close = the tick price). */
+    bar: number;
+    /** Bar index of the chart's last bar (the main run's last bar). */
+    lastBarIndex: number;
+    /** The strategy engine of the main run: the order calls and `strategy.*` reads of bar `bar` go to it. */
+    engine: StrategyEngine;
+    /** The recorder of the main run. */
+    recorder: StrategyRecorder;
+}
+/**
+ * Runs a strategy once more on a bar, inside the bar (PineScript `calc_on_order_fills` and calculations on the
+ * ticks of history bars): `bars` holds the bars up to that bar, the last one as it stands at the tick (its close is
+ * the tick price, its high and low the extremes reached so far). The script's values are calculated again on these
+ * bars, so its variables come back to their state at the start of the bar (PineScript rollback), except `varip`
+ * ones. In strategy.eachBar(), the bars before replay the engine's answers that the main run recorded (their
+ * order calls are dropped), and the bar itself calls `options.engine` without processBar / processClose (the host
+ * is filling its orders). That bar is a confirmed history bar (`barstate.isconfirmed`); `barstate.islast`, `last_bar_index` and
+ * `BarContext.n` keep the chart's last bar. Strategy risk rules are not declared again, and the outputs (plots,
+ * drawings) are dropped. Re-entrant: the host calls it inside the bar loop of the main run.
+ */
+export declare function executeIntrabar(body: () => void, bars: Bar[], inputs: Record<string, unknown>, chart: ChartContext, options: IntrabarOptions): void;
+/** A `varip` variable: `.value` reads and writes it. */
+export interface VaripVariable<T> {
+    value: T;
+}
+/**
+ * PineScript `varip`: a variable that keeps the changes made in the intrabar runs of a strategy (PineScript
+ * rollback leaves it alone). A plain `let` variable of the script comes back to its value at the start of the bar
+ * in each intrabar run; a `varip` one does not. Declare it once in the script body (outside the callbacks), in the
+ * same order on each run; read and write it in strategy.eachBar(). Without intrabar runs it is a plain variable.
+ */
+export declare function varip<T>(initial: T): VaripVariable<T>;
 export interface IndicatorOptions {
     shorttitle?: string;
     overlay?: boolean;
@@ -1176,7 +1228,6 @@ export declare const alert: typeof alertImpl & {
 export { Series, BarData, isNA as na, nz };
 export { STRATEGY_DEFAULTS } from '../strategy/index.js';
 export type { StrategyCloseAllOptions, StrategyCloseOptions, StrategyCommissionType, StrategyDirection, StrategyEngine, StrategyEntryOptions, StrategyExitOptions, StrategyNumberVariable, StrategyOcaType, StrategyOptions, StrategyProperties, StrategyQtyType, StrategyRiskDirection, StrategyRiskRule, StrategyRiskValueType, StrategyTextVariable, StrategyTrade, StrategyVariable, } from '../strategy/index.js';
-/** PineScript `math.*`; `math.round_to_mintick(x)` uses `syminfo.mintick` of the chart context. */
 export declare const math: {
     round_to_mintick: typeof mathCore.round_to_mintick;
     abs(value: Series): Series;

package/dist/cjs/script/index.d.ts.map

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package/dist/cjs/script/index.js

@@ -34,6 +34,7 @@ __export(script_exports, {
   MissingSymbolDataError: () => MissingSymbolDataError,
   STRATEGY_DEFAULTS: () => import_strategy2.STRATEGY_DEFAULTS,
   Series: () => import_series.Series,
+  StrategyRecorder: () => StrategyRecorder,
   alert: () => alert,
   alertcondition: () => alertcondition,
   barcolor: () => barcolor,
@@ -48,6 +49,7 @@ __export(script_exports, {
   dayofmonth: () => dayofmonth,
   dayofweek: () => dayofweek,
   eachBar: () => eachBar,
+  executeIntrabar: () => executeIntrabar,
   executeScript: () => executeScript,
   fill: () => fill,
   fixnan: () => fixnan,
@@ -100,6 +102,7 @@ __export(script_exports, {
   timenow: () => timenow,
   timestamp: () => timestamp,
   varDrawing: () => import_registry2.varDrawing,
+  varip: () => varip,
   volume: () => volume,
   weekofyear: () => weekofyear,
   year: () => year
@@ -187,12 +190,56 @@ function slugId(title, fallback, taken) {
   return id;
 }
 let scriptOptions = {};
+const NO_VARIP = [];
+let intrabarRun = null;
+class StrategyRecorder {
+  /** Per bar: the values the engine returned to the strategy.eachBar() callback (strategy.*, trades...), in order. */
+  answers = [];
+  /** Per bar: the `varip` values when the bar's strategy.eachBar() callback started in the main run. */
+  varipStarts = [];
+  /** Current `varip` values: kept through the intrabar runs (no rollback). */
+  varip = [];
+}
+function saveRunState() {
+  return {
+    bars: ctxBars.bars,
+    ctx,
+    chartCtx,
+    runNow,
+    scriptOptions,
+    currentBar,
+    missingSymbols,
+    sessionCache,
+    intrabarRun,
+    varip: varipRun,
+    drawings: (0, import_registry.saveDrawingState)(),
+    random: mathCore.saveRandom()
+  };
+}
+function restoreRunState(st) {
+  ctxBars.setAll(st.bars);
+  ctx = st.ctx;
+  chartCtx = st.chartCtx;
+  runNow = st.runNow;
+  scriptOptions = st.scriptOptions;
+  currentBar = st.currentBar;
+  missingSymbols = st.missingSymbols;
+  sessionCache = st.sessionCache;
+  intrabarRun = st.intrabarRun;
+  varipRun = st.varip;
+  (0, import_registry.restoreDrawingState)(st.drawings);
+  mathCore.restoreRandom(st.random);
+}
 function executeScript(body, barsInput, inputs = {}, chart2 = {}, options = {}) {
+  const outer = ctx ? saveRunState() : null;
   ctxBars.setAll(barsInput);
   chartCtx = { ...chart2 };
   runNow = chart2.now ?? Date.now();
   scriptOptions = options;
   ctx = freshCollector(inputs);
+  intrabarRun = null;
+  varipRun = { slot: 0, recorder: options.recorder ?? null, mode: "live", scratch: null };
+  currentBar = -1;
   (0, import_registry.resetDrawings)();
   mathCore.resetRandom();
   missingSymbols = [];
@@ -232,7 +279,7 @@ function executeScript(body, barsInput, inputs = {}, chart2 = {}, options = {})
         barColors: c.barColors.length ? c.barColors : void 0,
         plotCandles: Object.keys(c.plotCandles).length ? c.plotCandles : void 0,
         plotBars: Object.keys(c.plotBars).length ? c.plotBars : void 0,
-        ...(0, import_output.drawingOutputs)(ctxBars.bars, chartCtx.timeUnit),
+        ...intrabarRun ? {} : (0, import_output.drawingOutputs)(ctxBars.bars, chartCtx.timeUnit),
         alerts: c.alerts.length ? c.alerts : void 0,
         alertCalls: c.alertCalls.length ? c.alertCalls : void 0
       },
@@ -240,7 +287,56 @@ function executeScript(body, barsInput, inputs = {}, chart2 = {}, options = {})
     };
   } finally {
     ctx = null;
+    if (outer) restoreRunState(outer);
+  }
+}
+function executeIntrabar(body, bars2, inputs, chart2, options) {
+  const run = {
+    bar: options.bar,
+    lastBarIndex: options.lastBarIndex,
+    engine: options.engine,
+    recorder: options.recorder
+  };
+  executeScript(
+    () => {
+      intrabarRun = run;
+      varipRun = { slot: 0, recorder: options.recorder, mode: "live", scratch: null };
+      body();
+    },
+    bars2,
+    inputs,
+    // History bars are confirmed, also on their ticks (the reference app: a barstate.isconfirmed entry fills on them).
+    { ...chart2, lastBarConfirmed: true, realtime: false },
+    { strategyEngine: () => options.engine }
+  );
+}
+let varipRun = { slot: 0, recorder: null, mode: "live", scratch: null };
+function varip(initial) {
+  collector();
+  const slot = varipRun.slot++;
+  const state = varipRun;
+  const rec = state.recorder;
+  if (!rec) {
+    let current = initial;
+    return {
+      get value() {
+        return current;
+      },
+      set value(v) {
+        current = v;
+      }
+    };
   }
+  if (rec.varip.length <= slot) rec.varip[slot] = initial;
+  const store = () => state.mode === "replay" && state.scratch ? state.scratch : rec.varip;
+  return {
+    get value() {
+      return store()[slot];
+    },
+    set value(v) {
+      store()[slot] = v;
+    }
+  };
 }
 function indicator(title, options = {}) {
   const c = collector();
@@ -453,6 +549,7 @@ const DEFAULT_OUTPUT_TITLES = {
   bar: "PlotBar"
 };
 function plotImpl(series, title = DEFAULT_OUTPUT_TITLES.plot, options = {}) {
+  if (intrabarRun) return { id: "", kind: "plot" };
   const c = collector();
   const id = `plot${c.plotConfig.length}`;
   const perBar2 = Array.isArray(options.color) ? options.color : void 0;
@@ -529,6 +626,7 @@ function sameColor(colors) {
   return first && colors.every((x) => x === first) ? first : void 0;
 }
 function fill(a, b, ...args) {
+  if (intrabarRun) return;
   const c = collector();
   const third = args[0];
   let perBar2;
@@ -629,6 +727,7 @@ function outputSeries(values, b) {
   return series;
 }
 function emitMarkers(kind, condition, title, options) {
+  if (intrabarRun) return;
   const c = collector();
   const id = `${kind}${c.shapeConfig.filter((s) => s.kind === kind).length}`;
   title ??= DEFAULT_OUTPUT_TITLES[kind];
@@ -684,6 +783,7 @@ function plotchar(condition, title, options = {}) {
   emitMarkers("char", condition, title, options);
 }
 function plotarrow(series, title, options = {}) {
+  if (intrabarRun) return;
   const c = collector();
   const id = `arrow${c.arrowConfig.length}`;
   title ??= DEFAULT_OUTPUT_TITLES.arrow;
@@ -718,6 +818,7 @@ function plotarrow(series, title, options = {}) {
   }
 }
 function emitBarColors(kind, colors, options) {
+  if (intrabarRun) return;
   const c = collector();
   const id = `${kind}${c.barColorConfig.filter((x) => x.kind === kind).length}`;
   c.barColorConfig.push({
@@ -777,6 +878,7 @@ function candlePalettes(cols) {
 }
 const orDefault = (col, fallback) => col === void 0 ? fallback : col;
 function plotcandle(open2, high2, low2, close2, title, options = {}) {
+  if (intrabarRun) return;
   const c = collector();
   const color2 = orDefault(options.color, DEFAULT_CANDLE_COLORS.color);
   const wickcolor = orDefault(options.wickcolor, DEFAULT_CANDLE_COLORS.wickColor);
@@ -810,6 +912,7 @@ function plotcandle(open2, high2, low2, close2, title, options = {}) {
   });
 }
 function plotbar(open2, high2, low2, close2, title, options = {}) {
+  if (intrabarRun) return;
   const c = collector();
   const barColor = orDefault(options.color, DEFAULT_CANDLE_COLORS.color);
   const id = `plotbar${c.candleConfig.filter((x) => x.kind === "bar").length}`;
@@ -839,6 +942,7 @@ const HISTORY_GROWTH = 1.618034;
 function eachBar(fn) {
   collector();
   const b = bars();
+  const lastIndex = intrabarRun ? intrabarRun.lastBarIndex : b.length - 1;
   const out = new Array(b.length).fill(NaN);
   const cache = /* @__PURE__ */ new Map();
   const buffers = /* @__PURE__ */ new Map();
@@ -848,7 +952,7 @@ function eachBar(fn) {
     get i() {
       return idx;
     },
-    n: b.length,
+    n: lastIndex + 1,
     get time() {
       return b[idx].time;
     },
@@ -893,7 +997,7 @@ function eachBar(fn) {
     for (idx = 0; idx < b.length; idx++) {
       if (pendingError && pendingError.bar === idx) throw new Error((0, import_series.historyError)(idx, pendingError.barsBack));
       currentBar = idx;
-      (0, import_registry.setDrawingBar)(idx, idx === b.length - 1, b.length - 1);
+      (0, import_registry.setDrawingBar)(idx, idx === lastIndex, lastIndex);
       const r = fn(ctx2);
       out[idx] = typeof r === "number" ? r : typeof r === "boolean" ? r ? 1 : 0 : NaN;
       for (const buffer of buffers.values()) {
@@ -955,6 +1059,7 @@ function strategyVariable(name) {
   return value;
 }
 function riskRule(rule) {
+  if (intrabarRun) return;
   const engine = strategyEngine(`strategy.risk.${rule.rule}()`);
   if (!engine.risk) throw new Error(`strategy.risk.${rule.rule}() is not provided by the strategy engine.`);
   engine.risk(rule);
@@ -992,17 +1097,101 @@ function strategyEachBar(fn) {
   const engine = strategyEngine("strategy.eachBar()");
   if (run.looped) throw new Error("strategy.eachBar() runs once per script run.");
   run.looped = true;
+  const intrabar = intrabarRun;
+  if (intrabar) {
+    const varipState = varipRun;
+    const replayLog = { answers: [], next: 0 };
+    const replayed = replayEngine(replayLog);
+    return eachBar((c) => {
+      const replay = c.i < intrabar.bar;
+      if (replay) {
+        replayLog.answers = intrabar.recorder.answers[c.i] ?? [];
+        replayLog.next = 0;
+      }
+      run.engine = replay ? replayed : intrabar.engine;
+      varipState.mode = replay ? "replay" : "live";
+      const starts = replay ? intrabar.recorder.varipStarts[c.i] ?? intrabar.recorder.varip : null;
+      varipState.scratch = starts ? starts.length ? [...starts] : NO_VARIP : null;
+      run.inLoop = true;
+      try {
+        return fn(c);
+      } finally {
+        run.inLoop = false;
+        run.engine = intrabar.engine;
+        varipState.mode = "live";
+        varipState.scratch = null;
+      }
+    });
+  }
+  const recorder = scriptOptions.recorder;
   return eachBar((c) => {
     engine.processBar(c.i);
+    if (recorder) {
+      recorder.varipStarts[c.i] = [...recorder.varip];
+      run.engine = recordingEngine(engine, recorder.answers[c.i] = []);
+    }
     run.inLoop = true;
     try {
       return fn(c);
     } finally {
       run.inLoop = false;
+      run.engine = engine;
       engine.processClose(c.i);
     }
   });
 }
+function recordingEngine(engine, log) {
+  const keep = (v) => {
+    log.push(v);
+    return v;
+  };
+  return {
+    ...forward(engine),
+    get: (name) => keep(engine.get(name)),
+    openTrade: (index) => keep(engine.openTrade(index)),
+    closedTrade: (index) => keep(engine.closedTrade(index)),
+    defaultEntryQty: engine.defaultEntryQty ? (price) => keep(engine.defaultEntryQty(price)) : void 0
+  };
+}
+function replayEngine(log) {
+  const next = () => log.answers[log.next++];
+  const none = () => {
+  };
+  return {
+    processBar: none,
+    processClose: none,
+    entry: none,
+    order: none,
+    exit: none,
+    close: none,
+    close_all: none,
+    cancel: none,
+    cancel_all: none,
+    risk: none,
+    get: () => next(),
+    openTrade: () => next(),
+    closedTrade: () => next(),
+    defaultEntryQty: () => next()
+  };
+}
+function forward(engine) {
+  return {
+    processBar: (bar) => engine.processBar(bar),
+    processClose: (bar) => engine.processClose(bar),
+    entry: (id, direction, options) => engine.entry(id, direction, options),
+    order: (id, direction, options) => engine.order(id, direction, options),
+    exit: (id, options) => engine.exit(id, options),
+    close: (id, options) => engine.close(id, options),
+    close_all: (options) => engine.close_all(options),
+    cancel: (id) => engine.cancel(id),
+    cancel_all: () => engine.cancel_all(),
+    risk: engine.risk ? (rule) => engine.risk(rule) : void 0,
+    get: (name) => engine.get(name),
+    openTrade: (index) => engine.openTrade(index),
+    closedTrade: (index) => engine.closedTrade(index),
+    defaultEntryQty: engine.defaultEntryQty ? (price) => engine.defaultEntryQty(price) : void 0
+  };
+}
 const strategyMembers = {
   ...import_strategy.STRATEGY_CONSTANTS,
   eachBar: strategyEachBar,
@@ -1314,30 +1503,48 @@ function barFlag(test) {
   const n = ctxBars.bars.length;
   return import_series.Series.fromArray(ctxBars, Array.from({ length: n }, (_, i) => test(i, n) ? 1 : 0));
 }
+const FLAG_TAIL = 3;
+const flagValues = /* @__PURE__ */ new Map();
+function namedFlag(name, test) {
+  if (!intrabarRun) return barFlag(test);
+  const n = ctxBars.bars.length;
+  let values = flagValues.get(name);
+  if (!values || values.length > n) {
+    values = Array.from({ length: n }, (_, i) => test(i, n) ? 1 : 0);
+    flagValues.set(name, values);
+  } else {
+    const from = Math.max(0, Math.min(values.length, n) - FLAG_TAIL);
+    values.length = n;
+    for (let i = from; i < n; i++) values[i] = test(i, n) ? 1 : 0;
+  }
+  return import_series.Series.fromArray(ctxBars, values);
+}
+const chartBarCount = (n) => intrabarRun ? intrabarRun.lastBarIndex + 1 : n;
 const lastRealtime = (i, n) => i === n - 1 && chartCtx.realtime === true;
 const barstate = {
   get isfirst() {
-    return barFlag((i) => i === 0);
+    return namedFlag("isfirst", (i) => i === 0);
   },
   get islast() {
-    return barFlag((i, n) => i === n - 1);
+    return namedFlag("islast", (i, n) => i === chartBarCount(n) - 1);
   },
   get isconfirmed() {
-    return barFlag((i, n) => i < n - 1 || chartCtx.lastBarConfirmed === true);
+    return namedFlag("isconfirmed", (i, n) => i < n - 1 || chartCtx.lastBarConfirmed === true);
   },
   get isrealtime() {
-    return barFlag(lastRealtime);
+    return namedFlag("isrealtime", lastRealtime);
   },
   get ishistory() {
-    return barFlag((i, n) => !lastRealtime(i, n));
+    return namedFlag("ishistory", (i, n) => !lastRealtime(i, n));
   },
   get isnew() {
-    return barFlag((i, n) => !lastRealtime(i, n) || chartCtx.lastBarNew !== false);
+    return namedFlag("isnew", (i, n) => !lastRealtime(i, n) || chartCtx.lastBarNew !== false);
   },
   get islastconfirmedhistory() {
-    return barFlag((i, n) => {
+    return namedFlag("islastconfirmedhistory", (i, n) => {
       const lastConfirmed = chartCtx.lastBarConfirmed === true && chartCtx.realtime !== true;
-      return i === (lastConfirmed ? n - 1 : n - 2);
+      const count = chartBarCount(n);
+      return i === (lastConfirmed ? count - 1 : count - 2);
     });
   }
 };
@@ -1626,8 +1833,11 @@ const alert = Object.assign(alertImpl, {
   freq_once_per_bar: "once_per_bar",
   freq_once_per_bar_close: "once_per_bar_close"
 });
+const { saveRandom: _saveRandom, restoreRandom: _restoreRandom, ...mathScript } = mathCore;
+void _saveRandom;
+void _restoreRandom;
 const math = {
-  ...mathCore,
+  ...mathScript,
   round_to_mintick: ((number, mintick) => {
     const tick = mintick ?? syminfo.mintick;
     return number instanceof import_series.Series ? mathCore.round_to_mintick(number, tick) : mathCore.round_to_mintick(number, tick);