oakscriptjs 0.13.1 → 0.14.0

package/dist/esm/check/checks.d.ts

@@ -0,0 +1,78 @@
+/**
+ * @fileoverview Behaviour checks of a script: the checks a spec cannot write as counts and ranges ("Buy only when the
+ * RSI is below 30", "the signal line stays under the MACD", "the value on bar 100 is X"). A check function gets `t`, the
+ * outputs of the run per bar, and records each check with `t.expect` / `t.everyBar`:
+ *
+ * ```js
+ * const rsi = t.plot("RSI");
+ * t.everyBar("RSI between 0 and 100", (i) => rsi.at(i) === null || (rsi.at(i) >= 0 && rsi.at(i) <= 100));
+ * t.expect("Buy only when the RSI is below 30", t.signal("Buy").bars.every((i) => rsi.at(i) < 30));
+ * ```
+ *
+ * @module check/checks
+ */
+import type { Bar } from '../types/index.js';
+import type { ScriptRunResult, StrategyTrade } from '../script/index.js';
+/** The bars of each signal output (shape, char, arrow, alert condition, background or bar colour). */
+export interface SignalBars {
+    kind: 'shape' | 'char' | 'arrow' | 'alertcondition' | 'bgcolor' | 'barcolor';
+    id: string;
+    title: string;
+    /** Bar indexes with the signal, in order. */
+    bars: number[];
+}
+/** The bars of each signal output of a run. */
+export declare function signalBars(run: ScriptRunResult, bars: readonly Bar[]): SignalBars[];
+/** A plot of the run, per bar. */
+export interface CheckPlot {
+    id: string;
+    title: string;
+    /** Value per bar (null: na). */
+    values: Array<number | null>;
+    /** Colour per bar when the plot has per-bar colours (undefined otherwise). */
+    colors?: Array<string | null>;
+    /** The value on bar `i` (null: na or no such bar). */
+    at(i: number): number | null;
+}
+/** A signal output of the run. */
+export interface CheckSignal {
+    kind: SignalBars['kind'];
+    id: string;
+    title: string;
+    /** Bar indexes with the signal. */
+    bars: number[];
+    /** The signal is on bar `i`. */
+    on(i: number): boolean;
+}
+/** What a check function gets. */
+export interface CheckContext {
+    bars: readonly Bar[];
+    /** Number of bars. */
+    n: number;
+    /** A plot by id or title; throws when there is none. */
+    plot(name: string): CheckPlot;
+    /** A signal (shape, char, arrow, alert condition, background or bar colour) by id or title; throws when there is none. */
+    signal(name: string): CheckSignal;
+    /** Closed trades of a strategy (empty for an indicator). */
+    trades: readonly StrategyTrade[];
+    /** The whole result of the run (labels, lines, boxes, tables, markers... as a host gets them). */
+    result: ScriptRunResult['result'];
+    /** The value of an input in the run, by id or title. */
+    input(name: string): unknown;
+    /** Records a check: `ok` false fails it; `detail` is shown when it fails. */
+    expect(check: string, ok: boolean, detail?: unknown): void;
+    /** Records a check true on every bar from `from` (default 0) to `to` (default the last bar); fails on the first bar where `predicate(i)` is false. */
+    everyBar(check: string, predicate: (i: number) => boolean, options?: {
+        from?: number;
+        to?: number;
+    }): void;
+}
+export interface CheckItem {
+    check: string;
+    ok: boolean;
+    expected?: unknown;
+    actual?: unknown;
+}
+/** Runs a check function on a run; returns its items (an exception is a failed item). */
+export declare function runChecks(fn: (t: CheckContext) => void, run: ScriptRunResult, bars: readonly Bar[], inputs: Record<string, unknown>, trades: readonly StrategyTrade[], label?: string): CheckItem[];
+//# sourceMappingURL=checks.d.ts.map

package/dist/esm/check/checks.d.ts.map

@@ -0,0 +1 @@
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package/dist/esm/check/checks.js

@@ -0,0 +1,95 @@
+const visible = (c) => !!c && c !== 'transparent' && !/^#[0-9a-f]{6}00$/i.test(c) && !/,\s*0\s*\)$/.test(c);
+/** The bars of each signal output of a run. */
+export function signalBars(run, bars) {
+    const index = new Map(bars.map((b, i) => [b.time, i]));
+    const of = (times) => [...new Set(times.map((t) => index.get(t)).filter((i) => i !== undefined))].sort((a, b) => a - b);
+    const r = run.result;
+    const out = [];
+    for (const s of run.shapeConfig) {
+        out.push({ kind: s.kind === 'char' ? 'char' : 'shape', id: s.id, title: s.title ?? s.id, bars: of((r.markers ?? []).filter((m) => m.id === s.id).map((m) => m.time)) });
+    }
+    for (const a of run.arrowConfig) {
+        const times = (r.arrows ?? []).filter((x) => x.id === a.id && x.value !== 0 && !Number.isNaN(x.value)).map((x) => x.time);
+        out.push({ kind: 'arrow', id: a.id, title: a.title ?? a.id, bars: of(times) });
+    }
+    for (const b of run.barColorConfig) {
+        const list = b.kind === 'bgcolor' ? (r.bgColors ?? []) : (r.barColors ?? []);
+        const times = list.filter((x) => (x.id === undefined || x.id === b.id) && visible(x.color)).map((x) => x.time);
+        out.push({ kind: b.kind, id: b.id, title: b.title ?? b.id, bars: of(times) });
+    }
+    for (const a of r.alerts ?? [])
+        out.push({ kind: 'alertcondition', id: a.id, title: a.title ?? a.id, bars: of(a.times) });
+    return out;
+}
+const lower = (s) => (s ?? '').trim().toLowerCase();
+/** Runs a check function on a run; returns its items (an exception is a failed item). */
+export function runChecks(fn, run, bars, inputs, trades, label = 'checks') {
+    const items = [];
+    const index = new Map(bars.map((b, i) => [b.time, i]));
+    const signals = signalBars(run, bars);
+    const plots = new Map();
+    const find = (list, name) => list.find((x) => lower(x.id) === lower(name)) ?? list.find((x) => lower(x.title) === lower(name));
+    const t = {
+        bars,
+        n: bars.length,
+        trades,
+        result: run.result,
+        plot(name) {
+            const p = find(run.plotConfig, name);
+            if (!p)
+                throw new Error(`t.plot("${name}"): no plot with this id or title (plots: ${run.plotConfig.map((x) => `"${x.title ?? x.id}"`).join(', ') || 'none'})`);
+            const cached = plots.get(p.id);
+            if (cached)
+                return cached;
+            const values = new Array(bars.length).fill(null);
+            let colors;
+            for (const pt of (run.result.plots[p.id] ?? [])) {
+                const i = index.get(pt.time);
+                if (i === undefined)
+                    continue;
+                values[i] = pt.value;
+                if (pt.color !== undefined)
+                    (colors ??= new Array(bars.length).fill(null))[i] = pt.color;
+            }
+            const plot = { id: p.id, title: p.title ?? p.id, values, ...(colors ? { colors } : {}), at: (i) => values[i] ?? null };
+            plots.set(p.id, plot);
+            return plot;
+        },
+        signal(name) {
+            const s = find(signals, name);
+            if (!s)
+                throw new Error(`t.signal("${name}"): no signal with this id or title (signals: ${signals.map((x) => `"${x.title}"`).join(', ') || 'none'})`);
+            const on = new Set(s.bars);
+            return { kind: s.kind, id: s.id, title: s.title, bars: s.bars, on: (i) => on.has(i) };
+        },
+        input(name) {
+            const i = find(run.inputConfig, name);
+            if (!i)
+                throw new Error(`t.input("${name}"): no input with this id or title`);
+            return i.id in inputs ? inputs[i.id] : i.defval;
+        },
+        expect(check, ok, detail) {
+            items.push({ check, ok: !!ok, ...(ok || detail === undefined ? {} : { actual: detail }) });
+        },
+        everyBar(check, predicate, options = {}) {
+            const from = Math.max(0, options.from ?? 0);
+            const to = Math.min(bars.length - 1, options.to ?? bars.length - 1);
+            for (let i = from; i <= to; i++) {
+                if (!predicate(i)) {
+                    items.push({ check, ok: false, expected: 'true on every bar', actual: `false on bar ${i}` });
+                    return;
+                }
+            }
+            items.push({ check, ok: true });
+        },
+    };
+    try {
+        fn(t);
+    }
+    catch (e) {
+        const m = e && typeof e === 'object' && 'message' in e ? String(e.message) : String(e);
+        items.push({ check: `${label} (stopped)`, ok: false, actual: m });
+    }
+    return items;
+}
+//# sourceMappingURL=checks.js.map

package/dist/esm/check/checks.js.map

@@ -0,0 +1 @@
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package/dist/esm/check/format.d.ts

@@ -0,0 +1,26 @@
+/**
+ * @fileoverview The check report as text (the output of `oakscript check`) and {@link assertCheck}, which throws it
+ * from a test of any test runner.
+ *
+ * @module check/format
+ */
+import type { CheckReport } from './index.js';
+/** The report as text, for a terminal or an agent. `file` and `typesSkipped` come from the command. */
+export declare function formatReport(r: CheckReport & {
+    file?: string;
+    typesSkipped?: string;
+}): string;
+/**
+ * Throws the report as text when the check failed (an error, a failed spec item, check or reference column), or with
+ * `{ warnings: false }` when it has warnings. For the tests of a project:
+ *
+ * ```ts
+ * it('my indicator follows its spec', () => {
+ *   assertCheck(checkScript(source, { spec, checks: (t) => { ... } }));
+ * });
+ * ```
+ */
+export declare function assertCheck(report: CheckReport, options?: {
+    warnings?: boolean;
+}): void;
+//# sourceMappingURL=format.d.ts.map

package/dist/esm/check/format.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"format.d.ts","sourceRoot":"","sources":["../../../src/check/format.ts"],"names":[],"mappings":"AAAA;;;;;GAKG;AACH,OAAO,KAAK,EAAE,WAAW,EAAE,MAAM,YAAY,CAAC;AAO9C,uGAAuG;AACvG,wBAAgB,YAAY,CAAC,CAAC,EAAE,WAAW,GAAG;IAAE,IAAI,CAAC,EAAE,MAAM,CAAC;IAAC,YAAY,CAAC,EAAE,MAAM,CAAA;CAAE,GAAG,MAAM,CAoF9F;AAED;;;;;;;;;GASG;AACH,wBAAgB,WAAW,CAAC,MAAM,EAAE,WAAW,EAAE,OAAO,GAAE;IAAE,QAAQ,CAAC,EAAE,OAAO,CAAA;CAAO,GAAG,IAAI,CAM3F"}

package/dist/esm/check/format.js

@@ -0,0 +1,105 @@
+const fmt = (v) => v === null || v === undefined ? 'na' : Number.isInteger(v) ? String(v) : Number(v.toPrecision(6)).toString();
+const shown = (v) => (v === undefined ? 'nothing' : JSON.stringify(v));
+/** The report as text, for a terminal or an agent. `file` and `typesSkipped` come from the command. */
+export function formatReport(r) {
+    const file = r.file ?? 'script';
+    const out = [];
+    out.push(`oakscript check ${file}: ${r.bars.count} ${r.bars.synthetic ? 'synthetic ' : ''}bars, timeframe ${r.bars.timeframe}`);
+    const d = r.declaration;
+    if (d) {
+        out.push(`${d.kind} "${d.title}"${d.overlay ? ' (overlay)' : ' (own pane)'}`);
+        if (d.inputs.length) {
+            out.push('inputs:');
+            for (const i of d.inputs) {
+                const extra = [i.options ? `options ${i.options.join(' | ')}` : '', i.min !== undefined ? `min ${i.min}` : '', i.max !== undefined ? `max ${i.max}` : '']
+                    .filter(Boolean)
+                    .join(', ');
+                out.push(`  ${i.id} (${i.type}) = ${JSON.stringify(i.defval)}${i.title ? `  "${i.title}"` : ''}${extra ? `  ${extra}` : ''}`);
+            }
+        }
+    }
+    if (r.plots.length || r.signals.length)
+        out.push('outputs:');
+    for (const p of r.plots) {
+        out.push(p.values
+            ? `  plot   "${p.title}": ${p.values} values from bar ${p.firstBar}, ${fmt(p.min)} .. ${fmt(p.max)}, last ${p.last.map(fmt).join(' ')}${p.colours ? `, ${p.colours} colours` : ''}`
+            : `  plot   "${p.title}": no value`);
+    }
+    for (const s of r.signals) {
+        out.push(`  ${s.kind.padEnd(6)} "${s.title}": ${s.count} bars (${(s.share * 100).toFixed(1)} %)${s.count ? `, first ${s.firstBar}, last ${s.lastBar}` : ''}`);
+    }
+    const dr = Object.entries(r.drawings).filter(([, n]) => n > 0);
+    if (dr.length)
+        out.push(`drawings: ${dr.map(([k, n]) => `${n} ${k}`).join(', ')}`);
+    if (r.alertCalls)
+        out.push(`alert() calls: ${r.alertCalls}`);
+    if (r.strategy) {
+        const s = r.strategy;
+        out.push(`strategy: ${s.closedTrades} closed trades${s.openTrade ? ' + 1 open' : ''}, ${s.wins} wins, net profit ${fmt(s.netProfit)}`);
+        for (const t of s.first) {
+            out.push(`  ${t.direction} "${t.entry}" bar ${t.entryBar} @ ${fmt(t.entryPrice)} -> bar ${t.exitBar ?? '-'} @ ${fmt(t.exitPrice)}: ${fmt(t.profit)}`);
+        }
+    }
+    if (r.errors.length) {
+        out.push('errors:');
+        for (const e of r.errors) {
+            const at = e.line ? `${file}:${e.line}${e.column ? `:${e.column}` : ''} ` : '';
+            out.push(`  ${at}[${e.stage}${e.code ? ` ${e.code}` : ''}] ${e.message}`);
+        }
+    }
+    if (r.typesSkipped)
+        out.push(`types: not checked (${r.typesSkipped})`);
+    if (r.warnings.length) {
+        out.push('warnings:');
+        for (const w of r.warnings)
+            out.push(`  [${w.code}] ${w.message}`);
+    }
+    if (r.spec) {
+        out.push(`spec and checks: ${r.spec.passed} passed, ${r.spec.failed} failed`);
+        for (const i of r.spec.items.filter((x) => !x.ok)) {
+            out.push(`  FAIL ${i.check}${i.expected !== undefined ? `: expected ${shown(i.expected)}, got ${shown(i.actual)}` : i.actual !== undefined ? `: ${typeof i.actual === 'string' ? i.actual : shown(i.actual)}` : ''}`);
+        }
+    }
+    for (const c of r.reference ?? []) {
+        const m = c.firstMismatch;
+        out.push(c.ignored
+            ? `reference "${c.column}": ignored (no plot with this id or title)`
+            : c.output === undefined
+                ? `reference "${c.column}": FAIL no plot with this id or title`
+                : `reference "${c.column}": ${c.equal} / ${c.total} bars equal${m ? `, first difference on bar ${m.bar}: expected ${fmt(m.expected)}, got ${fmt(m.actual)}` : ''}`);
+    }
+    if (r.scenarios) {
+        out.push('scenarios:');
+        for (const s of r.scenarios) {
+            const notes = [...s.errors.map((e) => `ERROR ${e.message}`), ...s.warnings.map((w) => `[${w.code}] ${w.message}`)];
+            out.push(`  ${s.name} (${s.description}): ${notes.length ? '' : 'ok'}`);
+            for (const n of notes)
+                out.push(`    ${n}`);
+        }
+    }
+    const failed = (r.spec?.failed ?? 0) + (r.reference ?? []).filter((c) => !c.ignored && (c.equal !== c.total || c.output === undefined)).length;
+    out.push(r.ok
+        ? r.warnings.length
+            ? `result: OK with ${r.warnings.length} warning(s)`
+            : 'result: OK'
+        : `result: FAIL (${r.errors.length} error(s), ${failed} failed check(s), ${r.warnings.length} warning(s))`);
+    return out.join('\n');
+}
+/**
+ * Throws the report as text when the check failed (an error, a failed spec item, check or reference column), or with
+ * `{ warnings: false }` when it has warnings. For the tests of a project:
+ *
+ * ```ts
+ * it('my indicator follows its spec', () => {
+ *   assertCheck(checkScript(source, { spec, checks: (t) => { ... } }));
+ * });
+ * ```
+ */
+export function assertCheck(report, options = {}) {
+    if (!report.ok || (options.warnings === false && report.warnings.length > 0)) {
+        const error = new Error(formatReport(report));
+        error.name = 'CheckError';
+        throw error;
+    }
+}
+//# sourceMappingURL=format.js.map

package/dist/esm/check/format.js.map

@@ -0,0 +1 @@
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package/dist/esm/check/harness.d.ts

@@ -0,0 +1,94 @@
+import { type ChartContext, type ScriptRunResult, type StrategyCloseOptions, type StrategyDirection, type StrategyEngine, type StrategyEntryOptions, type StrategyExitOptions, type StrategyRiskRule, type StrategySetup, type StrategyTrade, type StrategyVariable } from '../script/index.js';
+import type { Bar } from '../types/index.js';
+/** The implicit globals of a script: every value export of the script API but the host entry. */
+export declare const SCRIPT_GLOBALS: readonly string[];
+/** Name of the parameter that receives the `oakscriptjs` module in a compiled script (its `import` statements). */
+export declare const LIBRARY_PARAMETER = "__oakscriptjs";
+/** The values of {@link SCRIPT_GLOBALS}, then the `oakscriptjs` module, in the order of the compiled parameters. */
+export declare function scriptArguments(): unknown[];
+/**
+ * Rewrites the `import { a, b as c } from "oakscriptjs"` statements of a script into `const { a, b: c } = ...` on the
+ * same lines (the line numbers of the source do not change). Throws on an import of another module: a script runs
+ * self-contained.
+ */
+export declare function rewriteImports(source: string): string;
+/**
+ * Start and end of the function the script source is wrapped in. The globals are the parameters of an outer function
+ * and the source is the body of an inner one, so a script can declare a name of a global (`const size = 2`), as in an
+ * app that imports the globals at the top of a module. The start goes on the first line of the source.
+ */
+export declare const SCRIPT_PREFIX = "\"use strict\"; return (function () { ";
+export declare const SCRIPT_SUFFIX = "\n})();";
+/** The source of the function body of a compiled script (imports rewritten, lines kept). */
+export declare function wrapSource(source: string): string;
+/** Compiles a script source into a body for executeScript(); throws a SyntaxError on invalid code. */
+export declare function compileScript(source: string): () => void;
+/** Deterministic synthetic bars: two waves, a slow trend and seeded noise. `step`: seconds between bars. */
+export declare function syntheticBars(count: number, step?: number, seed?: number): Bar[];
+/** Seconds of a timeframe string ("1", "60", "240", "D", "1D", "W", "M"); NaN when it is not one. */
+export declare function timeframeSeconds(timeframe: string): number;
+/** The timeframe of bars from the most common spacing of their times ("60", "D", "W"...); "60" for fewer than 2 bars. */
+export declare function inferTimeframe(bars: readonly Bar[]): string;
+export interface TestChartOptions {
+    /** Chart timeframe (default "60"). */
+    timeframe?: string;
+    /** Chart ticker id (default "TEST:SYN"). */
+    tickerid?: string;
+    /** Time zone of the chart and of the other symbols (default "Etc/UTC"). */
+    timezone?: string;
+    /** Session of the chart and of the other symbols (default "24x7"). */
+    session?: string;
+}
+/**
+ * Chart context of the test runs: a 24x7 symbol in UTC. Higher timeframes of the chart symbol are resampled from the
+ * chart bars by the library; other symbols get synthetic bars of their own (seeded by the symbol name).
+ */
+export declare function testChart(bars: Bar[], options?: TestChartOptions): ChartContext;
+/**
+ * A small order engine for checks and tests (the library does not fill orders). Market entries and closes fill at the
+ * next bar open; `strategy.exit` stop / limit levels are checked inside each bar (stop first when both are hit).
+ * Entry limit / stop prices, pyramiding and process_orders_on_close are not simulated.
+ */
+export declare class TestEngine implements StrategyEngine {
+    readonly setup: StrategySetup;
+    readonly closed: StrategyTrade[];
+    private open;
+    private pendingEntry;
+    private pendingClose;
+    private exits;
+    private net;
+    private bar;
+    constructor(setup: StrategySetup);
+    private get bars();
+    private equity;
+    private openProfit;
+    private commission;
+    private closeAt;
+    /** The open trade, if any. */
+    get openTradeNow(): StrategyTrade | null;
+    processBar(bar: number): void;
+    processClose(): void;
+    entry(id: string, direction: StrategyDirection, options: StrategyEntryOptions): void;
+    order(id: string, direction: StrategyDirection, options: StrategyEntryOptions): void;
+    exit(id: string, options: StrategyExitOptions): void;
+    close(id: string, _options: StrategyCloseOptions): void;
+    close_all(): void;
+    cancel(id: string): void;
+    cancel_all(): void;
+    readonly rules: StrategyRiskRule[];
+    risk(rule: StrategyRiskRule): void;
+    get(variable: StrategyVariable): number | string | undefined;
+    openTrade(index: number): StrategyTrade | undefined;
+    closedTrade(index: number): StrategyTrade | undefined;
+}
+export interface ScriptRun {
+    run: ScriptRunResult;
+    engine?: TestEngine;
+}
+export interface RunScriptOptions extends TestChartOptions {
+    /** Compiles the source (default {@link compileScript}); the CLI compiles with file lines. */
+    compile?: (source: string) => () => void;
+}
+/** Runs a script source on `bars` with the test chart context and, for a strategy, the test engine. */
+export declare function runScript(source: string, bars: Bar[], inputs?: Record<string, unknown>, options?: RunScriptOptions): ScriptRun;
+//# sourceMappingURL=harness.d.ts.map

package/dist/esm/check/harness.d.ts.map

@@ -0,0 +1 @@
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