oakscriptjs 0.8.1 → 0.9.0

package/dist/{strategy → cjs/strategy}/index.d.ts

@@ -1,9 +1,25 @@
+/**
+ * @fileoverview Types and constants of the PineScript `strategy.*` API.
+ *
+ * OakScriptJS does not simulate orders. The script API (`oakscriptjs/script`) declares the strategy,
+ * forwards every `strategy.*` call to a {@link StrategyEngine} that the host supplies, and reads the
+ * `strategy.*` variables from it. The engine fills the orders, keeps the trades and computes the
+ * results.
+ *
+ * Names follow PineScript v6: option objects use the PineScript argument names, and the engine
+ * receives them unchanged. An `na` (NaN) numeric argument is removed before the call, since in
+ * PineScript it means "not given". The deprecated `when` argument does not exist: use `if`.
+ *
+ * @module strategy
+ */
 export type StrategyDirection = 'long' | 'short';
 export type StrategyQtyType = 'fixed' | 'cash' | 'percent_of_equity';
 export type StrategyCommissionType = 'percent' | 'cash_per_contract' | 'cash_per_order';
 export type StrategyOcaType = 'none' | 'cancel' | 'reduce';
+/** `strategy.direction.*`, for `strategy.risk.allow_entry_in`. */
 export type StrategyRiskDirection = 'all' | 'long' | 'short';
 export type StrategyRiskValueType = 'percent_of_equity' | 'cash';
+/** PineScript `strategy.*` constants. */
 export declare const STRATEGY_CONSTANTS: {
     readonly long: "long";
     readonly short: "short";
@@ -26,6 +42,7 @@ export declare const STRATEGY_CONSTANTS: {
         readonly reduce: "reduce";
     };
 };
+/** Arguments of the PineScript `strategy()` declaration, after `title`. */
 export interface StrategyOptions {
     shorttitle?: string;
     overlay?: boolean;
@@ -40,7 +57,9 @@ export interface StrategyOptions {
     default_qty_type?: StrategyQtyType;
     default_qty_value?: number;
     initial_capital?: number;
+    /** Account currency; default: the symbol currency. */
     currency?: string;
+    /** Ticks added to market and stop fills. */
     slippage?: number;
     commission_type?: StrategyCommissionType;
     commission_value?: number;
@@ -58,6 +77,7 @@ export interface StrategyOptions {
     fill_orders_on_standard_ohlc?: boolean;
     max_polylines_count?: number;
 }
+/** Strategy properties passed to the engine: the declared values, else the PineScript defaults. */
 export interface StrategyProperties {
     pyramiding: number;
     calc_on_order_fills: boolean;
@@ -66,6 +86,7 @@ export interface StrategyProperties {
     default_qty_type: StrategyQtyType;
     default_qty_value: number;
     initial_capital: number;
+    /** undefined: the symbol currency. */
     currency?: string;
     slippage: number;
     commission_type: StrategyCommissionType;
@@ -79,7 +100,9 @@ export interface StrategyProperties {
     use_bar_magnifier: boolean;
     fill_orders_on_standard_ohlc: boolean;
 }
+/** PineScript defaults of the `strategy()` arguments (v6 reference). */
 export declare const STRATEGY_DEFAULTS: StrategyProperties;
+/** `strategy.entry()` / `strategy.order()` arguments after `id` and `direction`. */
 export interface StrategyEntryOptions {
     qty?: number;
     limit?: number;
@@ -90,6 +113,7 @@ export interface StrategyEntryOptions {
     alert_message?: string;
     disable_alert?: boolean;
 }
+/** `strategy.exit()` arguments after `id`. `profit`, `loss`, `trail_points` and `trail_offset` are in ticks. */
 export interface StrategyExitOptions {
     from_entry?: string;
     qty?: number;
@@ -112,6 +136,7 @@ export interface StrategyExitOptions {
     alert_trailing?: string;
     disable_alert?: boolean;
 }
+/** `strategy.close()` arguments after `id`. */
 export interface StrategyCloseOptions {
     comment?: string;
     qty?: number;
@@ -120,12 +145,14 @@ export interface StrategyCloseOptions {
     immediately?: boolean;
     disable_alert?: boolean;
 }
+/** `strategy.close_all()` arguments. */
 export interface StrategyCloseAllOptions {
     comment?: string;
     alert_message?: string;
     immediately?: boolean;
     disable_alert?: boolean;
 }
+/** A `strategy.risk.*` rule. */
 export type StrategyRiskRule = {
     rule: 'allow_entry_in';
     direction: StrategyRiskDirection;
@@ -151,12 +178,19 @@ export type StrategyRiskRule = {
     rule: 'max_position_size';
     contracts: number;
 };
+/**
+ * One trade, as the PineScript `strategy.opentrades.*(i)` / `strategy.closedtrades.*(i)` functions
+ * return it. Times are UNIX milliseconds. The `exit_*` fields are for closed trades only; `exit_id` and the
+ * comments are undefined when the engine does not provide them.
+ */
 export interface StrategyTrade {
     entry_id: string;
     entry_price: number;
     entry_bar_index: number;
     entry_time: number;
+    /** undefined when the order had no comment, or when the engine does not keep it apart from the id. */
     entry_comment?: string;
+    /** Signed quantity: positive for a long trade, negative for a short trade. */
     size: number;
     profit: number;
     profit_percent: number;
@@ -171,11 +205,22 @@ export interface StrategyTrade {
     exit_time?: number;
     exit_comment?: string;
 }
+/** Numeric `strategy.*` variables. */
 export declare const STRATEGY_NUMBER_VARIABLES: readonly ["position_size", "position_avg_price", "equity", "initial_capital", "netprofit", "netprofit_percent", "openprofit", "openprofit_percent", "grossprofit", "grossprofit_percent", "grossloss", "grossloss_percent", "opentrades", "closedtrades", "wintrades", "losstrades", "eventrades", "avg_trade", "avg_trade_percent", "avg_winning_trade", "avg_winning_trade_percent", "avg_losing_trade", "avg_losing_trade_percent", "max_drawdown", "max_drawdown_percent", "max_runup", "max_runup_percent", "max_contracts_held_all", "max_contracts_held_long", "max_contracts_held_short", "margin_liquidation_price"];
+/** Text `strategy.*` variables. */
 export declare const STRATEGY_TEXT_VARIABLES: readonly ["position_entry_name", "account_currency"];
 export type StrategyNumberVariable = (typeof STRATEGY_NUMBER_VARIABLES)[number];
 export type StrategyTextVariable = (typeof STRATEGY_TEXT_VARIABLES)[number];
 export type StrategyVariable = StrategyNumberVariable | StrategyTextVariable;
+/**
+ * The order engine the host supplies. OakScriptJS calls it in this order on each bar `i` of
+ * `strategy.eachBar()`:
+ *
+ * 1. `processBar(i)`: fill the orders placed before bar `i` (at the open and inside the bar);
+ * 2. the script runs at the close of bar `i`: order calls and variable reads;
+ * 3. `processClose(i)`: after the script; with `process_orders_on_close`, fill the new market orders
+ *    at the close.
+ */
 export interface StrategyEngine {
     processBar(bar: number): void;
     processClose(bar: number): void;
@@ -186,10 +231,15 @@ export interface StrategyEngine {
     close_all(options: StrategyCloseAllOptions): void;
     cancel(id: string): void;
     cancel_all(): void;
+    /** Current value of a `strategy.*` variable; undefined when the engine does not provide it. */
     get(variable: StrategyVariable): number | string | undefined;
+    /** Open trade number `index` (0 = oldest); undefined when it does not exist. */
     openTrade(index: number): StrategyTrade | undefined;
+    /** Closed trade number `index` (0 = oldest); undefined when it does not exist. */
     closedTrade(index: number): StrategyTrade | undefined;
+    /** `strategy.risk.*` rules; optional. */
     risk?(rule: StrategyRiskRule): void;
+    /** `strategy.default_entry_qty(fill_price)`; optional. */
     defaultEntryQty?(fillPrice: number): number;
 }
 //# sourceMappingURL=index.d.ts.map

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

@@ -0,0 +1 @@
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package/dist/cjs/strategy/index.js

@@ -0,0 +1,92 @@
+"use strict";
+var __defProp = Object.defineProperty;
+var __getOwnPropDesc = Object.getOwnPropertyDescriptor;
+var __getOwnPropNames = Object.getOwnPropertyNames;
+var __hasOwnProp = Object.prototype.hasOwnProperty;
+var __export = (target, all) => {
+  for (var name in all)
+    __defProp(target, name, { get: all[name], enumerable: true });
+};
+var __copyProps = (to, from, except, desc) => {
+  if (from && typeof from === "object" || typeof from === "function") {
+    for (let key of __getOwnPropNames(from))
+      if (!__hasOwnProp.call(to, key) && key !== except)
+        __defProp(to, key, { get: () => from[key], enumerable: !(desc = __getOwnPropDesc(from, key)) || desc.enumerable });
+  }
+  return to;
+};
+var __toCommonJS = (mod) => __copyProps(__defProp({}, "__esModule", { value: true }), mod);
+var strategy_exports = {};
+__export(strategy_exports, {
+  STRATEGY_CONSTANTS: () => STRATEGY_CONSTANTS,
+  STRATEGY_DEFAULTS: () => STRATEGY_DEFAULTS,
+  STRATEGY_NUMBER_VARIABLES: () => STRATEGY_NUMBER_VARIABLES,
+  STRATEGY_TEXT_VARIABLES: () => STRATEGY_TEXT_VARIABLES
+});
+module.exports = __toCommonJS(strategy_exports);
+const STRATEGY_CONSTANTS = {
+  long: "long",
+  short: "short",
+  fixed: "fixed",
+  cash: "cash",
+  percent_of_equity: "percent_of_equity",
+  commission: { percent: "percent", cash_per_contract: "cash_per_contract", cash_per_order: "cash_per_order" },
+  direction: { all: "all", long: "long", short: "short" },
+  oca: { none: "none", cancel: "cancel", reduce: "reduce" }
+};
+const STRATEGY_DEFAULTS = {
+  pyramiding: 0,
+  calc_on_order_fills: false,
+  calc_on_every_tick: false,
+  backtest_fill_limits_assumption: 0,
+  // v6 values; PineScript v5: fixed / 1 / 1000000 and margins 0
+  default_qty_type: "percent_of_equity",
+  default_qty_value: 100,
+  initial_capital: 1e5,
+  slippage: 0,
+  commission_type: "percent",
+  commission_value: 0,
+  process_orders_on_close: false,
+  close_entries_rule: "FIFO",
+  margin_long: 100,
+  margin_short: 100,
+  calc_bars_count: 0,
+  risk_free_rate: 2,
+  use_bar_magnifier: false,
+  fill_orders_on_standard_ohlc: false
+};
+const STRATEGY_NUMBER_VARIABLES = [
+  "position_size",
+  "position_avg_price",
+  "equity",
+  "initial_capital",
+  "netprofit",
+  "netprofit_percent",
+  "openprofit",
+  "openprofit_percent",
+  "grossprofit",
+  "grossprofit_percent",
+  "grossloss",
+  "grossloss_percent",
+  "opentrades",
+  "closedtrades",
+  "wintrades",
+  "losstrades",
+  "eventrades",
+  "avg_trade",
+  "avg_trade_percent",
+  "avg_winning_trade",
+  "avg_winning_trade_percent",
+  "avg_losing_trade",
+  "avg_losing_trade_percent",
+  "max_drawdown",
+  "max_drawdown_percent",
+  "max_runup",
+  "max_runup_percent",
+  "max_contracts_held_all",
+  "max_contracts_held_long",
+  "max_contracts_held_short",
+  "margin_liquidation_price"
+];
+const STRATEGY_TEXT_VARIABLES = ["position_entry_name", "account_currency"];
+//# sourceMappingURL=index.js.map

package/dist/cjs/strategy/index.js.map

@@ -0,0 +1,7 @@
+{
+  "version": 3,
+  "sources": ["../../../src/strategy/index.ts"],
+  "sourcesContent": ["/**\n * @fileoverview Types and constants of the PineScript `strategy.*` API.\n *\n * OakScriptJS does not simulate orders. The script API (`oakscriptjs/script`) declares the strategy,\n * forwards every `strategy.*` call to a {@link StrategyEngine} that the host supplies, and reads the\n * `strategy.*` variables from it. The engine fills the orders, keeps the trades and computes the\n * results.\n *\n * Names follow PineScript v6: option objects use the PineScript argument names, and the engine\n * receives them unchanged. An `na` (NaN) numeric argument is removed before the call, since in\n * PineScript it means \"not given\". The deprecated `when` argument does not exist: use `if`.\n *\n * @module strategy\n */\n\nexport type StrategyDirection = 'long' | 'short';\nexport type StrategyQtyType = 'fixed' | 'cash' | 'percent_of_equity';\nexport type StrategyCommissionType = 'percent' | 'cash_per_contract' | 'cash_per_order';\nexport type StrategyOcaType = 'none' | 'cancel' | 'reduce';\n/** `strategy.direction.*`, for `strategy.risk.allow_entry_in`. */\nexport type StrategyRiskDirection = 'all' | 'long' | 'short';\nexport type StrategyRiskValueType = 'percent_of_equity' | 'cash';\n\n/** PineScript `strategy.*` constants. */\nexport const STRATEGY_CONSTANTS = {\n  long: 'long',\n  short: 'short',\n  fixed: 'fixed',\n  cash: 'cash',\n  percent_of_equity: 'percent_of_equity',\n  commission: { percent: 'percent', cash_per_contract: 'cash_per_contract', cash_per_order: 'cash_per_order' },\n  direction: { all: 'all', long: 'long', short: 'short' },\n  oca: { none: 'none', cancel: 'cancel', reduce: 'reduce' },\n} as const;\n\n/** Arguments of the PineScript `strategy()` declaration, after `title`. */\nexport interface StrategyOptions {\n  shorttitle?: string;\n  overlay?: boolean;\n  format?: string;\n  precision?: number;\n  scale?: string;\n  pyramiding?: number;\n  calc_on_order_fills?: boolean;\n  calc_on_every_tick?: boolean;\n  max_bars_back?: number;\n  backtest_fill_limits_assumption?: number;\n  default_qty_type?: StrategyQtyType;\n  default_qty_value?: number;\n  initial_capital?: number;\n  /** Account currency; default: the symbol currency. */\n  currency?: string;\n  /** Ticks added to market and stop fills. */\n  slippage?: number;\n  commission_type?: StrategyCommissionType;\n  commission_value?: number;\n  process_orders_on_close?: boolean;\n  close_entries_rule?: 'FIFO' | 'ANY';\n  margin_long?: number;\n  margin_short?: number;\n  explicit_plot_zorder?: boolean;\n  max_lines_count?: number;\n  max_labels_count?: number;\n  max_boxes_count?: number;\n  calc_bars_count?: number;\n  risk_free_rate?: number;\n  use_bar_magnifier?: boolean;\n  fill_orders_on_standard_ohlc?: boolean;\n  max_polylines_count?: number;\n}\n\n/** Strategy properties passed to the engine: the declared values, else the PineScript defaults. */\nexport interface StrategyProperties {\n  pyramiding: number;\n  calc_on_order_fills: boolean;\n  calc_on_every_tick: boolean;\n  backtest_fill_limits_assumption: number;\n  default_qty_type: StrategyQtyType;\n  default_qty_value: number;\n  initial_capital: number;\n  /** undefined: the symbol currency. */\n  currency?: string;\n  slippage: number;\n  commission_type: StrategyCommissionType;\n  commission_value: number;\n  process_orders_on_close: boolean;\n  close_entries_rule: 'FIFO' | 'ANY';\n  margin_long: number;\n  margin_short: number;\n  calc_bars_count: number;\n  risk_free_rate: number;\n  use_bar_magnifier: boolean;\n  fill_orders_on_standard_ohlc: boolean;\n}\n\n/** PineScript defaults of the `strategy()` arguments (v6 reference). */\nexport const STRATEGY_DEFAULTS: StrategyProperties = {\n  pyramiding: 0,\n  calc_on_order_fills: false,\n  calc_on_every_tick: false,\n  backtest_fill_limits_assumption: 0,\n  // v6 values; PineScript v5: fixed / 1 / 1000000 and margins 0\n  default_qty_type: 'percent_of_equity',\n  default_qty_value: 100,\n  initial_capital: 100000,\n  slippage: 0,\n  commission_type: 'percent',\n  commission_value: 0,\n  process_orders_on_close: false,\n  close_entries_rule: 'FIFO',\n  margin_long: 100,\n  margin_short: 100,\n  calc_bars_count: 0,\n  risk_free_rate: 2,\n  use_bar_magnifier: false,\n  fill_orders_on_standard_ohlc: false,\n};\n\n/** `strategy.entry()` / `strategy.order()` arguments after `id` and `direction`. */\nexport interface StrategyEntryOptions {\n  qty?: number;\n  limit?: number;\n  stop?: number;\n  oca_name?: string;\n  oca_type?: StrategyOcaType;\n  comment?: string;\n  alert_message?: string;\n  disable_alert?: boolean;\n}\n\n/** `strategy.exit()` arguments after `id`. `profit`, `loss`, `trail_points` and `trail_offset` are in ticks. */\nexport interface StrategyExitOptions {\n  from_entry?: string;\n  qty?: number;\n  qty_percent?: number;\n  profit?: number;\n  limit?: number;\n  loss?: number;\n  stop?: number;\n  trail_price?: number;\n  trail_points?: number;\n  trail_offset?: number;\n  oca_name?: string;\n  comment?: string;\n  comment_profit?: string;\n  comment_loss?: string;\n  comment_trailing?: string;\n  alert_message?: string;\n  alert_profit?: string;\n  alert_loss?: string;\n  alert_trailing?: string;\n  disable_alert?: boolean;\n}\n\n/** `strategy.close()` arguments after `id`. */\nexport interface StrategyCloseOptions {\n  comment?: string;\n  qty?: number;\n  qty_percent?: number;\n  alert_message?: string;\n  immediately?: boolean;\n  disable_alert?: boolean;\n}\n\n/** `strategy.close_all()` arguments. */\nexport interface StrategyCloseAllOptions {\n  comment?: string;\n  alert_message?: string;\n  immediately?: boolean;\n  disable_alert?: boolean;\n}\n\n/** A `strategy.risk.*` rule. */\nexport type StrategyRiskRule =\n  | { rule: 'allow_entry_in'; direction: StrategyRiskDirection }\n  | { rule: 'max_cons_loss_days'; count: number; alert_message?: string }\n  | { rule: 'max_drawdown'; value: number; type: StrategyRiskValueType; alert_message?: string }\n  | { rule: 'max_intraday_filled_orders'; count: number; alert_message?: string }\n  | { rule: 'max_intraday_loss'; value: number; type: StrategyRiskValueType; alert_message?: string }\n  | { rule: 'max_position_size'; contracts: number };\n\n/**\n * One trade, as the PineScript `strategy.opentrades.*(i)` / `strategy.closedtrades.*(i)` functions\n * return it. Times are UNIX milliseconds. The `exit_*` fields are for closed trades only; `exit_id` and the\n * comments are undefined when the engine does not provide them.\n */\nexport interface StrategyTrade {\n  entry_id: string;\n  entry_price: number;\n  entry_bar_index: number;\n  entry_time: number;\n  /** undefined when the order had no comment, or when the engine does not keep it apart from the id. */\n  entry_comment?: string;\n  /** Signed quantity: positive for a long trade, negative for a short trade. */\n  size: number;\n  profit: number;\n  profit_percent: number;\n  commission: number;\n  max_runup: number;\n  max_runup_percent: number;\n  max_drawdown: number;\n  max_drawdown_percent: number;\n  exit_id?: string;\n  exit_price?: number;\n  exit_bar_index?: number;\n  exit_time?: number;\n  exit_comment?: string;\n}\n\n/** Numeric `strategy.*` variables. */\nexport const STRATEGY_NUMBER_VARIABLES = [\n  'position_size',\n  'position_avg_price',\n  'equity',\n  'initial_capital',\n  'netprofit',\n  'netprofit_percent',\n  'openprofit',\n  'openprofit_percent',\n  'grossprofit',\n  'grossprofit_percent',\n  'grossloss',\n  'grossloss_percent',\n  'opentrades',\n  'closedtrades',\n  'wintrades',\n  'losstrades',\n  'eventrades',\n  'avg_trade',\n  'avg_trade_percent',\n  'avg_winning_trade',\n  'avg_winning_trade_percent',\n  'avg_losing_trade',\n  'avg_losing_trade_percent',\n  'max_drawdown',\n  'max_drawdown_percent',\n  'max_runup',\n  'max_runup_percent',\n  'max_contracts_held_all',\n  'max_contracts_held_long',\n  'max_contracts_held_short',\n  'margin_liquidation_price',\n] as const;\n\n/** Text `strategy.*` variables. */\nexport const STRATEGY_TEXT_VARIABLES = ['position_entry_name', 'account_currency'] as const;\n\nexport type StrategyNumberVariable = (typeof STRATEGY_NUMBER_VARIABLES)[number];\nexport type StrategyTextVariable = (typeof STRATEGY_TEXT_VARIABLES)[number];\nexport type StrategyVariable = StrategyNumberVariable | StrategyTextVariable;\n\n/**\n * The order engine the host supplies. OakScriptJS calls it in this order on each bar `i` of\n * `strategy.eachBar()`:\n *\n * 1. `processBar(i)`: fill the orders placed before bar `i` (at the open and inside the bar);\n * 2. the script runs at the close of bar `i`: order calls and variable reads;\n * 3. `processClose(i)`: after the script; with `process_orders_on_close`, fill the new market orders\n *    at the close.\n */\nexport interface StrategyEngine {\n  processBar(bar: number): void;\n  processClose(bar: number): void;\n  entry(id: string, direction: StrategyDirection, options: StrategyEntryOptions): void;\n  order(id: string, direction: StrategyDirection, options: StrategyEntryOptions): void;\n  exit(id: string, options: StrategyExitOptions): void;\n  close(id: string, options: StrategyCloseOptions): void;\n  close_all(options: StrategyCloseAllOptions): void;\n  cancel(id: string): void;\n  cancel_all(): void;\n  /** Current value of a `strategy.*` variable; undefined when the engine does not provide it. */\n  get(variable: StrategyVariable): number | string | undefined;\n  /** Open trade number `index` (0 = oldest); undefined when it does not exist. */\n  openTrade(index: number): StrategyTrade | undefined;\n  /** Closed trade number `index` (0 = oldest); undefined when it does not exist. */\n  closedTrade(index: number): StrategyTrade | undefined;\n  /** `strategy.risk.*` rules; optional. */\n  risk?(rule: StrategyRiskRule): void;\n  /** `strategy.default_entry_qty(fill_price)`; optional. */\n  defaultEntryQty?(fillPrice: number): number;\n}\n"],
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