openalgo-script 0.1.0-alpha.1 → 0.2.0

package/dist/core/check/library-bars.js

@@ -0,0 +1,181 @@
+/**
+ * The part of the library that reads a bar, an instrument, a clock or a string:
+ * `stdlib.md` sections 3, 8.2, 10 and 12, plus the nineteen colour names of
+ * section 11.1.
+ *
+ * Nothing here computes across bars, so nothing here has a warmup of its own.
+ * The two exceptions state theirs: a session's start and end are known from the
+ * session's first bar, which is a fact about the data rather than a length.
+ */
+import { DATA_DRIVEN, entry } from './library.js';
+/** The colour names of stdlib.md 11.1, each an ordinary global of type `color`. */
+export const COLOUR_NAMES = [
+    'aqua',
+    'black',
+    'blue',
+    'brown',
+    'fuchsia',
+    'gray',
+    'green',
+    'lime',
+    'maroon',
+    'navy',
+    'olive',
+    'orange',
+    'pink',
+    'purple',
+    'red',
+    'silver',
+    'teal',
+    'white',
+    'yellow',
+];
+/** The built-in series of stdlib.md 3.1, the only names with a bar's history. */
+export const BAR_SERIES = [
+    'open',
+    'high',
+    'low',
+    'close',
+    'volume',
+    'hl2',
+    'hlc3',
+    'ohlc4',
+    'hlcc4',
+    'oi',
+    'time',
+];
+const colours = COLOUR_NAMES.map((name) => entry(`${name} -> color`));
+const series = [
+    ...BAR_SERIES.map((name) => entry(`${name} -> series number`)),
+    entry('timeClose -> series number', { planned: true }),
+];
+const bar = [
+    entry('bar.index -> series number'),
+    entry('bar.count -> series number'),
+    entry('bar.isFirst -> series bool'),
+    entry('bar.isLast -> series bool'),
+    entry('bar.isConfirmed -> series bool'),
+    entry('bar.isRealtime -> series bool'),
+    entry('bar.isNew -> series bool'),
+    entry('bar.updates -> series number'),
+];
+const chart = [
+    entry('chart.symbol -> string'),
+    entry('chart.exchange -> string'),
+    entry('chart.interval -> string'),
+    entry('chart.intervalMinutes -> number'),
+    entry('chart.isIntraday -> bool'),
+    entry('chart.timezone -> string'),
+    entry('chart.tickSize -> number'),
+    entry('chart.lotSize -> number'),
+    entry('chart.pointValue -> number'),
+    entry('chart.currency -> string'),
+    entry('chart.instrumentType -> string'),
+    entry('chart.hasVolume -> bool'),
+    entry('chart.hasOpenInterest -> bool'),
+    entry('chart.now() -> number'),
+    entry('chart.isReplay -> bool', { planned: true }),
+    entry('chart.expiry -> number', { planned: true }),
+    entry('chart.strike -> number', { planned: true }),
+    entry('chart.optionType -> string', { planned: true }),
+];
+/**
+ * The session facts, `stdlib.md` 12.4.
+ *
+ * **Three run and the rest are planned**, and the line between them is what an
+ * engine can answer today. `session.isFirstBar` and `session.isLastBar` are
+ * derived from the session hours in the instrument record
+ * (`host-interface.md` 4.3), the bar's time and the instrument's timezone.
+ * `session.isIn` reads the hours the script itself wrote, and the calendar of
+ * section 12.2 turns them into a test. The rest read the same hours and want
+ * an instant or a count off it rather than a boundary, so they are marked
+ * rather than left to be refused at load with a message about a function.
+ */
+const session = [
+    entry('session.isOpen -> series bool', { planned: true }),
+    entry('session.isFirstBar -> series bool'),
+    entry('session.isLastBar -> series bool'),
+    entry('session.startTime -> series number', { planned: true, warmup: DATA_DRIVEN }),
+    entry('session.endTime -> series number', { planned: true, warmup: DATA_DRIVEN }),
+    entry('session.barIndex -> series number', { planned: true }),
+    entry('session.isIn(spec: string, zone?: string = chart.timezone) -> series bool'),
+    entry('session.isHoliday(t: number) -> bool', { planned: true }),
+    entry('session.nextOpen -> series number', { planned: true }),
+];
+/**
+ * The calendar, `stdlib.md` 12.2.
+ *
+ * Every entry reads a timestamp in a named zone, and the zone table is the
+ * runtime's own rather than one copied here: `calendar/zone.ts` gives the
+ * reason. `date.add` stays planned because calendar arithmetic that respects
+ * month lengths has a rule to settle first, which the entry itself says.
+ */
+const date = [
+    entry('date.year(t: number, zone?: string = chart.timezone) -> number'),
+    entry('date.month(t: number, zone?: string = chart.timezone) -> number'),
+    entry('date.day(t: number, zone?: string = chart.timezone) -> number'),
+    entry('date.dayOfWeek(t: number, zone?: string = chart.timezone) -> number'),
+    entry('date.dayOfYear(t: number, zone?: string = chart.timezone) -> number'),
+    entry('date.hour(t: number, zone?: string = chart.timezone) -> number'),
+    entry('date.minute(t: number, zone?: string = chart.timezone) -> number'),
+    entry('date.second(t: number, zone?: string = chart.timezone) -> number'),
+    entry('date.weekOfYear(t: number, zone?: string = chart.timezone) -> number'),
+    entry('date.from(year: number, month: number, day: number, hour?: number = 0, minute?: number = 0, second?: number = 0, zone?: string = chart.timezone) -> number'),
+    entry('date.startOfDay(t: number, zone?: string = chart.timezone) -> number'),
+    entry('date.startOfWeek(t: number, zone?: string = chart.timezone) -> number'),
+    entry('date.startOfMonth(t: number, zone?: string = chart.timezone) -> number'),
+    entry('date.isSameDay(a: number, b: number, zone?: string = chart.timezone) -> bool'),
+    entry('date.format(t: number, pattern: string, zone?: string = chart.timezone) -> string'),
+    entry('date.add(t: number, unit: string, count: number, zone?: string = chart.timezone) -> number', {
+        planned: true,
+    }),
+];
+const maths = [
+    entry('math.pi -> number'),
+    entry('math.e -> number'),
+    entry('math.log2(x: number) -> number'),
+    entry('math.hypot(x: number, y: number) -> number'),
+    entry('math.toDegrees(x: number) -> number'),
+    entry('math.toRadians(x: number) -> number'),
+    entry('math.sin(x: number) -> number'),
+    entry('math.cos(x: number) -> number'),
+    entry('math.tan(x: number) -> number'),
+    entry('math.asin(x: number) -> number'),
+    entry('math.acos(x: number) -> number'),
+    entry('math.atan(x: number) -> number'),
+    entry('math.atan2(y: number, x: number) -> number'),
+    entry('math.sinh(x: number) -> number', { planned: true }),
+    entry('math.cosh(x: number) -> number', { planned: true }),
+    entry('math.tanh(x: number) -> number', { planned: true }),
+];
+const strings = [
+    entry('str.length(s: string) -> number'),
+    entry('str.upper(s: string) -> string'),
+    entry('str.lower(s: string) -> string'),
+    entry('str.trim(s: string) -> string'),
+    entry('str.contains(s: string, part: string) -> bool'),
+    entry('str.startsWith(s: string, part: string) -> bool'),
+    entry('str.endsWith(s: string, part: string) -> bool'),
+    entry('str.indexOf(s: string, part: string) -> number'),
+    entry('str.substring(s: string, from: number, to?: number = none) -> string'),
+    entry('str.replace(s: string, find: string, with: string) -> string'),
+    entry('str.replaceAll(s: string, find: string, with: string) -> string'),
+    entry('str.split(s: string, separator: string) -> array<string>'),
+    entry('str.join(parts: array<string>, separator: string) -> string'),
+    entry('str.padLeft(s: string, width: number, fill?: string = " ") -> string'),
+    entry('str.padRight(s: string, width: number, fill?: string = " ") -> string'),
+    entry('str.repeat(s: string, n: number) -> string'),
+    entry('str.format(template: string, values: array<string>) -> string', { planned: true }),
+    entry('str.match(s: string, pattern: string) -> bool', { planned: true }),
+];
+export const BAR_ENTRIES = [
+    ...colours,
+    ...series,
+    ...bar,
+    ...chart,
+    ...session,
+    ...date,
+    ...maths,
+    ...strings,
+];
+//# sourceMappingURL=library-bars.js.map

package/dist/core/check/library-bars.js.map

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package/dist/core/check/library-orders.d.ts

@@ -0,0 +1,5 @@
+import type { LibraryEntry } from './library.js';
+/** The bare order functions of stdlib.md 17.2, which `close` is one of. */
+export declare const ORDER_NAMES: readonly string[];
+export declare const ORDER_ENTRIES: readonly LibraryEntry[];
+//# sourceMappingURL=library-orders.d.ts.map

package/dist/core/check/library-orders.d.ts.map

@@ -0,0 +1 @@
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package/dist/core/check/library-orders.js

@@ -0,0 +1,250 @@
+/**
+ * The part of the library that spends money: `stdlib.md` section 17.
+ *
+ * Every entry here is marked `strategyOnly`, which is the whole of what the
+ * checker has to know about the section's opening rule: a `study()` file that
+ * reaches for one of these is OS7001, and the fix names the declaration to
+ * change rather than the call to delete.
+ *
+ * A leg is named by a string rather than by a handle, so nothing in this file
+ * carries a type the rest of the language does not already have.
+ *
+ * **What is marked `planned` here is what no engine can run yet**, and it is
+ * marked rather than left to be discovered. The legs and the book of sections
+ * 17.6 and 17.9 to 17.11 are rules evaluated over the ledger, and the money
+ * figures need a cost model; neither exists in an engine in this release. A name
+ * left unmarked would compile and then be refused at load with OS6004, which
+ * names a function and not a reason. Marked, it is OS2020 at the call, at the
+ * point a reader can see what they wrote, with a message that says it is
+ * planned.
+ *
+ * The nine order functions and the five position facts are not marked, because
+ * those do run: the ledger of section 17.7 is folded from the intents those nine
+ * send and the frames a host reports back for them, and the five read it. None
+ * of them reads a host's position row, and section 17.1 is why.
+ */
+import { DATA_DRIVEN, entry } from './library.js';
+const SIDES = ['buy', 'sell'];
+const ORDER_TYPES = ['market', 'limit', 'stop', 'stopLimit'];
+const DIRECTIONS = ['up', 'down'];
+const BOOK_DIRECTIONS = ['long', 'short', 'both'];
+const LEG_KINDS = ['future', 'option'];
+const RIGHTS = ['call', 'put'];
+const strategyOnly = { strategyOnly: true };
+/**
+ * Every order function names the leg it acts on, and no file can declare one.
+ *
+ * A leg is declared before the run with `leg.fixed` or `leg.relative`
+ * (`stdlib.md` 17.6), and both of those are planned below. So the set of names
+ * a `leg` argument may take is empty in this release, and a file that declares
+ * no leg has exactly one, which every order acts on with no leg named.
+ *
+ * Which makes the argument a refusal rather than a set check. The value never
+ * comes into it: `close(leg = "b")` after `buy(leg = "a")` flattened the
+ * position on the only leg there is, and a name the script computed was
+ * ignored just as quietly. OS3023 says so at the call, whichever of the two it
+ * is, and the day a leg can be declared this becomes the set check OS3008
+ * already is for every other argument with a fixed set of values.
+ */
+const onOneLeg = { strategyOnly: true, undeclared: ['leg'] };
+/** The bare order functions of stdlib.md 17.2, which `close` is one of. */
+export const ORDER_NAMES = [
+    'buy',
+    'sell',
+    'close',
+    'exit',
+    'cancel',
+    'cancelAll',
+];
+const placing = [
+    entry('buy(qty?: number, limit?: number = none, stop?: number = none, tag?: string = "", leg?: string) -> nothing', onOneLeg),
+    entry('sell(qty?: number, limit?: number = none, stop?: number = none, tag?: string = "", leg?: string) -> nothing', onOneLeg),
+    entry('close(tag?: string = none, qty?: number = none, leg?: string) -> nothing', onOneLeg),
+    entry('exit(tag?: string = "", qty?: number = none, limit?: number = none, stop?: number = none, profit?: number = none, loss?: number = none, leg?: string) -> nothing', {
+        ...onOneLeg,
+        // An absolute price and a distance from the entry state the same level,
+        // and reconciling them would need a rule (stdlib.md 17.2).
+        conflicts: [
+            ['limit', 'profit'],
+            ['stop', 'loss'],
+        ],
+    }),
+    entry('cancel(tag: string) -> nothing', strategyOnly),
+    entry('cancelAll() -> nothing', strategyOnly),
+];
+const orders = [
+    entry('order.place(side: string, qty: number, type?: string = "market", price?: number = none, trigger?: number = none, tag?: string = "", leg?: string) -> nothing', { ...onOneLeg, values: { side: SIDES, type: ORDER_TYPES } }),
+    entry('order.reverse(qty?: number = none, tag?: string = "", leg?: string) -> nothing', onOneLeg),
+    entry('order.bracket(tag?: string = "", profit?: number = none, loss?: number = none, leg?: string) -> nothing', onOneLeg),
+    entry('order.working(tag: string) -> series bool', { ...strategyOnly, planned: true }),
+    entry('order.pending -> series number', { ...strategyOnly, planned: true }),
+    entry('order.id(tag: string) -> series string', { ...strategyOnly, planned: true }),
+    entry('order.status(tag: string) -> series string', { ...strategyOnly, planned: true }),
+    entry('order.filled(tag: string) -> series number', { ...strategyOnly, planned: true }),
+    entry('order.avgFill(tag: string) -> series number', {
+        ...strategyOnly,
+        planned: true,
+        warmup: DATA_DRIVEN,
+    }),
+    entry('order.rejection(tag: string) -> series string', { ...strategyOnly, planned: true }),
+    entry('order.qtyForCash(cash: number, price?: number = close) -> number', {
+        ...strategyOnly,
+        planned: true,
+    }),
+    entry('order.qtyForRisk(risk: number, entry: number, stop: number) -> number', {
+        ...strategyOnly,
+        planned: true,
+    }),
+    entry('order.qtyForEquityPercent(percent: number, price?: number = close) -> number', {
+        ...strategyOnly,
+        planned: true,
+    }),
+    entry('order.roundToLot(qty: number, direction?: string = "down", leg?: string) -> number', {
+        ...strategyOnly,
+        planned: true,
+        values: { direction: DIRECTIONS },
+    }),
+    entry('order.modify(tag: string) -> nothing', { ...strategyOnly, planned: true }),
+    entry('order.oco(tagA: string, tagB: string) -> nothing', { ...strategyOnly, planned: true }),
+];
+const position = [
+    entry('pos.size -> series number', strategyOnly),
+    entry('pos.isLong -> series bool', strategyOnly),
+    entry('pos.isShort -> series bool', strategyOnly),
+    entry('pos.isFlat -> series bool', strategyOnly),
+    entry('pos.avgPrice -> series number', { ...strategyOnly, warmup: DATA_DRIVEN }),
+    entry('pos.entryTime -> series number', {
+        ...strategyOnly,
+        planned: true,
+        warmup: DATA_DRIVEN,
+    }),
+    entry('pos.barsHeld -> series number', {
+        ...strategyOnly,
+        planned: true,
+        warmup: DATA_DRIVEN,
+    }),
+    entry('pos.entries -> series number', { ...strategyOnly, planned: true }),
+    entry('pos.openProfit -> series number', {
+        ...strategyOnly,
+        planned: true,
+        warmup: DATA_DRIVEN,
+    }),
+    entry('pos.openProfitPercent -> series number', {
+        ...strategyOnly,
+        planned: true,
+        warmup: DATA_DRIVEN,
+    }),
+    entry('pos.maxProfit -> series number', {
+        ...strategyOnly,
+        planned: true,
+        warmup: DATA_DRIVEN,
+    }),
+    entry('pos.maxLoss -> series number', {
+        ...strategyOnly,
+        planned: true,
+        warmup: DATA_DRIVEN,
+    }),
+    entry('pos.isShared -> series bool', { ...strategyOnly, planned: true }),
+    entry('pos.equity -> series number', { ...strategyOnly, planned: true }),
+    entry('pos.netProfit -> series number', { ...strategyOnly, planned: true }),
+    entry('pos.tradeCount -> series number', { ...strategyOnly, planned: true }),
+    entry('pos.winRate -> series number', { ...strategyOnly, planned: true }),
+    entry('pos.profitFactor -> series number', { ...strategyOnly, planned: true }),
+    entry('pos.maxDrawdown -> series number', { ...strategyOnly, planned: true }),
+];
+const legs = [
+    entry('leg.fixed(name: string, symbol: string, exchange?: string = chart.exchange, product?: string, qty?: number, side?: string = "buy") -> nothing', {
+        ...strategyOnly,
+        planned: true,
+        topLevel: true,
+        values: { side: SIDES },
+        constant: ['name', 'symbol', 'exchange', 'product', 'qty', 'side'],
+    }),
+    entry('leg.relative(name: string, underlying: string, kind: string, expiryRank?: number = 0, expiryCycle?: string = none, strikeOffset?: number = 0, right?: string = none, reference?: number = none, exchange?: string = chart.exchange, product?: string, qty?: number, side?: string = "buy") -> nothing', {
+        ...strategyOnly,
+        planned: true,
+        topLevel: true,
+        values: { kind: LEG_KINDS, right: RIGHTS, side: SIDES },
+        constant: [
+            'name',
+            'underlying',
+            'kind',
+            'expiryRank',
+            'expiryCycle',
+            'strikeOffset',
+            'right',
+            'reference',
+            'exchange',
+            'product',
+            'qty',
+            'side',
+        ],
+    }),
+    entry('leg.symbol(name: string) -> string', { ...strategyOnly, planned: true }),
+    entry('leg.exchange(name: string) -> string', { ...strategyOnly, planned: true }),
+    entry('leg.product(name: string) -> string', { ...strategyOnly, planned: true }),
+    entry('leg.expiry(name: string) -> number', { ...strategyOnly, planned: true }),
+    entry('leg.strike(name: string) -> number', { ...strategyOnly, planned: true }),
+    entry('leg.size(name: string) -> series number', { ...strategyOnly, planned: true }),
+    entry('leg.avgPrice(name: string) -> series number', {
+        ...strategyOnly,
+        planned: true,
+        warmup: DATA_DRIVEN,
+    }),
+    entry('leg.entryTime(name: string) -> series number', {
+        ...strategyOnly,
+        planned: true,
+        warmup: DATA_DRIVEN,
+    }),
+    entry('leg.profit(name: string) -> series number', { ...strategyOnly, planned: true }),
+    entry('leg.isOpen(name: string) -> series bool', { ...strategyOnly, planned: true }),
+    entry('leg.stopPrice(name: string) -> series number', {
+        ...strategyOnly,
+        planned: true,
+        warmup: DATA_DRIVEN,
+    }),
+    entry('leg.targetPrice(name: string) -> series number', {
+        ...strategyOnly,
+        planned: true,
+        warmup: DATA_DRIVEN,
+    }),
+    entry('leg.stop(name: string, price: number) -> nothing', { ...strategyOnly, planned: true }),
+    entry('leg.target(name: string, price: number) -> nothing', { ...strategyOnly, planned: true }),
+    entry('leg.trail(name: string, distance: number, arm?: number = none) -> nothing', {
+        ...strategyOnly,
+        planned: true,
+    }),
+    entry('leg.enter(name: string, side?: string, qty?: number, limit?: number = none, stop?: number = none, tag?: string = "") -> nothing', { ...strategyOnly, planned: true, values: { side: SIDES } }),
+    entry('leg.exit(name: string, qty?: number = none, limit?: number = none, stop?: number = none, tag?: string = "") -> nothing', { ...strategyOnly, planned: true }),
+];
+const book = [
+    entry('book.stop(amount: number) -> nothing', { ...strategyOnly, planned: true }),
+    entry('book.target(amount: number) -> nothing', { ...strategyOnly, planned: true }),
+    entry('book.lockProfit(arm: number, lock: number, step?: number = none, advance?: number = none) -> nothing', { ...strategyOnly, planned: true }),
+    entry('book.trailStopsToEntry(at: number) -> nothing', { ...strategyOnly, planned: true }),
+    entry('book.direction(filter: string) -> nothing', {
+        ...strategyOnly,
+        planned: true,
+        values: { filter: BOOK_DIRECTIONS },
+    }),
+    entry('book.entryWindow(spec: string) -> nothing', { ...strategyOnly, planned: true }),
+    entry('book.exitAt(time: string) -> nothing', { ...strategyOnly, planned: true }),
+    entry('book.squareOffAtExpiry(minutesBefore?: number = 0) -> nothing', {
+        ...strategyOnly,
+        planned: true,
+    }),
+    entry('book.dailyLoss(amount: number) -> nothing', { ...strategyOnly, planned: true }),
+    entry('book.profit -> series number', { ...strategyOnly, planned: true }),
+    entry('book.dayProfit -> series number', { ...strategyOnly, planned: true }),
+    entry('book.isOpen -> series bool', { ...strategyOnly, planned: true }),
+    entry('book.enter(tag?: string = "") -> nothing', { ...strategyOnly, planned: true }),
+    entry('book.exit(tag?: string = "") -> nothing', { ...strategyOnly, planned: true }),
+];
+export const ORDER_ENTRIES = [
+    ...placing,
+    ...orders,
+    ...position,
+    ...legs,
+    ...book,
+];
+//# sourceMappingURL=library-orders.js.map

package/dist/core/check/library-orders.js.map

@@ -0,0 +1 @@
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package/dist/core/check/library-output.d.ts

@@ -0,0 +1,7 @@
+import type { LibraryEntry } from './library.js';
+/** The two reads of stdlib.md 15.1, which are the only calls that can repaint. */
+export declare const REQUEST_NAMES: readonly string[];
+/** The calls `language.md` 15.3 puts at the top level, minus `input` and the legs. */
+export declare const TOP_LEVEL_NAMES: readonly string[];
+export declare const OUTPUT_ENTRIES: readonly LibraryEntry[];
+//# sourceMappingURL=library-output.d.ts.map

package/dist/core/check/library-output.d.ts.map

@@ -0,0 +1 @@
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