openalgo-script 0.1.0-alpha.1 → 0.4.0

package/dist/core/accounting/charges.js.map

@@ -0,0 +1 @@
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package/dist/core/accounting/equity.d.ts

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+/**
+ * The equity curve: one point per bar in the report window.
+ *
+ * **Marked to the close and to nothing else.** An intrabar extreme is a price
+ * the strategy could not have acted on, so it is not a profit it had, and a
+ * curve drawn through the extremes flatters every run that ever held a losing
+ * position. Where a bar's close is absent the previous mark carries and the
+ * point says so, rather than a zero a reader would compare against.
+ *
+ * **Drawdown is stated on equity including open profit**, and the basis is
+ * carried on every point rather than left to the reader: `drawdown` is the
+ * distance below the running peak, zero or negative, and `drawdownPercent` is
+ * that distance against the peak. A report whose drawdown basis is not written
+ * down is a report whose worst figure means a different thing to each reader.
+ *
+ * ## What the curve is folded from, and when each figure lands
+ *
+ * A trade list and a list of bar closes, and nothing else. A trade carries its
+ * own gross, its own charges and the two bars it lived between, so the fold is
+ * a sweep: bars in the order they arrived, trades in the order they opened.
+ *
+ * - **A trade's charges land on the bar it opened.** The trade list does not
+ *   carry the timing of the individual fills underneath it, so the cost has to
+ *   land somewhere, and the open is the one place that is never later than the
+ *   truth: an entry charge is paid the moment the trade is taken on, and an
+ *   exit charge cannot be paid before it. The alternative, landing the whole
+ *   cost at the close, shows a run carrying a position for two hundred bars as
+ *   having paid nothing for it, and leaves a trade that never closed paying
+ *   nothing at all.
+ * - **A trade's gross lands on the bar it closed**, because that is the bar it
+ *   stopped being an opinion and became a number. While it is open it is in
+ *   `openProfit` instead, marked to the close, and the two never overlap.
+ *
+ * So the last point of a full run carries every charge the run paid, open
+ * trades included, and every gross it realised, which is an identity the
+ * summary is asserted against rather than assumed to share.
+ *
+ * ## What a trade list cannot say, said here rather than discovered later
+ *
+ * A trade holds one entry price weighted over its entry fills and one exit
+ * price weighted over its exit fills, so a trade whose size changed while it
+ * was open is not visible in it: the size a trade held between its open and its
+ * close is the size it ended up entering, at the average price it ended up
+ * entering at. Both directions are wrong and they are wrong differently.
+ *
+ * - **A partial close** is marked at the full size from the bar the reduction
+ *   settled on, so the open profit of the part already closed is counted twice
+ *   over, once here and once in the realised total.
+ * - **A scale-in is the worse of the two**, because it is wrong from the
+ *   beginning rather than from the middle. A trade that buys a hundred at ten
+ *   and another hundred at twenty is marked, from the bar it first opened, as
+ *   two hundred units bought at fifteen. On the bars before the second entry it
+ *   is therefore marked five points under water on units it did not hold, and
+ *   the curve reports a drawdown the account never had. The summary's
+ *   `maxDrawdown` and `maxDrawdownPercent` are folded from this curve, so a
+ *   pyramiding strategy is reported as having risked more than it did.
+ *
+ * Neither reaches the realised total, which is folded from the fills: what is
+ * affected is `openProfit`, `exposure`, `equity` and every drawdown figure
+ * taken off the curve, on the bars a trade's size was not what it ended as.
+ *
+ * A curve folded from the fills rather than from the trades would have neither,
+ * and that is what fixes it: it needs each entry, exit and charge to land on
+ * the bar it settled on, which is a different fold from this one rather than a
+ * correction to it. It is written here because a limitation nobody wrote down
+ * is a limitation somebody finds inside a report they had already believed.
+ *
+ * ## Two preconditions, both of them the caller's
+ *
+ * The trades arrive in the order they opened, which is the order `Trade.index`
+ * states, and the bars arrive in the order they were loaded. Both are swept
+ * with a pointer rather than searched, because a report over fifty thousand
+ * bars that rescans its trade list on every one of them is a report nobody
+ * waits for.
+ *
+ * ## And a percentage here is a fraction of its basis
+ *
+ * `drawdownPercent` is `drawdown / runningPeak`, which is a fraction: a
+ * hundredth of a percent down is written `-0.0001` and not `-0.01`. One
+ * convention for every figure in this module that divides, because two figures
+ * spelled the same way in two units is a number a reader gets wrong once and
+ * never trusts again. The multiplication by a hundred belongs to whatever
+ * prints it.
+ */
+import type { BarMark, Contract, Money } from './shapes.js';
+import type { Trade } from './trades.js';
+/** One report bar's standing, folded from the fills settled up to it. */
+export interface EquityPoint {
+    readonly barIndex: number;
+    readonly time: number | null;
+    /** Cumulative gross of closed trades. */
+    readonly realised: Money;
+    /** Cumulative. */
+    readonly charges: Money;
+    /** Marked to this bar's close. */
+    readonly openProfit: Money;
+    /** capital + realised - charges. */
+    readonly cash: Money;
+    /** cash + openProfit. */
+    readonly equity: Money;
+    /** The open position's magnitude at this close. */
+    readonly exposure: Money;
+    /** equity - runningPeak, zero or negative. */
+    readonly drawdown: Money;
+    /** `drawdown / runningPeak`, a fraction and not a figure times a hundred. */
+    readonly drawdownPercent: number;
+}
+/**
+ * Whether this trade was still held at the close of this bar.
+ *
+ * The boundaries are the whole of the rule and both are decisions. A trade is
+ * held from the close of the bar it opened on, because an entry that settled
+ * during a bar is a position that bar ended holding. It is not held at the
+ * close of the bar it closed on, because that bar ended flat. So a trade
+ * opened and closed inside one bar is held at no close at all, which is what a
+ * run that was flat at every mark should report.
+ *
+ * Every figure in this module that asks which trades are open asks it here, so
+ * the curve, the exposure and the count of bars in the market cannot come to
+ * three different answers about one bar.
+ */
+export declare function openOnBar(trade: Trade, barIndex: number): boolean;
+/**
+ * A ratio against a basis that may not be there to divide by.
+ *
+ * Capital of zero and a peak of zero are both reachable, and both turn an
+ * honest division into a value JSON cannot carry: a report whose worst figure
+ * comes back `null` from a round trip is worse than one that says zero. A basis
+ * that is not positive has no ratio to state, so the figure beside it, which is
+ * money and is always true, is the one a reader is left with.
+ */
+export declare function ratioOf(value: number, basis: number): number;
+/**
+ * The curve, one point per report bar, in the order the bars arrived.
+ *
+ * Warmup bars are swept and not reported: their orders were real, so a trade
+ * opened during the warmup is already in the fold at the first point, with its
+ * charges already paid and its position already marked. A curve that began its
+ * fold at the first report bar would lose both, and would lose them silently.
+ *
+ * The running peak starts at the capital rather than at the first point, so a
+ * run that is down from its first bar is in drawdown at its first bar. Starting
+ * it at the first point would report every run as having begun at its high.
+ */
+export declare function equityOver(trades: readonly Trade[], marks: readonly BarMark[], contract: Contract, capital: Money): readonly EquityPoint[];
+/**
+ * How many of these bars ended with something held.
+ *
+ * Swept rather than searched: a sorted list of the bars trades opened on, a
+ * sorted list of the bars they closed on, and the running difference between
+ * how many of each have gone by. That is the boundary rule `openOnBar` states,
+ * arrived at from the other side, and the two are asserted to agree over a
+ * generated corpus rather than trusted to. A count that disagrees with the
+ * curve beside it about which bars were in the market is exactly the kind of
+ * defect a reader finds by adding two of the printed figures up.
+ */
+export declare function barsInMarketOver(trades: readonly Trade[], equity: readonly EquityPoint[]): number;
+//# sourceMappingURL=equity.d.ts.map

package/dist/core/accounting/equity.d.ts.map

@@ -0,0 +1 @@
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package/dist/core/accounting/equity.js

@@ -0,0 +1,155 @@
+/**
+ * Whether this trade was still held at the close of this bar.
+ *
+ * The boundaries are the whole of the rule and both are decisions. A trade is
+ * held from the close of the bar it opened on, because an entry that settled
+ * during a bar is a position that bar ended holding. It is not held at the
+ * close of the bar it closed on, because that bar ended flat. So a trade
+ * opened and closed inside one bar is held at no close at all, which is what a
+ * run that was flat at every mark should report.
+ *
+ * Every figure in this module that asks which trades are open asks it here, so
+ * the curve, the exposure and the count of bars in the market cannot come to
+ * three different answers about one bar.
+ */
+export function openOnBar(trade, barIndex) {
+    if (barIndex < trade.openedOnBar)
+        return false;
+    return trade.closedOnBar === null || barIndex < trade.closedOnBar;
+}
+/**
+ * A ratio against a basis that may not be there to divide by.
+ *
+ * Capital of zero and a peak of zero are both reachable, and both turn an
+ * honest division into a value JSON cannot carry: a report whose worst figure
+ * comes back `null` from a round trip is worse than one that says zero. A basis
+ * that is not positive has no ratio to state, so the figure beside it, which is
+ * money and is always true, is the one a reader is left with.
+ */
+export function ratioOf(value, basis) {
+    return basis > 0 ? value / basis : 0;
+}
+/**
+ * The curve, one point per report bar, in the order the bars arrived.
+ *
+ * Warmup bars are swept and not reported: their orders were real, so a trade
+ * opened during the warmup is already in the fold at the first point, with its
+ * charges already paid and its position already marked. A curve that began its
+ * fold at the first report bar would lose both, and would lose them silently.
+ *
+ * The running peak starts at the capital rather than at the first point, so a
+ * run that is down from its first bar is in drawdown at its first bar. Starting
+ * it at the first point would report every run as having begun at its high.
+ */
+export function equityOver(trades, marks, contract, capital) {
+    const points = [];
+    let held = [];
+    let next = 0;
+    let realised = 0;
+    let charges = 0;
+    let peak = capital;
+    let mark = null;
+    for (const bar of marks) {
+        // Opened by this bar, charges and all. The pointer is why the trades have
+        // to arrive in the order they opened.
+        while (next < trades.length) {
+            const opening = trades[next];
+            if (opening === undefined || opening.openedOnBar > bar.barIndex)
+                break;
+            charges += opening.charges;
+            held.push(opening);
+            next += 1;
+        }
+        // Closed by this bar, gross and all. A trade that opened and closed inside
+        // one bar is taken on and given up here in that order, so its cost and its
+        // gross are both in this point and its position is in none.
+        let closedHere = false;
+        for (const trade of held) {
+            if (closedBy(trade, bar.barIndex)) {
+                realised += trade.grossProfit;
+                closedHere = true;
+            }
+        }
+        if (closedHere)
+            held = held.filter((trade) => !closedBy(trade, bar.barIndex));
+        // A close the host did not have leaves the previous mark standing. It is
+        // carried across the warmup boundary too, so the first report bar of a run
+        // whose close is absent is marked at the last price there was.
+        if (bar.close !== null)
+            mark = bar.close;
+        if (!bar.inReport)
+            continue;
+        let openProfit = 0;
+        let exposure = 0;
+        for (const trade of held) {
+            // Before the first close there has ever been, a trade is marked at its
+            // own entry: no profit, and the position still visible in the exposure.
+            const at = mark ?? trade.entryPrice;
+            const direction = trade.side === 'long' ? 1 : -1;
+            openProfit += direction * (at - trade.entryPrice) * trade.units * contract.pointValue;
+            exposure += Math.abs(trade.units * at * contract.pointValue);
+        }
+        const cash = capital + realised - charges;
+        const equity = cash + openProfit;
+        if (equity > peak)
+            peak = equity;
+        const drawdown = equity - peak;
+        points.push({
+            barIndex: bar.barIndex,
+            time: bar.time,
+            realised,
+            charges,
+            openProfit,
+            cash,
+            equity,
+            exposure,
+            drawdown,
+            drawdownPercent: ratioOf(drawdown, peak),
+        });
+    }
+    return points;
+}
+/**
+ * How many of these bars ended with something held.
+ *
+ * Swept rather than searched: a sorted list of the bars trades opened on, a
+ * sorted list of the bars they closed on, and the running difference between
+ * how many of each have gone by. That is the boundary rule `openOnBar` states,
+ * arrived at from the other side, and the two are asserted to agree over a
+ * generated corpus rather than trusted to. A count that disagrees with the
+ * curve beside it about which bars were in the market is exactly the kind of
+ * defect a reader finds by adding two of the printed figures up.
+ */
+export function barsInMarketOver(trades, equity) {
+    const opens = trades.map((trade) => trade.openedOnBar).sort(ascending);
+    const closes = trades
+        .filter((trade) => trade.closedOnBar !== null)
+        .map((trade) => trade.closedOnBar ?? 0)
+        .sort(ascending);
+    let opened = 0;
+    let closed = 0;
+    let live = 0;
+    let bars = 0;
+    for (const point of equity) {
+        while (opened < opens.length && (opens[opened] ?? 0) <= point.barIndex) {
+            live += 1;
+            opened += 1;
+        }
+        while (closed < closes.length && (closes[closed] ?? 0) <= point.barIndex) {
+            live -= 1;
+            closed += 1;
+        }
+        if (live > 0)
+            bars += 1;
+    }
+    return bars;
+}
+/** Whether this bar is the bar the trade closed on, or one after it. */
+function closedBy(trade, barIndex) {
+    return trade.closedOnBar !== null && trade.closedOnBar <= barIndex;
+}
+/** Smallest first, said once, because a sort without a comparison sorts text. */
+function ascending(left, right) {
+    return left - right;
+}
+//# sourceMappingURL=equity.js.map

package/dist/core/accounting/equity.js.map

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package/dist/core/accounting/index.d.ts

@@ -0,0 +1,44 @@
+/**
+ * The money: what a run made, what it cost, and what that is worth knowing.
+ *
+ * **This module imports no engine and no emitter, and it never will.** It is
+ * arithmetic over portable data: a list of settled fills, a list of bar closes,
+ * a charge schedule and the contract the run was carried out under. Two things
+ * follow from that and both of them are the reason for it.
+ *
+ * A stored record can be reported again with no engine present, which is what
+ * makes a run record a conformance case rather than a souvenir. And the engine
+ * can call this, when the day comes that a script may read its own equity,
+ * without a cycle and without a second implementation of any of these formulas
+ * sitting inside the execution path disagreeing with this one.
+ *
+ * The door names what a caller may use. The fold itself, the cost basis, the
+ * round trip state machine and the statistics stay behind it: they are one
+ * algorithm with one caller.
+ *
+ * Behaviour lands beside these shapes, each call in the file its type is in.
+ * The cost model is here: `chargeFor` is what one fill came to,
+ * `scheduleFromDeclaration` is the declaration's own commission as the one kind
+ * of schedule this module evaluates, and `scheduleProblem` is what a schedule
+ * is refused for before the first bar. The round trips, the equity curve, the
+ * statistics and the report land beside their own shapes the same way.
+ *
+ * The shapes were agreed before any of it computed, because they are what the
+ * engine, the backtest driver and a second engine all have to agree about.
+ */
+export { chargeFor, scheduleFromDeclaration, scheduleProblem } from './charges.js';
+export type { BarMark, Contract, Money, RecordedFill } from './shapes.js';
+export type { ChargeBase, ChargeBreakdown, ChargeLine, ChargeSchedule, ChargeSide, } from './charges.js';
+export { tradesOf } from './trades.js';
+export type { Trade } from './trades.js';
+export { equityOver } from './equity.js';
+export type { EquityPoint } from './equity.js';
+export { monthlyOver } from './monthly.js';
+export type { MonthlyReturn } from './monthly.js';
+export { markersOf } from './markers.js';
+export type { TradeMarker } from './markers.js';
+export { summaryOf } from './statistics.js';
+export type { Summary } from './statistics.js';
+export { reportOf } from './report.js';
+export type { Report } from './report.js';
+//# sourceMappingURL=index.d.ts.map

package/dist/core/accounting/index.d.ts.map

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package/dist/core/accounting/index.js

@@ -0,0 +1,36 @@
+/**
+ * The money: what a run made, what it cost, and what that is worth knowing.
+ *
+ * **This module imports no engine and no emitter, and it never will.** It is
+ * arithmetic over portable data: a list of settled fills, a list of bar closes,
+ * a charge schedule and the contract the run was carried out under. Two things
+ * follow from that and both of them are the reason for it.
+ *
+ * A stored record can be reported again with no engine present, which is what
+ * makes a run record a conformance case rather than a souvenir. And the engine
+ * can call this, when the day comes that a script may read its own equity,
+ * without a cycle and without a second implementation of any of these formulas
+ * sitting inside the execution path disagreeing with this one.
+ *
+ * The door names what a caller may use. The fold itself, the cost basis, the
+ * round trip state machine and the statistics stay behind it: they are one
+ * algorithm with one caller.
+ *
+ * Behaviour lands beside these shapes, each call in the file its type is in.
+ * The cost model is here: `chargeFor` is what one fill came to,
+ * `scheduleFromDeclaration` is the declaration's own commission as the one kind
+ * of schedule this module evaluates, and `scheduleProblem` is what a schedule
+ * is refused for before the first bar. The round trips, the equity curve, the
+ * statistics and the report land beside their own shapes the same way.
+ *
+ * The shapes were agreed before any of it computed, because they are what the
+ * engine, the backtest driver and a second engine all have to agree about.
+ */
+export { chargeFor, scheduleFromDeclaration, scheduleProblem } from './charges.js';
+export { tradesOf } from './trades.js';
+export { equityOver } from './equity.js';
+export { monthlyOver } from './monthly.js';
+export { markersOf } from './markers.js';
+export { summaryOf } from './statistics.js';
+export { reportOf } from './report.js';
+//# sourceMappingURL=index.js.map

package/dist/core/accounting/index.js.map

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package/dist/core/accounting/markers.d.ts

@@ -0,0 +1,43 @@
+/**
+ * One marker per entry and exit fill, which is the chart's whole input.
+ *
+ * A chart draws a trade as two marks and a line between them, and everything it
+ * needs to do that is in the fills: the bar, the trade the fill belongs to, the
+ * side, the units, the price and the tag the order carried. So the markers are
+ * produced here, by the module that already knows which fill belongs to which
+ * trade, and no chart is needed to produce them and none is imported to.
+ */
+import type { RecordedFill } from './shapes.js';
+import type { Trade } from './trades.js';
+/** One entry or exit fill, addressed as a chart addresses it. */
+export interface TradeMarker {
+    readonly barIndex: number;
+    readonly time: number | null;
+    readonly tradeIndex: number;
+    readonly kind: 'entry' | 'exit';
+    readonly side: 'buy' | 'sell';
+    readonly units: number;
+    readonly price: number;
+    readonly tag: string;
+}
+/**
+ * One marker per entry and exit fill, against the trades those fills made up.
+ *
+ * **The fill is read with the same rule the trade list read it with.**
+ * `closedBy` and `openedBy` are imported from `trades.ts` rather than restated,
+ * because a marker that called an exit an entry would draw the chart the report
+ * contradicts. A fill that carried a reference through zero is both: it closes
+ * the trade the reference held and opens the next one, so it produces two
+ * markers, in that order, which is the order the trade list folded it in.
+ *
+ * **A trade is found by its reference and by the order it opened**, never by
+ * the bar it opened on: a reference that went to zero and was entered again on
+ * the same bar is two trades, and addressing them by bar would put both
+ * markers on the first. The trades are walked once per reference, oldest first,
+ * which is the order `tradesOf` built them in.
+ *
+ * The count is an identity rather than a claim: the markers of one trade are
+ * its `entries` plus its `exits`, and a test asserts it over the same fills.
+ */
+export declare function markersOf(fills: readonly RecordedFill[], trades: readonly Trade[]): readonly TradeMarker[];
+//# sourceMappingURL=markers.d.ts.map

package/dist/core/accounting/markers.d.ts.map

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package/dist/core/accounting/markers.js

@@ -0,0 +1,64 @@
+import { closedBy, openedBy } from './trades.js';
+/**
+ * One marker per entry and exit fill, against the trades those fills made up.
+ *
+ * **The fill is read with the same rule the trade list read it with.**
+ * `closedBy` and `openedBy` are imported from `trades.ts` rather than restated,
+ * because a marker that called an exit an entry would draw the chart the report
+ * contradicts. A fill that carried a reference through zero is both: it closes
+ * the trade the reference held and opens the next one, so it produces two
+ * markers, in that order, which is the order the trade list folded it in.
+ *
+ * **A trade is found by its reference and by the order it opened**, never by
+ * the bar it opened on: a reference that went to zero and was entered again on
+ * the same bar is two trades, and addressing them by bar would put both
+ * markers on the first. The trades are walked once per reference, oldest first,
+ * which is the order `tradesOf` built them in.
+ *
+ * The count is an identity rather than a claim: the markers of one trade are
+ * its `entries` plus its `exits`, and a test asserts it over the same fills.
+ */
+export function markersOf(fills, trades) {
+    const ordered = fills.slice().sort((a, b) => a.seq - b.seq);
+    const queues = new Map();
+    for (const trade of trades) {
+        const held = queues.get(trade.positionRef) ?? [];
+        held.push(trade);
+        queues.set(trade.positionRef, held);
+    }
+    const out = [];
+    for (const fill of ordered) {
+        const queue = queues.get(fill.positionRef) ?? [];
+        const closing = closedBy(fill.refSizeBefore, fill.refSizeAfter);
+        const opening = openedBy(fill.refSizeBefore, fill.refSizeAfter);
+        if (closing > 0) {
+            const held = queue[0];
+            if (held !== undefined)
+                out.push(markerFor(fill, held.index, 'exit', closing));
+            // The trade the reference held is finished by a fill that closed the
+            // whole of it, and the next trade on that reference is the one the fills
+            // after this belong to.
+            if (held !== undefined && (opening > 0 || fill.refSizeAfter === 0))
+                queue.shift();
+        }
+        if (opening > 0) {
+            const held = queue[0];
+            if (held !== undefined)
+                out.push(markerFor(fill, held.index, 'entry', opening));
+        }
+    }
+    return out;
+}
+function markerFor(fill, tradeIndex, kind, units) {
+    return {
+        barIndex: fill.barIndex,
+        time: fill.barTime,
+        tradeIndex,
+        kind,
+        side: fill.side,
+        units,
+        price: fill.price,
+        tag: fill.tag,
+    };
+}
+//# sourceMappingURL=markers.js.map

package/dist/core/accounting/markers.js.map

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package/dist/core/accounting/monthly.d.ts

@@ -0,0 +1,52 @@
+/**
+ * The month by month table, bucketed in UTC from bar times.
+ *
+ * **UTC, and it says so on the type.** A calendar month in the instrument's own
+ * timezone would need the session machinery and the instrument's calendar, and
+ * a table that silently buckets a trade into the wrong month is worse than one
+ * that states the basis it used. No timezone library, and no pretence of the
+ * instrument's calendar.
+ */
+import type { EquityPoint } from './equity.js';
+import type { Money } from './shapes.js';
+import type { Trade } from './trades.js';
+/** One calendar month of the run, in UTC. */
+export interface MonthlyReturn {
+    readonly year: number;
+    /** 1 to 12, UTC. */
+    readonly month: number;
+    readonly netProfit: Money;
+    /** Against the equity at the month's first bar. */
+    readonly returnPercent: number;
+    readonly trades: number;
+}
+/**
+ * The months a run passed through, in the order it passed through them.
+ *
+ * **A month holds the change in equity across the closes inside it.** The first
+ * point of the curve has nothing before it to be compared with, so it opens the
+ * table rather than contributing to it, and every later point contributes what
+ * it moved from the point before. The consequence is an identity rather than a
+ * claim: the months add up to the equity at the last point less the equity at
+ * the first, and nothing that happened during the warmup is attributed to a
+ * month it did not happen in.
+ *
+ * `returnPercent` is that change over the equity at the month's first bar,
+ * which is the basis this table states and the reason the figure is a fraction
+ * rather than a fraction times a hundred: `drawdownPercent` beside it is
+ * `drawdown / peak`, and one report with two conventions is a report a reader
+ * has to check every figure of.
+ *
+ * `trades` counts the trades that closed inside the month, by the time they
+ * closed. An open trade is in no month, because the month it will be counted in
+ * is not decided yet.
+ *
+ * **A point with no time is in no month.** A bucket is a calendar fact and a
+ * bar with no time states no calendar, so such a point carries its change into
+ * the month in force rather than opening one, and where none is in force it is
+ * outside the table altogether. That is the honest reading: bucketing it by the
+ * month that happened to come before would put money in a month on the strength
+ * of nothing.
+ */
+export declare function monthlyOver(equity: readonly EquityPoint[], trades: readonly Trade[]): readonly MonthlyReturn[];
+//# sourceMappingURL=monthly.d.ts.map

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