openalgo-script 0.1.0-alpha.1 → 0.4.0
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- package/CHANGELOG.md +1469 -0
- package/README.md +85 -30
- package/dist/adapters/charts/alerts.d.ts +70 -0
- package/dist/adapters/charts/alerts.d.ts.map +1 -0
- package/dist/adapters/charts/alerts.js +52 -0
- package/dist/adapters/charts/alerts.js.map +1 -0
- package/dist/adapters/charts/bars.d.ts +39 -0
- package/dist/adapters/charts/bars.d.ts.map +1 -0
- package/dist/adapters/charts/bars.js +32 -0
- package/dist/adapters/charts/bars.js.map +1 -0
- package/dist/adapters/charts/candles.d.ts +40 -0
- package/dist/adapters/charts/candles.d.ts.map +1 -0
- package/dist/adapters/charts/candles.js +85 -0
- package/dist/adapters/charts/candles.js.map +1 -0
- package/dist/adapters/charts/colours.d.ts +47 -0
- package/dist/adapters/charts/colours.d.ts.map +1 -0
- package/dist/adapters/charts/colours.js +80 -0
- package/dist/adapters/charts/colours.js.map +1 -0
- package/dist/adapters/charts/columns.d.ts +37 -0
- package/dist/adapters/charts/columns.d.ts.map +1 -0
- package/dist/adapters/charts/columns.js +56 -0
- package/dist/adapters/charts/columns.js.map +1 -0
- package/dist/adapters/charts/contract.d.ts +278 -0
- package/dist/adapters/charts/contract.d.ts.map +1 -0
- package/dist/adapters/charts/contract.js +2 -0
- package/dist/adapters/charts/contract.js.map +1 -0
- package/dist/adapters/charts/descriptor.d.ts +48 -0
- package/dist/adapters/charts/descriptor.d.ts.map +1 -0
- package/dist/adapters/charts/descriptor.js +111 -0
- package/dist/adapters/charts/descriptor.js.map +1 -0
- package/dist/adapters/charts/drawings.d.ts +43 -0
- package/dist/adapters/charts/drawings.d.ts.map +1 -0
- package/dist/adapters/charts/drawings.js +172 -0
- package/dist/adapters/charts/drawings.js.map +1 -0
- package/dist/adapters/charts/errors.d.ts +28 -0
- package/dist/adapters/charts/errors.d.ts.map +1 -0
- package/dist/adapters/charts/errors.js +21 -0
- package/dist/adapters/charts/errors.js.map +1 -0
- package/dist/adapters/charts/fields.d.ts +33 -0
- package/dist/adapters/charts/fields.d.ts.map +1 -0
- package/dist/adapters/charts/fields.js +51 -0
- package/dist/adapters/charts/fields.js.map +1 -0
- package/dist/adapters/charts/fills.d.ts +23 -0
- package/dist/adapters/charts/fills.d.ts.map +1 -0
- package/dist/adapters/charts/fills.js +48 -0
- package/dist/adapters/charts/fills.js.map +1 -0
- package/dist/adapters/charts/index.d.ts +37 -0
- package/dist/adapters/charts/index.d.ts.map +1 -0
- package/dist/adapters/charts/index.js +33 -0
- package/dist/adapters/charts/index.js.map +1 -0
- package/dist/adapters/charts/levels.d.ts +39 -0
- package/dist/adapters/charts/levels.d.ts.map +1 -0
- package/dist/adapters/charts/levels.js +61 -0
- package/dist/adapters/charts/levels.js.map +1 -0
- package/dist/adapters/charts/markers.d.ts +41 -0
- package/dist/adapters/charts/markers.d.ts.map +1 -0
- package/dist/adapters/charts/markers.js +75 -0
- package/dist/adapters/charts/markers.js.map +1 -0
- package/dist/adapters/charts/paint.d.ts +61 -0
- package/dist/adapters/charts/paint.d.ts.map +1 -0
- package/dist/adapters/charts/paint.js +47 -0
- package/dist/adapters/charts/paint.js.map +1 -0
- package/dist/adapters/charts/plots.d.ts +39 -0
- package/dist/adapters/charts/plots.d.ts.map +1 -0
- package/dist/adapters/charts/plots.js +117 -0
- package/dist/adapters/charts/plots.js.map +1 -0
- package/dist/adapters/charts/produced.d.ts +57 -0
- package/dist/adapters/charts/produced.d.ts.map +1 -0
- package/dist/adapters/charts/produced.js +11 -0
- package/dist/adapters/charts/produced.js.map +1 -0
- package/dist/adapters/charts/requests.d.ts +114 -0
- package/dist/adapters/charts/requests.d.ts.map +1 -0
- package/dist/adapters/charts/requests.js +277 -0
- package/dist/adapters/charts/requests.js.map +1 -0
- package/dist/adapters/charts/run.d.ts +147 -0
- package/dist/adapters/charts/run.d.ts.map +1 -0
- package/dist/adapters/charts/run.js +148 -0
- package/dist/adapters/charts/run.js.map +1 -0
- package/dist/adapters/charts/settings.d.ts +78 -0
- package/dist/adapters/charts/settings.d.ts.map +1 -0
- package/dist/adapters/charts/settings.js +225 -0
- package/dist/adapters/charts/settings.js.map +1 -0
- package/dist/adapters/charts/surfaces.d.ts +221 -0
- package/dist/adapters/charts/surfaces.d.ts.map +1 -0
- package/dist/adapters/charts/surfaces.js +2 -0
- package/dist/adapters/charts/surfaces.js.map +1 -0
- package/dist/adapters/charts/tables.d.ts +65 -0
- package/dist/adapters/charts/tables.d.ts.map +1 -0
- package/dist/adapters/charts/tables.js +166 -0
- package/dist/adapters/charts/tables.js.map +1 -0
- package/dist/adapters/codemirror/commands.d.ts +14 -0
- package/dist/adapters/codemirror/commands.d.ts.map +1 -0
- package/dist/adapters/codemirror/commands.js +52 -0
- package/dist/adapters/codemirror/commands.js.map +1 -0
- package/dist/adapters/codemirror/completion.d.ts +15 -0
- package/dist/adapters/codemirror/completion.d.ts.map +1 -0
- package/dist/adapters/codemirror/completion.js +64 -0
- package/dist/adapters/codemirror/completion.js.map +1 -0
- package/dist/adapters/codemirror/contract.d.ts +156 -0
- package/dist/adapters/codemirror/contract.d.ts.map +1 -0
- package/dist/adapters/codemirror/contract.js +42 -0
- package/dist/adapters/codemirror/contract.js.map +1 -0
- package/dist/adapters/codemirror/index.d.ts +43 -0
- package/dist/adapters/codemirror/index.d.ts.map +1 -0
- package/dist/adapters/codemirror/index.js +8 -0
- package/dist/adapters/codemirror/index.js.map +1 -0
- package/dist/adapters/codemirror/lint.d.ts +17 -0
- package/dist/adapters/codemirror/lint.d.ts.map +1 -0
- package/dist/adapters/codemirror/lint.js +62 -0
- package/dist/adapters/codemirror/lint.js.map +1 -0
- package/dist/adapters/codemirror/positions.d.ts +16 -0
- package/dist/adapters/codemirror/positions.d.ts.map +1 -0
- package/dist/adapters/codemirror/positions.js +65 -0
- package/dist/adapters/codemirror/positions.js.map +1 -0
- package/dist/adapters/codemirror/stream.d.ts +23 -0
- package/dist/adapters/codemirror/stream.d.ts.map +1 -0
- package/dist/adapters/codemirror/stream.js +70 -0
- package/dist/adapters/codemirror/stream.js.map +1 -0
- package/dist/adapters/codemirror/tokens.d.ts +44 -0
- package/dist/adapters/codemirror/tokens.d.ts.map +1 -0
- package/dist/adapters/codemirror/tokens.js +34 -0
- package/dist/adapters/codemirror/tokens.js.map +1 -0
- package/dist/adapters/codemirror/tooltips.d.ts +35 -0
- package/dist/adapters/codemirror/tooltips.d.ts.map +1 -0
- package/dist/adapters/codemirror/tooltips.js +108 -0
- package/dist/adapters/codemirror/tooltips.js.map +1 -0
- package/dist/core/accounting/charges.d.ts +136 -0
- package/dist/core/accounting/charges.d.ts.map +1 -0
- package/dist/core/accounting/charges.js +362 -0
- package/dist/core/accounting/charges.js.map +1 -0
- package/dist/core/accounting/equity.d.ts +158 -0
- package/dist/core/accounting/equity.d.ts.map +1 -0
- package/dist/core/accounting/equity.js +155 -0
- package/dist/core/accounting/equity.js.map +1 -0
- package/dist/core/accounting/index.d.ts +44 -0
- package/dist/core/accounting/index.d.ts.map +1 -0
- package/dist/core/accounting/index.js +36 -0
- package/dist/core/accounting/index.js.map +1 -0
- package/dist/core/accounting/markers.d.ts +43 -0
- package/dist/core/accounting/markers.d.ts.map +1 -0
- package/dist/core/accounting/markers.js +64 -0
- package/dist/core/accounting/markers.js.map +1 -0
- package/dist/core/accounting/monthly.d.ts +52 -0
- package/dist/core/accounting/monthly.d.ts.map +1 -0
- package/dist/core/accounting/monthly.js +99 -0
- package/dist/core/accounting/monthly.js.map +1 -0
- package/dist/core/accounting/report.d.ts +38 -0
- package/dist/core/accounting/report.d.ts.map +1 -0
- package/dist/core/accounting/report.js +63 -0
- package/dist/core/accounting/report.js.map +1 -0
- package/dist/core/accounting/shapes.d.ts +70 -0
- package/dist/core/accounting/shapes.d.ts.map +1 -0
- package/dist/core/accounting/shapes.js +21 -0
- package/dist/core/accounting/shapes.js.map +1 -0
- package/dist/core/accounting/statistics.d.ts +75 -0
- package/dist/core/accounting/statistics.d.ts.map +1 -0
- package/dist/core/accounting/statistics.js +246 -0
- package/dist/core/accounting/statistics.js.map +1 -0
- package/dist/core/accounting/trades.d.ts +118 -0
- package/dist/core/accounting/trades.d.ts.map +1 -0
- package/dist/core/accounting/trades.js +186 -0
- package/dist/core/accounting/trades.js.map +1 -0
- package/dist/core/backtest/compare.d.ts +38 -0
- package/dist/core/backtest/compare.d.ts.map +1 -0
- package/dist/core/backtest/compare.js +189 -0
- package/dist/core/backtest/compare.js.map +1 -0
- package/dist/core/backtest/declaration.d.ts +52 -0
- package/dist/core/backtest/declaration.d.ts.map +1 -0
- package/dist/core/backtest/declaration.js +48 -0
- package/dist/core/backtest/declaration.js.map +1 -0
- package/dist/core/backtest/drive.d.ts +29 -0
- package/dist/core/backtest/drive.d.ts.map +1 -0
- package/dist/core/backtest/drive.js +262 -0
- package/dist/core/backtest/drive.js.map +1 -0
- package/dist/core/backtest/index.d.ts +46 -0
- package/dist/core/backtest/index.d.ts.map +1 -0
- package/dist/core/backtest/index.js +36 -0
- package/dist/core/backtest/index.js.map +1 -0
- package/dist/core/backtest/range.d.ts +84 -0
- package/dist/core/backtest/range.d.ts.map +1 -0
- package/dist/core/backtest/range.js +90 -0
- package/dist/core/backtest/range.js.map +1 -0
- package/dist/core/backtest/record.d.ts +238 -0
- package/dist/core/backtest/record.d.ts.map +1 -0
- package/dist/core/backtest/record.js +176 -0
- package/dist/core/backtest/record.js.map +1 -0
- package/dist/core/backtest/replay.d.ts +48 -0
- package/dist/core/backtest/replay.d.ts.map +1 -0
- package/dist/core/backtest/replay.js +127 -0
- package/dist/core/backtest/replay.js.map +1 -0
- package/dist/core/backtest/resting.d.ts +62 -0
- package/dist/core/backtest/resting.d.ts.map +1 -0
- package/dist/core/backtest/resting.js +59 -0
- package/dist/core/backtest/resting.js.map +1 -0
- package/dist/core/backtest/settings.d.ts +117 -0
- package/dist/core/backtest/settings.d.ts.map +1 -0
- package/dist/core/backtest/settings.js +207 -0
- package/dist/core/backtest/settings.js.map +1 -0
- package/dist/core/backtest/simulate.d.ts +146 -0
- package/dist/core/backtest/simulate.d.ts.map +1 -0
- package/dist/core/backtest/simulate.js +217 -0
- package/dist/core/backtest/simulate.js.map +1 -0
- package/dist/core/catalogue/catalogue.generated.d.ts +164 -10
- package/dist/core/catalogue/catalogue.generated.d.ts.map +1 -1
- package/dist/core/catalogue/catalogue.generated.js +23 -9
- package/dist/core/catalogue/catalogue.generated.js.map +1 -1
- package/dist/core/catalogue/values.generated.d.ts +49 -0
- package/dist/core/catalogue/values.generated.d.ts.map +1 -1
- package/dist/core/check/arguments.d.ts +41 -0
- package/dist/core/check/arguments.d.ts.map +1 -0
- package/dist/core/check/arguments.js +84 -0
- package/dist/core/check/arguments.js.map +1 -0
- package/dist/core/check/call-sites.d.ts +22 -0
- package/dist/core/check/call-sites.d.ts.map +1 -0
- package/dist/core/check/call-sites.js +329 -0
- package/dist/core/check/call-sites.js.map +1 -0
- package/dist/core/check/call-warmup.d.ts +37 -0
- package/dist/core/check/call-warmup.d.ts.map +1 -0
- package/dist/core/check/call-warmup.js +97 -0
- package/dist/core/check/call-warmup.js.map +1 -0
- package/dist/core/check/calls.d.ts +33 -0
- package/dist/core/check/calls.d.ts.map +1 -0
- package/dist/core/check/calls.js +348 -0
- package/dist/core/check/calls.js.map +1 -0
- package/dist/core/check/check.d.ts +23 -0
- package/dist/core/check/check.d.ts.map +1 -0
- package/dist/core/check/check.js +163 -0
- package/dist/core/check/check.js.map +1 -0
- package/dist/core/check/checked.d.ts +198 -0
- package/dist/core/check/checked.d.ts.map +1 -0
- package/dist/core/check/checked.js +19 -0
- package/dist/core/check/checked.js.map +1 -0
- package/dist/core/check/checker.d.ts +182 -0
- package/dist/core/check/checker.d.ts.map +1 -0
- package/dist/core/check/checker.js +280 -0
- package/dist/core/check/checker.js.map +1 -0
- package/dist/core/check/conditional.d.ts +35 -0
- package/dist/core/check/conditional.d.ts.map +1 -0
- package/dist/core/check/conditional.js +100 -0
- package/dist/core/check/conditional.js.map +1 -0
- package/dist/core/check/constant.d.ts +47 -0
- package/dist/core/check/constant.d.ts.map +1 -0
- package/dist/core/check/constant.js +101 -0
- package/dist/core/check/constant.js.map +1 -0
- package/dist/core/check/declaration.d.ts +33 -0
- package/dist/core/check/declaration.d.ts.map +1 -0
- package/dist/core/check/declaration.js +181 -0
- package/dist/core/check/declaration.js.map +1 -0
- package/dist/core/check/expressions.d.ts +36 -0
- package/dist/core/check/expressions.d.ts.map +1 -0
- package/dist/core/check/expressions.js +398 -0
- package/dist/core/check/expressions.js.map +1 -0
- package/dist/core/check/functions.d.ts +31 -0
- package/dist/core/check/functions.d.ts.map +1 -0
- package/dist/core/check/functions.js +238 -0
- package/dist/core/check/functions.js.map +1 -0
- package/dist/core/check/handles.d.ts +48 -0
- package/dist/core/check/handles.d.ts.map +1 -0
- package/dist/core/check/handles.js +43 -0
- package/dist/core/check/handles.js.map +1 -0
- package/dist/core/check/index.d.ts +31 -0
- package/dist/core/check/index.d.ts.map +1 -0
- package/dist/core/check/index.js +26 -0
- package/dist/core/check/index.js.map +1 -0
- package/dist/core/check/library-bars.d.ts +7 -0
- package/dist/core/check/library-bars.d.ts.map +1 -0
- package/dist/core/check/library-bars.js +181 -0
- package/dist/core/check/library-bars.js.map +1 -0
- package/dist/core/check/library-orders.d.ts +5 -0
- package/dist/core/check/library-orders.d.ts.map +1 -0
- package/dist/core/check/library-orders.js +250 -0
- package/dist/core/check/library-orders.js.map +1 -0
- package/dist/core/check/library-output.d.ts +7 -0
- package/dist/core/check/library-output.d.ts.map +1 -0
- package/dist/core/check/library-output.js +195 -0
- package/dist/core/check/library-output.js.map +1 -0
- package/dist/core/check/library-prose.generated.d.ts +16 -0
- package/dist/core/check/library-prose.generated.d.ts.map +1 -0
- package/dist/core/check/library-prose.generated.js +353 -0
- package/dist/core/check/library-prose.generated.js.map +1 -0
- package/dist/core/check/library-series.d.ts +3 -0
- package/dist/core/check/library-series.d.ts.map +1 -0
- package/dist/core/check/library-series.js +415 -0
- package/dist/core/check/library-series.js.map +1 -0
- package/dist/core/check/library.d.ts +204 -0
- package/dist/core/check/library.d.ts.map +1 -0
- package/dist/core/check/library.js +198 -0
- package/dist/core/check/library.js.map +1 -0
- package/dist/core/check/literals.d.ts +19 -0
- package/dist/core/check/literals.d.ts.map +1 -0
- package/dist/core/check/literals.js +22 -0
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- package/dist/core/check/outputs.d.ts +31 -0
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- package/dist/core/check/statements.d.ts +25 -0
- package/dist/core/check/statements.d.ts.map +1 -0
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- package/dist/core/check/statements.js.map +1 -0
- package/dist/core/check/suggest.d.ts +25 -0
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- package/dist/core/check/surface.d.ts +62 -0
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- package/dist/core/diagnostics/collector.d.ts +12 -0
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- package/src/core/stdlib/calendar/format.ts +71 -0
- package/src/core/stdlib/calendar/index.ts +15 -0
- package/src/core/stdlib/calendar/zone.ts +161 -0
- package/src/core/stdlib/index.ts +400 -0
- package/src/core/stdlib/maths/arithmetic.ts +74 -0
- package/src/core/stdlib/maths/elementary.ts +124 -0
- package/src/core/stdlib/maths/index.ts +43 -0
- package/src/core/stdlib/maths/rounding.ts +78 -0
- package/src/core/stdlib/momentum/convergence.ts +82 -0
- package/src/core/stdlib/momentum/index.ts +47 -0
- package/src/core/stdlib/momentum/pressure.ts +141 -0
- package/src/core/stdlib/momentum/rates.ts +188 -0
- package/src/core/stdlib/momentum/rsi.ts +49 -0
- package/src/core/stdlib/momentum/stochastic.ts +147 -0
- package/src/core/stdlib/series/changes.ts +177 -0
- package/src/core/stdlib/series/conditions.ts +74 -0
- package/src/core/stdlib/series/extremes.ts +92 -0
- package/src/core/stdlib/series/index.ts +83 -0
- package/src/core/stdlib/series/pivots.ts +63 -0
- package/src/core/stdlib/series/statistics.ts +207 -0
- package/src/core/stdlib/series/totals.ts +164 -0
- package/src/core/stdlib/trend/directional.ts +196 -0
- package/src/core/stdlib/trend/index.ts +13 -0
- package/src/core/stdlib/trend/psar.ts +131 -0
- package/src/core/stdlib/trend/supertrend.ts +100 -0
- package/src/core/stdlib/values/bar.ts +54 -0
- package/src/core/stdlib/values/index.ts +14 -0
- package/src/core/stdlib/values/lookback.ts +198 -0
- package/src/core/stdlib/values/region.ts +86 -0
- package/src/core/stdlib/values/tail.ts +58 -0
- package/src/core/stdlib/values/value.ts +82 -0
- package/src/core/stdlib/volatility/bands.ts +178 -0
- package/src/core/stdlib/volatility/deviation.ts +111 -0
- package/src/core/stdlib/volatility/index.ts +48 -0
- package/src/core/stdlib/volatility/measures.ts +96 -0
- package/src/core/stdlib/volatility/range.ts +143 -0
- package/src/core/stdlib/volume/accumulation.ts +152 -0
- package/src/core/stdlib/volume/flow.ts +173 -0
- package/src/core/stdlib/volume/index.ts +43 -0
- package/src/core/stdlib/volume/weighted.ts +101 -0
- package/src/core/version/version.generated.ts +2 -2
- package/src/editor/complete.ts +266 -0
- package/src/editor/diagnose.ts +71 -0
- package/src/editor/format.ts +85 -0
- package/src/editor/highlight.ts +110 -0
- package/src/editor/hover.ts +199 -0
- package/src/editor/index.ts +65 -0
- package/src/editor/kinds.ts +157 -0
- package/src/editor/layout.ts +189 -0
- package/src/editor/manifest.ts +119 -0
- package/src/editor/reading.ts +69 -0
- package/src/editor/scan.ts +162 -0
- package/src/editor/scope.ts +122 -0
- package/src/editor/signature.ts +150 -0
- package/src/editor/site.ts +233 -0
- package/src/editor/spacing.ts +132 -0
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/**
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2
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* One resting order against one bar: did it trade, and at what price.
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3
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*
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4
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* **A bar is four prices and no path.** Whether the high came before the low is
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* not in the data, so every rule here is one that does not need to know, and
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* the places where knowing would matter are decided against the strategy rather
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* than guessed in its favour. That is the whole discipline of this file: a
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* backtest that is generous about fills is a backtest that reports money the
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* market never offered.
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*
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* Three rules, each with the case it exists for:
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*
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* - **Touched is not traded through.** A limit resting exactly at the low of a
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14
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* bar may or may not have been filled: the print happened, somebody was
|
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* filled at that price, and whether it was this order depends on a queue no
|
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16
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* bar records. The default is that it was not (`limitNeedsThrough`), and a
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17
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* host that has decided otherwise for its own market says so in the policy.
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18
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* - **A gap fills at the open, not at the level.** A stop triggered by a bar
|
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19
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* that opened beyond it was not filled at its trigger, and a backtest that
|
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* says it was is reporting the one price that was never available. The open
|
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* is the first price there was.
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* - **A limit fills at its own price or better, and never worse.** Where the
|
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23
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* bar opened already through a limit, the open is the better price and the
|
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* fill is there; a limit is never worsened by slippage, because a limit that
|
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* is worsened is not a limit.
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*
|
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* A stop limit is both, in one bar and in that order: the trigger has to be
|
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* reached and the limit has to be traded through, and where only the trigger is
|
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* reached the order becomes a resting limit and waits.
|
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*/
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31
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+
import type { OrderSide, OrderType } from '../engine/index.js';
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32
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import type { FillPolicy } from './settings.js';
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33
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import type { RecordedBar } from './record.js';
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/** A resting order, as the venue holds one. */
|
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export interface RestingOrder {
|
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36
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readonly side: OrderSide;
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37
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readonly type: OrderType;
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/** The price a limit may not be worse than, absent on a plain stop. */
|
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39
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readonly limit: number | null;
|
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40
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+
/** The price a stop is triggered at, absent on a plain limit. */
|
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readonly trigger: number | null;
|
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+
}
|
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43
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+
/** What one bar did to one resting order. */
|
|
44
|
+
export type RestOutcome = {
|
|
45
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+
readonly filled: false;
|
|
46
|
+
readonly triggered: boolean;
|
|
47
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+
} | {
|
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48
|
+
readonly filled: true;
|
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49
|
+
readonly price: number;
|
|
50
|
+
/** Whether the price is the bar's open, which is a gap through the level. */
|
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51
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+
readonly atOpen: boolean;
|
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52
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+
/** Whether slippage applies, which a limit never takes. */
|
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53
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+
readonly slips: boolean;
|
|
54
|
+
};
|
|
55
|
+
/**
|
|
56
|
+
* One order against one bar.
|
|
57
|
+
*
|
|
58
|
+
* A bar missing any of the four prices decides nothing: an incomplete bar is
|
|
59
|
+
* not evidence that a level was reached and it is not evidence that it was not.
|
|
60
|
+
*/
|
|
61
|
+
export declare function testResting(order: RestingOrder, bar: RecordedBar, policy: FillPolicy): RestOutcome;
|
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62
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//# sourceMappingURL=resting.d.ts.map
|
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@@ -0,0 +1 @@
|
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1
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{"version":3,"file":"resting.d.ts","sourceRoot":"","sources":["../../../src/core/backtest/resting.ts"],"names":[],"mappings":"AAAA;;;;;;;;;;;;;;;;;;;;;;;;;;;;;GA6BG;AACH,OAAO,KAAK,EAAE,SAAS,EAAE,SAAS,EAAE,MAAM,oBAAoB,CAAC;AAC/D,OAAO,KAAK,EAAE,UAAU,EAAE,MAAM,eAAe,CAAC;AAChD,OAAO,KAAK,EAAE,WAAW,EAAE,MAAM,aAAa,CAAC;AAE/C,+CAA+C;AAC/C,MAAM,WAAW,YAAY;IAC3B,QAAQ,CAAC,IAAI,EAAE,SAAS,CAAC;IACzB,QAAQ,CAAC,IAAI,EAAE,SAAS,CAAC;IACzB,uEAAuE;IACvE,QAAQ,CAAC,KAAK,EAAE,MAAM,GAAG,IAAI,CAAC;IAC9B,iEAAiE;IACjE,QAAQ,CAAC,OAAO,EAAE,MAAM,GAAG,IAAI,CAAC;CACjC;AAED,6CAA6C;AAC7C,MAAM,MAAM,WAAW,GACnB;IAAE,QAAQ,CAAC,MAAM,EAAE,KAAK,CAAC;IAAC,QAAQ,CAAC,SAAS,EAAE,OAAO,CAAA;CAAE,GACvD;IACE,QAAQ,CAAC,MAAM,EAAE,IAAI,CAAC;IACtB,QAAQ,CAAC,KAAK,EAAE,MAAM,CAAC;IACvB,6EAA6E;IAC7E,QAAQ,CAAC,MAAM,EAAE,OAAO,CAAC;IACzB,2DAA2D;IAC3D,QAAQ,CAAC,KAAK,EAAE,OAAO,CAAC;CACzB,CAAC;AAIN;;;;;GAKG;AACH,wBAAgB,WAAW,CACzB,KAAK,EAAE,YAAY,EACnB,GAAG,EAAE,WAAW,EAChB,MAAM,EAAE,UAAU,GACjB,WAAW,CAwBb"}
|
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@@ -0,0 +1,59 @@
|
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1
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+
const NOTHING = { filled: false, triggered: false };
|
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2
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/**
|
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3
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* One order against one bar.
|
|
4
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*
|
|
5
|
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* A bar missing any of the four prices decides nothing: an incomplete bar is
|
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6
|
+
* not evidence that a level was reached and it is not evidence that it was not.
|
|
7
|
+
*/
|
|
8
|
+
export function testResting(order, bar, policy) {
|
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9
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const open = bar.open;
|
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10
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+
const high = bar.high;
|
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11
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const low = bar.low;
|
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12
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if (open === null || high === null || low === null || bar.close === null)
|
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13
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return NOTHING;
|
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14
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if (order.type === 'limit')
|
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15
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return limitAgainst(order, open, high, low, policy);
|
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16
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const trigger = order.trigger;
|
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17
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if (trigger === null)
|
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return NOTHING;
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const reached = order.side === 'buy' ? high >= trigger : low <= trigger;
|
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if (!reached)
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return NOTHING;
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if (order.type === 'stop') {
|
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const gapped = order.side === 'buy' ? open >= trigger : open <= trigger;
|
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const price = gapped && policy.stopFillsAtOpenOnGap ? open : trigger;
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return { filled: true, price, atOpen: gapped && policy.stopFillsAtOpenOnGap, slips: true };
|
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}
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// A stop limit that triggered is a limit for the rest of this bar. Where the
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// limit is not traded through it keeps resting, and the caller is told the
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// trigger was reached so that the order rests as a limit from here on.
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const asLimit = limitAgainst(order, open, high, low, policy);
|
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return asLimit.filled ? asLimit : { filled: false, triggered: true };
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}
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/**
|
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* A limit against one bar.
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*
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* `limitNeedsThrough` is the difference between a strict comparison and a loose
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* one, and it is the only knob in this file that changes a fill into no fill
|
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* rather than one price into another.
|
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*/
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function limitAgainst(order, open, high, low, policy) {
|
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const limit = order.limit;
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if (limit === null)
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return NOTHING;
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if (order.side === 'buy') {
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const traded = policy.limitNeedsThrough ? low < limit : low <= limit;
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if (!traded)
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return NOTHING;
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// The open already below the limit is the better price, and it is the first
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// price the bar had.
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const gapped = open < limit;
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return { filled: true, price: gapped ? open : limit, atOpen: gapped, slips: false };
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}
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const traded = policy.limitNeedsThrough ? high > limit : high >= limit;
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if (!traded)
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return NOTHING;
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const gapped = open > limit;
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return { filled: true, price: gapped ? open : limit, atOpen: gapped, slips: false };
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}
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//# sourceMappingURL=resting.js.map
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{"version":3,"file":"resting.js","sourceRoot":"","sources":["../../../src/core/backtest/resting.ts"],"names":[],"mappings":"AAwDA,MAAM,OAAO,GAAgB,EAAE,MAAM,EAAE,KAAK,EAAE,SAAS,EAAE,KAAK,EAAE,CAAC;AAEjE;;;;;GAKG;AACH,MAAM,UAAU,WAAW,CACzB,KAAmB,EACnB,GAAgB,EAChB,MAAkB;IAElB,MAAM,IAAI,GAAG,GAAG,CAAC,IAAI,CAAC;IACtB,MAAM,IAAI,GAAG,GAAG,CAAC,IAAI,CAAC;IACtB,MAAM,GAAG,GAAG,GAAG,CAAC,GAAG,CAAC;IACpB,IAAI,IAAI,KAAK,IAAI,IAAI,IAAI,KAAK,IAAI,IAAI,GAAG,KAAK,IAAI,IAAI,GAAG,CAAC,KAAK,KAAK,IAAI;QAAE,OAAO,OAAO,CAAC;IAEzF,IAAI,KAAK,CAAC,IAAI,KAAK,OAAO;QAAE,OAAO,YAAY,CAAC,KAAK,EAAE,IAAI,EAAE,IAAI,EAAE,GAAG,EAAE,MAAM,CAAC,CAAC;IAEhF,MAAM,OAAO,GAAG,KAAK,CAAC,OAAO,CAAC;IAC9B,IAAI,OAAO,KAAK,IAAI;QAAE,OAAO,OAAO,CAAC;IACrC,MAAM,OAAO,GAAG,KAAK,CAAC,IAAI,KAAK,KAAK,CAAC,CAAC,CAAC,IAAI,IAAI,OAAO,CAAC,CAAC,CAAC,GAAG,IAAI,OAAO,CAAC;IACxE,IAAI,CAAC,OAAO;QAAE,OAAO,OAAO,CAAC;IAE7B,IAAI,KAAK,CAAC,IAAI,KAAK,MAAM,EAAE,CAAC;QAC1B,MAAM,MAAM,GAAG,KAAK,CAAC,IAAI,KAAK,KAAK,CAAC,CAAC,CAAC,IAAI,IAAI,OAAO,CAAC,CAAC,CAAC,IAAI,IAAI,OAAO,CAAC;QACxE,MAAM,KAAK,GAAG,MAAM,IAAI,MAAM,CAAC,oBAAoB,CAAC,CAAC,CAAC,IAAI,CAAC,CAAC,CAAC,OAAO,CAAC;QACrE,OAAO,EAAE,MAAM,EAAE,IAAI,EAAE,KAAK,EAAE,MAAM,EAAE,MAAM,IAAI,MAAM,CAAC,oBAAoB,EAAE,KAAK,EAAE,IAAI,EAAE,CAAC;IAC7F,CAAC;IAED,6EAA6E;IAC7E,2EAA2E;IAC3E,uEAAuE;IACvE,MAAM,OAAO,GAAG,YAAY,CAAC,KAAK,EAAE,IAAI,EAAE,IAAI,EAAE,GAAG,EAAE,MAAM,CAAC,CAAC;IAC7D,OAAO,OAAO,CAAC,MAAM,CAAC,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,EAAE,MAAM,EAAE,KAAK,EAAE,SAAS,EAAE,IAAI,EAAE,CAAC;AACvE,CAAC;AAED;;;;;;GAMG;AACH,SAAS,YAAY,CACnB,KAAmB,EACnB,IAAY,EACZ,IAAY,EACZ,GAAW,EACX,MAAkB;IAElB,MAAM,KAAK,GAAG,KAAK,CAAC,KAAK,CAAC;IAC1B,IAAI,KAAK,KAAK,IAAI;QAAE,OAAO,OAAO,CAAC;IAEnC,IAAI,KAAK,CAAC,IAAI,KAAK,KAAK,EAAE,CAAC;QACzB,MAAM,MAAM,GAAG,MAAM,CAAC,iBAAiB,CAAC,CAAC,CAAC,GAAG,GAAG,KAAK,CAAC,CAAC,CAAC,GAAG,IAAI,KAAK,CAAC;QACrE,IAAI,CAAC,MAAM;YAAE,OAAO,OAAO,CAAC;QAC5B,4EAA4E;QAC5E,qBAAqB;QACrB,MAAM,MAAM,GAAG,IAAI,GAAG,KAAK,CAAC;QAC5B,OAAO,EAAE,MAAM,EAAE,IAAI,EAAE,KAAK,EAAE,MAAM,CAAC,CAAC,CAAC,IAAI,CAAC,CAAC,CAAC,KAAK,EAAE,MAAM,EAAE,MAAM,EAAE,KAAK,EAAE,KAAK,EAAE,CAAC;IACtF,CAAC;IAED,MAAM,MAAM,GAAG,MAAM,CAAC,iBAAiB,CAAC,CAAC,CAAC,IAAI,GAAG,KAAK,CAAC,CAAC,CAAC,IAAI,IAAI,KAAK,CAAC;IACvE,IAAI,CAAC,MAAM;QAAE,OAAO,OAAO,CAAC;IAC5B,MAAM,MAAM,GAAG,IAAI,GAAG,KAAK,CAAC;IAC5B,OAAO,EAAE,MAAM,EAAE,IAAI,EAAE,KAAK,EAAE,MAAM,CAAC,CAAC,CAAC,IAAI,CAAC,CAAC,CAAC,KAAK,EAAE,MAAM,EAAE,MAAM,EAAE,KAAK,EAAE,KAAK,EAAE,CAAC;AACtF,CAAC"}
|
|
@@ -0,0 +1,117 @@
|
|
|
1
|
+
import type { ChargeSchedule, Contract } from '../accounting/index.js';
|
|
2
|
+
import type { Diagnostic } from '../diagnostics/index.js';
|
|
3
|
+
import type { Value } from '../engine/index.js';
|
|
4
|
+
import type { RunDeclaration } from './declaration.js';
|
|
5
|
+
/** The window of the supplied bars a report is about. */
|
|
6
|
+
export interface DateRange {
|
|
7
|
+
/** Inclusive, UTC ms; null means the first bar supplied. */
|
|
8
|
+
readonly from: number | null;
|
|
9
|
+
/** Inclusive; null means the last. */
|
|
10
|
+
readonly to: number | null;
|
|
11
|
+
}
|
|
12
|
+
/** How a resting order is decided against a bar, and who holds a level. */
|
|
13
|
+
export interface FillPolicy {
|
|
14
|
+
/** A limit fills only when the bar traded through it. */
|
|
15
|
+
readonly limitNeedsThrough: boolean;
|
|
16
|
+
readonly stopFillsAtOpenOnGap: boolean;
|
|
17
|
+
/** Who holds a bracket's levels; 'destination' until 17.9 exists. */
|
|
18
|
+
readonly levels: 'destination' | 'engine';
|
|
19
|
+
/** This policy's own revision, so an old record replays as it ran. */
|
|
20
|
+
readonly version: number;
|
|
21
|
+
}
|
|
22
|
+
/**
|
|
23
|
+
* How closely two numbers have to agree, and why they are allowed not to.
|
|
24
|
+
*
|
|
25
|
+
* Exact by default. A bound that is not zero without a reason beside it is
|
|
26
|
+
* refused, because a tolerance with no reason is a failed comparison somebody
|
|
27
|
+
* turned off. The reason a tolerance exists at all is a second implementation,
|
|
28
|
+
* never this one's own re-run: a rerun of the same record on this engine is
|
|
29
|
+
* bit-identical or it is a defect.
|
|
30
|
+
*/
|
|
31
|
+
export interface Tolerance {
|
|
32
|
+
readonly abs: number;
|
|
33
|
+
readonly rel: number;
|
|
34
|
+
/** Required whenever either bound is non-zero. */
|
|
35
|
+
readonly reason: string | null;
|
|
36
|
+
}
|
|
37
|
+
/** Everything the host decided about one run. */
|
|
38
|
+
export interface BacktestSettings {
|
|
39
|
+
readonly range: DateRange;
|
|
40
|
+
readonly contract: Contract;
|
|
41
|
+
/** Null derives one from the declaration. */
|
|
42
|
+
readonly costs: ChargeSchedule | null;
|
|
43
|
+
readonly fill: FillPolicy;
|
|
44
|
+
readonly inputs: Readonly<Record<string, Value>>;
|
|
45
|
+
readonly now: number | null;
|
|
46
|
+
readonly tolerance: Tolerance;
|
|
47
|
+
}
|
|
48
|
+
/**
|
|
49
|
+
* How a resting order is decided when the host states nothing.
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*
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* Conservative on both counts, because a backtest that is wrong is wrong in the
|
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* strategy's favour by default: a limit is only filled where the bar traded
|
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* through it, so an order resting exactly at the extreme of a bar is not
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* credited with a fill nobody can prove happened, and a stop that gapped is
|
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* filled at the open rather than at its trigger, which is the price a trader
|
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* would actually have been given.
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*
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* `levels` is `destination` because there is nowhere else for it to be: a
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* and the engine holds no level of its own. The other spelling exists so that a
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* record made today says which of the two it ran under.
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*
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* `version` is this policy's own revision. It travels in the record so that a
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* run stored before the rules changed replays as it ran rather than being
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* quietly re-decided under today's.
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*/
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export declare const DEFAULT_FILL: FillPolicy;
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/** Exact, which is what a comparison is until somebody writes down why it is not. */
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export declare const EXACT: Tolerance;
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/** The whole window of whatever bars were supplied. */
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export declare const WHOLE_RANGE: DateRange;
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/**
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* The settings a run takes when the host states only the contract.
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*
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* Every default here is the absence of a choice rather than a choice made on
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* the host's behalf: the whole of the bars supplied, no schedule, exact
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* comparison, no inputs overridden and no clock. A host that wants any of it
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* different says so, and what it said is what the record stores.
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*
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* **The contract is the first argument and cannot be in the second.** The
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* second was `Partial<BacktestSettings>`, which names a `contract` field that
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* this function then ignored in favour of the positional one: a caller passing
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* a contract there silently got the other, and a test written that way passed
|
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* while proving nothing. Excluding the field makes it a compiler error at the
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* call rather than a wrong answer at the end of a run.
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*/
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export declare function settingsFor(contract: Contract, chosen?: Omit<Partial<BacktestSettings>, 'contract'>): BacktestSettings;
|
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/**
|
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* What a run cannot be carried out under, before its first bar.
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*
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* Four questions, and every one of them is a figure nobody could explain
|
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* afterwards rather than a tidiness rule:
|
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*
|
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* - **Two cost models at once**, OS6023. A supplied schedule and a declared
|
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95
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* commission describe the same money. Applied together they charge it twice
|
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|
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* and applied one at a time they charge whichever an engine preferred, which
|
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* is a rule nobody wrote down.
|
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* - **A schedule that cannot be evaluated**, OS6021, which `scheduleProblem`
|
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* decides, because the schedule is the money layer's and the rule for it is
|
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* written once, there. **Whichever schedule the run will be charged under**,
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* which is the declaration's own when the host supplied none: asking only
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* about a supplied one left every refusal in the money layer unreachable on
|
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* the path almost every run takes.
|
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* - **A quantity in a unit this destination cannot fill**, OS6021. A backtest
|
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105
|
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* fills in units and works out no running equity, so a quantity in cash or in
|
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|
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* a percentage of equity is one it cannot convert, and a lot needs a lot size
|
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* the instrument may not state.
|
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* - **A tolerance with a bound and no reason**, OS6021. A comparison allowed to
|
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* pass by a margin nobody justified is a failed comparison somebody switched
|
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|
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* off, and the reason a tolerance exists at all is a second implementation:
|
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* a rerun of one record on this engine is bit-identical or it is a defect.
|
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*
|
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|
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* Nothing has been computed when this is asked, so a refusal costs one run
|
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|
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* rather than a report a reader has to be told to distrust.
|
|
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|
+
*/
|
|
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|
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export declare function checkSettings(settings: BacktestSettings, declared: RunDeclaration): Diagnostic | null;
|
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|
+
//# sourceMappingURL=settings.d.ts.map
|
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@@ -0,0 +1 @@
|
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1
|
+
{"version":3,"file":"settings.d.ts","sourceRoot":"","sources":["../../../src/core/backtest/settings.ts"],"names":[],"mappings":"AAyBA,OAAO,KAAK,EAAE,cAAc,EAAE,QAAQ,EAAE,MAAM,wBAAwB,CAAC;AAEvE,OAAO,KAAK,EAAE,UAAU,EAAE,MAAM,yBAAyB,CAAC;AAC1D,OAAO,KAAK,EAAE,KAAK,EAAE,MAAM,oBAAoB,CAAC;AAChD,OAAO,KAAK,EAAE,cAAc,EAAE,MAAM,kBAAkB,CAAC;AAYvD,yDAAyD;AACzD,MAAM,WAAW,SAAS;IACxB,4DAA4D;IAC5D,QAAQ,CAAC,IAAI,EAAE,MAAM,GAAG,IAAI,CAAC;IAC7B,sCAAsC;IACtC,QAAQ,CAAC,EAAE,EAAE,MAAM,GAAG,IAAI,CAAC;CAC5B;AAED,2EAA2E;AAC3E,MAAM,WAAW,UAAU;IACzB,yDAAyD;IACzD,QAAQ,CAAC,iBAAiB,EAAE,OAAO,CAAC;IACpC,QAAQ,CAAC,oBAAoB,EAAE,OAAO,CAAC;IACvC,qEAAqE;IACrE,QAAQ,CAAC,MAAM,EAAE,aAAa,GAAG,QAAQ,CAAC;IAC1C,sEAAsE;IACtE,QAAQ,CAAC,OAAO,EAAE,MAAM,CAAC;CAC1B;AAED;;;;;;;;GAQG;AACH,MAAM,WAAW,SAAS;IACxB,QAAQ,CAAC,GAAG,EAAE,MAAM,CAAC;IACrB,QAAQ,CAAC,GAAG,EAAE,MAAM,CAAC;IACrB,kDAAkD;IAClD,QAAQ,CAAC,MAAM,EAAE,MAAM,GAAG,IAAI,CAAC;CAChC;AAED,iDAAiD;AACjD,MAAM,WAAW,gBAAgB;IAC/B,QAAQ,CAAC,KAAK,EAAE,SAAS,CAAC;IAC1B,QAAQ,CAAC,QAAQ,EAAE,QAAQ,CAAC;IAC5B,6CAA6C;IAC7C,QAAQ,CAAC,KAAK,EAAE,cAAc,GAAG,IAAI,CAAC;IACtC,QAAQ,CAAC,IAAI,EAAE,UAAU,CAAC;IAC1B,QAAQ,CAAC,MAAM,EAAE,QAAQ,CAAC,MAAM,CAAC,MAAM,EAAE,KAAK,CAAC,CAAC,CAAC;IACjD,QAAQ,CAAC,GAAG,EAAE,MAAM,GAAG,IAAI,CAAC;IAC5B,QAAQ,CAAC,SAAS,EAAE,SAAS,CAAC;CAC/B;AAED;;;;;;;;;;;;;;;;;;GAkBG;AACH,eAAO,MAAM,YAAY,EAAE,UAK1B,CAAC;AAEF,qFAAqF;AACrF,eAAO,MAAM,KAAK,EAAE,SAA4C,CAAC;AAEjE,uDAAuD;AACvD,eAAO,MAAM,WAAW,EAAE,SAAoC,CAAC;AAE/D;;;;;;;;;;;;;;GAcG;AACH,wBAAgB,WAAW,CACzB,QAAQ,EAAE,QAAQ,EAClB,MAAM,GAAE,IAAI,CAAC,OAAO,CAAC,gBAAgB,CAAC,EAAE,UAAU,CAAM,GACvD,gBAAgB,CAUlB;AAED;;;;;;;;;;;;;;;;;;;;;;;;;;;GA2BG;AACH,wBAAgB,aAAa,CAC3B,QAAQ,EAAE,gBAAgB,EAC1B,QAAQ,EAAE,cAAc,GACvB,UAAU,GAAG,IAAI,CAuBnB"}
|
|
@@ -0,0 +1,207 @@
|
|
|
1
|
+
/**
|
|
2
|
+
* What the host chose, which is the half of a run that is not the program.
|
|
3
|
+
*
|
|
4
|
+
* **The dividing rule, and everything in this module follows from it: the
|
|
5
|
+
* record stores what the host chose, and what the program states is stored
|
|
6
|
+
* once, as the program.** So there is no capital here, no slippage and no
|
|
7
|
+
* commission: the declaration states those and the declaration is in the
|
|
8
|
+
* record. A charge schedule the host supplied is here because the host supplied
|
|
9
|
+
* it; a schedule derived from the declaration is derived again on replay.
|
|
10
|
+
*
|
|
11
|
+
* **The fill policy carries its own version** precisely so that a record made
|
|
12
|
+
* before the policy changed replays as it ran, rather than being quietly re-run
|
|
13
|
+
* under today's rules and reported as the same study. A policy that could not
|
|
14
|
+
* say which revision it was would make every stored run a claim about whichever
|
|
15
|
+
* engine happened to read it last.
|
|
16
|
+
*
|
|
17
|
+
* `fillOn` is deliberately not here: it is the declaration's, and the
|
|
18
|
+
* declaration is the program.
|
|
19
|
+
*
|
|
20
|
+
* Two refusals live in this module when the behaviour lands. A setting the run
|
|
21
|
+
* cannot be carried out under is OS6021, and a supplied schedule beside a
|
|
22
|
+
* declared commission that is not the default is OS6023, because two cost
|
|
23
|
+
* models stated at once is a number nobody can explain afterwards.
|
|
24
|
+
*/
|
|
25
|
+
import { scheduleFromDeclaration, scheduleProblem } from '../accounting/index.js';
|
|
26
|
+
import { diagnosticFor } from '../diagnostics/index.js';
|
|
27
|
+
/**
|
|
28
|
+
* Where a refusal about a setting points.
|
|
29
|
+
*
|
|
30
|
+
* Nowhere in the script. A run setting is what the host stated before the first
|
|
31
|
+
* bar, and a caret under a line of the strategy would blame the one party that
|
|
32
|
+
* did not choose it. The money layer states the same position for the same
|
|
33
|
+
* reason.
|
|
34
|
+
*/
|
|
35
|
+
const NO_POSITION = { offset: 0, length: 0, line: 0, column: 0 };
|
|
36
|
+
/**
|
|
37
|
+
* How a resting order is decided when the host states nothing.
|
|
38
|
+
*
|
|
39
|
+
* Conservative on both counts, because a backtest that is wrong is wrong in the
|
|
40
|
+
* strategy's favour by default: a limit is only filled where the bar traded
|
|
41
|
+
* through it, so an order resting exactly at the extreme of a bar is not
|
|
42
|
+
* credited with a fill nobody can prove happened, and a stop that gapped is
|
|
43
|
+
* filled at the open rather than at its trigger, which is the price a trader
|
|
44
|
+
* would actually have been given.
|
|
45
|
+
*
|
|
46
|
+
* `levels` is `destination` because there is nowhere else for it to be: a
|
|
47
|
+
* bracket reaches a destination as a protective instruction attached to a tag
|
|
48
|
+
* and the engine holds no level of its own. The other spelling exists so that a
|
|
49
|
+
* record made today says which of the two it ran under.
|
|
50
|
+
*
|
|
51
|
+
* `version` is this policy's own revision. It travels in the record so that a
|
|
52
|
+
* run stored before the rules changed replays as it ran rather than being
|
|
53
|
+
* quietly re-decided under today's.
|
|
54
|
+
*/
|
|
55
|
+
export const DEFAULT_FILL = {
|
|
56
|
+
limitNeedsThrough: true,
|
|
57
|
+
stopFillsAtOpenOnGap: true,
|
|
58
|
+
levels: 'destination',
|
|
59
|
+
version: 1,
|
|
60
|
+
};
|
|
61
|
+
/** Exact, which is what a comparison is until somebody writes down why it is not. */
|
|
62
|
+
export const EXACT = { abs: 0, rel: 0, reason: null };
|
|
63
|
+
/** The whole window of whatever bars were supplied. */
|
|
64
|
+
export const WHOLE_RANGE = { from: null, to: null };
|
|
65
|
+
/**
|
|
66
|
+
* The settings a run takes when the host states only the contract.
|
|
67
|
+
*
|
|
68
|
+
* Every default here is the absence of a choice rather than a choice made on
|
|
69
|
+
* the host's behalf: the whole of the bars supplied, no schedule, exact
|
|
70
|
+
* comparison, no inputs overridden and no clock. A host that wants any of it
|
|
71
|
+
* different says so, and what it said is what the record stores.
|
|
72
|
+
*
|
|
73
|
+
* **The contract is the first argument and cannot be in the second.** The
|
|
74
|
+
* second was `Partial<BacktestSettings>`, which names a `contract` field that
|
|
75
|
+
* this function then ignored in favour of the positional one: a caller passing
|
|
76
|
+
* a contract there silently got the other, and a test written that way passed
|
|
77
|
+
* while proving nothing. Excluding the field makes it a compiler error at the
|
|
78
|
+
* call rather than a wrong answer at the end of a run.
|
|
79
|
+
*/
|
|
80
|
+
export function settingsFor(contract, chosen = {}) {
|
|
81
|
+
return {
|
|
82
|
+
range: chosen.range ?? WHOLE_RANGE,
|
|
83
|
+
contract,
|
|
84
|
+
costs: chosen.costs ?? null,
|
|
85
|
+
fill: chosen.fill ?? DEFAULT_FILL,
|
|
86
|
+
inputs: chosen.inputs ?? {},
|
|
87
|
+
now: chosen.now ?? null,
|
|
88
|
+
tolerance: chosen.tolerance ?? EXACT,
|
|
89
|
+
};
|
|
90
|
+
}
|
|
91
|
+
/**
|
|
92
|
+
* What a run cannot be carried out under, before its first bar.
|
|
93
|
+
*
|
|
94
|
+
* Four questions, and every one of them is a figure nobody could explain
|
|
95
|
+
* afterwards rather than a tidiness rule:
|
|
96
|
+
*
|
|
97
|
+
* - **Two cost models at once**, OS6023. A supplied schedule and a declared
|
|
98
|
+
* commission describe the same money. Applied together they charge it twice
|
|
99
|
+
* and applied one at a time they charge whichever an engine preferred, which
|
|
100
|
+
* is a rule nobody wrote down.
|
|
101
|
+
* - **A schedule that cannot be evaluated**, OS6021, which `scheduleProblem`
|
|
102
|
+
* decides, because the schedule is the money layer's and the rule for it is
|
|
103
|
+
* written once, there. **Whichever schedule the run will be charged under**,
|
|
104
|
+
* which is the declaration's own when the host supplied none: asking only
|
|
105
|
+
* about a supplied one left every refusal in the money layer unreachable on
|
|
106
|
+
* the path almost every run takes.
|
|
107
|
+
* - **A quantity in a unit this destination cannot fill**, OS6021. A backtest
|
|
108
|
+
* fills in units and works out no running equity, so a quantity in cash or in
|
|
109
|
+
* a percentage of equity is one it cannot convert, and a lot needs a lot size
|
|
110
|
+
* the instrument may not state.
|
|
111
|
+
* - **A tolerance with a bound and no reason**, OS6021. A comparison allowed to
|
|
112
|
+
* pass by a margin nobody justified is a failed comparison somebody switched
|
|
113
|
+
* off, and the reason a tolerance exists at all is a second implementation:
|
|
114
|
+
* a rerun of one record on this engine is bit-identical or it is a defect.
|
|
115
|
+
*
|
|
116
|
+
* Nothing has been computed when this is asked, so a refusal costs one run
|
|
117
|
+
* rather than a report a reader has to be told to distrust.
|
|
118
|
+
*/
|
|
119
|
+
export function checkSettings(settings, declared) {
|
|
120
|
+
if (settings.costs !== null && declared.isStrategy && declared.commission !== 0) {
|
|
121
|
+
return diagnosticFor('OS6023', NO_POSITION, {
|
|
122
|
+
commission: declared.commission,
|
|
123
|
+
commissionType: declared.commissionType,
|
|
124
|
+
});
|
|
125
|
+
}
|
|
126
|
+
// Whichever schedule the run will actually be charged under, which is the
|
|
127
|
+
// declaration's own when the host supplied none. Guarding this on
|
|
128
|
+
// `settings.costs !== null` left every refusal in the money layer unreachable
|
|
129
|
+
// on the default path: a declared commission of -5 was charged as a credit
|
|
130
|
+
// and turned a loss into a gain, with nothing raised anywhere.
|
|
131
|
+
const schedule = settings.costs ?? scheduleForDeclaration(declared, settings.contract);
|
|
132
|
+
if (schedule !== null) {
|
|
133
|
+
const problem = scheduleProblem(schedule, settings.contract);
|
|
134
|
+
if (problem !== null)
|
|
135
|
+
return problem;
|
|
136
|
+
}
|
|
137
|
+
const sizing = sizingProblem(declared, settings.contract);
|
|
138
|
+
if (sizing !== null)
|
|
139
|
+
return sizing;
|
|
140
|
+
return toleranceProblem(settings.tolerance);
|
|
141
|
+
}
|
|
142
|
+
/** The schedule a run with no host schedule is charged under, or none. */
|
|
143
|
+
function scheduleForDeclaration(declared, contract) {
|
|
144
|
+
if (!declared.isStrategy)
|
|
145
|
+
return null;
|
|
146
|
+
return scheduleFromDeclaration(declared.commission, declared.commissionType, declared.slippage, contract.currency, contract.digits);
|
|
147
|
+
}
|
|
148
|
+
/**
|
|
149
|
+
* Whether this destination can fill the unit the strategy sizes in.
|
|
150
|
+
*
|
|
151
|
+
* **A quantity is stated in the declaration's own unit and the destination is
|
|
152
|
+
* the party that converts it** (`host-interface.md` 7.1). This one filled every
|
|
153
|
+
* order at the number the script wrote, whatever unit it was written in, so a
|
|
154
|
+
* strategy sizing in lots on a lot of sixty five traded one sixty fifth of what
|
|
155
|
+
* it asked for and every money figure in the record was out by that factor,
|
|
156
|
+
* with nothing refused and nothing said. A record like that is worse than a
|
|
157
|
+
* refused run twice over: somebody trades on the number, and a second engine is
|
|
158
|
+
* handed it as a conformance case and taught the wrong quantity.
|
|
159
|
+
*
|
|
160
|
+
* So: units and lots are converted, and the two that need a running equity this
|
|
161
|
+
* destination does not hold are refused by name. A refusal costs one run. The
|
|
162
|
+
* alternative cost a whole report that looked right.
|
|
163
|
+
*/
|
|
164
|
+
function sizingProblem(declared, contract) {
|
|
165
|
+
if (!declared.isStrategy)
|
|
166
|
+
return null;
|
|
167
|
+
if (declared.qtyType === 'units' || declared.qtyType === '')
|
|
168
|
+
return null;
|
|
169
|
+
if (declared.qtyType === 'lots') {
|
|
170
|
+
if (contract.lotSize !== null && contract.lotSize > 0)
|
|
171
|
+
return null;
|
|
172
|
+
return diagnosticFor('OS6021', NO_POSITION, {
|
|
173
|
+
setting: 'A quantity stated in lots',
|
|
174
|
+
problem: 'this instrument states no lot size, so there is nothing to convert a lot into',
|
|
175
|
+
});
|
|
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}
|
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|
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return diagnosticFor('OS6021', NO_POSITION, {
|
|
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|
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setting: 'A quantity stated in ' + declared.qtyType,
|
|
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|
+
problem: 'a backtest fills in units and works out no running equity to size against, so it ' +
|
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|
+
'cannot convert one. State the quantity in units or in lots',
|
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|
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});
|
|
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|
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}
|
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|
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/**
|
|
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|
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* A bound, and the reason it is there.
|
|
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|
+
*
|
|
186
|
+
* Both bounds are checked rather than the first one found, because a tolerance
|
|
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|
+
* carrying two bounds and one reason is two allowances and one justification.
|
|
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|
+
*/
|
|
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|
+
function toleranceProblem(tolerance) {
|
|
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|
+
const stated = tolerance.reason !== null && tolerance.reason.trim() !== '';
|
|
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|
+
const bounded = tolerance.abs !== 0 || tolerance.rel !== 0;
|
|
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|
+
if (bounded && !stated) {
|
|
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|
+
return diagnosticFor('OS6021', NO_POSITION, {
|
|
194
|
+
setting: 'The comparison tolerance',
|
|
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|
+
problem: 'a bound of ' + String(tolerance.abs) + ' absolute and ' + String(tolerance.rel) +
|
|
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|
+
' relative is stated with no reason beside it',
|
|
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|
+
});
|
|
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|
+
}
|
|
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|
+
if (tolerance.abs < 0 || tolerance.rel < 0) {
|
|
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|
+
return diagnosticFor('OS6021', NO_POSITION, {
|
|
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|
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setting: 'The comparison tolerance',
|
|
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|
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problem: 'a bound below zero admits nothing and refuses what is exact',
|
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|
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});
|
|
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|
+
}
|
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|
+
return null;
|
|
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|
+
}
|
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|
+
//# sourceMappingURL=settings.js.map
|
|
@@ -0,0 +1 @@
|
|
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1
|
+
{"version":3,"file":"settings.js","sourceRoot":"","sources":["../../../src/core/backtest/settings.ts"],"names":[],"mappings":"AAAA;;;;;;;;;;;;;;;;;;;;;;;GAuBG;AACH,OAAO,EAAE,uBAAuB,EAAE,eAAe,EAAE,MAAM,wBAAwB,CAAC;AAElF,OAAO,EAAE,aAAa,EAAE,MAAM,yBAAyB,CAAC;AAKxD;;;;;;;GAOG;AACH,MAAM,WAAW,GAAuB,EAAE,MAAM,EAAE,CAAC,EAAE,MAAM,EAAE,CAAC,EAAE,IAAI,EAAE,CAAC,EAAE,MAAM,EAAE,CAAC,EAAE,CAAC;AAiDrF;;;;;;;;;;;;;;;;;;GAkBG;AACH,MAAM,CAAC,MAAM,YAAY,GAAe;IACtC,iBAAiB,EAAE,IAAI;IACvB,oBAAoB,EAAE,IAAI;IAC1B,MAAM,EAAE,aAAa;IACrB,OAAO,EAAE,CAAC;CACX,CAAC;AAEF,qFAAqF;AACrF,MAAM,CAAC,MAAM,KAAK,GAAc,EAAE,GAAG,EAAE,CAAC,EAAE,GAAG,EAAE,CAAC,EAAE,MAAM,EAAE,IAAI,EAAE,CAAC;AAEjE,uDAAuD;AACvD,MAAM,CAAC,MAAM,WAAW,GAAc,EAAE,IAAI,EAAE,IAAI,EAAE,EAAE,EAAE,IAAI,EAAE,CAAC;AAE/D;;;;;;;;;;;;;;GAcG;AACH,MAAM,UAAU,WAAW,CACzB,QAAkB,EAClB,SAAsD,EAAE;IAExD,OAAO;QACL,KAAK,EAAE,MAAM,CAAC,KAAK,IAAI,WAAW;QAClC,QAAQ;QACR,KAAK,EAAE,MAAM,CAAC,KAAK,IAAI,IAAI;QAC3B,IAAI,EAAE,MAAM,CAAC,IAAI,IAAI,YAAY;QACjC,MAAM,EAAE,MAAM,CAAC,MAAM,IAAI,EAAE;QAC3B,GAAG,EAAE,MAAM,CAAC,GAAG,IAAI,IAAI;QACvB,SAAS,EAAE,MAAM,CAAC,SAAS,IAAI,KAAK;KACrC,CAAC;AACJ,CAAC;AAED;;;;;;;;;;;;;;;;;;;;;;;;;;;GA2BG;AACH,MAAM,UAAU,aAAa,CAC3B,QAA0B,EAC1B,QAAwB;IAExB,IAAI,QAAQ,CAAC,KAAK,KAAK,IAAI,IAAI,QAAQ,CAAC,UAAU,IAAI,QAAQ,CAAC,UAAU,KAAK,CAAC,EAAE,CAAC;QAChF,OAAO,aAAa,CAAC,QAAQ,EAAE,WAAW,EAAE;YAC1C,UAAU,EAAE,QAAQ,CAAC,UAAU;YAC/B,cAAc,EAAE,QAAQ,CAAC,cAAc;SACxC,CAAC,CAAC;IACL,CAAC;IAED,0EAA0E;IAC1E,kEAAkE;IAClE,8EAA8E;IAC9E,2EAA2E;IAC3E,+DAA+D;IAC/D,MAAM,QAAQ,GAAG,QAAQ,CAAC,KAAK,IAAI,sBAAsB,CAAC,QAAQ,EAAE,QAAQ,CAAC,QAAQ,CAAC,CAAC;IACvF,IAAI,QAAQ,KAAK,IAAI,EAAE,CAAC;QACtB,MAAM,OAAO,GAAG,eAAe,CAAC,QAAQ,EAAE,QAAQ,CAAC,QAAQ,CAAC,CAAC;QAC7D,IAAI,OAAO,KAAK,IAAI;YAAE,OAAO,OAAO,CAAC;IACvC,CAAC;IAED,MAAM,MAAM,GAAG,aAAa,CAAC,QAAQ,EAAE,QAAQ,CAAC,QAAQ,CAAC,CAAC;IAC1D,IAAI,MAAM,KAAK,IAAI;QAAE,OAAO,MAAM,CAAC;IAEnC,OAAO,gBAAgB,CAAC,QAAQ,CAAC,SAAS,CAAC,CAAC;AAC9C,CAAC;AAED,0EAA0E;AAC1E,SAAS,sBAAsB,CAC7B,QAAwB,EACxB,QAAkB;IAElB,IAAI,CAAC,QAAQ,CAAC,UAAU;QAAE,OAAO,IAAI,CAAC;IACtC,OAAO,uBAAuB,CAC5B,QAAQ,CAAC,UAAU,EACnB,QAAQ,CAAC,cAAc,EACvB,QAAQ,CAAC,QAAQ,EACjB,QAAQ,CAAC,QAAQ,EACjB,QAAQ,CAAC,MAAM,CAChB,CAAC;AACJ,CAAC;AAED;;;;;;;;;;;;;;;GAeG;AACH,SAAS,aAAa,CAAC,QAAwB,EAAE,QAAkB;IACjE,IAAI,CAAC,QAAQ,CAAC,UAAU;QAAE,OAAO,IAAI,CAAC;IACtC,IAAI,QAAQ,CAAC,OAAO,KAAK,OAAO,IAAI,QAAQ,CAAC,OAAO,KAAK,EAAE;QAAE,OAAO,IAAI,CAAC;IACzE,IAAI,QAAQ,CAAC,OAAO,KAAK,MAAM,EAAE,CAAC;QAChC,IAAI,QAAQ,CAAC,OAAO,KAAK,IAAI,IAAI,QAAQ,CAAC,OAAO,GAAG,CAAC;YAAE,OAAO,IAAI,CAAC;QACnE,OAAO,aAAa,CAAC,QAAQ,EAAE,WAAW,EAAE;YAC1C,OAAO,EAAE,2BAA2B;YACpC,OAAO,EACL,+EAA+E;SAClF,CAAC,CAAC;IACL,CAAC;IACD,OAAO,aAAa,CAAC,QAAQ,EAAE,WAAW,EAAE;QAC1C,OAAO,EAAE,uBAAuB,GAAG,QAAQ,CAAC,OAAO;QACnD,OAAO,EACL,mFAAmF;YACnF,4DAA4D;KAC/D,CAAC,CAAC;AACL,CAAC;AAED;;;;;GAKG;AACH,SAAS,gBAAgB,CAAC,SAAoB;IAC5C,MAAM,MAAM,GAAG,SAAS,CAAC,MAAM,KAAK,IAAI,IAAI,SAAS,CAAC,MAAM,CAAC,IAAI,EAAE,KAAK,EAAE,CAAC;IAC3E,MAAM,OAAO,GAAG,SAAS,CAAC,GAAG,KAAK,CAAC,IAAI,SAAS,CAAC,GAAG,KAAK,CAAC,CAAC;IAC3D,IAAI,OAAO,IAAI,CAAC,MAAM,EAAE,CAAC;QACvB,OAAO,aAAa,CAAC,QAAQ,EAAE,WAAW,EAAE;YAC1C,OAAO,EAAE,0BAA0B;YACnC,OAAO,EAAE,aAAa,GAAG,MAAM,CAAC,SAAS,CAAC,GAAG,CAAC,GAAG,gBAAgB,GAAG,MAAM,CAAC,SAAS,CAAC,GAAG,CAAC;gBACvF,8CAA8C;SACjD,CAAC,CAAC;IACL,CAAC;IACD,IAAI,SAAS,CAAC,GAAG,GAAG,CAAC,IAAI,SAAS,CAAC,GAAG,GAAG,CAAC,EAAE,CAAC;QAC3C,OAAO,aAAa,CAAC,QAAQ,EAAE,WAAW,EAAE;YAC1C,OAAO,EAAE,0BAA0B;YACnC,OAAO,EAAE,6DAA6D;SACvE,CAAC,CAAC;IACL,CAAC;IACD,OAAO,IAAI,CAAC;AACd,CAAC"}
|
|
@@ -0,0 +1,146 @@
|
|
|
1
|
+
/**
|
|
2
|
+
* The destination a backtest runs against: intents in, frames out.
|
|
3
|
+
*
|
|
4
|
+
* **This is a host, not part of the engine**, and the division is the one thing
|
|
5
|
+
* to keep straight while reading it. `stdlib.md` 17.1 puts slippage and
|
|
6
|
+
* commission on the destination: the engine folds the price it is told and
|
|
7
|
+
* never adjusts one, so the price worsening below is a venue giving a worse
|
|
8
|
+
* fill, which is what a venue does, and not an engine moving a number, which is
|
|
9
|
+
* what the invariant forbids. Everything here could be a broker.
|
|
10
|
+
*
|
|
11
|
+
* **A frame is cumulative and reaches the engine between bars.** Every frame
|
|
12
|
+
* restates the whole life of one order from its beginning, so a repeat costs
|
|
13
|
+
* nothing, and none of them is handed over during an execution: they are
|
|
14
|
+
* answered here and collected at the boundary, which is where
|
|
15
|
+
* `host-interface.md` 7.4 puts the intake.
|
|
16
|
+
*
|
|
17
|
+
* **When a fill is known is not when it happened.** A market order decided at
|
|
18
|
+
* the close of a bar and filled at the next bar's open is known at that open,
|
|
19
|
+
* so its frame is delivered before that bar executes and the strategy holds the
|
|
20
|
+
* position for the whole of it. An order that rested and traded somewhere
|
|
21
|
+
* inside a bar is only known to have traded once that bar is complete, so its
|
|
22
|
+
* frame is delivered before the bar after it. Both are the truthful reading of
|
|
23
|
+
* what a venue could have told anybody at the time, and the difference between
|
|
24
|
+
* them is why they are not folded together.
|
|
25
|
+
*
|
|
26
|
+
* **A bracket is answered with nothing at all**, exactly as a venue with no
|
|
27
|
+
* order to report would answer. A bracket reaches a destination as a protective
|
|
28
|
+
* instruction attached to a tag and the engine appends no row for it, so there
|
|
29
|
+
* is nothing for a frame to be about: a fill reported against one would name an
|
|
30
|
+
* intent no row holds and the fold would refuse it. The row a bracket wants is
|
|
31
|
+
* decision 55 and it is not in this release, so a stop cannot fill here and a
|
|
32
|
+
* page that says it can is ahead of the engine.
|
|
33
|
+
*/
|
|
34
|
+
import type { Contract } from '../accounting/index.js';
|
|
35
|
+
import type { OrderFrame, OrderIntent, RoutedEffect } from '../engine/index.js';
|
|
36
|
+
import type { RecordedBar } from './record.js';
|
|
37
|
+
import type { FillPolicy } from './settings.js';
|
|
38
|
+
/** What the venue prices against and how it decides a fill. */
|
|
39
|
+
export interface SimulatorOptions {
|
|
40
|
+
readonly bars: readonly RecordedBar[];
|
|
41
|
+
readonly contract: Contract;
|
|
42
|
+
readonly fill: FillPolicy;
|
|
43
|
+
/** Adverse always, in ticks, applied to a market fill and to a stop. */
|
|
44
|
+
readonly slippageTicks: number;
|
|
45
|
+
/** The declaration's own fill rule: where a market order is priced. */
|
|
46
|
+
readonly fillOn: string;
|
|
47
|
+
/**
|
|
48
|
+
* The unit the declaration's quantity is stated in, `language.md` 13.3.
|
|
49
|
+
*
|
|
50
|
+
* Here because converting it is the destination's job and a fill is counted
|
|
51
|
+
* in units. Only the units this destination can arrive at reach it: the rest
|
|
52
|
+
* are refused before the first bar by `checkSettings`.
|
|
53
|
+
*/
|
|
54
|
+
readonly qtyType: string;
|
|
55
|
+
}
|
|
56
|
+
/**
|
|
57
|
+
* A venue, for one run.
|
|
58
|
+
*
|
|
59
|
+
* It holds the orders it was handed and nothing else: no position, no money and
|
|
60
|
+
* no view of what the strategy is doing, because a destination has none of
|
|
61
|
+
* those about somebody else's strategy.
|
|
62
|
+
*/
|
|
63
|
+
export declare class Simulator {
|
|
64
|
+
private readonly options;
|
|
65
|
+
private readonly orders;
|
|
66
|
+
/** The intents handed over, in the order they were, whatever became of them. */
|
|
67
|
+
readonly intents: OrderIntent[];
|
|
68
|
+
/** Brackets, held so that a run can say how many it was handed and answered. */
|
|
69
|
+
readonly brackets: OrderIntent[];
|
|
70
|
+
private queued;
|
|
71
|
+
private answered;
|
|
72
|
+
private refs;
|
|
73
|
+
private seq;
|
|
74
|
+
constructor(options: SimulatorOptions);
|
|
75
|
+
/** Step 9: what the strategy decided reaches the venue. */
|
|
76
|
+
route(effect: RoutedEffect, barIndex: number): void;
|
|
77
|
+
/**
|
|
78
|
+
* The frames a boundary hands over: everything this venue can say now.
|
|
79
|
+
*
|
|
80
|
+
* The orders that were already resting are decided against this bar first and
|
|
81
|
+
* the orders this bar sent are answered after, which is the order the venue
|
|
82
|
+
* learned of them in.
|
|
83
|
+
*/
|
|
84
|
+
framesFor(barIndex: number): readonly OrderFrame[];
|
|
85
|
+
/** How many orders this venue is still holding, which a run reports. */
|
|
86
|
+
get working(): number;
|
|
87
|
+
/** An order the strategy sent, which this venue now holds. */
|
|
88
|
+
private accept;
|
|
89
|
+
/**
|
|
90
|
+
* A cancellation, which is about the orders a tag names and not about itself.
|
|
91
|
+
*
|
|
92
|
+
* Every live order carrying the tag is withdrawn and answered, which is what
|
|
93
|
+
* releases the position they were claiming, and the cancellation is then
|
|
94
|
+
* answered as an order of its own, because the engine appended a row for it
|
|
95
|
+
* and a row nothing ever answers stays at `placed` for the life of the run.
|
|
96
|
+
*/
|
|
97
|
+
private withdraw;
|
|
98
|
+
/**
|
|
99
|
+
* The first thing a venue says about an order it has taken.
|
|
100
|
+
*
|
|
101
|
+
* A working frame before any fill, because 7.4 asks for a frame on every
|
|
102
|
+
* change of status and a script waiting for a working order to clear waits
|
|
103
|
+
* blind without one. A market order is then filled in the same breath where
|
|
104
|
+
* the declaration prices it at this bar's close, and at the next bar's open
|
|
105
|
+
* where it does not.
|
|
106
|
+
*/
|
|
107
|
+
private open;
|
|
108
|
+
/** One resting order against one bar. */
|
|
109
|
+
private decide;
|
|
110
|
+
/**
|
|
111
|
+
* The whole of an order, filled at one price.
|
|
112
|
+
*
|
|
113
|
+
* **The quantity is converted into units here, because that is what a fill
|
|
114
|
+
* is counted in and what every money figure is folded over.** A quantity
|
|
115
|
+
* travels in the declaration's own unit (`host-interface.md` 7.1) and the
|
|
116
|
+
* destination is the party that converts it. This filled the number verbatim,
|
|
117
|
+
* so a strategy sizing in lots on a lot of sixty five traded one sixty fifth
|
|
118
|
+
* of what it asked for and the whole report was out by that factor. The units
|
|
119
|
+
* this destination cannot arrive at are refused before the first bar rather
|
|
120
|
+
* than guessed at here, so by this point the unit is one of two.
|
|
121
|
+
*/
|
|
122
|
+
private complete;
|
|
123
|
+
/**
|
|
124
|
+
* A price worsened by the slippage the run was carried out under.
|
|
125
|
+
*
|
|
126
|
+
* **Adverse always: a buy pays more and a sell receives less.** The sign is
|
|
127
|
+
* taken as written rather than as a magnitude, because a slippage below zero
|
|
128
|
+
* is refused before the first bar and taking its magnitude here would be this
|
|
129
|
+
* function quietly covering for a hole in that refusal. It went uncovered for
|
|
130
|
+
* a while: `scheduleProblem` has always refused a negative rate, and
|
|
131
|
+
* `checkSettings` asked it only about a schedule the host supplied, so a
|
|
132
|
+
* declaration stating a slippage of minus one improved both sides of every
|
|
133
|
+
* fill and the backtest paid the strategy to trade.
|
|
134
|
+
*
|
|
135
|
+
* A slippage in ticks with no tick size to measure a tick in charges nothing.
|
|
136
|
+
* The comment here once said that was refused before the first bar and it was
|
|
137
|
+
* not; it still is not, because an instrument with no tick is a fact a host
|
|
138
|
+
* may legitimately not hold, and a run that charges no slippage is a study
|
|
139
|
+
* before slippage rather than a wrong answer. What has changed is that this
|
|
140
|
+
* says so instead of claiming a refusal that never existed.
|
|
141
|
+
*/
|
|
142
|
+
private worsen;
|
|
143
|
+
/** One frame, cumulative, in the order this venue spoke. */
|
|
144
|
+
private say;
|
|
145
|
+
}
|
|
146
|
+
//# sourceMappingURL=simulate.d.ts.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
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