openalgo-script 0.2.0 → 0.4.0

package/dist/core/accounting/trades.js

@@ -0,0 +1,186 @@
+/**
+ * The round trips a run's fills make up, in the order they opened.
+ *
+ * `charges[index]` is the money `fills[index]` was charged, rounded once by
+ * whoever computed it, so the two travel as one thing and nothing here rounds
+ * anything a second time. A caller with no cost model supplies no charges at
+ * all and every trade's charges are zero.
+ *
+ * The fills are read in `seq` order whatever order they are handed in, because
+ * `seq` is the order the engine folded them and a report that depended on the
+ * order a caller happened to be holding them in would not be reproducible. The
+ * marks are read in bar order for the same reason, and a bar is marked after
+ * every fill up to it has been folded, because a fill happens during its bar
+ * and the close comes after.
+ */
+export function tradesOf(fills, charges, marks, contract) {
+    const settled = inSeqOrder(fills, charges);
+    const built = [];
+    const live = [];
+    let next = 0;
+    for (const bar of inBarOrder(marks)) {
+        while (next < settled.length) {
+            const one = settled[next];
+            if (one === undefined || one.fill.barIndex > bar.barIndex)
+                break;
+            fold(one, built, live);
+            next += 1;
+        }
+        // A bar with no close is not a price anything can be marked at. It marks
+        // nothing rather than marking zero, which would read as a total loss.
+        if (bar.close !== null)
+            markTo(live, bar.close, contract.pointValue);
+    }
+    for (; next < settled.length; next += 1) {
+        const one = settled[next];
+        if (one !== undefined)
+            fold(one, built, live);
+    }
+    return built.map((trade) => finish(trade, contract));
+}
+function inSeqOrder(fills, charges) {
+    const paired = fills.map((fill, index) => ({ fill, charge: charges[index] ?? 0 }));
+    return paired.sort((a, b) => a.fill.seq - b.fill.seq);
+}
+function inBarOrder(marks) {
+    return marks.slice().sort((a, b) => a.barIndex - b.barIndex);
+}
+/**
+ * How much of a move from one size to another closed what was held.
+ *
+ * Exported to the module and not through its door: `markers.ts` asks the same
+ * question of the same fills, and the rule for what a move closed and what it
+ * opened is one rule. Two folds may read a fill differently and produce a
+ * marker for an entry the trade list calls an exit, so they read it here.
+ *
+ * A move to the other side of zero closed all of it, which is the case a
+ * destination that overfilled produces and the one this has to get right.
+ */
+export function closedBy(before, after) {
+    if (before === 0)
+        return 0;
+    const same = Math.sign(after) === Math.sign(before);
+    return same ? Math.max(0, Math.abs(before) - Math.abs(after)) : Math.abs(before);
+}
+/** And how much of it opened something, which is the rest of the same move. */
+export function openedBy(before, after) {
+    if (after === 0)
+        return 0;
+    if (before === 0 || Math.sign(after) !== Math.sign(before))
+        return Math.abs(after);
+    return Math.max(0, Math.abs(after) - Math.abs(before));
+}
+/** One fill against the trades its reference holds. */
+function fold(one, built, live) {
+    const fill = one.fill;
+    const closing = closedBy(fill.refSizeBefore, fill.refSizeAfter);
+    const opening = openedBy(fill.refSizeBefore, fill.refSizeAfter);
+    const at = live.findIndex((trade) => trade.positionRef === fill.positionRef);
+    const held = at < 0 ? null : (live[at] ?? null);
+    let paid = false;
+    if (held !== null && closing > 0) {
+        held.exitUnits += closing;
+        held.exitCost += closing * fill.price;
+        held.exits += 1;
+        held.charges += one.charge;
+        paid = true;
+        // What the reference left this trade holding: nothing at all when the fill
+        // carried it through zero, since the other side of zero is the next trade.
+        held.size = opening > 0 ? 0 : fill.refSizeAfter;
+        if (held.size === 0) {
+            held.closedOnBar = fill.barIndex;
+            held.closedAt = fill.barTime;
+            live.splice(at, 1);
+        }
+    }
+    if (opening > 0) {
+        // A fill that closed something opens a trade of its own rather than adding
+        // to the one it just finished.
+        const adding = closing > 0 ? null : held;
+        if (adding === null) {
+            const fresh = begin(fill, opening, built.length + 1);
+            built.push(fresh);
+            live.push(fresh);
+            if (!paid)
+                fresh.charges += one.charge;
+        }
+        else {
+            adding.entryUnits += opening;
+            adding.entryCost += opening * fill.price;
+            adding.entries += 1;
+            adding.size = fill.refSizeAfter;
+            if (!paid)
+                adding.charges += one.charge;
+        }
+        return;
+    }
+    // A fill that moved nothing still cost something, and it cost it on account
+    // of the trade its reference is holding.
+    if (!paid && held !== null)
+        held.charges += one.charge;
+}
+function begin(fill, units, index) {
+    return {
+        index,
+        positionRef: fill.positionRef,
+        side: fill.refSizeAfter > 0 ? 'long' : 'short',
+        openedOnBar: fill.barIndex,
+        openedAt: fill.barTime,
+        closedOnBar: null,
+        closedAt: null,
+        entryUnits: units,
+        entryCost: units * fill.price,
+        exitUnits: 0,
+        exitCost: 0,
+        entries: 1,
+        exits: 0,
+        charges: 0,
+        size: fill.refSizeAfter,
+        maxFavourable: 0,
+        maxAdverse: 0,
+    };
+}
+/** Every open trade against one bar's close. */
+function markTo(live, close, pointValue) {
+    for (const trade of live) {
+        const entry = averageOf(trade.entryCost, trade.entryUnits);
+        const excursion = (close - entry) * trade.size * pointValue;
+        if (excursion > trade.maxFavourable)
+            trade.maxFavourable = excursion;
+        if (excursion < trade.maxAdverse)
+            trade.maxAdverse = excursion;
+    }
+}
+function averageOf(cost, units) {
+    return units === 0 ? 0 : cost / units;
+}
+function finish(trade, contract) {
+    const entryPrice = averageOf(trade.entryCost, trade.entryUnits);
+    const exitPrice = trade.exitUnits === 0 ? null : trade.exitCost / trade.exitUnits;
+    const way = trade.side === 'long' ? 1 : -1;
+    const gross = exitPrice === null
+        ? 0
+        : (exitPrice - entryPrice) * trade.exitUnits * contract.pointValue * way;
+    return {
+        index: trade.index,
+        positionRef: trade.positionRef,
+        side: trade.side,
+        openedOnBar: trade.openedOnBar,
+        openedAt: trade.openedAt,
+        closedOnBar: trade.closedOnBar,
+        closedAt: trade.closedAt,
+        barsHeld: trade.closedOnBar === null ? null : trade.closedOnBar - trade.openedOnBar,
+        units: trade.entryUnits,
+        entryPrice,
+        exitPrice,
+        entries: trade.entries,
+        exits: trade.exits,
+        grossProfit: gross,
+        charges: trade.charges,
+        netProfit: gross - trade.charges,
+        maxFavourable: trade.maxFavourable,
+        maxAdverse: trade.maxAdverse,
+        isOpen: trade.closedOnBar === null,
+    };
+}
+//# sourceMappingURL=trades.js.map

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

@@ -0,0 +1 @@
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package/dist/core/backtest/compare.d.ts

@@ -0,0 +1,38 @@
+import type { RunRecord } from './record.js';
+/** What two runs came to, beside each other. */
+export interface RunComparison {
+    /** False when the bars hash or the contract differ. */
+    readonly comparable: boolean;
+    readonly differences: readonly {
+        readonly what: 'bars' | 'contract' | 'costs' | 'fill' | 'inputs' | 'program' | 'range';
+        readonly detail: string;
+    }[];
+    readonly deltas: readonly {
+        /** A field of Summary. */
+        readonly name: string;
+        readonly before: number;
+        readonly after: number;
+        readonly delta: number;
+    }[];
+    /** (expectancyB - expectancyA) / sqrt(seA^2 + seB^2). */
+    readonly separation: number | null;
+    /** Trades opening on the same bar with the same side in both. */
+    readonly sharedTrades: number;
+}
+/**
+ * Two runs, side by side, and whether the gap between them is a result.
+ *
+ * **Comparable is about the inputs, not about the outputs.** Two runs over
+ * different bars, or on different contracts, are two studies: the money in one
+ * is not the money in the other, and subtracting them is arithmetic with no
+ * meaning behind it. A different program over the same bars is the opposite of
+ * that. It is the comparison somebody actually wants, so a differing program is
+ * reported as a difference and does not make the pair incomparable.
+ *
+ * **Every difference is named even when the pair is comparable**, because the
+ * reason a run improved is as often a setting somebody forgot they had changed
+ * as it is the change they meant to test. A comparison reporting only the money
+ * would let that through, and it would read as a result.
+ */
+export declare function compareRuns(before: RunRecord, after: RunRecord): RunComparison;
+//# sourceMappingURL=compare.d.ts.map

package/dist/core/backtest/compare.d.ts.map

@@ -0,0 +1 @@
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package/dist/core/backtest/compare.js

@@ -0,0 +1,189 @@
+import { canonicalise } from '../emit/index.js';
+/**
+ * A Summary field worth a delta, in the order a comparison reports them.
+ *
+ * Written out rather than walked off the object, for two reasons. A key walk
+ * would report a delta for `currency`, which is a string, and for `capital`,
+ * which is an input rather than a result. And the order a comparison prints its
+ * rows in would then be the order a literal happens to be written in, which is
+ * a thing somebody reformats without knowing they changed an output.
+ */
+const COMPARED = [
+    'netProfit',
+    'returnPercent',
+    'grossProfit',
+    'grossLoss',
+    'charges',
+    'tradeCount',
+    'openTradeCount',
+    'wins',
+    'losses',
+    'scratches',
+    'winRate',
+    'averageWin',
+    'averageLoss',
+    'expectancy',
+    'expectancyStandardError',
+    'profitFactor',
+    'maxDrawdown',
+    'maxDrawdownPercent',
+    'longestDrawdownBars',
+    'averageBarsHeld',
+    'barsInMarket',
+    'barCount',
+];
+/**
+ * Two runs, side by side, and whether the gap between them is a result.
+ *
+ * **Comparable is about the inputs, not about the outputs.** Two runs over
+ * different bars, or on different contracts, are two studies: the money in one
+ * is not the money in the other, and subtracting them is arithmetic with no
+ * meaning behind it. A different program over the same bars is the opposite of
+ * that. It is the comparison somebody actually wants, so a differing program is
+ * reported as a difference and does not make the pair incomparable.
+ *
+ * **Every difference is named even when the pair is comparable**, because the
+ * reason a run improved is as often a setting somebody forgot they had changed
+ * as it is the change they meant to test. A comparison reporting only the money
+ * would let that through, and it would read as a result.
+ */
+export function compareRuns(before, after) {
+    const differences = differencesBetween(before, after);
+    const blocking = differences.some((one) => one.what === 'bars' || one.what === 'contract');
+    return {
+        comparable: !blocking,
+        differences,
+        deltas: deltasBetween(before.report.summary, after.report.summary),
+        // Withheld rather than computed on an incomparable pair. A separation
+        // between two runs over different bars is a number, and it means nothing.
+        separation: blocking ? null : separationBetween(before.report.summary, after.report.summary),
+        sharedTrades: sharedTradesBetween(before.report.trades, after.report.trades),
+    };
+}
+/**
+ * What differs between two runs' inputs, in a fixed order.
+ *
+ * Compared through the repository's one canonical writer rather than field by
+ * field, so a settings shape that grows a field is compared on that field
+ * without this function being edited. Field by field is how a comparison
+ * quietly stops covering whatever was added to the settings last.
+ */
+function differencesBetween(before, after) {
+    const found = [];
+    if (before.bars.hash !== after.bars.hash) {
+        found.push({
+            what: 'bars',
+            detail: `different bars: ${before.bars.count} rows hashing ${before.bars.hash}, against ${after.bars.count} hashing ${after.bars.hash}`,
+        });
+    }
+    if (canonicalise(before.settings.contract) !== canonicalise(after.settings.contract)) {
+        found.push({ what: 'contract', detail: 'the two runs are on different contracts' });
+    }
+    if (before.programHash !== after.programHash) {
+        found.push({
+            what: 'program',
+            detail: `different program: ${before.programHash}, against ${after.programHash}`,
+        });
+    }
+    if (canonicalise(before.settings.range) !== canonicalise(after.settings.range)) {
+        found.push({ what: 'range', detail: 'the two runs cover different date ranges' });
+    }
+    if (canonicalise(before.settings.costs) !== canonicalise(after.settings.costs)) {
+        found.push({ what: 'costs', detail: 'the two runs were charged under different cost models' });
+    }
+    if (canonicalise(before.settings.fill) !== canonicalise(after.settings.fill)) {
+        found.push({ what: 'fill', detail: 'the two runs were filled under different policies' });
+    }
+    if (canonicalise(before.settings.inputs) !== canonicalise(after.settings.inputs)) {
+        found.push({ what: 'inputs', detail: 'the two scripts ran with different input values' });
+    }
+    return found;
+}
+/**
+ * Every compared figure, before and after.
+ *
+ * A summary carries null where a figure has no meaning: no win rate until a
+ * trade closes, no profit factor without a loss. Null on one side and a number
+ * on the other is a real thing to report, and a delta between them is not, so
+ * the row appears with both values and a delta of zero. Subtracting from null
+ * would invent a movement out of a figure that was never there.
+ */
+function deltasBetween(before, after) {
+    // Widened once, here. COMPARED is a list of names and a summary is a closed
+    // shape, so the lookup is by string either way; doing it in one place keeps
+    // the rest of this file reading the real type.
+    const a0 = before;
+    const b0 = after;
+    const deltas = [];
+    for (const name of COMPARED) {
+        const a = numberOf(a0[name]);
+        const b = numberOf(b0[name]);
+        // Neither side holds a figure: a field of no summary, which is nothing to
+        // report rather than a row of three zeroes.
+        if (a === null && b === null)
+            continue;
+        deltas.push({
+            name,
+            before: a ?? 0,
+            after: b ?? 0,
+            delta: a === null || b === null ? 0 : (b ?? 0) - (a ?? 0),
+        });
+    }
+    return deltas;
+}
+/** A figure, or none where the summary carries null or a string for it. */
+function numberOf(value) {
+    return typeof value === 'number' && Number.isFinite(value) ? value : null;
+}
+/**
+ * How many standard errors apart the two expectancies are.
+ *
+ * Analytic, with no resampling and no random number generator, so two runs of
+ * this comparison over the same pair give the same figure for ever and a
+ * decision taken on it is one anybody can reproduce.
+ *
+ * **Null rather than a large number where there is no noise to measure.** A run
+ * with fewer than two closed trades has a standard error of zero, because one
+ * trade has no spread, and where both are zero the ratio divides by it.
+ * Returning infinity there would read as infinite confidence, which is the
+ * exact opposite of what one trade tells anybody. Null says the question cannot
+ * be answered from these two runs, which is the truth about them.
+ */
+function separationBetween(before, after) {
+    const noise = Math.sqrt(before.expectancyStandardError * before.expectancyStandardError +
+        after.expectancyStandardError * after.expectancyStandardError);
+    if (!Number.isFinite(noise) || noise === 0)
+        return null;
+    const gap = after.expectancy - before.expectancy;
+    return Number.isFinite(gap) ? gap / noise : null;
+}
+/**
+ * How many trades the two runs took alike.
+ *
+ * Alike means opened on the same bar on the same side, which is the coarsest
+ * thing two runs can agree about and the only one that survives a change to
+ * sizing or to costs. It is what says whether a change moved the money by
+ * trading differently or by trading the same and paying differently, and those
+ * are not the same result however alike the two totals look.
+ *
+ * Counted as a multiset, so two long trades opening on one bar in one run
+ * against one in the other share one trade rather than two.
+ */
+function sharedTradesBetween(before, after) {
+    const counts = new Map();
+    for (const trade of before) {
+        const key = `${trade.openedOnBar}:${trade.side}`;
+        counts.set(key, (counts.get(key) ?? 0) + 1);
+    }
+    let shared = 0;
+    for (const trade of after) {
+        const key = `${trade.openedOnBar}:${trade.side}`;
+        const left = counts.get(key) ?? 0;
+        if (left > 0) {
+            counts.set(key, left - 1);
+            shared += 1;
+        }
+    }
+    return shared;
+}
+//# sourceMappingURL=compare.js.map

package/dist/core/backtest/compare.js.map

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package/dist/core/backtest/declaration.d.ts

@@ -0,0 +1,52 @@
+/**
+ * The declaration's own half of a run, read once and read here.
+ *
+ * **What the program states is stored once, as the program**, so none of these
+ * figures is a setting a host chooses and none of them travels in the record
+ * beside the settings. They are read back out of the compiled program every
+ * time a run is driven or replayed, which is what makes a replay of a stored
+ * record the same run rather than a run under today's defaults.
+ *
+ * Every field of `meta.strategy` is written into the program with the value it
+ * resolved to, defaults included (`compiled-program.md` 2.3), so nothing here
+ * carries a table of defaults and a default that changes in a later language
+ * version cannot silently change an old program. A field a script wrote with an
+ * `input()` is resolved against the run's own settings, by the engine, at load,
+ * and `fieldValue` reads what that resolution produced: the rule lives in the
+ * engine and is applied here rather than repeated.
+ *
+ * A study has no strategy declaration at all. It places no order and has no
+ * money, and it reads here as the absence it is rather than as a zero capital
+ * somebody would divide by.
+ */
+import type { CompiledProgram } from '../emit/index.js';
+import type { ResolvedInput } from '../engine/index.js';
+/** The money and the fill the declaration fixed before bar 0. */
+export interface RunDeclaration {
+    /** False for a study, which declares none of this. */
+    readonly isStrategy: boolean;
+    readonly capital: number;
+    readonly currency: string;
+    /** Where a market order is priced, `language.md` 13.3. */
+    readonly fillOn: string;
+    readonly slippage: number;
+    readonly commission: number;
+    readonly commissionType: string;
+    /**
+     * The unit the declaration's quantity is stated in, `language.md` 13.3.
+     *
+     * Read here because the destination is the party that has to convert it, and
+     * a destination that cannot convert the unit a strategy sizes in has to
+     * refuse the run rather than fill a number in the wrong unit.
+     */
+    readonly qtyType: string;
+}
+/**
+ * What one program's declaration says about money, after its inputs.
+ *
+ * The inputs are the ones the engine resolved at load, handed back by `load`
+ * for this reader. A caller with none reads the literals, which is every
+ * program that did not write a declaration field with an `input()`.
+ */
+export declare function declarationOf(program: CompiledProgram, inputs?: readonly ResolvedInput[]): RunDeclaration;
+//# sourceMappingURL=declaration.d.ts.map

package/dist/core/backtest/declaration.d.ts.map

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package/dist/core/backtest/declaration.js

@@ -0,0 +1,48 @@
+import { fieldValue } from '../engine/index.js';
+/**
+ * What one program's declaration says about money, after its inputs.
+ *
+ * The inputs are the ones the engine resolved at load, handed back by `load`
+ * for this reader. A caller with none reads the literals, which is every
+ * program that did not write a declaration field with an `input()`.
+ */
+export function declarationOf(program, inputs = []) {
+    const strategy = program.meta.strategy;
+    if (strategy === undefined) {
+        return {
+            isStrategy: false,
+            capital: 0,
+            currency: '',
+            fillOn: '',
+            slippage: 0,
+            commission: 0,
+            commissionType: '',
+            qtyType: '',
+        };
+    }
+    return {
+        isStrategy: true,
+        capital: numberOf(fieldValue(strategy.capital, inputs)),
+        currency: stringOf(fieldValue(strategy.currency, inputs)),
+        fillOn: stringOf(fieldValue(strategy.fillOn, inputs)),
+        slippage: numberOf(fieldValue(strategy.slippage, inputs)),
+        commission: numberOf(fieldValue(strategy.commission, inputs)),
+        commissionType: stringOf(fieldValue(strategy.commissionType, inputs)),
+        qtyType: stringOf(fieldValue(strategy.qtyType, inputs)),
+    };
+}
+/**
+ * A number the declaration states, or zero where it states something else.
+ *
+ * Zero rather than absence, and only here: every one of these fields is written
+ * into the program with a number, so anything else is a program this engine
+ * would already have refused at load. The fallback is what keeps this reader
+ * total rather than a second place a malformed program is diagnosed.
+ */
+function numberOf(value) {
+    return typeof value === 'number' && Number.isFinite(value) ? value : 0;
+}
+function stringOf(value) {
+    return typeof value === 'string' ? value : '';
+}
+//# sourceMappingURL=declaration.js.map

package/dist/core/backtest/declaration.js.map

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package/dist/core/backtest/drive.d.ts

@@ -0,0 +1,29 @@
+import type { Diagnostic } from '../diagnostics/index.js';
+import type { CompiledProgram } from '../emit/index.js';
+import type { RecordedBar, RunRecord } from './record.js';
+import type { BacktestSettings } from './settings.js';
+/** What a run came to, or why it could not be carried out at all. */
+export type BacktestResult = {
+    readonly ok: true;
+    readonly record: RunRecord;
+} | {
+    readonly ok: false;
+    readonly diagnostic: Diagnostic;
+};
+/** The few choices a driver has that are not settings of the run itself. */
+export interface DriveOptions {
+    /** Whether the bars travel in the record. Inline is the conformance form. */
+    readonly form?: 'inline' | 'referenced';
+}
+/**
+ * One run, from a compiled program to a record of it.
+ *
+ * A refusal before the first bar comes back as a refusal and not as a record:
+ * a program that would not load, a setting that cannot be applied and a window
+ * holding no bars are all runs that did not happen, and a record of one would
+ * be a document asserting figures nothing computed. A failure during a bar is
+ * the other way round: the run happened, it stopped, and the record carries
+ * both what it did and the diagnostic that stopped it.
+ */
+export declare function backtest(program: CompiledProgram, bars: readonly RecordedBar[], settings: BacktestSettings, options?: DriveOptions): BacktestResult;
+//# sourceMappingURL=drive.d.ts.map

package/dist/core/backtest/drive.d.ts.map

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