openalgo-script 0.2.0 → 0.5.0

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

@@ -0,0 +1,258 @@
+/**
+ * The destination a backtest runs against: intents in, frames out.
+ *
+ * **This is a host, not part of the engine**, and the division is the one thing
+ * to keep straight while reading it. `stdlib.md` 17.1 puts slippage and
+ * commission on the destination: the engine folds the price it is told and
+ * never adjusts one, so the price worsening below is a venue giving a worse
+ * fill, which is what a venue does, and not an engine moving a number, which is
+ * what the invariant forbids. Everything here could be a broker.
+ *
+ * **A frame is cumulative and reaches the engine between bars.** Every frame
+ * restates the whole life of one order from its beginning, so a repeat costs
+ * nothing, and none of them is handed over during an execution: they are
+ * answered here and collected at the boundary, which is where
+ * `host-interface.md` 7.4 puts the intake.
+ *
+ * **When a fill is known is not when it happened.** A market order decided at
+ * the close of a bar and filled at the next bar's open is known at that open,
+ * so its frame is delivered before that bar executes and the strategy holds the
+ * position for the whole of it. An order that rested and traded somewhere
+ * inside a bar is only known to have traded once that bar is complete, so its
+ * frame is delivered before the bar after it. Both are the truthful reading of
+ * what a venue could have told anybody at the time, and the difference between
+ * them is why they are not folded together.
+ *
+ * **A bracket is answered with nothing at all**, exactly as a venue with no
+ * order to report would answer. A bracket reaches a destination as a protective
+ * instruction attached to a tag and the engine appends no row for it, so there
+ * is nothing for a frame to be about: a fill reported against one would name an
+ * intent no row holds and the fold would refuse it. The row a bracket wants is
+ * decision 55 and it is not in this release, so a stop cannot fill here and a
+ * page that says it can is ahead of the engine.
+ *
+ * **A destination that behaves badly does it on a schedule, stated before the
+ * run and never by chance.** Every case harvested before this one ran against a
+ * venue that filled every order whole and on time, so two engines were proved
+ * to agree about the half of a day that costs nobody anything. The other half
+ * is a partial fill, an order arriving in pieces, a rejection, a cancellation,
+ * an expiry and a fill that turns up after the order has ended, and
+ * `SimulatorOptions.fill` carries the schedule saying which order each of those
+ * happens to and at which boundary. There is no random number here and there
+ * will not be one: `stdlib.md` 8.2 keeps a script that answers differently on a
+ * second run out of a conformance suite, and a venue rolling a die would make
+ * every case it wrote unreproducible in the same breath. **An order the
+ * schedule names is answered by the schedule and by nothing else**, so a run
+ * stating none is the run the cases before this one were harvested from, to the
+ * bit, which is what lets this exist at all.
+ */
+import type { Contract } from '../accounting/index.js';
+import type { OrderFrame, OrderIntent, RoutedEffect } from '../engine/index.js';
+import type { RecordedBar } from './record.js';
+import type { FillPolicy } from './settings.js';
+/**
+ * What this destination does to one order, at one boundary.
+ *
+ * Four words reaching every status of `stdlib.md` 17.7 a host may send. `fill`
+ * carries the cumulative quantity, so one word covers the acknowledgement
+ * before anything has traded, a fill of part of the order and a fill of the
+ * whole of it: `working` and `filled` are that quantity read against the
+ * order's own rather than two instructions. The other three are the three ways
+ * an order ends carrying less than it asked for, and an engine never handed
+ * one has never been asked what it does with the quantity still working.
+ */
+export type VenueDoes = 'fill' | 'reject' | 'cancel' | 'expire';
+/** One act of the schedule: what the destination does, to which order, when. */
+export interface VenueAct {
+    /**
+     * The nth order this destination took, counting from one.
+     *
+     * Orders and not intents: a bracket is never taken and a cancellation is
+     * answered without being held, so neither is counted and neither can be named
+     * here. An ordinal for the reason `conformance.md` section 3 gives a case's
+     * own frames: nobody writing a schedule knows the id an engine will mint.
+     */
+    readonly order: number;
+    /**
+     * Boundaries after the one the order arrived at, `0` being that boundary.
+     *
+     * Counted from the order rather than stated as a bar index, because the bar
+     * a strategy decides an order on moves the moment anything else about the run
+     * does, and a schedule in bar indices is one nobody can read back.
+     */
+    readonly afterBars: number;
+    readonly does: VenueDoes;
+    /**
+     * The cumulative quantity a fill reports, in units, or absent for all of it.
+     *
+     * Cumulative because a frame is (`stdlib.md` 17.8): `0` is the
+     * acknowledgement a venue sends before anything has traded, a number below
+     * the order's own is a partial fill, and one at or above it completes the
+     * order. A quantity below what this venue has already reported is a stale
+     * frame, which a venue really sends and the fold has to swallow, so it is
+     * stated here rather than refused.
+     */
+    readonly units?: number | null;
+    /** The destination's own text, which the ledger records against the row. */
+    readonly text?: string;
+}
+/**
+ * The fill policy, and what this destination does to the orders it names.
+ *
+ * The schedule sits on the policy because it is the same kind of fact: how this
+ * destination decides a fill, chosen before the first bar and carried in the
+ * record beside the policy's own version, so a stored run replays as it ran.
+ */
+export interface VenuePolicy extends FillPolicy {
+    readonly schedule?: readonly VenueAct[];
+}
+/** What the venue prices against and how it decides a fill. */
+export interface SimulatorOptions {
+    readonly bars: readonly RecordedBar[];
+    readonly contract: Contract;
+    readonly fill: VenuePolicy;
+    /** Adverse always, in ticks, applied to a market fill and to a stop. */
+    readonly slippageTicks: number;
+    /** The declaration's own fill rule: where a market order is priced. */
+    readonly fillOn: string;
+    /**
+     * The unit the declaration's quantity is stated in, `language.md` 13.3.
+     *
+     * Here because converting it is the destination's job and a fill is counted
+     * in units. Only the units this destination can arrive at reach it: the rest
+     * are refused before the first bar by `checkSettings`.
+     */
+    readonly qtyType: string;
+}
+/**
+ * A venue, for one run.
+ *
+ * It holds the orders it was handed and nothing else: no position, no money and
+ * no view of what the strategy is doing, because a destination has none of
+ * those about somebody else's strategy.
+ */
+export declare class Simulator {
+    private readonly options;
+    private readonly orders;
+    /** The intents handed over, in the order they were, whatever became of them. */
+    readonly intents: OrderIntent[];
+    /** Brackets, held so that a run can say how many it was handed and answered. */
+    readonly brackets: OrderIntent[];
+    private queued;
+    private answered;
+    private refs;
+    private seq;
+    constructor(options: SimulatorOptions);
+    /** Step 9: what the strategy decided reaches the venue. */
+    route(effect: RoutedEffect, barIndex: number): void;
+    /**
+     * The frames a boundary hands over: everything this venue can say now.
+     *
+     * The orders that were already resting are decided against this bar first and
+     * the orders this bar sent are answered after, which is the order the venue
+     * learned of them in.
+     */
+    framesFor(barIndex: number): readonly OrderFrame[];
+    /** How many orders this venue is still holding, which a run reports. */
+    get working(): number;
+    /** An order the strategy sent, which this venue now holds. */
+    private accept;
+    /**
+     * A cancellation, which is about the orders a tag names and not about itself.
+     *
+     * Every live order carrying the tag is withdrawn and answered, which is what
+     * releases the position they were claiming, and the cancellation is then
+     * answered as an order of its own, because the engine appended a row for it
+     * and a row nothing ever answers stays at `placed` for the life of the run.
+     */
+    private withdraw;
+    /**
+     * The first thing a venue says about an order it has taken.
+     *
+     * A working frame before any fill, because 7.4 asks for a frame on every
+     * change of status and a script waiting for a working order to clear waits
+     * blind without one. A market order is then filled in the same breath where
+     * the declaration prices it at this bar's close, and at the next bar's open
+     * where it does not.
+     */
+    private open;
+    /** One resting order against one bar. */
+    private decide;
+    /**
+     * The whole of an order, filled at one price.
+     *
+     * **The quantity is converted into units here, because that is what a fill
+     * is counted in and what every money figure is folded over.** A quantity
+     * travels in the declaration's own unit (`host-interface.md` 7.1) and the
+     * destination is the party that converts it. This filled the number verbatim,
+     * so a strategy sizing in lots on a lot of sixty five traded one sixty fifth
+     * of what it asked for and the whole report was out by that factor. The units
+     * this destination cannot arrive at are refused before the first bar rather
+     * than guessed at here, so by this point the unit is one of two.
+     */
+    private complete;
+    /**
+     * The acts due at this boundary, in the order the schedule stated them.
+     *
+     * Due is counted from the bar that sent the order, so an act names a moment
+     * in the life of its own order rather than a bar of the run. Two acts due
+     * together are answered as written, which is how a schedule states a
+     * cancellation and the fill that raced it.
+     *
+     * Liveness is not consulted. An order that has ended can still be spoken
+     * about, because the frame that arrives after it ended is the whole reason
+     * this is here: `stdlib.md` 17.8's fill after a terminal status, which a
+     * venue sends whenever a cancel races a fill and which an engine refusing it
+     * loses, leaving a position the strategy cannot see.
+     */
+    private perform;
+    /**
+     * A fill the schedule stated, at this bar's close and worsened like any other.
+     *
+     * **The average is this venue's own, over the cumulative quantity**, the
+     * figure `stdlib.md` 17.8 step 3 says the row takes whole. A venue reporting
+     * the last piece's price and calling it an average hands the engine a number
+     * that is not one, and the engine may not work its own out from two of them,
+     * so the lie settles into the ledger and into every trade folded from it.
+     *
+     * A stated quantity at or below what this venue has already reported adds
+     * nothing and moves nothing: that is a repeated or a stale frame, which a real
+     * destination sends and the fold has to swallow. It carries the average this
+     * venue holds now rather than then, because it keeps no history of its own
+     * averages and the fold ignores the price of a frame adding no quantity. A
+     * bar with no close prices nothing, so an act due at one says nothing rather
+     * than raising a quantity with no price against it, which step 3 refuses.
+     */
+    private report;
+    /**
+     * The order's quantity in units, which is what a fill is counted in.
+     *
+     * The conversion `complete` did inline, wanted in two places the moment a
+     * schedule can fill an order in pieces: the whole a piece is measured
+     * against has to be the number the fill path would have reported.
+     */
+    private unitsOf;
+    /**
+     * A price worsened by the slippage the run was carried out under.
+     *
+     * **Adverse always: a buy pays more and a sell receives less.** The sign is
+     * taken as written rather than as a magnitude, because a slippage below zero
+     * is refused before the first bar and taking its magnitude here would be this
+     * function quietly covering for a hole in that refusal. It went uncovered for
+     * a while: `scheduleProblem` has always refused a negative rate, and
+     * `checkSettings` asked it only about a schedule the host supplied, so a
+     * declaration stating a slippage of minus one improved both sides of every
+     * fill and the backtest paid the strategy to trade.
+     *
+     * A slippage in ticks with no tick size to measure a tick in charges nothing.
+     * The comment here once said that was refused before the first bar and it was
+     * not; it still is not, because an instrument with no tick is a fact a host
+     * may legitimately not hold, and a run that charges no slippage is a study
+     * before slippage rather than a wrong answer. What has changed is that this
+     * says so instead of claiming a refusal that never existed.
+     */
+    private worsen;
+    /** One frame, cumulative, in the order this venue spoke. */
+    private say;
+}
+//# sourceMappingURL=simulate.d.ts.map

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

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package/dist/core/backtest/simulate.js

@@ -0,0 +1,335 @@
+import { testResting } from './resting.js';
+/** `language.md` 13.3: a market order priced at the close of its own bar. */
+const AT_CLOSE = 'close';
+/**
+ * The word this venue reports each ending under.
+ *
+ * A destination with words of its own maps them onto the vocabulary in its
+ * adapter, which is where `stdlib.md` 17.7 puts the mapping because a status
+ * vocabulary differs per destination. This is this one's, and the whole of what
+ * a schedule's verb means.
+ */
+const ENDED = {
+    reject: 'rejected',
+    cancel: 'cancelled',
+    expire: 'expired',
+};
+/**
+ * A venue, for one run.
+ *
+ * It holds the orders it was handed and nothing else: no position, no money and
+ * no view of what the strategy is doing, because a destination has none of
+ * those about somebody else's strategy.
+ */
+export class Simulator {
+    options;
+    orders = [];
+    /** The intents handed over, in the order they were, whatever became of them. */
+    intents = [];
+    /** Brackets, held so that a run can say how many it was handed and answered. */
+    brackets = [];
+    queued = [];
+    answered = [];
+    refs = 0;
+    seq = 0;
+    constructor(options) {
+        this.options = options;
+    }
+    /** Step 9: what the strategy decided reaches the venue. */
+    route(effect, barIndex) {
+        for (const intent of effect.intents) {
+            this.intents.push(intent);
+            if (intent.kind === 'bracket') {
+                this.brackets.push(intent);
+                continue;
+            }
+            if (intent.kind === 'cancel') {
+                this.withdraw(intent, barIndex);
+                continue;
+            }
+            this.accept(intent, barIndex);
+        }
+    }
+    /**
+     * The frames a boundary hands over: everything this venue can say now.
+     *
+     * The orders that were already resting are decided against this bar first and
+     * the orders this bar sent are answered after, which is the order the venue
+     * learned of them in.
+     */
+    framesFor(barIndex) {
+        const bar = this.options.bars[barIndex];
+        if (bar !== undefined) {
+            for (const order of this.orders) {
+                // An order the schedule names is answered by the schedule, whether or
+                // not it is still live: a fill after a cancellation is the one thing
+                // this exists for and the order is dead by then.
+                if (order.acts.length > 0) {
+                    if (order.placedOn < barIndex)
+                        this.perform(order, bar, barIndex);
+                    continue;
+                }
+                if (!order.live || order.rest === null || order.placedOn >= barIndex)
+                    continue;
+                this.decide(order, bar, barIndex);
+            }
+        }
+        const sent = this.queued;
+        this.queued = [];
+        for (const order of sent)
+            this.open(order, barIndex);
+        const out = this.answered;
+        this.answered = [];
+        return out;
+    }
+    /** How many orders this venue is still holding, which a run reports. */
+    get working() {
+        return this.orders.filter((order) => order.live).length;
+    }
+    /** An order the strategy sent, which this venue now holds. */
+    accept(intent, barIndex) {
+        this.refs += 1;
+        // The ordinal of this order among the orders taken, which is what an act
+        // names. Read before the order joins them, so the first is one.
+        const ordinal = this.orders.length + 1;
+        const order = {
+            intent,
+            ref: refOf(this.refs),
+            placedOn: barIndex,
+            rest: restingFor(intent),
+            acts: (this.options.fill.schedule ?? []).filter((act) => act.order === ordinal),
+            filledQty: 0,
+            avgPrice: null,
+            live: true,
+            triggered: false,
+        };
+        this.orders.push(order);
+        this.queued.push(order);
+    }
+    /**
+     * A cancellation, which is about the orders a tag names and not about itself.
+     *
+     * Every live order carrying the tag is withdrawn and answered, which is what
+     * releases the position they were claiming, and the cancellation is then
+     * answered as an order of its own, because the engine appended a row for it
+     * and a row nothing ever answers stays at `placed` for the life of the run.
+     */
+    withdraw(intent, barIndex) {
+        for (const order of this.orders) {
+            if (!order.live || order.intent.tag !== intent.tag)
+                continue;
+            order.live = false;
+            this.say(order.intent, order.ref, 'cancelled', order.filledQty, null, barIndex);
+        }
+        // The cancellation is confirmed after what it withdrew, which is the order
+        // a venue does it in: the request is answered once it has been carried out.
+        this.refs += 1;
+        this.say(intent, refOf(this.refs), 'cancelled', 0, null, barIndex);
+    }
+    /**
+     * The first thing a venue says about an order it has taken.
+     *
+     * A working frame before any fill, because 7.4 asks for a frame on every
+     * change of status and a script waiting for a working order to clear waits
+     * blind without one. A market order is then filled in the same breath where
+     * the declaration prices it at this bar's close, and at the next bar's open
+     * where it does not.
+     */
+    open(order, barIndex) {
+        // A scheduled order is answered by its schedule from its first breath. The
+        // acknowledgement below is a thing this venue chooses to say, so a schedule
+        // that wants one states it, and one that wants the destination to sit on an
+        // order and say nothing gets that instead.
+        if (order.acts.length > 0) {
+            const bar = this.options.bars[barIndex];
+            if (bar !== undefined)
+                this.perform(order, bar, barIndex);
+            return;
+        }
+        this.say(order.intent, order.ref, 'working', 0, null, barIndex);
+        if (order.rest !== null)
+            return;
+        const atClose = this.options.fillOn === AT_CLOSE;
+        const bar = this.options.bars[atClose ? barIndex : barIndex + 1];
+        const price = atClose ? (bar?.close ?? null) : (bar?.open ?? null);
+        // A market order sent on the last bar of a run and priced at the next open
+        // has no next open. It stays working and is reported as an order the run
+        // ended holding, which is what it is.
+        if (price === null)
+            return;
+        this.complete(order, this.worsen(price, order.intent.side), barIndex);
+    }
+    /** One resting order against one bar. */
+    decide(order, bar, barIndex) {
+        const rest = order.rest;
+        if (rest === null)
+            return;
+        const outcome = testResting(order.triggered ? asLimit(rest) : rest, bar, this.options.fill);
+        if (!outcome.filled) {
+            if (outcome.triggered)
+                order.triggered = true;
+            return;
+        }
+        const price = outcome.slips ? this.worsen(outcome.price, order.intent.side) : outcome.price;
+        this.complete(order, price, barIndex);
+    }
+    /**
+     * The whole of an order, filled at one price.
+     *
+     * **The quantity is converted into units here, because that is what a fill
+     * is counted in and what every money figure is folded over.** A quantity
+     * travels in the declaration's own unit (`host-interface.md` 7.1) and the
+     * destination is the party that converts it. This filled the number verbatim,
+     * so a strategy sizing in lots on a lot of sixty five traded one sixty fifth
+     * of what it asked for and the whole report was out by that factor. The units
+     * this destination cannot arrive at are refused before the first bar rather
+     * than guessed at here, so by this point the unit is one of two.
+     */
+    complete(order, price, barIndex) {
+        const qty = this.unitsOf(order.intent);
+        order.filledQty = qty;
+        order.avgPrice = price;
+        order.live = false;
+        this.say(order.intent, order.ref, 'filled', qty, price, barIndex);
+    }
+    /**
+     * The acts due at this boundary, in the order the schedule stated them.
+     *
+     * Due is counted from the bar that sent the order, so an act names a moment
+     * in the life of its own order rather than a bar of the run. Two acts due
+     * together are answered as written, which is how a schedule states a
+     * cancellation and the fill that raced it.
+     *
+     * Liveness is not consulted. An order that has ended can still be spoken
+     * about, because the frame that arrives after it ended is the whole reason
+     * this is here: `stdlib.md` 17.8's fill after a terminal status, which a
+     * venue sends whenever a cancel races a fill and which an engine refusing it
+     * loses, leaving a position the strategy cannot see.
+     */
+    perform(order, bar, barIndex) {
+        for (const act of order.acts) {
+            if (order.placedOn + act.afterBars !== barIndex)
+                continue;
+            if (act.does === 'fill') {
+                this.report(order, act, bar, barIndex);
+                continue;
+            }
+            // The order ends, reporting what it filled before it ended, because a
+            // frame is cumulative: `stdlib.md` 17.8 has the row keeping the terminal
+            // word and the quantity recording what traded, both true at once.
+            order.live = false;
+            const ended = ENDED[act.does];
+            const price = order.filledQty > 0 ? order.avgPrice : null;
+            this.say(order.intent, order.ref, ended, order.filledQty, price, barIndex, act.text ?? '');
+        }
+    }
+    /**
+     * A fill the schedule stated, at this bar's close and worsened like any other.
+     *
+     * **The average is this venue's own, over the cumulative quantity**, the
+     * figure `stdlib.md` 17.8 step 3 says the row takes whole. A venue reporting
+     * the last piece's price and calling it an average hands the engine a number
+     * that is not one, and the engine may not work its own out from two of them,
+     * so the lie settles into the ledger and into every trade folded from it.
+     *
+     * A stated quantity at or below what this venue has already reported adds
+     * nothing and moves nothing: that is a repeated or a stale frame, which a real
+     * destination sends and the fold has to swallow. It carries the average this
+     * venue holds now rather than then, because it keeps no history of its own
+     * averages and the fold ignores the price of a frame adding no quantity. A
+     * bar with no close prices nothing, so an act due at one says nothing rather
+     * than raising a quantity with no price against it, which step 3 refuses.
+     */
+    report(order, act, bar, barIndex) {
+        const whole = this.unitsOf(order.intent);
+        const stated = act.units ?? whole;
+        const delta = stated - order.filledQty;
+        if (delta > 0) {
+            if (bar.close === null)
+                return;
+            // Written in this order and left in it: the source order of a sum is
+            // what decides its last bit, and a case harvested from this venue is
+            // asserted to the bit.
+            const price = this.worsen(bar.close, order.intent.side);
+            order.avgPrice = ((order.avgPrice ?? 0) * order.filledQty + price * delta) / stated;
+            order.filledQty = stated;
+            if (order.filledQty >= whole)
+                order.live = false;
+        }
+        // `working` is live and not completely filled, `filled` is the whole
+        // quantity: 17.7's two words read off the quantity rather than stated
+        // twice by a schedule that could disagree with the number beside them.
+        const status = order.filledQty >= whole ? 'filled' : 'working';
+        const price = stated > 0 ? order.avgPrice : null;
+        this.say(order.intent, order.ref, status, stated, price, barIndex, act.text ?? '');
+    }
+    /**
+     * The order's quantity in units, which is what a fill is counted in.
+     *
+     * The conversion `complete` did inline, wanted in two places the moment a
+     * schedule can fill an order in pieces: the whole a piece is measured
+     * against has to be the number the fill path would have reported.
+     */
+    unitsOf(intent) {
+        const stated = intent.qty ?? 0;
+        const lot = this.options.contract.lotSize;
+        return this.options.qtyType === 'lots' && lot !== null && lot > 0 ? stated * lot : stated;
+    }
+    /**
+     * A price worsened by the slippage the run was carried out under.
+     *
+     * **Adverse always: a buy pays more and a sell receives less.** The sign is
+     * taken as written rather than as a magnitude, because a slippage below zero
+     * is refused before the first bar and taking its magnitude here would be this
+     * function quietly covering for a hole in that refusal. It went uncovered for
+     * a while: `scheduleProblem` has always refused a negative rate, and
+     * `checkSettings` asked it only about a schedule the host supplied, so a
+     * declaration stating a slippage of minus one improved both sides of every
+     * fill and the backtest paid the strategy to trade.
+     *
+     * A slippage in ticks with no tick size to measure a tick in charges nothing.
+     * The comment here once said that was refused before the first bar and it was
+     * not; it still is not, because an instrument with no tick is a fact a host
+     * may legitimately not hold, and a run that charges no slippage is a study
+     * before slippage rather than a wrong answer. What has changed is that this
+     * says so instead of claiming a refusal that never existed.
+     */
+    worsen(price, side) {
+        const tick = this.options.contract.tickSize;
+        if (tick === null || this.options.slippageTicks === 0)
+            return price;
+        const move = this.options.slippageTicks * tick;
+        return side === 'sell' ? price - move : price + move;
+    }
+    /** One frame, cumulative, in the order this venue spoke. */
+    say(intent, ref, status, filledQty, avgFillPrice, barIndex, text = '') {
+        this.seq += 1;
+        this.answered.push({
+            intentId: intent.intentId,
+            status,
+            filledQty,
+            avgFillPrice,
+            orderRef: ref,
+            sentInstrument: intent.instrument,
+            sentProduct: intent.product,
+            time: this.options.bars[barIndex]?.time ?? null,
+            text,
+            seq: this.seq,
+        });
+    }
+}
+/** This venue's own reference for an order, which the engine records and never parses. */
+function refOf(count) {
+    return 'ORD-' + String(count);
+}
+/** The resting order an intent is, or nothing where it is a market order. */
+function restingFor(intent) {
+    if (intent.type === null || intent.type === 'market' || intent.side === null)
+        return null;
+    return { side: intent.side, type: intent.type, limit: intent.limit, trigger: intent.trigger };
+}
+/** A stop limit that has triggered, which is a limit from that moment on. */
+function asLimit(rest) {
+    return { side: rest.side, type: 'limit', limit: rest.limit, trigger: null };
+}
+//# sourceMappingURL=simulate.js.map

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

@@ -0,0 +1 @@
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