openalgo-script 0.4.0 → 0.5.0

package/README.md

@@ -15,6 +15,15 @@ can write their own engine for it.
 
 ---
 
+## Architecture at a glance
+
+[![OpenScript connects a trading idea to charts, backtests and planned live trading, using the platform's editor, market data and broker connection.](https://raw.githubusercontent.com/marketcalls/openscript/main/docs/architecture-overview.png)](https://raw.githubusercontent.com/marketcalls/openscript/main/docs/architecture-overview.png)
+
+Write an indicator or a strategy once, then use it on a chart or test it against
+historical data. Your platform supplies the editor, saved scripts, market data
+and connections. The live runner is planned, with sandbox testing before live
+execution; see [Phase 6](./ROADMAP.md#phase-6-the-second-engine-and-live-running).
+
 ## Status
 
 **`0.4.0` runs studies, backtests strategies, and ships the language
@@ -57,12 +66,21 @@ first thing a stranger reads:
   [`docs/integrating/the-editor-half.md`](./docs/integrating/the-editor-half.md).
   The language server that would put the same errors in a desktop editor is the
   rest of Phase 4 and is not written.
-- **No second engine, and no case files to hand one.** The Python engine and the
-  conformance suite that would prove two engines agree are Phase 6. A run record
-  is the case, but the files a suite is run from cannot be written from one yet:
-  a case has to carry the source text and a record carries the source's hash.
-  Until an engine somebody else wrote passes that suite, the portability claim is
-  a design, not a result.
+- **No engine anybody else wrote has run the suite, so the portability claim is
+  still untested.** The second engine is here: `engine/` holds a complete
+  engine in Python with a test suite of its own, and `npm test` runs both on
+  every build. A run record carries its own
+  source text rather than only a hash of it (`sourceText` in
+  [`src/core/backtest/record.ts`](./src/core/backtest/record.ts)), and
+  `caseFilesFrom` in [`src/core/backtest/case.ts`](./src/core/backtest/case.ts)
+  writes the files a suite runs from straight out of a record, which is where the
+  eight cases under [`cases/`](./cases) came from. `npm run suite:agree` reports
+  8 pass of 8 between the two engines. What that run does not prove is the thing
+  the suite exists for: both engines were written in this repository, from the
+  same specification, by the same hands, so their agreement is evidence about
+  this repository rather than about the specification. Until an engine written by
+  somebody who had only the specification passes these cases, portability is a
+  design with one corroborating implementation, not a result.
 
 The version is `0.4.0` rather than `1.0` because of that list. The studies
 surface is the part that is finished, and it is the part to build on.
@@ -116,8 +134,8 @@ OpenScript is the opposite of that:
   timeout, and nothing you drew silently dropped to make room for the next one.
 - **Honest.** A higher timeframe read has to say whether it repaints. The
   compiler warns when a script would.
-- **Connected.** The same script places real orders through your own broker
-  connection, on paper by default.
+- **Connected.** Designed to route orders through your own broker connection,
+  with sandbox testing before live execution. The live runner is planned.
 - **Open.** Apache-2.0, a written specification, and a conformance suite anyone
   can run against their own implementation.
 
@@ -146,14 +164,49 @@ own, with their fixes taken from the error catalogue. A host supplies the text
 component and the panel around it, and keeps its own design. The editor is not a
 second implementation of the language to be kept in step.
 
-```
-source text
-   -> tokens
-   -> tree
-   -> checked tree        (errors carry a code, a line and a fix)
-   -> compiled program    (plain data, versioned schema)
-   -> any engine          (browser, server, yours)
-```
+[![OpenScript compiler and runtime: source passes through lexing, parsing, checking and emission into a portable data program, then verification, loading and bar-by-bar interpretation produce outputs for the host.](https://raw.githubusercontent.com/marketcalls/openscript/main/docs/architecture-compiler.png)](https://raw.githubusercontent.com/marketcalls/openscript/main/docs/architecture-compiler.png)
+
+### From source to a compiled program
+
+| Stage | What happens | Implementation |
+|---|---|---|
+| Lex | Turns text into tokens with source positions. Newlines, indentation and dedentation become explicit tokens, so later stages do not reinterpret whitespace. | [`src/core/lex`](./src/core/lex/index.ts) |
+| Parse | Builds the abstract syntax tree (AST). It recovers around malformed statements so an editor can still work with a partially typed file. | [`src/core/parse`](./src/core/parse/index.ts) |
+| Check | Resolves names, checks types and calls, determines storage and tracks when a value becomes available. `CheckedScript` keeps those answers beside the original tree. | [`src/core/check`](./src/core/check/index.ts) |
+| Emit | Allocates registers and persistent state, lowers statements into instructions, links calls and requests, and checks stack depths and limits. | [`src/core/emit`](./src/core/emit/emit.ts) |
+
+The result is a [`CompiledProgram`](./src/core/emit/program.ts), not executable
+code in the host's language. Alongside its instructions it carries the constants,
+inputs, output declarations, storage layout and source mapping the engine needs.
+Its [canonical encoding](./src/core/emit/canonical.ts) makes the program portable
+and gives it stable bytes for hashing. The language and compiled format have
+separate versions, defined by the [compiled program specification](./spec/compiled-program.md).
+
+Every compiler stage reports through the same diagnostic system. Codes, messages
+and fixes come from the [error catalogue](./spec/errors.json); the
+[headless editor](./src/editor/index.ts) reuses the compiler and its language
+tables for highlighting, completion, diagnostics, hover, signatures and formatting.
+
+### From a compiled program to results
+
+Before the first bar, [`load`](./src/core/engine/load.ts) verifies the program's
+format, capabilities, tables and instructions, including stack and address
+bounds. It checks the host's limits, resolves inputs and plans requested series.
+A rejected program returns a diagnostic before execution starts.
+
+The [engine](./src/core/engine/engine.ts) then advances one bar at a time. Its
+[interpreter](./src/core/engine/machine.ts) walks the instruction list using
+registers, persistent memory and the standard library, with instruction, memory
+and time budgets. Updating the newest bar restores its checkpoint before
+recomputing it; explicitly live state is retained. Drawing values are published
+on updates, while signals, alerts and orders follow the confirmation policy.
+
+The [chart adapter](./src/adapters/charts/index.ts) maps study outputs into the
+host's chart. The [backtest driver](./src/core/backtest/drive.ts) supplies a
+simulated order destination and records frames, fills, orders and the report.
+[Replay and rerun](./src/core/backtest/replay.ts) let a stored result be checked
+again. The host owns data access, rendering, persistence and order routing;
+the language core does not reach into those systems itself.
 
 ## The pieces, and which way they point
 

package/dist/adapters/charts/driving.d.ts

@@ -0,0 +1,50 @@
+/**
+ * Walking the bars, for a study and for a strategy.
+ *
+ * Split from `run.ts` because they are two things. That file decides what an
+ * engine is loaded with: the host record, the clock, the settings, the venue.
+ * This one decides how the bars are then handed over, and the two differ by
+ * exactly one thing, whether frames have to reach the engine between them.
+ */
+import type { CompiledProgram } from '../../core/emit/index.js';
+import type { Engine } from '../../core/engine/index.js';
+import type { ChartBar, ChartCalcContext, ChartSettings } from './contract.js';
+import type { HeldVenue } from './venue.js';
+/**
+ * A run in hand, held between a chart's recomputes.
+ *
+ * The signature and the bar times are what a tail run is checked against before
+ * it is trusted: splicing a tail onto a history that has changed underneath it
+ * draws a wrong study that looks entirely plausible.
+ */
+export interface Held {
+    readonly engine: Engine;
+    readonly signature: string;
+    count: number;
+    firstTime: number;
+    lastTime: number;
+    /**
+     * The destination this run's orders go to, for a strategy.
+     *
+     * Held with the engine because the two are one run: the venue holds the
+     * orders that have not filled yet, and an engine continued onto a new bar
+     * against a fresh venue would have its working orders silently forgotten.
+     */
+    readonly venue: HeldVenue | null;
+}
+/** A study: every bar in one hand-over, which is what `run` is for. */
+export declare function runWhole(engine: Engine, bars: readonly ChartBar[], ctx: ChartCalcContext | undefined, program: CompiledProgram, settings: ChartSettings): Held;
+/**
+ * A strategy: one bar at a time, with the venue answering between them.
+ *
+ * The order is deliver, execute, then ask. A driver that asked the venue before
+ * executing would price a fill against a bar the strategy had not seen yet, and
+ * one that delivered after executing would let a script read a position its own
+ * order on this bar had just created.
+ *
+ * `supplied` is the whole count rather than the index reached, so `bar.isLast`
+ * means the same on this path as on the one above it: a strategy written to act
+ * on the final bar acts on the final bar, not on every bar in turn.
+ */
+export declare function walkWith(engine: Engine, held: HeldVenue, bars: readonly ChartBar[], ctx: ChartCalcContext | undefined, program: CompiledProgram, settings: ChartSettings): Held;
+//# sourceMappingURL=driving.d.ts.map

package/dist/adapters/charts/driving.d.ts.map

@@ -0,0 +1 @@
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package/dist/adapters/charts/driving.js

@@ -0,0 +1,57 @@
+/**
+ * Walking the bars, for a study and for a strategy.
+ *
+ * Split from `run.ts` because they are two things. That file decides what an
+ * engine is loaded with: the host record, the clock, the settings, the venue.
+ * This one decides how the bars are then handed over, and the two differ by
+ * exactly one thing, whether frames have to reach the engine between them.
+ */
+import { hostBar, stateFor } from './bars.js';
+import { stopped } from './errors.js';
+import { signatureOf } from './settings.js';
+import { answersFor } from './venue.js';
+/** A study: every bar in one hand-over, which is what `run` is for. */
+export function runWhole(engine, bars, ctx, program, settings) {
+    const result = engine.run(bars.map(hostBar), bars.map((_, index) => stateFor(index, bars, ctx)));
+    if (result.diagnostic !== undefined)
+        throw stopped(result.diagnostic);
+    return heldFrom(engine, null, bars, program, settings);
+}
+/**
+ * A strategy: one bar at a time, with the venue answering between them.
+ *
+ * The order is deliver, execute, then ask. A driver that asked the venue before
+ * executing would price a fill against a bar the strategy had not seen yet, and
+ * one that delivered after executing would let a script read a position its own
+ * order on this bar had just created.
+ *
+ * `supplied` is the whole count rather than the index reached, so `bar.isLast`
+ * means the same on this path as on the one above it: a strategy written to act
+ * on the final bar acts on the final bar, not on every bar in turn.
+ */
+export function walkWith(engine, held, bars, ctx, program, settings) {
+    for (let index = 0; index < bars.length; index += 1) {
+        const bar = bars[index];
+        if (bar === undefined)
+            continue;
+        for (const frame of held.pending)
+            engine.deliver(frame);
+        held.pending = [];
+        const result = engine.append(hostBar(bar), stateFor(index, bars, ctx), bars.length);
+        if (result.diagnostic !== undefined)
+            throw stopped(result.diagnostic);
+        answersFor(held, index);
+    }
+    return heldFrom(engine, held, bars, program, settings);
+}
+function heldFrom(engine, venue, bars, program, settings) {
+    return {
+        engine,
+        venue,
+        signature: signatureOf(program, settings),
+        count: bars.length,
+        firstTime: bars[0]?.time ?? 0,
+        lastTime: bars[bars.length - 1]?.time ?? 0,
+    };
+}
+//# sourceMappingURL=driving.js.map

package/dist/adapters/charts/driving.js.map

@@ -0,0 +1 @@
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package/dist/adapters/charts/run.d.ts

@@ -98,6 +98,26 @@ export interface ChartAdapterOptions {
      * (`stdlib.md` 17.1), never handed over by the chart.
      */
     readonly orders?: EffectRoute;
+    /**
+     * Run a strategy against a simulated destination where the host gives none.
+     *
+     * **Off by default, because the refusal it replaces is useful.** A strategy
+     * with nowhere to send an order is refused at load with OS6006 naming the
+     * capability, which is exactly what a host that meant to wire a destination
+     * and forgot needs to be told. A chart that quietly filled one in for them
+     * would draw a convincing strategy that routed nothing.
+     *
+     * **On, it is the venue a backtest uses.** A chart drawing a strategy then
+     * fills the same orders at the same prices as the report of the same script,
+     * so the marks on the price and the trades in the report are one answer
+     * rather than two. This is what a host turns on to draw a strategy the way it
+     * draws a study: the plots, the legend row and the settings all follow from
+     * the program running at all.
+     *
+     * It does not place an order anywhere. A host that wants that supplies
+     * `orders`, which wins over this.
+     */
+    readonly simulateOrders?: boolean;
     readonly limits?: Partial<EngineLimits>;
     readonly clock?: Clock;
     /**

package/dist/adapters/charts/run.d.ts.map

@@ -1 +1 @@
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+{"version":3,"file":"run.d.ts","sourceRoot":"","sources":["../../../src/adapters/charts/run.ts"],"names":[],"mappings":"AAAA;;;;;;;;;;;;;;;;;;;;;GAqBG;AACH,OAAO,KAAK,EACV,KAAK,EACL,WAAW,EAGX,YAAY,EACZ,IAAI,EAEJ,UAAU,EACV,OAAO,EAEP,KAAK,EACN,MAAM,4BAA4B,CAAC;AAEpC,OAAO,KAAK,EAAE,eAAe,EAAE,MAAM,0BAA0B,CAAC;AAChE,OAAO,KAAK,EAAE,UAAU,EAAE,MAAM,qBAAqB,CAAC;AAEtD,OAAO,KAAK,EAAE,QAAQ,EAAE,gBAAgB,EAAE,aAAa,EAAE,UAAU,EAAE,MAAM,eAAe,CAAC;AAU3F,iFAAiF;AACjF,MAAM,WAAW,mBAAmB;IAClC;;;;;;OAMG;IACH,QAAQ,CAAC,EAAE,CAAC,EAAE,MAAM,CAAC;IACrB,gFAAgF;IAChF,QAAQ,CAAC,QAAQ,CAAC,EAAE,MAAM,CAAC;IAC3B;;;;;;;;;;;;;;;;;;;;;;;;OAwBG;IACH,QAAQ,CAAC,QAAQ,CAAC,EAAE,aAAa,CAAC;IAClC;;;;;;;OAOG;IACH,QAAQ,CAAC,WAAW,CAAC,EAAE,MAAM,CAAC;IAC9B,yEAAyE;IACzE,QAAQ,CAAC,MAAM,CAAC,EAAE,UAAU,CAAC;IAC7B;;;;;;;;;;OAUG;IACH,QAAQ,CAAC,UAAU,CAAC,EAAE,UAAU,CAAC;IACjC;;;;;;;;;;;OAWG;IACH,QAAQ,CAAC,MAAM,CAAC,EAAE,WAAW,CAAC;IAC9B;;;;;;;;;;;;;;;;;;OAkBG;IACH,QAAQ,CAAC,cAAc,CAAC,EAAE,OAAO,CAAC;IAClC,QAAQ,CAAC,MAAM,CAAC,EAAE,OAAO,CAAC,YAAY,CAAC,CAAC;IACxC,QAAQ,CAAC,KAAK,CAAC,EAAE,KAAK,CAAC;IACvB;;;;;;;OAOG;IACH,QAAQ,CAAC,WAAW,CAAC,EAAE,CAAC,IAAI,EAAE,MAAM,EAAE,QAAQ,EAAE,MAAM,KAAK,MAAM,CAAC;CACnE;AAMD,gEAAgE;AAChE,MAAM,MAAM,OAAO,GAAG,SAAS,CAAC,SAAS,KAAK,EAAE,CAAC,EAAE,CAAC;AAEpD;;;;;;;;GAQG;AACH,MAAM,WAAW,SAAS;IACxB,QAAQ,CAAC,OAAO,EAAE,OAAO,CAAC;IAC1B,QAAQ,CAAC,MAAM,EAAE,SAAS,IAAI,EAAE,CAAC;IACjC,QAAQ,CAAC,QAAQ,EAAE,SAAS,OAAO,EAAE,CAAC;CACvC;AAED,wBAAgB,OAAO,CACrB,OAAO,EAAE,eAAe,EACxB,IAAI,EAAE,SAAS,QAAQ,EAAE,EACzB,QAAQ,EAAE,aAAa,EACvB,KAAK,EAAE,UAAU,EACjB,GAAG,EAAE,gBAAgB,GAAG,SAAS,EACjC,OAAO,EAAE,mBAAmB,GAC3B,SAAS,CAmBX;AAED;;;;;;;;GAQG;AACH,wBAAgB,OAAO,CACrB,OAAO,EAAE,eAAe,EACxB,IAAI,EAAE,SAAS,QAAQ,EAAE,EACzB,IAAI,EAAE,MAAM,EACZ,QAAQ,EAAE,aAAa,EACvB,KAAK,EAAE,UAAU,EACjB,GAAG,EAAE,gBAAgB,GAAG,SAAS,EAGjC,QAAQ,EAAE,mBAAmB,GAC5B,SAAS,GAAG,IAAI,CA6ClB;AAED;;;;;GAKG;AACH,wBAAgB,OAAO,CAAC,KAAK,EAAE,UAAU,GAAG,IAAI,CAG/C"}

package/dist/adapters/charts/run.js

@@ -3,21 +3,26 @@ import { hostBar, hostNow, stateFor } from './bars.js';
 import { refused, stopped } from './errors.js';
 import { stationIn, stationOf } from './requests.js';
 import { engineSettings, signatureOf } from './settings.js';
+import { answersFor, needsVenue, routeInto, venueFor } from './venue.js';
+import { runWhole, walkWith } from './driving.js';
+/** The engine one chart instance is holding, between recomputes. */
 /** The store key. Namespaced, because the store belongs to the host as well. */
 const HELD = 'openscript';
 export function fullRun(program, bars, settings, store, ctx, options) {
     const station = stationIn(store);
-    const engine = start(program, settings, ctx, options, station.provider(bars));
-    const result = engine.run(bars.map(hostBar), bars.map((_, index) => stateFor(index, bars, ctx)));
-    if (result.diagnostic !== undefined)
-        throw stopped(result.diagnostic);
-    const held = {
-        engine,
-        signature: signatureOf(program, settings),
-        count: bars.length,
-        firstTime: bars[0]?.time ?? 0,
-        lastTime: bars[bars.length - 1]?.time ?? 0,
-    };
+    const started = start(program, settings, ctx, options, station.provider(bars), bars);
+    const engine = started.engine;
+    // **A strategy is walked bar by bar and a study is handed the lot.** The
+    // difference is the venue: its frames reach the engine between bars, which is
+    // the only place they can, so a strategy's position is right on the bar after
+    // the one it traded on. `run()` has no gap to put them in.
+    //
+    // It is also the loop the backtest uses, which is the point: a chart drawing a
+    // strategy and a report of the same strategy walk the same bars in the same
+    // order against the same venue, so they cannot disagree about what filled.
+    const held = started.venue === null
+        ? runWhole(engine, bars, ctx, program, settings)
+        : walkWith(engine, started.venue, bars, ctx, program, settings);
     store[HELD] = held;
     station.settle();
     return outputOf(program, engine);
@@ -51,11 +56,28 @@ _options) {
         if (bar === undefined)
             return null;
         const state = stateFor(index, bars, ctx);
+        // The venue's answers about the bar before this one, delivered before this
+        // one runs, exactly as the full walk does. A tail that skipped this would
+        // draw the first bars of a strategy correctly and then quietly stop folding
+        // its fills the moment the chart went live, which is the half of the run
+        // nobody re-checks.
+        //
+        // Only when the bar is new. Re-executing the bar that moved must not
+        // deliver again: a frame is cumulative and folding one twice is harmless,
+        // but the bar's own orders have been rolled back and answering them a
+        // second time would fill an order the engine no longer knows it sent.
+        if (held.venue !== null && index !== from) {
+            for (const frame of held.venue.pending)
+                held.engine.deliver(frame);
+            held.venue.pending = [];
+        }
         const result = index === from
             ? held.engine.update(hostBar(bar), state)
             : held.engine.append(hostBar(bar), state);
         if (result.diagnostic !== undefined)
             throw stopped(result.diagnostic);
+        if (held.venue !== null)
+            answersFor(held.venue, index);
     }
     held.count = bars.length;
     held.lastTime = bars[bars.length - 1]?.time ?? held.lastTime;
@@ -86,10 +108,38 @@ function outputOf(program, engine) {
     // `tables.ts`'s own first paragraph.
     return { columns, tables: engine.tables(), drawings: engine.drawings() };
 }
-function start(program, settings, ctx, options, requests) {
+/**
+ * Load the program, and give a strategy somewhere for its orders to go.
+ *
+ * **The venue is built after the load and reached through a holder, because
+ * neither can come first.** The route has to be handed to `load`, since that is
+ * what declares the `orders` capability and a program needing one is otherwise
+ * refused. The venue has to be built after it, because the declaration it reads
+ * may state its fill rule through an `input()`, and inputs are not resolved
+ * until `load` has run. The route is only ever called from inside an execution,
+ * which is after both, so the holder is always filled by the time anything
+ * reaches it.
+ *
+ * **A host that supplied its own route keeps it.** Somewhere real to send an
+ * order is a better destination than a simulated one, and a host that wired one
+ * up meant it.
+ *
+ * **And simulation is asked for rather than assumed.** Without
+ * `simulateOrders` a strategy with nowhere to send an order is still refused at
+ * load, which is the answer a host that meant to wire a destination and forgot
+ * needs to see. Filling in a venue for them would turn that mistake into a
+ * chart that draws convincingly and routes nothing, discovered whenever
+ * somebody next looked for the orders.
+ */
+function start(program, settings, ctx, options, requests, bars) {
+    const holder = { current: null };
+    const simulate = options.simulateOrders === true && options.orders === undefined && needsVenue(program);
+    const withRoute = simulate
+        ? { ...options, orders: routeInto(holder) }
+        : options;
     const loaded = load(program, {
         settings: engineSettings(program, settings),
-        host: hostFor(ctx, options, requests),
+        host: hostFor(ctx, withRoute, requests),
         time: timeFor(options, ctx?.timezone ?? ''),
         ...(options.limits === undefined ? {} : { limits: options.limits }),
         ...(options.source === undefined ? {} : { source: options.source }),
@@ -97,7 +147,13 @@ function start(program, settings, ctx, options, requests) {
     });
     if (!loaded.ok)
         throw refused(loaded.diagnostic);
-    return loaded.engine;
+    if (!simulate)
+        return { engine: loaded.engine, venue: null };
+    const venue = venueFor(program, bars, loaded.inputs, instrumentFor(ctx, options));
+    if (venue === null)
+        return { engine: loaded.engine, venue: null };
+    holder.current = venue;
+    return { engine: loaded.engine, venue: { venue, pending: [] } };
 }
 /**
  * The host the engine reads, which always serves requests.
@@ -109,8 +165,16 @@ function start(program, settings, ctx, options, requests) {
  * the chart's own sentence in `req.error`, instead of being refused at load
  * with OS6006 naming a capability the chart does have.
  */
-function hostFor(ctx, options, requests) {
-    const instrument = {
+/**
+ * The instrument record, from what the host stated and what the chart knows.
+ *
+ * Its own function because two callers need it and they must not each build
+ * one: the engine is loaded with this record, and the venue prices fills
+ * against the tick size in it. Two spellings of the same record is how a fill
+ * gets rounded to a tick the strategy was never told about.
+ */
+function instrumentFor(ctx, options) {
+    return {
         ...(options.instrument ?? {}),
         ...(ctx?.symbol === undefined ? {} : { symbol: ctx.symbol }),
         ...(ctx?.interval === undefined ? {} : { interval: ctx.interval }),
@@ -121,6 +185,9 @@ function hostFor(ctx, options, requests) {
         // the chart it was drawn on.
         ...(ctx === undefined || ctx.timezone === '' ? {} : { timezone: ctx.timezone }),
     };
+}
+function hostFor(ctx, options, requests) {
+    const instrument = instrumentFor(ctx, options);
     return {
         instrument,
         requestBars: requests,

package/dist/adapters/charts/run.js.map

@@ -1 +1 @@
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package/dist/adapters/charts/venue.d.ts

@@ -0,0 +1,73 @@
+/**
+ * The destination a strategy runs against when a chart draws one.
+ *
+ * **Why a chart needs one at all.** A strategy asks a destination to do things
+ * and folds its position from what comes back. Handed no destination it is
+ * refused at load with OS6006, and handed one that answers nothing it runs but
+ * never learns it is in a position: every `close()` closes nothing, every entry
+ * is allowed again on the next signal, and the study draws a strategy that is
+ * wrong about itself while looking entirely normal. Measured on a stop and
+ * reverse script, that shape produced five buys and no sells.
+ *
+ * **It is the backtest's own venue, not a second one.** `Simulator` is what
+ * `backtest()` runs against, so a chart running a strategy through it fills the
+ * same orders at the same prices as the report the trader ran a moment ago. A
+ * venue written here to be simpler would be a second answer to "what would this
+ * have filled at", and the two would disagree the first time either changed:
+ * the chart would draw one set of trades and the report would list another.
+ *
+ * **What a chart supplies and what it invents.** The bars, the instrument and
+ * the declaration are the chart's own and are passed through. Money is not: a
+ * chart draws a strategy, it does not report one, so the currency, the point
+ * value and the rounding are stated here as the neutral values that make the
+ * accounting a no-op. Nothing a chart draws reads them, and a chart that
+ * guessed a point value would put a wrong profit in front of somebody.
+ *
+ * **Nothing here decides when a fill happens.** The declaration does, through
+ * `fillOn`, and the venue reads it. A market order priced at the next bar's
+ * open is known at that open; one that rested and traded inside a bar is known
+ * once the bar is complete. Both are what a venue could have told anybody at
+ * the time, and that is the whole reason the frames arrive between bars rather
+ * than inside the execution that sent them.
+ */
+import { Simulator } from '../../core/backtest/index.js';
+import type { CompiledProgram } from '../../core/emit/index.js';
+import type { Instrument, OrderFrame, ResolvedInput, RoutedEffect } from '../../core/engine/index.js';
+import type { ChartBar } from './contract.js';
+/**
+ * Whether this program needs a destination before it can run at all.
+ *
+ * Read from the program's own declared capabilities rather than from whether
+ * its source said `strategy()`, because `requires` is the same fact the engine
+ * tests at load. A strategy that places no orders needs none, and anything that
+ * does need one is refused without it.
+ */
+export declare function needsVenue(program: CompiledProgram): boolean;
+/**
+ * The venue for one chart run, or nothing where the program does not need one.
+ *
+ * `inputs` are the ones the engine resolved at load, because a declaration
+ * field may be written as an `input()`: a script whose `fillOn` comes from a
+ * setting would otherwise be filled the way its source happened to be written
+ * rather than the way the trader is running it.
+ */
+export declare function venueFor(program: CompiledProgram, bars: readonly ChartBar[], inputs: readonly ResolvedInput[], instrument: Instrument | undefined): Simulator | null;
+/**
+ * A venue that can be asked for frames, held across a chart's recomputes.
+ *
+ * The bars a `Simulator` prices against are the ones it was built with, so a
+ * chart that has grown a bar needs a venue that knows about it. `extend` is how
+ * the tail path says so without rebuilding the orders it is already holding.
+ */
+export interface HeldVenue {
+    readonly venue: Simulator;
+    /** Frames the venue answered for a bar, waiting to be delivered before the next. */
+    pending: readonly OrderFrame[];
+}
+/** What a venue has to say after one bar, which the next bar's engine reads. */
+export declare function answersFor(held: HeldVenue, barIndex: number): void;
+/** The route an engine is loaded with, pointing at a venue built after it. */
+export declare function routeInto(holder: {
+    current: Simulator | null;
+}): (effect: RoutedEffect, bar: number) => void;
+//# sourceMappingURL=venue.d.ts.map

package/dist/adapters/charts/venue.d.ts.map

@@ -0,0 +1 @@
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package/dist/adapters/charts/venue.js

@@ -0,0 +1,104 @@
+/**
+ * The destination a strategy runs against when a chart draws one.
+ *
+ * **Why a chart needs one at all.** A strategy asks a destination to do things
+ * and folds its position from what comes back. Handed no destination it is
+ * refused at load with OS6006, and handed one that answers nothing it runs but
+ * never learns it is in a position: every `close()` closes nothing, every entry
+ * is allowed again on the next signal, and the study draws a strategy that is
+ * wrong about itself while looking entirely normal. Measured on a stop and
+ * reverse script, that shape produced five buys and no sells.
+ *
+ * **It is the backtest's own venue, not a second one.** `Simulator` is what
+ * `backtest()` runs against, so a chart running a strategy through it fills the
+ * same orders at the same prices as the report the trader ran a moment ago. A
+ * venue written here to be simpler would be a second answer to "what would this
+ * have filled at", and the two would disagree the first time either changed:
+ * the chart would draw one set of trades and the report would list another.
+ *
+ * **What a chart supplies and what it invents.** The bars, the instrument and
+ * the declaration are the chart's own and are passed through. Money is not: a
+ * chart draws a strategy, it does not report one, so the currency, the point
+ * value and the rounding are stated here as the neutral values that make the
+ * accounting a no-op. Nothing a chart draws reads them, and a chart that
+ * guessed a point value would put a wrong profit in front of somebody.
+ *
+ * **Nothing here decides when a fill happens.** The declaration does, through
+ * `fillOn`, and the venue reads it. A market order priced at the next bar's
+ * open is known at that open; one that rested and traded inside a bar is known
+ * once the bar is complete. Both are what a venue could have told anybody at
+ * the time, and that is the whole reason the frames arrive between bars rather
+ * than inside the execution that sent them.
+ */
+import { DEFAULT_FILL, Simulator, declarationOf } from '../../core/backtest/index.js';
+/**
+ * Whether this program needs a destination before it can run at all.
+ *
+ * Read from the program's own declared capabilities rather than from whether
+ * its source said `strategy()`, because `requires` is the same fact the engine
+ * tests at load. A strategy that places no orders needs none, and anything that
+ * does need one is refused without it.
+ */
+export function needsVenue(program) {
+    return program.requires.includes('orders');
+}
+/** One chart bar as the venue reads it. */
+function recorded(bar) {
+    return {
+        time: bar.time,
+        open: bar.open,
+        high: bar.high,
+        low: bar.low,
+        close: bar.close,
+        volume: bar.volume ?? null,
+        oi: bar.oi ?? null,
+    };
+}
+/**
+ * The venue for one chart run, or nothing where the program does not need one.
+ *
+ * `inputs` are the ones the engine resolved at load, because a declaration
+ * field may be written as an `input()`: a script whose `fillOn` comes from a
+ * setting would otherwise be filled the way its source happened to be written
+ * rather than the way the trader is running it.
+ */
+export function venueFor(program, bars, inputs, instrument) {
+    if (!needsVenue(program))
+        return null;
+    const declared = declarationOf(program, inputs);
+    return new Simulator({
+        bars: bars.map(recorded),
+        contract: {
+            symbol: instrument?.symbol ?? null,
+            exchange: instrument?.exchange ?? null,
+            // Neutral money. A chart draws a strategy and does not report one, so
+            // nothing it puts on screen reads these; stating a point value a host
+            // never gave would be inventing the size of somebody's position.
+            currency: declared.currency,
+            tickSize: instrument?.tickSize ?? null,
+            lotSize: null,
+            pointValue: 1,
+            digits: 2,
+        },
+        fill: DEFAULT_FILL,
+        // The declaration's own, so slippage is applied the way the backtest
+        // applies it. Ticks, against the instrument's tick size.
+        slippageTicks: declared.slippage,
+        fillOn: declared.fillOn,
+        qtyType: declared.qtyType,
+    });
+}
+/** What a venue has to say after one bar, which the next bar's engine reads. */
+export function answersFor(held, barIndex) {
+    held.pending = held.venue.framesFor(barIndex);
+}
+/** The route an engine is loaded with, pointing at a venue built after it. */
+export function routeInto(holder) {
+    // Late bound on purpose. The route is handed to `load`, and the venue cannot
+    // be built until `load` has resolved the inputs the declaration reads. The
+    // route is only ever called from inside an execution, which is after both.
+    return (effect, bar) => {
+        holder.current?.route(effect, bar);
+    };
+}
+//# sourceMappingURL=venue.js.map