openalgo-script 0.4.0 → 0.5.0

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

@@ -1,6 +1,7 @@
 import type { Diagnostic } from '../diagnostics/index.js';
 import type { CompiledProgram } from '../emit/index.js';
-import type { RecordedBar, RunRecord } from './record.js';
+import type { Instrument } from '../engine/index.js';
+import type { RecordedBar, RecordedFrame, 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 = {
@@ -10,20 +11,77 @@ export type BacktestResult = {
     readonly ok: false;
     readonly diagnostic: Diagnostic;
 };
+/**
+ * The facts of `host-interface.md` 4.1 that the contract does not hold.
+ *
+ * The contract already states six of the twelve, the ones the money is priced
+ * under, and a fact stated in two places is a fact that can disagree with
+ * itself: a tick size the engine rounds to and a different one the venue
+ * worsens a fill by is a run under two instruments. So the other six are
+ * stated here and the six the contract holds cannot be, which the compiler
+ * enforces rather than a check at run time.
+ */
+export type InstrumentFacts = Omit<Instrument, 'symbol' | 'exchange' | 'tickSize' | 'lotSize' | 'pointValue' | 'currency'>;
 /** 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';
+    /**
+     * What the host states about the instrument beside the contract, so the
+     * record it produces is a conformance case.
+     *
+     * A case holds `instrument.json`, which `conformance.md` section 2 says is
+     * the record of `host-interface.md` 4.1, and that page requires one fact of
+     * every host: `hasVolume`, because no derivation recovers it (4.2). The
+     * engine reads the record and does not refuse a run without it, so a caller
+     * that leaves this out gets a record that replays and reruns like any other
+     * and cannot become a case, exactly as one without `sourceText` cannot.
+     *
+     * A session stated without a timezone is refused at load, OS6012, by the
+     * same rule that refuses it for any host.
+     */
+    readonly instrument?: InstrumentFacts;
+    /**
+     * The script's own text, so the record it produces is a conformance case.
+     *
+     * A compiled program identifies its source and cannot reproduce it, and a
+     * case has to hold `script.os`. A caller holding only a program leaves this
+     * out and gets a record that replays and reruns like any other; the one
+     * thing it cannot do is be handed to somebody else's engine as a case.
+     *
+     * It is checked against the program's own source hash, so text from a
+     * different revision than the one that was compiled is refused rather than
+     * written into a case that could never make its own expected output.
+     */
+    readonly sourceText?: string;
 }
 /**
- * One run, from a compiled program to a record of it.
+ * One run against a simulated destination, from a compiled program to a record.
  *
- * 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.
+ * The frames are the destination's own: it is handed the orders, it reads the
+ * bars, and what it answers is what the engine folds. A run whose frames
+ * somebody else is supplying is `backtestSupplied` below.
  */
 export declare function backtest(program: CompiledProgram, bars: readonly RecordedBar[], settings: BacktestSettings, options?: DriveOptions): BacktestResult;
+/**
+ * One run over the frames somebody else supplied, which this engine does not
+ * choose and does not add to.
+ *
+ * `conformance.md` section 3 gives a case a `frames.csv` that supplies order
+ * frames the way `bars.csv` supplies bars, so that a case asserts the fold
+ * against input the engine did not choose. Every other argument is `backtest`'s
+ * and means there what it means here. A row is delivered at the boundary it
+ * names and folded before the next bar, and the record carries the rows it was
+ * handed rather than a second spelling of them.
+ *
+ * **Nothing is invented.** No fill is priced off a bar, no order rests and no
+ * schedule is read, so an order the frames say nothing about stays where its
+ * placement left it, which is what a case saying nothing about it means.
+ *
+ * **A record made here is a record of this run and not of a simulated one.**
+ * `rerun` puts a record's program back on a simulated destination, because a
+ * record does not say which of the two answered it, so a rerun of one of these
+ * reproduces it only where that destination would answer these same frames.
+ */
+export declare function backtestSupplied(program: CompiledProgram, bars: readonly RecordedBar[], settings: BacktestSettings, frames: readonly RecordedFrame[], options?: DriveOptions): BacktestResult;
 //# sourceMappingURL=drive.d.ts.map

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

@@ -1 +1 @@
-{"version":3,"file":"drive.d.ts","sourceRoot":"","sources":["../../../src/core/backtest/drive.ts"],"names":[],"mappings":"AA8BA,OAAO,KAAK,EAAE,UAAU,EAAE,MAAM,yBAAyB,CAAC;AAC1D,OAAO,KAAK,EAAE,eAAe,EAAE,MAAM,kBAAkB,CAAC;AAiBxD,OAAO,KAAK,EACV,WAAW,EAIX,SAAS,EACV,MAAM,aAAa,CAAC;AAGrB,OAAO,KAAK,EAAE,gBAAgB,EAAE,MAAM,eAAe,CAAC;AAEtD,qEAAqE;AACrE,MAAM,MAAM,cAAc,GACtB;IAAE,QAAQ,CAAC,EAAE,EAAE,IAAI,CAAC;IAAC,QAAQ,CAAC,MAAM,EAAE,SAAS,CAAA;CAAE,GACjD;IAAE,QAAQ,CAAC,EAAE,EAAE,KAAK,CAAC;IAAC,QAAQ,CAAC,UAAU,EAAE,UAAU,CAAA;CAAE,CAAC;AAE5D,4EAA4E;AAC5E,MAAM,WAAW,YAAY;IAC3B,6EAA6E;IAC7E,QAAQ,CAAC,IAAI,CAAC,EAAE,QAAQ,GAAG,YAAY,CAAC;CACzC;AAED;;;;;;;;;GASG;AACH,wBAAgB,QAAQ,CACtB,OAAO,EAAE,eAAe,EACxB,IAAI,EAAE,SAAS,WAAW,EAAE,EAC5B,QAAQ,EAAE,gBAAgB,EAC1B,OAAO,GAAE,YAAiB,GACzB,cAAc,CAgDhB"}
+{"version":3,"file":"drive.d.ts","sourceRoot":"","sources":["../../../src/core/backtest/drive.ts"],"names":[],"mappings":"AAqCA,OAAO,KAAK,EAAE,UAAU,EAAE,MAAM,yBAAyB,CAAC;AAC1D,OAAO,KAAK,EAAE,eAAe,EAAE,MAAM,kBAAkB,CAAC;AAExD,OAAO,KAAK,EAIV,UAAU,EAIX,MAAM,oBAAoB,CAAC;AAQ5B,OAAO,KAAK,EACV,WAAW,EAEX,aAAa,EAEb,SAAS,EACV,MAAM,aAAa,CAAC;AAGrB,OAAO,KAAK,EAAE,gBAAgB,EAAE,MAAM,eAAe,CAAC;AAEtD,qEAAqE;AACrE,MAAM,MAAM,cAAc,GACtB;IAAE,QAAQ,CAAC,EAAE,EAAE,IAAI,CAAC;IAAC,QAAQ,CAAC,MAAM,EAAE,SAAS,CAAA;CAAE,GACjD;IAAE,QAAQ,CAAC,EAAE,EAAE,KAAK,CAAC;IAAC,QAAQ,CAAC,UAAU,EAAE,UAAU,CAAA;CAAE,CAAC;AAE5D;;;;;;;;;GASG;AACH,MAAM,MAAM,eAAe,GAAG,IAAI,CAChC,UAAU,EACV,QAAQ,GAAG,UAAU,GAAG,UAAU,GAAG,SAAS,GAAG,YAAY,GAAG,UAAU,CAC3E,CAAC;AAEF,4EAA4E;AAC5E,MAAM,WAAW,YAAY;IAC3B,6EAA6E;IAC7E,QAAQ,CAAC,IAAI,CAAC,EAAE,QAAQ,GAAG,YAAY,CAAC;IACxC;;;;;;;;;;;;;OAaG;IACH,QAAQ,CAAC,UAAU,CAAC,EAAE,eAAe,CAAC;IACtC;;;;;;;;;;;OAWG;IACH,QAAQ,CAAC,UAAU,CAAC,EAAE,MAAM,CAAC;CAC9B;AAED;;;;;;GAMG;AACH,wBAAgB,QAAQ,CACtB,OAAO,EAAE,eAAe,EACxB,IAAI,EAAE,SAAS,WAAW,EAAE,EAC5B,QAAQ,EAAE,gBAAgB,EAC1B,OAAO,GAAE,YAAiB,GACzB,cAAc,CAahB;AAED;;;;;;;;;;;;;;;;;;;GAmBG;AACH,wBAAgB,gBAAgB,CAC9B,OAAO,EAAE,eAAe,EACxB,IAAI,EAAE,SAAS,WAAW,EAAE,EAC5B,QAAQ,EAAE,gBAAgB,EAC1B,MAAM,EAAE,SAAS,aAAa,EAAE,EAChC,OAAO,GAAE,YAAiB,GACzB,cAAc,CAEhB"}

package/dist/core/backtest/drive.js

@@ -25,16 +25,64 @@
  * is reported on bar k + 1. A frame answered after the last bar has no boundary
  * left to fold at: it is not delivered, it is not recorded as delivered, and
  * the order it was about is in the ledger at whatever it last said.
+ *
+ * **Two drivers, and the only difference between them is where the frames come
+ * from.** `backtest` runs against the simulated destination, which decides a
+ * fill from the bars and answers frames of its own; `backtestSupplied` is
+ * handed the frames and delivers those. Everything else about the two is one
+ * function below: the same window, the same load, the same refusals, the same
+ * loop and the same record.
  */
 import { reportOf, scheduleFromDeclaration } from '../accounting/index.js';
 import { load } from '../engine/index.js';
 import { declarationOf } from './declaration.js';
+import { Delivery, framedAs, ordinalsOf } from './deliver.js';
 import { marksFor, windowFor } from './range.js';
 import { diagnosticIn, orderIn, recordOf } from './record.js';
 import { Simulator } from './simulate.js';
 import { checkSettings } from './settings.js';
 /**
- * One run, from a compiled program to a record of it.
+ * One run against a simulated destination, from a compiled program to a record.
+ *
+ * The frames are the destination's own: it is handed the orders, it reads the
+ * bars, and what it answers is what the engine folds. A run whose frames
+ * somebody else is supplying is `backtestSupplied` below.
+ */
+export function backtest(program, bars, settings, options = {}) {
+    return drive(program, bars, settings, options, (declared, schedule) => simulated(new Simulator({
+        bars,
+        contract: settings.contract,
+        fill: settings.fill,
+        slippageTicks: schedule.slippageTicks,
+        fillOn: declared.fillOn,
+        qtyType: declared.qtyType,
+    })));
+}
+/**
+ * One run over the frames somebody else supplied, which this engine does not
+ * choose and does not add to.
+ *
+ * `conformance.md` section 3 gives a case a `frames.csv` that supplies order
+ * frames the way `bars.csv` supplies bars, so that a case asserts the fold
+ * against input the engine did not choose. Every other argument is `backtest`'s
+ * and means there what it means here. A row is delivered at the boundary it
+ * names and folded before the next bar, and the record carries the rows it was
+ * handed rather than a second spelling of them.
+ *
+ * **Nothing is invented.** No fill is priced off a bar, no order rests and no
+ * schedule is read, so an order the frames say nothing about stays where its
+ * placement left it, which is what a case saying nothing about it means.
+ *
+ * **A record made here is a record of this run and not of a simulated one.**
+ * `rerun` puts a record's program back on a simulated destination, because a
+ * record does not say which of the two answered it, so a rerun of one of these
+ * reproduces it only where that destination would answer these same frames.
+ */
+export function backtestSupplied(program, bars, settings, frames, options = {}) {
+    return drive(program, bars, settings, options, () => new Delivery(frames));
+}
+/**
+ * The run both drivers are, and the one place a record is made.
  *
  * 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
@@ -42,19 +90,22 @@ import { checkSettings } from './settings.js';
  * 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.
+ *
+ * **The destination is chosen after the program is loaded**, which is why it
+ * arrives as a function of the declaration and the schedule: the bar a market
+ * order is priced at is the declaration's, and the declaration is resolved at
+ * load. The route is wired first and reaches whatever is chosen through the
+ * binding below, which is what lets one host serve both halves.
  */
-export function backtest(program, bars, settings, options = {}) {
+function drive(program, bars, settings, options, choose) {
     const framed = windowFor(bars, settings.range);
     if (!framed.ok)
         return { ok: false, diagnostic: framed.diagnostic };
-    // The venue is built after the program is loaded, because the bar a market
-    // order is priced at is the declaration's and the declaration is resolved at
-    // load. The route is wired first and reaches it through this binding, which
-    // is what lets one host serve both halves.
-    let venue;
+    let sending;
+    const instrument = instrumentFor(settings.contract, options.instrument ?? {});
     const loaded = load(program, {
         settings: settings.inputs,
-        host: hostFor(settings, (effect, bar) => venue?.route(effect, bar)),
+        host: hostFor(instrument, settings.now, (effect, bar) => sending?.route(effect, bar)),
     });
     if (!loaded.ok)
         return { ok: false, diagnostic: loaded.diagnostic };
@@ -64,32 +115,39 @@ export function backtest(program, bars, settings, options = {}) {
     if (problem !== null)
         return { ok: false, diagnostic: problem };
     const schedule = scheduleFor(settings, declared);
-    venue = new Simulator({
-        bars,
-        contract: settings.contract,
-        fill: settings.fill,
-        slippageTicks: schedule.slippageTicks,
-        fillOn: declared.fillOn,
-        qtyType: declared.qtyType,
-    });
-    const run = walk(engine, venue, bars, framed.covered);
-    const ordinals = ordinalsOf(venue.intents);
+    const destination = choose(declared, schedule);
+    sending = destination;
+    const run = walk(engine, destination, bars, framed.covered);
+    const ordinals = ordinalsOf(destination.intents);
     const marks = marksFor(bars, framed.covered);
     return {
         ok: true,
         record: recordOf({
             program: engine.program,
+            ...(options.sourceText === undefined ? {} : { sourceText: options.sourceText }),
             settings,
+            instrument,
             bars,
             form: options.form ?? 'inline',
-            frames: run.frames.map((one) => framedAs(one.frame, one.afterBar, ordinals)),
+            // The row where a case supplied one, because that row is the input and a
+            // record of a run over it says what it was given rather than what it
+            // would have written down had it decided the frame itself.
+            frames: run.frames.map((one) => one.row ?? framedAs(one.frame, one.afterBar, ordinals)),
             fills: run.fills,
-            orders: ordersOf(engine.orders(), venue.intents, ordinals),
+            orders: ordersOf(engine.orders(), destination.intents, ordinals),
             diagnostics: run.diagnostics,
             report: reportOf(run.fills, marks, schedule, settings.contract, declared.capital),
         }),
     };
 }
+/** The simulated destination, as a destination the loop below can drive. */
+function simulated(venue) {
+    return {
+        route: (effect, barIndex) => venue.route(effect, barIndex),
+        answers: (barIndex) => venue.framesFor(barIndex).map((frame) => ({ frame, afterBar: barIndex, row: null })),
+        intents: venue.intents,
+    };
+}
 /**
  * The bars, in order, with the venue answering between them.
  *
@@ -97,7 +155,7 @@ export function backtest(program, bars, settings, options = {}) {
  * reported, then ask the venue what this bar did. A driver that asked the venue
  * before appending would price a fill against a bar the strategy had not seen.
  */
-function walk(engine, venue, bars, covered) {
+function walk(engine, destination, bars, covered) {
     const fills = [];
     const frames = [];
     const diagnostics = [];
@@ -127,7 +185,7 @@ function walk(engine, venue, bars, covered) {
             diagnostics.push(diagnosticIn(result.diagnostic, index));
             break;
         }
-        pending = venue.framesFor(index).map((frame) => ({ frame, afterBar: index }));
+        pending = destination.answers(index);
     }
     return { fills, frames, diagnostics };
 }
@@ -189,33 +247,6 @@ function intentsIn(result) {
             out.push(intent);
     return out;
 }
-/**
- * The ordinal of every intent, which is how a case names one.
- *
- * One, two, three in the order the run placed them, because no engine can know
- * the id another minted and a case that named one would only ever be readable
- * by the engine that wrote it.
- */
-function ordinalsOf(intents) {
-    const out = new Map();
-    for (const intent of intents) {
-        if (!out.has(intent.intentId))
-            out.set(intent.intentId, out.size + 1);
-    }
-    return out;
-}
-/** One delivered frame, in the columns a case file prints. */
-function framedAs(frame, afterBar, ordinals) {
-    return {
-        afterBar,
-        intent: ordinals.get(frame.intentId) ?? 0,
-        status: frame.status,
-        filledQty: frame.filledQty,
-        avgFillPrice: frame.avgFillPrice ?? null,
-        orderRef: frame.orderRef ?? null,
-        text: frame.text ?? null,
-    };
-}
 /** The ledger at the end, copied out of the engine's own array. */
 function ordersOf(rows, intents, ordinals) {
     return rows.map((row) => {
@@ -236,6 +267,33 @@ function scheduleFor(settings, declared) {
         return settings.costs;
     return scheduleFromDeclaration(declared.commission, declared.commissionType, declared.slippage, settings.contract.currency, settings.contract.digits);
 }
+/**
+ * The instrument record of `host-interface.md` 4.1 the engine is handed, and
+ * the record carries verbatim.
+ *
+ * Composed once, here, from the contract's six facts and the six stated beside
+ * it, so the engine and the record read one document and there is no second
+ * composition for the two to disagree by. A fact nobody stated is left out
+ * rather than written as undefined: the record travels as JSON, which drops an
+ * undefined member, and a document that changes shape in transit is not the
+ * document the engine read.
+ */
+function instrumentFor(contract, facts) {
+    return {
+        ...(contract.symbol === null ? {} : { symbol: contract.symbol }),
+        ...(contract.exchange === null ? {} : { exchange: contract.exchange }),
+        ...(facts.interval === undefined ? {} : { interval: facts.interval }),
+        ...(facts.timezone === undefined ? {} : { timezone: facts.timezone }),
+        ...(contract.tickSize === null ? {} : { tickSize: contract.tickSize }),
+        ...(contract.lotSize === null ? {} : { lotSize: contract.lotSize }),
+        pointValue: contract.pointValue,
+        currency: contract.currency,
+        ...(facts.instrumentType === undefined ? {} : { instrumentType: facts.instrumentType }),
+        ...(facts.hasVolume === undefined ? {} : { hasVolume: facts.hasVolume }),
+        ...(facts.hasOpenInterest === undefined ? {} : { hasOpenInterest: facts.hasOpenInterest }),
+        ...(facts.session === undefined ? {} : { session: facts.session }),
+    };
+}
 /**
  * The host a backtest is: an instrument record, a clock and a destination.
  *
@@ -244,18 +302,10 @@ function scheduleFor(settings, declared) {
  * does not have and is refused at load, by name, rather than drawing a line
  * with nothing in it.
  */
-function hostFor(settings, route) {
-    const instrument = {
-        ...(settings.contract.symbol === null ? {} : { symbol: settings.contract.symbol }),
-        ...(settings.contract.exchange === null ? {} : { exchange: settings.contract.exchange }),
-        ...(settings.contract.tickSize === null ? {} : { tickSize: settings.contract.tickSize }),
-        ...(settings.contract.lotSize === null ? {} : { lotSize: settings.contract.lotSize }),
-        pointValue: settings.contract.pointValue,
-        currency: settings.contract.currency,
-    };
+function hostFor(instrument, now, route) {
     return {
         instrument,
-        ...(settings.now === null ? {} : { now: settings.now }),
+        ...(now === null ? {} : { now }),
         route,
     };
 }

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

@@ -1 +1 @@
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package/dist/core/backtest/index.d.ts

@@ -14,18 +14,28 @@
  * worsened by a tick and a fill is charged. The engine never adjusts a price and
  * this module never folds one.
  *
- * `backtest` drives one, `replay` folds a stored one's money again from its own
- * fills, and `rerun` executes a stored one again and is held to producing the
- * same bytes. `recordToJson` and `recordFromJson` are the document itself.
- * `compareRuns` puts two records beside each other and says whether the gap
- * between them clears the noise. `caseFilesFrom` is named by the design and is
- * not here yet: it will return text and write nothing, because core does no
- * I/O, and it needs a channel the record does not carry today. `conformance.md`
- * section 2 requires a case to hold `script.os`, the source text, and a record
- * carries only the source's hash, its line count and its file name.
+ * `backtest` drives one against a simulated destination and `backtestSupplied`
+ * drives one over frames somebody else supplied, which is what `conformance.md`
+ * section 3 asks of an engine running a case. `replay` folds a stored one's
+ * money again from its own fills, and `rerun` executes a stored one again and
+ * is held to producing the same bytes. `recordToJson` and `recordFromJson` are
+ * the document itself. `compareRuns` puts two records beside each other and
+ * says whether the gap between them clears the noise. `caseFilesFrom` turns a
+ * record into the files of a conformance case, returning text and writing
+ * nothing because core does no I/O. It needed three channels the record did not
+ * carry. `conformance.md` section 2 requires a case to hold `script.os`, the
+ * source text, and a record carried only the source's hash, its line count and
+ * its file name: record version 2 carries the text, checked against that hash.
+ * The same section says `instrument.json` is the record of `host-interface.md`
+ * 4.1, and a record carried the money layer's contract, which holds six of its
+ * twelve facts: record version 3 carries the record the engine was handed,
+ * whole. And a case is handed frames, which `stdlib.md` 17.7 folds one ledger
+ * field from an instant of: a record carried a frame without the instant it
+ * arrived at, so a case projected from it asserted a field its own input could
+ * not reproduce. Record version 4 carries a frame's time.
  */
-export { backtest } from './drive.js';
-export type { BacktestResult, DriveOptions } from './drive.js';
+export { backtest, backtestSupplied } from './drive.js';
+export type { BacktestResult, DriveOptions, InstrumentFacts } from './drive.js';
 export { declarationOf } from './declaration.js';
 export type { RunDeclaration } from './declaration.js';
 export { marksFor, windowFor } from './range.js';
@@ -35,8 +45,10 @@ export type { ReplayResult } from './replay.js';
 export { testResting } from './resting.js';
 export type { RestOutcome, RestingOrder } from './resting.js';
 export { Simulator } from './simulate.js';
-export type { SimulatorOptions } from './simulate.js';
+export type { SimulatorOptions, VenueAct, VenueDoes, VenuePolicy } from './simulate.js';
 export { DEFAULT_FILL, EXACT, WHOLE_RANGE, checkSettings, settingsFor } from './settings.js';
+export { caseFilesFrom } from './case.js';
+export type { CaseFiles, CaseIdentity, CaseResult } from './case.js';
 export { RECORD_VERSION, barsHash, recordFromJson, recordOf, recordToJson, runBytes } from './record.js';
 export type { RecordParts } from './record.js';
 export type { BacktestSettings, DateRange, FillPolicy, Tolerance } from './settings.js';

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

@@ -1 +1 @@
-{"version":3,"file":"index.d.ts","sourceRoot":"","sources":["../../../src/core/backtest/index.ts"],"names":[],"mappings":"AAAA;;;;;;;;;;;;;;;;;;;;;;;;;GAyBG;AACH,OAAO,EAAE,QAAQ,EAAE,MAAM,YAAY,CAAC;AACtC,YAAY,EAAE,cAAc,EAAE,YAAY,EAAE,MAAM,YAAY,CAAC;AAC/D,OAAO,EAAE,aAAa,EAAE,MAAM,kBAAkB,CAAC;AACjD,YAAY,EAAE,cAAc,EAAE,MAAM,kBAAkB,CAAC;AACvD,OAAO,EAAE,QAAQ,EAAE,SAAS,EAAE,MAAM,YAAY,CAAC;AACjD,YAAY,EAAE,YAAY,EAAE,YAAY,EAAE,MAAM,YAAY,CAAC;AAC7D,OAAO,EAAE,MAAM,EAAE,KAAK,EAAE,MAAM,aAAa,CAAC;AAC5C,YAAY,EAAE,YAAY,EAAE,MAAM,aAAa,CAAC;AAChD,OAAO,EAAE,WAAW,EAAE,MAAM,cAAc,CAAC;AAC3C,YAAY,EAAE,WAAW,EAAE,YAAY,EAAE,MAAM,cAAc,CAAC;AAC9D,OAAO,EAAE,SAAS,EAAE,MAAM,eAAe,CAAC;AAC1C,YAAY,EAAE,gBAAgB,EAAE,MAAM,eAAe,CAAC;AACtD,OAAO,EAAE,YAAY,EAAE,KAAK,EAAE,WAAW,EAAE,aAAa,EAAE,WAAW,EAAE,MAAM,eAAe,CAAC;AAC7F,OAAO,EAAE,cAAc,EAAE,QAAQ,EAAE,cAAc,EAAE,QAAQ,EAAE,YAAY,EAAE,QAAQ,EAAE,MAAM,aAAa,CAAC;AACzG,YAAY,EAAE,WAAW,EAAE,MAAM,aAAa,CAAC;AAC/C,YAAY,EAAE,gBAAgB,EAAE,SAAS,EAAE,UAAU,EAAE,SAAS,EAAE,MAAM,eAAe,CAAC;AACxF,YAAY,EACV,YAAY,EACZ,WAAW,EACX,kBAAkB,EAClB,aAAa,EACb,aAAa,EACb,SAAS,GACV,MAAM,aAAa,CAAC;AACrB,OAAO,EAAE,WAAW,EAAE,MAAM,cAAc,CAAC;AAC3C,YAAY,EAAE,aAAa,EAAE,MAAM,cAAc,CAAC"}
+{"version":3,"file":"index.d.ts","sourceRoot":"","sources":["../../../src/core/backtest/index.ts"],"names":[],"mappings":"AAAA;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;GAmCG;AACH,OAAO,EAAE,QAAQ,EAAE,gBAAgB,EAAE,MAAM,YAAY,CAAC;AACxD,YAAY,EAAE,cAAc,EAAE,YAAY,EAAE,eAAe,EAAE,MAAM,YAAY,CAAC;AAChF,OAAO,EAAE,aAAa,EAAE,MAAM,kBAAkB,CAAC;AACjD,YAAY,EAAE,cAAc,EAAE,MAAM,kBAAkB,CAAC;AACvD,OAAO,EAAE,QAAQ,EAAE,SAAS,EAAE,MAAM,YAAY,CAAC;AACjD,YAAY,EAAE,YAAY,EAAE,YAAY,EAAE,MAAM,YAAY,CAAC;AAC7D,OAAO,EAAE,MAAM,EAAE,KAAK,EAAE,MAAM,aAAa,CAAC;AAC5C,YAAY,EAAE,YAAY,EAAE,MAAM,aAAa,CAAC;AAChD,OAAO,EAAE,WAAW,EAAE,MAAM,cAAc,CAAC;AAC3C,YAAY,EAAE,WAAW,EAAE,YAAY,EAAE,MAAM,cAAc,CAAC;AAC9D,OAAO,EAAE,SAAS,EAAE,MAAM,eAAe,CAAC;AAC1C,YAAY,EAAE,gBAAgB,EAAE,QAAQ,EAAE,SAAS,EAAE,WAAW,EAAE,MAAM,eAAe,CAAC;AACxF,OAAO,EAAE,YAAY,EAAE,KAAK,EAAE,WAAW,EAAE,aAAa,EAAE,WAAW,EAAE,MAAM,eAAe,CAAC;AAC7F,OAAO,EAAE,aAAa,EAAE,MAAM,WAAW,CAAC;AAC1C,YAAY,EAAE,SAAS,EAAE,YAAY,EAAE,UAAU,EAAE,MAAM,WAAW,CAAC;AACrE,OAAO,EAAE,cAAc,EAAE,QAAQ,EAAE,cAAc,EAAE,QAAQ,EAAE,YAAY,EAAE,QAAQ,EAAE,MAAM,aAAa,CAAC;AACzG,YAAY,EAAE,WAAW,EAAE,MAAM,aAAa,CAAC;AAC/C,YAAY,EAAE,gBAAgB,EAAE,SAAS,EAAE,UAAU,EAAE,SAAS,EAAE,MAAM,eAAe,CAAC;AACxF,YAAY,EACV,YAAY,EACZ,WAAW,EACX,kBAAkB,EAClB,aAAa,EACb,aAAa,EACb,SAAS,GACV,MAAM,aAAa,CAAC;AACrB,OAAO,EAAE,WAAW,EAAE,MAAM,cAAc,CAAC;AAC3C,YAAY,EAAE,aAAa,EAAE,MAAM,cAAc,CAAC"}

package/dist/core/backtest/index.js

@@ -14,23 +14,34 @@
  * worsened by a tick and a fill is charged. The engine never adjusts a price and
  * this module never folds one.
  *
- * `backtest` drives one, `replay` folds a stored one's money again from its own
- * fills, and `rerun` executes a stored one again and is held to producing the
- * same bytes. `recordToJson` and `recordFromJson` are the document itself.
- * `compareRuns` puts two records beside each other and says whether the gap
- * between them clears the noise. `caseFilesFrom` is named by the design and is
- * not here yet: it will return text and write nothing, because core does no
- * I/O, and it needs a channel the record does not carry today. `conformance.md`
- * section 2 requires a case to hold `script.os`, the source text, and a record
- * carries only the source's hash, its line count and its file name.
+ * `backtest` drives one against a simulated destination and `backtestSupplied`
+ * drives one over frames somebody else supplied, which is what `conformance.md`
+ * section 3 asks of an engine running a case. `replay` folds a stored one's
+ * money again from its own fills, and `rerun` executes a stored one again and
+ * is held to producing the same bytes. `recordToJson` and `recordFromJson` are
+ * the document itself. `compareRuns` puts two records beside each other and
+ * says whether the gap between them clears the noise. `caseFilesFrom` turns a
+ * record into the files of a conformance case, returning text and writing
+ * nothing because core does no I/O. It needed three channels the record did not
+ * carry. `conformance.md` section 2 requires a case to hold `script.os`, the
+ * source text, and a record carried only the source's hash, its line count and
+ * its file name: record version 2 carries the text, checked against that hash.
+ * The same section says `instrument.json` is the record of `host-interface.md`
+ * 4.1, and a record carried the money layer's contract, which holds six of its
+ * twelve facts: record version 3 carries the record the engine was handed,
+ * whole. And a case is handed frames, which `stdlib.md` 17.7 folds one ledger
+ * field from an instant of: a record carried a frame without the instant it
+ * arrived at, so a case projected from it asserted a field its own input could
+ * not reproduce. Record version 4 carries a frame's time.
  */
-export { backtest } from './drive.js';
+export { backtest, backtestSupplied } from './drive.js';
 export { declarationOf } from './declaration.js';
 export { marksFor, windowFor } from './range.js';
 export { replay, rerun } from './replay.js';
 export { testResting } from './resting.js';
 export { Simulator } from './simulate.js';
 export { DEFAULT_FILL, EXACT, WHOLE_RANGE, checkSettings, settingsFor } from './settings.js';
+export { caseFilesFrom } from './case.js';
 export { RECORD_VERSION, barsHash, recordFromJson, recordOf, recordToJson, runBytes } from './record.js';
 export { compareRuns } from './compare.js';
 //# sourceMappingURL=index.js.map

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

@@ -1 +1 @@
-{"version":3,"file":"index.js","sourceRoot":"","sources":["../../../src/core/backtest/index.ts"],"names":[],"mappings":"AAAA;;;;;;;;;;;;;;;;;;;;;;;;;GAyBG;AACH,OAAO,EAAE,QAAQ,EAAE,MAAM,YAAY,CAAC;AAEtC,OAAO,EAAE,aAAa,EAAE,MAAM,kBAAkB,CAAC;AAEjD,OAAO,EAAE,QAAQ,EAAE,SAAS,EAAE,MAAM,YAAY,CAAC;AAEjD,OAAO,EAAE,MAAM,EAAE,KAAK,EAAE,MAAM,aAAa,CAAC;AAE5C,OAAO,EAAE,WAAW,EAAE,MAAM,cAAc,CAAC;AAE3C,OAAO,EAAE,SAAS,EAAE,MAAM,eAAe,CAAC;AAE1C,OAAO,EAAE,YAAY,EAAE,KAAK,EAAE,WAAW,EAAE,aAAa,EAAE,WAAW,EAAE,MAAM,eAAe,CAAC;AAC7F,OAAO,EAAE,cAAc,EAAE,QAAQ,EAAE,cAAc,EAAE,QAAQ,EAAE,YAAY,EAAE,QAAQ,EAAE,MAAM,aAAa,CAAC;AAWzG,OAAO,EAAE,WAAW,EAAE,MAAM,cAAc,CAAC"}
+{"version":3,"file":"index.js","sourceRoot":"","sources":["../../../src/core/backtest/index.ts"],"names":[],"mappings":"AAAA;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;GAmCG;AACH,OAAO,EAAE,QAAQ,EAAE,gBAAgB,EAAE,MAAM,YAAY,CAAC;AAExD,OAAO,EAAE,aAAa,EAAE,MAAM,kBAAkB,CAAC;AAEjD,OAAO,EAAE,QAAQ,EAAE,SAAS,EAAE,MAAM,YAAY,CAAC;AAEjD,OAAO,EAAE,MAAM,EAAE,KAAK,EAAE,MAAM,aAAa,CAAC;AAE5C,OAAO,EAAE,WAAW,EAAE,MAAM,cAAc,CAAC;AAE3C,OAAO,EAAE,SAAS,EAAE,MAAM,eAAe,CAAC;AAE1C,OAAO,EAAE,YAAY,EAAE,KAAK,EAAE,WAAW,EAAE,aAAa,EAAE,WAAW,EAAE,MAAM,eAAe,CAAC;AAC7F,OAAO,EAAE,aAAa,EAAE,MAAM,WAAW,CAAC;AAE1C,OAAO,EAAE,cAAc,EAAE,QAAQ,EAAE,cAAc,EAAE,QAAQ,EAAE,YAAY,EAAE,QAAQ,EAAE,MAAM,aAAa,CAAC;AAWzG,OAAO,EAAE,WAAW,EAAE,MAAM,cAAc,CAAC"}

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

@@ -27,7 +27,7 @@
 import type { RecordedFill, Report } from '../accounting/index.js';
 import type { Diagnostic } from '../diagnostics/index.js';
 import type { CompiledProgram, SourceStamp } from '../emit/index.js';
-import type { LedgerRow } from '../engine/index.js';
+import type { Instrument, LedgerRow } from '../engine/index.js';
 import type { BacktestSettings } from './settings.js';
 /** One bar as a record holds it. */
 export interface RecordedBar {
@@ -68,6 +68,20 @@ export interface RecordedFrame {
     readonly avgFillPrice: number | null;
     readonly orderRef: string | null;
     readonly text: string | null;
+    /**
+     * The destination's own instant for this frame, or null where it stated none.
+     *
+     * **One field of the ledger is folded from it.** `host-interface.md` 7.2
+     * gives a frame a `time` and `stdlib.md` 17.7 moves `updatedAt` to it, so a
+     * record that dropped it wrote a ledger no engine reading the case back could
+     * fold to: handed frames with no instant, that engine leaves every
+     * `updatedAt` at `placedAt`, and the two disagree on exactly the rows whose
+     * destination answered later than the bar that placed the order.
+     *
+     * Absent rather than substituted, because 7.2 lets a destination state none
+     * and a row whose frame stated none keeps the instant it had.
+     */
+    readonly time: number | null;
 }
 /** A ledger row of `stdlib.md` 17.7, flattened: the `orders` channel of expected.json. */
 export interface RecordedOrder {
@@ -114,7 +128,43 @@ export interface RunRecord {
     readonly programHash: string;
     /** Hash, lines, file: the script revision. */
     readonly source: SourceStamp;
+    /**
+     * The source text itself, or null on a record written before version 2.
+     *
+     * **A record is the conformance case, and a case has to hold `script.os`.**
+     * `source` above identifies the script and cannot reproduce it: a hash is a
+     * fingerprint, so it settles whether two files are the same and yields
+     * neither of them. Without the text a stored record could be replayed months
+     * later and still not be handed to anybody else to run, which is the whole
+     * claim the suite exists to test.
+     *
+     * It lives here and not on the compiled program on purpose. A program is
+     * executable data that no engine needs the source to run, and it is the
+     * versioned artefact adopters depend on; putting the text there would send a
+     * script everywhere its program travels and widen the format every engine
+     * has to read. The record is the thing that wants to be self-contained.
+     */
+    readonly sourceText: string | null;
     readonly settings: BacktestSettings;
+    /**
+     * The instrument record of `host-interface.md` 4.1, as the engine was handed
+     * it, or null on a record written before version 3.
+     *
+     * **A case holds `instrument.json`, and `conformance.md` section 2 says that
+     * file is this record.** The contract in `settings` is the money layer's
+     * snapshot of the same instrument and holds six of the twelve facts; the
+     * ones a script reads and the money never does, the interval, the timezone,
+     * the session and the volume flag, were handed to the engine and written
+     * down nowhere. A case harvested from such a record either omitted a fact
+     * the page requires or stated one the run never had, and either way the
+     * second engine ran a different study than the one the expected output
+     * came from.
+     *
+     * It is the whole record and not the six facts beside the contract, because
+     * what is recorded is what the engine read at load, verbatim, and a reader
+     * should not have to compose it.
+     */
+    readonly instrument: Instrument | null;
     readonly bars: BarsInRecord;
     /** What the destination answered, in delivery order. */
     readonly frames: readonly RecordedFrame[];
@@ -133,11 +183,22 @@ export interface RunRecord {
  * file alone. It moves when a channel is added or a meaning changes, never when
  * a figure in a report does.
  */
-export declare const RECORD_VERSION = 1;
+export declare const RECORD_VERSION = 4;
 /** The parts a run hands over, each already in the shape the record holds. */
 export interface RecordParts {
     readonly program: CompiledProgram;
+    /**
+     * The script's own text, so the record can become a conformance case.
+     *
+     * Optional because a caller that has only a compiled program cannot invent
+     * it, and a run is still worth recording without it. `caseFilesFrom` is the
+     * one thing that then cannot be served, and it says so rather than writing a
+     * case with a hole in it.
+     */
+    readonly sourceText?: string;
     readonly settings: BacktestSettings;
+    /** The instrument record the engine was handed, `host-interface.md` 4.1. */
+    readonly instrument: Instrument;
     readonly bars: readonly RecordedBar[];
     /**
      * Whether the bars travel in the record or are pointed at.