openalgo-script 0.4.0 → 0.6.0

package/dist/core/importer/names.js

@@ -0,0 +1,78 @@
+/**
+ * Scopes, and the name each source name is written as.
+ *
+ * Two rules of the source dialect differ from OpenScript's, and both are about
+ * meaning rather than spelling. A declaration inside a block or a function
+ * always makes a new name there, hiding any outer name it shares a spelling
+ * with, where OpenScript updates the outer name instead and refuses to hide one
+ * (`language.md` 12.2 and 12.3). And the source dialect's built-ins live behind
+ * namespaces, so `rsi` or `step` is an ordinary name there and a library name or
+ * a reserved word here.
+ *
+ * So a declaration that would hide a visible name is renamed with a number, and
+ * a name OpenScript reserves or defines is renamed with `Value` after it. Every
+ * new spelling is checked against every name the source uses anywhere and every
+ * name OpenScript has, so a rename can never land on another name. Nothing
+ * else is renamed: a name that collides with neither keeps its spelling, and
+ * two sibling blocks may both declare it, as both languages allow.
+ */
+import { NAMESPACES, isLibraryName } from '../check/index.js';
+import { canonicalNumber } from '../emit/index.js';
+import { RESERVED_WORDS } from '../tokens/index.js';
+/** Words OpenScript gives a meaning of its own outside the library. */
+const DECLARATION_WORDS = ['study', 'strategy', 'limits', 'version'];
+export class Scope {
+    names = new Map();
+    parent;
+    constructor(parent) {
+        this.parent = parent;
+    }
+    find(name) {
+        return this.names.get(name) ?? this.parent?.find(name);
+    }
+    get isGlobal() {
+        return this.parent === undefined;
+    }
+}
+export class Namer {
+    #taken;
+    /** `used` is every identifier the source writes, anywhere. */
+    constructor(used) {
+        this.#taken = new Set(used);
+    }
+    /** Whether OpenScript already means something by this name. */
+    static reserved(name) {
+        return (RESERVED_WORDS.includes(name) ||
+            isLibraryName(name) ||
+            NAMESPACES.includes(name) ||
+            DECLARATION_WORDS.includes(name));
+    }
+    /** A spelling no source name and no OpenScript name has, starting from `base`. */
+    fresh(base) {
+        let candidate = base;
+        for (let n = 2; this.#taken.has(candidate) || Namer.reserved(candidate); n += 1) {
+            candidate = `${base}${canonicalNumber(n)}`;
+        }
+        this.#taken.add(candidate);
+        return candidate;
+    }
+    /**
+     * The spelling of a source name declared in `scope`.
+     *
+     * `hides` says whether an enclosing scope can already see the name, which is
+     * the case the source dialect reads as a new name and OpenScript would read
+     * as an update of the old one.
+     */
+    declare(name, hides) {
+        if (Namer.reserved(name))
+            return this.fresh(`${name}Value`);
+        if (hides)
+            return this.fresh(name);
+        return name;
+    }
+}
+/** A binding with the defaults a plain declaration has. */
+export function binding(output, kind, topLevel) {
+    return { output, kind, topLevel, handle: undefined, present: false, whole: false, labels: undefined };
+}
+//# sourceMappingURL=names.js.map

package/dist/core/importer/names.js.map

@@ -0,0 +1 @@
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package/dist/core/importer/orders.d.ts

@@ -0,0 +1,8 @@
+import type { Context, OutLine } from './context.js';
+import type { CallExpr } from './syntax.js';
+/** The declaration line, with every option it can carry. */
+export declare function declarationLine(ctx: Context, call: CallExpr, path: string): string;
+export declare function entryLines(ctx: Context, call: CallExpr, path: string, depth: number): OutLine[];
+export declare function closeLines(ctx: Context, call: CallExpr, path: string, depth: number): OutLine[];
+export declare function exitLines(ctx: Context, call: CallExpr, path: string, depth: number): OutLine[];
+//# sourceMappingURL=orders.d.ts.map

package/dist/core/importer/orders.d.ts.map

@@ -0,0 +1 @@
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package/dist/core/importer/orders.js

@@ -0,0 +1,332 @@
+/**
+ * The declaration, and the calls that trade.
+ *
+ * **The declaration** is written from the source's options where OpenScript
+ * has the same option (`language.md` 13.2 and 13.3), and every default the two
+ * languages disagree about is written out rather than left to the default: the
+ * source dialect starts a strategy with a million in capital where OpenScript
+ * starts with a hundred thousand, so a strategy that names no capital is given
+ * the source's. An option with no equivalent is left out of the declaration,
+ * because the file needs it, with OS9006 where it changes what is computed or
+ * traded and OS9009 where it changes only what is shown.
+ *
+ * **An entry** in the source dialect closes an opposite position before it
+ * opens its own, and is ignored while a position on its side is already held at
+ * the default pyramiding. It is written as exactly that: a `close()` behind a
+ * guard on the opposite side, then the entry behind a guard on its own side.
+ * **An exit** that names its entry is guarded by that entry's side, so that the
+ * levels of a long exit and a short exit do not replace each other on every
+ * bar, and a profit or loss given in ticks is converted to a price distance by
+ * the instrument's tick size. Every order call raises OS9010 once, because the
+ * two order models are close and are not the same.
+ */
+import { diagnosticFor } from '../diagnostics/index.js';
+import { bind } from './calls.js';
+import { quoted } from './context.js';
+import { pathOf } from './syntax.js';
+import { PREC, numberText, translate, wrap } from './values.js';
+/** The capital a source strategy starts with when it names none. */
+const SOURCE_CAPITAL = '1000000';
+const DECLARATION_POSITIONAL = ['title', 'shorttitle', 'overlay', 'format', 'precision'];
+const DISPLAY = new Set([
+    'max_bars_back', 'explicit_plot_zorder', 'max_lines_count', 'max_labels_count', 'max_boxes_count',
+    'max_polylines_count', 'dynamic_requests', 'behind_chart', 'risk_free_rate', 'calc_bars_count',
+]);
+/** Options that change what is computed or traded, with the literal that changes nothing. */
+const INERT = {
+    timeframe: '""',
+    timeframe_gaps: 'true',
+    calc_on_order_fills: 'false',
+    calc_on_every_tick: 'false',
+    use_bar_magnifier: 'false',
+    fill_orders_on_standard_ohlc: 'false',
+    backtest_fill_limits_assumption: '0',
+    close_entries_rule: '"FIFO"',
+    margin_long: 'margin',
+    margin_short: 'margin',
+};
+const QTY_TYPES = { fixed: 'units', cash: 'cash', percent_of_equity: 'equityPercent' };
+const COMMISSIONS = { percent: 'percent', cash_per_order: 'perTrade', cash_per_contract: 'perUnit' };
+function literalOf(expr) {
+    if (expr === undefined)
+        return undefined;
+    if (expr.kind === 'number')
+        return numberText(expr.text);
+    if (expr.kind === 'bool')
+        return String(expr.value);
+    if (expr.kind === 'string')
+        return quoted(expr.value);
+    if (expr.kind === 'unary' && expr.op === '-' && expr.operand.kind === 'number')
+        return `-${numberText(expr.operand.text)}`;
+    return undefined;
+}
+function constantOf(expr, prefix) {
+    const path = expr === undefined ? undefined : pathOf(expr);
+    return path?.startsWith(prefix) ? path.slice(prefix.length) : undefined;
+}
+/** The declaration line, with every option it can carry. */
+export function declarationLine(ctx, call, path) {
+    const strategy = path === 'strategy';
+    const bound = bind(call, DECLARATION_POSITIONAL);
+    const cannot = (arg, name) => ctx.note(diagnosticFor('OS9006', ctx.span(arg.at), { argument: name, call: path }));
+    const shownOnly = (arg, name) => ctx.note(diagnosticFor('OS9009', ctx.span(arg.at), { argument: name, call: path }));
+    for (const one of bound.stray)
+        cannot(one.arg, one.name);
+    const titleArg = bound.byName.get('title');
+    let title = titleArg?.value.kind === 'string' ? titleArg.value.value : undefined;
+    if (title === undefined) {
+        if (titleArg !== undefined)
+            cannot(titleArg, 'title');
+        title = 'Imported script';
+    }
+    const options = [quoted(title)];
+    const put = (name, value) => {
+        options.push(`${name} = ${value}`);
+    };
+    const commission = { type: undefined, given: false };
+    for (const [name, arg] of bound.byName) {
+        const literal = literalOf(arg.value);
+        switch (name) {
+            case 'title':
+                continue;
+            case 'shorttitle':
+                if (arg.value.kind === 'string')
+                    put('short', literal ?? '""');
+                else
+                    shownOnly(arg, name);
+                continue;
+            case 'overlay':
+                if (arg.value.kind === 'bool')
+                    put('overlay', literal ?? 'false');
+                else
+                    shownOnly(arg, name);
+                continue;
+            case 'precision':
+                if (arg.value.kind === 'number')
+                    put('precision', literal ?? '4');
+                else
+                    shownOnly(arg, name);
+                continue;
+            case 'format':
+            case 'scale': {
+                const word = constantOf(arg.value, `${name}.`);
+                const known = name === 'format' ? ['price', 'percent', 'volume'] : ['right', 'left', 'none'];
+                if (word !== undefined && known.includes(word))
+                    put(name, quoted(word));
+                else
+                    shownOnly(arg, name);
+                continue;
+            }
+        }
+        if (DISPLAY.has(name)) {
+            shownOnly(arg, name);
+            continue;
+        }
+        const inert = INERT[name];
+        if (inert !== undefined) {
+            if (literal !== inert)
+                cannot(arg, name);
+            continue;
+        }
+        if (!strategy) {
+            cannot(arg, name);
+            continue;
+        }
+        const numeric = arg.value.kind === 'number' ? literal : undefined;
+        switch (name) {
+            case 'initial_capital':
+                if (numeric !== undefined)
+                    put('capital', numeric);
+                else
+                    cannot(arg, name);
+                break;
+            case 'default_qty_value':
+                if (numeric !== undefined)
+                    put('qty', numeric);
+                else
+                    cannot(arg, name);
+                break;
+            case 'default_qty_type': {
+                const type = QTY_TYPES[constantOf(arg.value, 'strategy.') ?? ''];
+                ctx.qtyInUnits = type === 'units';
+                if (type !== undefined)
+                    put('qtyType', quoted(type));
+                else
+                    cannot(arg, name);
+                break;
+            }
+            case 'pyramiding':
+                if (numeric !== undefined && Number(numeric) <= 1)
+                    break;
+                if (numeric !== undefined) {
+                    ctx.pyramiding = Number(numeric);
+                    put('pyramiding', numeric);
+                }
+                cannot(arg, name);
+                break;
+            case 'currency': {
+                const code = constantOf(arg.value, 'currency.');
+                if (code === undefined)
+                    shownOnly(arg, name);
+                else if (code !== 'NONE')
+                    put('currency', quoted(code));
+                break;
+            }
+            case 'slippage':
+                if (numeric !== undefined)
+                    put('slippage', numeric);
+                else
+                    cannot(arg, name);
+                break;
+            case 'commission_type':
+                commission.type = COMMISSIONS[constantOf(arg.value, 'strategy.commission.') ?? ''];
+                if (commission.type === undefined)
+                    cannot(arg, name);
+                break;
+            case 'commission_value':
+                if (numeric !== undefined) {
+                    put('commission', numeric);
+                    commission.given = true;
+                }
+                else
+                    cannot(arg, name);
+                break;
+            case 'process_orders_on_close':
+                if (literal === 'true')
+                    put('fillOn', '"close"');
+                else if (literal !== 'false')
+                    cannot(arg, name);
+                break;
+            default:
+                cannot(arg, name);
+        }
+    }
+    if (strategy) {
+        if (!bound.byName.has('initial_capital'))
+            put('capital', SOURCE_CAPITAL);
+        if (commission.given)
+            put('commissionType', quoted(commission.type ?? 'percent'));
+    }
+    return `${strategy ? 'strategy' : 'study'}(${options.join(', ')})`;
+}
+/** OS9010, once per order call. */
+function orderNote(ctx, call, path) {
+    ctx.note(diagnosticFor('OS9010', ctx.span(call.callee.at), { call: path }), `OS9010 ${path}`);
+}
+/**
+ * Refuses the first argument that changes the order with no equivalent, and
+ * reports every one that changes only its label. Returns whether to go on.
+ */
+function sortArguments(ctx, path, bound, carried, refused) {
+    const first = bound.stray[0];
+    if (first !== undefined) {
+        ctx.refuse(diagnosticFor('OS9006', ctx.span(first.arg.at), { argument: first.name, call: path }));
+        return false;
+    }
+    for (const [name, arg] of bound.byName) {
+        if (carried.includes(name))
+            continue;
+        if (refused.includes(name) || !(name.startsWith('comment') || name.startsWith('alert') || name === 'disable_alert')) {
+            ctx.refuse(diagnosticFor('OS9006', ctx.span(arg.at), { argument: name, call: path }));
+            return false;
+        }
+        ctx.note(diagnosticFor('OS9009', ctx.span(arg.at), { argument: name, call: path }));
+    }
+    return true;
+}
+function required(ctx, call, path, bound, name) {
+    const arg = bound.byName.get(name);
+    if (arg !== undefined)
+        return translate(ctx, arg.value).text;
+    ctx.refuse(diagnosticFor('OS9006', ctx.span(call.at), { argument: name, call: path }));
+    return undefined;
+}
+export function entryLines(ctx, call, path, depth) {
+    const bound = bind(call, ['id', 'direction', 'qty', 'limit', 'stop']);
+    if (!sortArguments(ctx, path, bound, ['id', 'direction', 'qty'], ['limit', 'stop', 'oca_name', 'oca_type']))
+        return [];
+    const tag = required(ctx, call, path, bound, 'id');
+    const direction = constantOf(bound.byName.get('direction')?.value, 'strategy.');
+    if (tag === undefined)
+        return [];
+    if (direction !== 'long' && direction !== 'short') {
+        ctx.refuse(diagnosticFor('OS9006', ctx.span(bound.byName.get('direction')?.at ?? call.at), { argument: 'direction', call: path }));
+        return [];
+    }
+    const qty = bound.byName.get('qty');
+    if (qty !== undefined && !ctx.qtyInUnits) {
+        ctx.refuse(diagnosticFor('OS9006', ctx.span(qty.at), { argument: 'qty', call: path }));
+        return [];
+    }
+    orderNote(ctx, call, path);
+    const args = qty === undefined ? `tag = ${tag}` : `qty = ${translate(ctx, qty.value).text}, tag = ${tag}`;
+    const long = direction === 'long';
+    const lines = [
+        { depth, text: `if pos.size ${long ? '<' : '>'} 0` },
+        { depth: depth + 1, text: 'close()' },
+    ];
+    if (ctx.pyramiding <= 1) {
+        lines.push({ depth, text: `if pos.size ${long ? '<=' : '>='} 0` }, { depth: depth + 1, text: `${long ? 'buy' : 'sell'}(${args})` });
+    }
+    else {
+        lines.push({ depth, text: `${long ? 'buy' : 'sell'}(${args})` });
+    }
+    return lines;
+}
+export function closeLines(ctx, call, path, depth) {
+    const all = path === 'strategy.close_all';
+    const bound = bind(call, all ? [] : ['id']);
+    if (!sortArguments(ctx, path, bound, ['id'], ['qty', 'qty_percent', 'immediately']))
+        return [];
+    if (all) {
+        orderNote(ctx, call, path);
+        return [{ depth, text: 'close()' }];
+    }
+    const tag = required(ctx, call, path, bound, 'id');
+    if (tag === undefined)
+        return [];
+    orderNote(ctx, call, path);
+    return [{ depth, text: `close(tag = ${tag})` }];
+}
+export function exitLines(ctx, call, path, depth) {
+    const bound = bind(call, ['id', 'from_entry', 'qty', 'qty_percent', 'profit', 'limit', 'loss', 'stop']);
+    const carried = ['id', 'from_entry', 'profit', 'limit', 'loss', 'stop'];
+    const refused = ['qty', 'qty_percent', 'trail_price', 'trail_points', 'trail_offset', 'oca_name'];
+    if (!sortArguments(ctx, path, bound, carried, refused))
+        return [];
+    for (const [distance, price] of [['profit', 'limit'], ['loss', 'stop']]) {
+        const both = bound.byName.get(distance);
+        if (both !== undefined && bound.byName.has(price)) {
+            ctx.refuse(diagnosticFor('OS9006', ctx.span(both.at), { argument: distance, call: path }));
+            return [];
+        }
+    }
+    const tag = required(ctx, call, path, bound, 'id');
+    if (tag === undefined)
+        return [];
+    let guard;
+    const from = bound.byName.get('from_entry');
+    if (from !== undefined) {
+        const side = from.value.kind === 'string' ? ctx.facts.entries.get(from.value.value) : undefined;
+        if (side === undefined) {
+            ctx.refuse(diagnosticFor('OS9006', ctx.span(from.at), { argument: 'from_entry', call: path }));
+            return [];
+        }
+        guard = side === 'long' ? 'if pos.size >= 0' : 'if pos.size <= 0';
+    }
+    const parts = [`tag = ${tag}`];
+    for (const name of ['stop', 'limit']) {
+        const arg = bound.byName.get(name);
+        if (arg !== undefined)
+            parts.push(`${name} = ${translate(ctx, arg.value).text}`);
+    }
+    for (const name of ['profit', 'loss']) {
+        const arg = bound.byName.get(name);
+        if (arg !== undefined)
+            parts.push(`${name} = ${wrap(translate(ctx, arg.value), PREC.multiplicative)} * chart.tickSize`);
+    }
+    orderNote(ctx, call, path);
+    const line = `exit(${parts.join(', ')})`;
+    return guard === undefined ? [{ depth, text: line }] : [{ depth, text: guard }, { depth: depth + 1, text: line }];
+}
+//# sourceMappingURL=orders.js.map

package/dist/core/importer/orders.js.map

@@ -0,0 +1 @@
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package/dist/core/importer/outputs.d.ts

@@ -0,0 +1,19 @@
+import type { Context, OutLine } from './context.js';
+import type { CallExpr } from './syntax.js';
+import type { Out } from './values.js';
+/**
+ * `input.int(14, "Length", minval = 1)` and its siblings, as one `input()`.
+ *
+ * `assigned` is whether the input is the whole value of a declaration, where
+ * OpenScript takes the name as the title and a title may be left out.
+ */
+export declare function translateInput(ctx: Context, call: CallExpr, path: string, assigned: boolean): Out;
+export declare function plotCall(ctx: Context, call: CallExpr, path: string): Out;
+export declare function levelCall(ctx: Context, call: CallExpr, path: string): Out;
+/** `fill` between two named plots; a level or an expression in either place is refused. */
+export declare function fillLine(ctx: Context, call: CallExpr, path: string, depth: number): OutLine[];
+/** `bgcolor` and `barcolor`, which paint one bar and take a colour. */
+export declare function paintLine(ctx: Context, call: CallExpr, path: string, target: string, depth: number): OutLine[];
+/** `plotshape(cond, ...)`, which draws on the bars its series holds: a marker behind an if. */
+export declare function shapeLines(ctx: Context, call: CallExpr, path: string, depth: number): OutLine[];
+//# sourceMappingURL=outputs.d.ts.map

package/dist/core/importer/outputs.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"outputs.d.ts","sourceRoot":"","sources":["../../../src/core/importer/outputs.ts"],"names":[],"mappings":"AAgBA,OAAO,KAAK,EAAE,OAAO,EAAE,OAAO,EAAE,MAAM,cAAc,CAAC;AAGrD,OAAO,KAAK,EAAO,QAAQ,EAAQ,MAAM,aAAa,CAAC;AAEvD,OAAO,KAAK,EAAE,GAAG,EAAE,MAAM,aAAa,CAAC;AAcvC;;;;;GAKG;AACH,wBAAgB,cAAc,CAAC,GAAG,EAAE,OAAO,EAAE,IAAI,EAAE,QAAQ,EAAE,IAAI,EAAE,MAAM,EAAE,QAAQ,EAAE,OAAO,GAAG,GAAG,CA+BjG;AAoCD,wBAAgB,QAAQ,CAAC,GAAG,EAAE,OAAO,EAAE,IAAI,EAAE,QAAQ,EAAE,IAAI,EAAE,MAAM,GAAG,GAAG,CAsBxE;AAID,wBAAgB,SAAS,CAAC,GAAG,EAAE,OAAO,EAAE,IAAI,EAAE,QAAQ,EAAE,IAAI,EAAE,MAAM,GAAG,GAAG,CAqBzE;AAED,2FAA2F;AAC3F,wBAAgB,QAAQ,CAAC,GAAG,EAAE,OAAO,EAAE,IAAI,EAAE,QAAQ,EAAE,IAAI,EAAE,MAAM,EAAE,KAAK,EAAE,MAAM,GAAG,OAAO,EAAE,CAwB7F;AAED,uEAAuE;AACvE,wBAAgB,SAAS,CAAC,GAAG,EAAE,OAAO,EAAE,IAAI,EAAE,QAAQ,EAAE,IAAI,EAAE,MAAM,EAAE,MAAM,EAAE,MAAM,EAAE,KAAK,EAAE,MAAM,GAAG,OAAO,EAAE,CAU9G;AAkBD,+FAA+F;AAC/F,wBAAgB,UAAU,CAAC,GAAG,EAAE,OAAO,EAAE,IAAI,EAAE,QAAQ,EAAE,IAAI,EAAE,MAAM,EAAE,KAAK,EAAE,MAAM,GAAG,OAAO,EAAE,CA8B/F"}