openalgo-script 0.4.0 → 0.6.0

package/dist/core/backtest/record.js

@@ -1,4 +1,4 @@
-import { canonicalise, programHash, sha256 } from '../emit/index.js';
+import { canonicalNumber, canonicalise, programHash, sha256, sourceHash } from '../emit/index.js';
 import { VERSION } from '../version/index.js';
 /**
  * The revision of this document's own shape.
@@ -8,7 +8,21 @@ import { VERSION } from '../version/index.js';
  * file alone. It moves when a channel is added or a meaning changes, never when
  * a figure in a report does.
  */
-export const RECORD_VERSION = 1;
+export const RECORD_VERSION = 4;
+/**
+ * The revision each later channel arrived in.
+ *
+ * A record written before a channel existed reads with that channel absent,
+ * and this table is what `recordFromJson` reads it from: one row per channel
+ * added since version 1, so the rule for an old record is stated once and
+ * grows by a line when the next channel does.
+ *
+ * `frameTime` is a field of a row rather than a channel of the document, and it
+ * is a row here for the same reason the other two are: what a reader has to
+ * know is which revision it arrived in. Where the absence is written differs,
+ * and that is the reader's business below, not this table's.
+ */
+const ADDED_IN = { sourceText: 2, instrument: 3, frameTime: 4 };
 /** What this engine calls itself in a record it wrote. */
 const ENGINE_NAME = 'openscript';
 /**
@@ -23,11 +37,13 @@ export function recordOf(parts) {
     return {
         recordVersion: RECORD_VERSION,
         engine: { name: ENGINE_NAME, version: VERSION },
-        languageVersion: String(parts.program.openscript.language),
+        languageVersion: canonicalNumber(parts.program.openscript.language),
         program: parts.program,
         programHash: programHash(parts.program),
         source: parts.program.source,
+        sourceText: textFor(parts),
         settings: parts.settings,
+        instrument: parts.instrument,
         bars: barsIn(parts.bars, parts.form),
         frames: parts.frames,
         fills: parts.fills,
@@ -36,6 +52,24 @@ export function recordOf(parts) {
         report: parts.report,
     };
 }
+/**
+ * The source text, checked against the hash the program already carries.
+ *
+ * A check rather than a promise, and it costs one hash of a few kilobytes. The
+ * failure it exists for is quiet: a caller that passes the text of a different
+ * revision than the one it compiled produces a case whose script does not make
+ * its own expected output, and the engine being tested gets the blame for a
+ * disagreement that was in the case all along.
+ */
+function textFor(parts) {
+    const text = parts.sourceText;
+    if (text === undefined)
+        return null;
+    if (sourceHash(text) !== parts.program.source.hash) {
+        throw new Error('openscript: the source text does not hash to the source hash the program carries');
+    }
+    return text;
+}
 /**
  * The bars, held or pointed at, and the same hash either way.
  *
@@ -122,7 +156,40 @@ export function recordFromJson(text) {
     if (parsed === null || typeof parsed !== 'object')
         return null;
     const record = parsed;
-    return record.recordVersion === RECORD_VERSION ? record : null;
+    const version = record.recordVersion;
+    if (typeof version !== 'number' || version < 1 || version > RECORD_VERSION)
+        return null;
+    // An earlier revision is readable and a later one is not, and the asymmetry
+    // is the point. A later revision may mean something by a field this one
+    // thinks it knows, which is how a record silently becomes a different run. An
+    // earlier one only ever has fewer: every channel it carries means here what
+    // it meant there, and the ones added since are absent rather than wrong. So a
+    // run stored months ago still reads, which is the whole of what it was stored
+    // for, and a channel it never carried reads as absent.
+    if (version === RECORD_VERSION)
+        return record;
+    return {
+        ...record,
+        sourceText: version >= ADDED_IN.sourceText ? record.sourceText : null,
+        instrument: version >= ADDED_IN.instrument ? record.instrument : null,
+        frames: version >= ADDED_IN.frameTime ? record.frames : timeless(record.frames),
+    };
+}
+/**
+ * The frames of a record written before a frame carried an instant.
+ *
+ * The absence is written on every frame rather than on the record, because the
+ * channel is a field of a row: a reader that left the field undefined would
+ * hand the case projection an undefined where the column's absent spelling
+ * belongs, and the file would read `undefined` back to the next engine. The
+ * frames are left as they are when they are not an array, because this is a
+ * parse and not a validation and a document this engine did not write is the
+ * caller's to trust or not.
+ */
+function timeless(frames) {
+    if (!Array.isArray(frames))
+        return frames;
+    return frames.map((frame) => ({ ...frame, time: null }));
 }
 /**
  * One ledger row, flattened into the words a case file prints.

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

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

@@ -1 +1 @@
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+{"version":3,"file":"replay.d.ts","sourceRoot":"","sources":["../../../src/core/backtest/replay.ts"],"names":[],"mappings":"AAgCA,OAAO,KAAK,EAAkB,MAAM,EAAE,MAAM,wBAAwB,CAAC;AAErE,OAAO,KAAK,EAAE,UAAU,EAAE,MAAM,yBAAyB,CAAC;AAG1D,OAAO,KAAK,EAAE,cAAc,EAAE,MAAM,YAAY,CAAC;AAKjD,OAAO,KAAK,EAAE,WAAW,EAAE,SAAS,EAAE,MAAM,aAAa,CAAC;AAE1D,mEAAmE;AACnE,MAAM,MAAM,YAAY,GACpB;IAAE,QAAQ,CAAC,EAAE,EAAE,IAAI,CAAC;IAAC,QAAQ,CAAC,MAAM,EAAE,MAAM,CAAA;CAAE,GAC9C;IAAE,QAAQ,CAAC,EAAE,EAAE,KAAK,CAAC;IAAC,QAAQ,CAAC,UAAU,EAAE,UAAU,CAAA;CAAE,CAAC;AAE5D;;;;;;GAMG;AACH,wBAAgB,MAAM,CAAC,MAAM,EAAE,SAAS,EAAE,IAAI,GAAE,SAAS,WAAW,EAAE,GAAG,IAAW,GAAG,YAAY,CAoBlG;AAED;;;;;;;;GAQG;AACH,wBAAgB,KAAK,CAAC,MAAM,EAAE,SAAS,EAAE,IAAI,GAAE,SAAS,WAAW,EAAE,GAAG,IAAW,GAAG,cAAc,CAcnG;AAED,KAAK,UAAU,GACX;IAAE,QAAQ,CAAC,EAAE,EAAE,IAAI,CAAC;IAAC,QAAQ,CAAC,IAAI,EAAE,SAAS,WAAW,EAAE,CAAA;CAAE,GAC5D;IAAE,QAAQ,CAAC,EAAE,EAAE,KAAK,CAAC;IAAC,QAAQ,CAAC,UAAU,EAAE,UAAU,CAAA;CAAE,CAAC;AAE5D;;;;;;;GAOG;AACH,wBAAgB,MAAM,CAAC,MAAM,EAAE,SAAS,EAAE,QAAQ,EAAE,SAAS,WAAW,EAAE,GAAG,IAAI,GAAG,UAAU,CAY7F"}

package/dist/core/backtest/replay.js

@@ -71,7 +71,17 @@ export function rerun(record, bars = null) {
     const held = barsOf(record, bars);
     if (!held.ok)
         return { ok: false, diagnostic: held.diagnostic };
-    return backtest(record.program, held.bars, record.settings, { form: record.bars.form });
+    // Everything the run depended on, and that includes the two channels that
+    // arrived after the sentence above was written. The instrument record is what
+    // the engine read at load, so a rerun handed the contract alone runs under
+    // different session facts and does not reproduce the bytes; the text is what
+    // makes the rerun's record harvestable, and dropping it would turn a record
+    // that could become a case into one that cannot, by being rerun.
+    return backtest(record.program, held.bars, record.settings, {
+        form: record.bars.form,
+        ...(record.instrument === null ? {} : { instrument: record.instrument }),
+        ...(record.sourceText === null ? {} : { sourceText: record.sourceText }),
+    });
 }
 /**
  * The bars a record was made from, proved to be those bars.

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

@@ -1 +1 @@
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+{"version":3,"file":"replay.js","sourceRoot":"","sources":["../../../src/core/backtest/replay.ts"],"names":[],"mappings":"AAAA;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;GA8BG;AACH,OAAO,EAAE,QAAQ,EAAE,uBAAuB,EAAE,MAAM,wBAAwB,CAAC;AAE3E,OAAO,EAAE,aAAa,EAAE,MAAM,yBAAyB,CAAC;AAExD,OAAO,EAAE,IAAI,EAAE,MAAM,oBAAoB,CAAC;AAC1C,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;AACjD,OAAO,EAAE,QAAQ,EAAE,MAAM,aAAa,CAAC;AAQvC;;;;;;GAMG;AACH,MAAM,UAAU,MAAM,CAAC,MAAiB,EAAE,OAAsC,IAAI;IAClF,MAAM,IAAI,GAAG,MAAM,CAAC,MAAM,EAAE,IAAI,CAAC,CAAC;IAClC,IAAI,CAAC,IAAI,CAAC,EAAE;QAAE,OAAO,EAAE,EAAE,EAAE,KAAK,EAAE,UAAU,EAAE,IAAI,CAAC,UAAU,EAAE,CAAC;IAEhE,MAAM,MAAM,GAAG,SAAS,CAAC,IAAI,CAAC,IAAI,EAAE,MAAM,CAAC,QAAQ,CAAC,KAAK,CAAC,CAAC;IAC3D,IAAI,CAAC,MAAM,CAAC,EAAE;QAAE,OAAO,EAAE,EAAE,EAAE,KAAK,EAAE,UAAU,EAAE,MAAM,CAAC,UAAU,EAAE,CAAC;IAEpE,MAAM,QAAQ,GAAG,aAAa,CAAC,MAAM,CAAC,CAAC;IACvC,IAAI,CAAC,QAAQ,CAAC,EAAE;QAAE,OAAO,EAAE,EAAE,EAAE,KAAK,EAAE,UAAU,EAAE,QAAQ,CAAC,UAAU,EAAE,CAAC;IAExE,OAAO;QACL,EAAE,EAAE,IAAI;QACR,MAAM,EAAE,QAAQ,CACd,MAAM,CAAC,KAAK,EACZ,QAAQ,CAAC,IAAI,CAAC,IAAI,EAAE,MAAM,CAAC,OAAO,CAAC,EACnC,UAAU,CAAC,MAAM,EAAE,QAAQ,CAAC,WAAW,CAAC,EACxC,MAAM,CAAC,QAAQ,CAAC,QAAQ,EACxB,QAAQ,CAAC,WAAW,CAAC,OAAO,CAC7B;KACF,CAAC;AACJ,CAAC;AAED;;;;;;;;GAQG;AACH,MAAM,UAAU,KAAK,CAAC,MAAiB,EAAE,OAAsC,IAAI;IACjF,MAAM,IAAI,GAAG,MAAM,CAAC,MAAM,EAAE,IAAI,CAAC,CAAC;IAClC,IAAI,CAAC,IAAI,CAAC,EAAE;QAAE,OAAO,EAAE,EAAE,EAAE,KAAK,EAAE,UAAU,EAAE,IAAI,CAAC,UAAU,EAAE,CAAC;IAChE,0EAA0E;IAC1E,8EAA8E;IAC9E,2EAA2E;IAC3E,6EAA6E;IAC7E,4EAA4E;IAC5E,iEAAiE;IACjE,OAAO,QAAQ,CAAC,MAAM,CAAC,OAAO,EAAE,IAAI,CAAC,IAAI,EAAE,MAAM,CAAC,QAAQ,EAAE;QAC1D,IAAI,EAAE,MAAM,CAAC,IAAI,CAAC,IAAI;QACtB,GAAG,CAAC,MAAM,CAAC,UAAU,KAAK,IAAI,CAAC,CAAC,CAAC,EAAE,CAAC,CAAC,CAAC,EAAE,UAAU,EAAE,MAAM,CAAC,UAAU,EAAE,CAAC;QACxE,GAAG,CAAC,MAAM,CAAC,UAAU,KAAK,IAAI,CAAC,CAAC,CAAC,EAAE,CAAC,CAAC,CAAC,EAAE,UAAU,EAAE,MAAM,CAAC,UAAU,EAAE,CAAC;KACzE,CAAC,CAAC;AACL,CAAC;AAMD;;;;;;;GAOG;AACH,MAAM,UAAU,MAAM,CAAC,MAAiB,EAAE,QAAuC;IAC/E,IAAI,QAAQ,KAAK,IAAI,EAAE,CAAC;QACtB,MAAM,IAAI,GAAG,QAAQ,CAAC,QAAQ,CAAC,CAAC;QAChC,IAAI,IAAI,KAAK,MAAM,CAAC,IAAI,CAAC,IAAI;YAAE,OAAO,EAAE,EAAE,EAAE,KAAK,EAAE,UAAU,EAAE,QAAQ,CAAC,IAAI,EAAE,MAAM,CAAC,EAAE,CAAC;QACxF,OAAO,EAAE,EAAE,EAAE,IAAI,EAAE,IAAI,EAAE,QAAQ,EAAE,CAAC;IACtC,CAAC;IACD,IAAI,MAAM,CAAC,IAAI,CAAC,IAAI,KAAK,QAAQ;QAAE,OAAO,EAAE,EAAE,EAAE,IAAI,EAAE,IAAI,EAAE,MAAM,CAAC,IAAI,CAAC,IAAI,EAAE,CAAC;IAC/E,8EAA8E;IAC9E,6EAA6E;IAC7E,4EAA4E;IAC5E,iCAAiC;IACjC,OAAO,EAAE,EAAE,EAAE,KAAK,EAAE,UAAU,EAAE,QAAQ,CAAC,kBAAkB,EAAE,MAAM,CAAC,EAAE,CAAC;AACzE,CAAC;AAED,SAAS,QAAQ,CAAC,KAAa,EAAE,MAAiB;IAChD,OAAO,aAAa,CAAC,QAAQ,EAAE,WAAW,EAAE,EAAE,KAAK,EAAE,QAAQ,EAAE,MAAM,CAAC,IAAI,CAAC,IAAI,EAAE,CAAC,CAAC;AACrF,CAAC;AAMD;;;;;;;GAOG;AACH,SAAS,aAAa,CAAC,MAAiB;IACtC,MAAM,MAAM,GAAG,IAAI,CAAC,MAAM,CAAC,OAAO,EAAE;QAClC,QAAQ,EAAE,MAAM,CAAC,QAAQ,CAAC,MAAM;QAChC,IAAI,EAAE,EAAE,KAAK,EAAE,GAAG,EAAE,CAAC,SAAS,EAAE;KACjC,CAAC,CAAC;IACH,IAAI,CAAC,MAAM,CAAC,EAAE;QAAE,OAAO,EAAE,EAAE,EAAE,KAAK,EAAE,UAAU,EAAE,MAAM,CAAC,UAAU,EAAE,CAAC;IACpE,OAAO,EAAE,EAAE,EAAE,IAAI,EAAE,WAAW,EAAE,aAAa,CAAC,MAAM,CAAC,MAAM,CAAC,OAAO,EAAE,MAAM,CAAC,MAAM,CAAC,EAAE,CAAC;AACxF,CAAC;AAED,qFAAqF;AACrF,SAAS,UAAU,CAAC,MAAiB,EAAE,QAAwB;IAC7D,IAAI,MAAM,CAAC,QAAQ,CAAC,KAAK,KAAK,IAAI;QAAE,OAAO,MAAM,CAAC,QAAQ,CAAC,KAAK,CAAC;IACjE,OAAO,uBAAuB,CAC5B,QAAQ,CAAC,UAAU,EACnB,QAAQ,CAAC,cAAc,EACvB,QAAQ,CAAC,QAAQ,EACjB,MAAM,CAAC,QAAQ,CAAC,QAAQ,CAAC,QAAQ,EACjC,MAAM,CAAC,QAAQ,CAAC,QAAQ,CAAC,MAAM,CAChC,CAAC;AACJ,CAAC;AAED,0EAA0E;AAC1E,MAAM,WAAW,GAAuB,EAAE,MAAM,EAAE,CAAC,EAAE,MAAM,EAAE,CAAC,EAAE,IAAI,EAAE,CAAC,EAAE,MAAM,EAAE,CAAC,EAAE,CAAC"}

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

@@ -30,16 +30,87 @@
  * 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: FillPolicy;
+    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. */
@@ -120,6 +191,47 @@ export declare class Simulator {
      * 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.
      *

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

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package/dist/core/backtest/simulate.js

@@ -1,6 +1,19 @@
 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.
  *
@@ -48,6 +61,14 @@ export class Simulator {
         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);
@@ -68,12 +89,17 @@ export class Simulator {
     /** 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,
         };
@@ -110,6 +136,16 @@ export class Simulator {
      * 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;
@@ -150,13 +186,95 @@ export class Simulator {
      * than guessed at here, so by this point the unit is one of two.
      */
     complete(order, price, barIndex) {
-        const stated = order.intent.qty ?? 0;
-        const lot = this.options.contract.lotSize;
-        const qty = this.options.qtyType === 'lots' && lot !== null && lot > 0 ? stated * lot : stated;
+        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.
      *
@@ -184,7 +302,7 @@ export class Simulator {
         return side === 'sell' ? price - move : price + move;
     }
     /** One frame, cumulative, in the order this venue spoke. */
-    say(intent, ref, status, filledQty, avgFillPrice, barIndex) {
+    say(intent, ref, status, filledQty, avgFillPrice, barIndex, text = '') {
         this.seq += 1;
         this.answered.push({
             intentId: intent.intentId,
@@ -195,7 +313,7 @@ export class Simulator {
             sentInstrument: intent.instrument,
             sentProduct: intent.product,
             time: this.options.bars[barIndex]?.time ?? null,
-            text: '',
+            text,
             seq: this.seq,
         });
     }

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

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

@@ -0,0 +1,39 @@
+/**
+ * One walk of a backtest's bars, with the venue answering between them.
+ *
+ * Split from `drive.ts`, which sets a run up and writes its record, because the
+ * walk is the one part of a backtest that runs once per bar and it is read on its
+ * own: the order in which a frame is delivered, a bar appended and its fills
+ * folded is the whole of what makes a backtest reproducible.
+ */
+import type { RecordedFill } from '../accounting/index.js';
+import type { Engine, Value } from '../engine/index.js';
+import type { Delivered, Destination } from './deliver.js';
+import type { ReportWindow } from './range.js';
+import type { RecordedBar, RecordedDiagnostic } from './record.js';
+/** One line of the script's log, `conformance.md` section 4. */
+export interface LogLine {
+    readonly barIndex: number;
+    readonly time: number | null;
+    readonly value: Value;
+}
+/** What one walk of the bars produced. */
+export interface Walked {
+    readonly fills: readonly RecordedFill[];
+    readonly frames: readonly Delivered[];
+    readonly diagnostics: readonly RecordedDiagnostic[];
+    readonly rows: readonly (readonly Value[])[];
+    readonly log: readonly LogLine[];
+}
+/**
+ * The bars, in order, with the venue answering between them.
+ *
+ * The one ordering rule: deliver, then append, then collect what the append
+ * 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.
+ */
+export declare function walk(engine: Engine, destination: Destination, bars: readonly RecordedBar[], covered: ReportWindow, keep: {
+    readonly rows?: boolean;
+    readonly log?: boolean;
+}): Walked;
+//# sourceMappingURL=walk.d.ts.map

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

@@ -0,0 +1 @@
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