tradeblocks-mcp 3.10.0 → 3.10.2

package/dist/{chunk-SX2RJIMS.js → chunk-COSLRCST.js}

@@ -1,7 +1,7 @@
 import {
   ALL_GREEKS,
   getSofrRateByKey
-} from "./chunk-B22R7HMR.js";
+} from "./chunk-XANRFYQT.js";
 import {
   loadMddsProtoRoot
 } from "./chunk-2E63THNI.js";
@@ -983,6 +983,70 @@ var MassiveProvider = class {
   }
 };
 
+// src/utils/money.ts
+var SCALE = 1e6;
+var MONEY_MAX_DOLLARS = Math.floor(Number.MAX_SAFE_INTEGER / SCALE);
+var MoneyDomainError = class extends Error {
+};
+function toMoneyField(amount, field) {
+  if (!Number.isFinite(amount)) {
+    throw new MoneyDomainError(`${field} must be a finite dollar amount`);
+  }
+  const scaled = Math.round(amount * SCALE);
+  if (!Number.isSafeInteger(scaled)) {
+    throw new MoneyDomainError(
+      `${field} is beyond the largest dollar amount this analysis can represent (about ${MONEY_MAX_DOLLARS.toLocaleString("en-US")})`
+    );
+  }
+  return scaled === 0 ? 0 : scaled;
+}
+function checkedMoney(value, field) {
+  if (!Number.isSafeInteger(value)) {
+    throw new MoneyDomainError(`${field} is beyond the exact monetary range`);
+  }
+  return value === 0 ? 0 : value;
+}
+function addMoney(left, right, field) {
+  return checkedMoney(left + right, field);
+}
+function legPnlMoney(markPrice2, entryPrice, quantity, multiplier) {
+  const priceDifference = addMoney(
+    toMoneyField(markPrice2, "mark price"),
+    -toMoneyField(entryPrice, "entry price"),
+    "price difference"
+  );
+  const scaled = priceDifference * quantity * multiplier;
+  if (!Number.isFinite(scaled)) {
+    throw new MoneyDomainError("leg P&L must be a finite dollar amount");
+  }
+  return Number.isSafeInteger(scaled) ? scaled === 0 ? 0 : scaled : toMoneyField(fromMoney(priceDifference) * quantity * multiplier, "leg P&L");
+}
+function applyRatioField(amount, ratio, field) {
+  if (!Number.isFinite(ratio)) {
+    throw new MoneyDomainError(`${field} must be a finite number`);
+  }
+  const scaled = Math.round(amount * ratio);
+  if (!Number.isSafeInteger(scaled)) {
+    throw new MoneyDomainError(
+      `${field} is beyond the largest dollar amount this analysis can represent (about ${MONEY_MAX_DOLLARS.toLocaleString("en-US")})`
+    );
+  }
+  return scaled === 0 ? 0 : scaled;
+}
+function thresholdFromEntryCost(entryCost, ratio, field) {
+  return applyRatioField(entryCost, ratio, field);
+}
+function fromMoney(value) {
+  return value / SCALE;
+}
+function moneyAtLeast(amount, threshold) {
+  return amount >= threshold;
+}
+function formatMoney(value) {
+  if (value % 1e4 === 0) return (value / SCALE).toFixed(2);
+  return (value / SCALE).toFixed(6).replace(/(\.\d\d[0-9]*?)0+$/, "$1");
+}
+
 // src/utils/trade-replay.ts
 function markPrice(bar) {
   const { bid, ask } = bar;
@@ -1143,7 +1207,7 @@ function computeStrategyPnlPath(legs, barsByLeg, greeksConfig) {
   for (const ts of sortedTimestamps) {
     let complete = true;
     const legPrices = [];
-    let strategyPnl = 0;
+    let strategyPnlMoney = 0;
     for (let i = 0; i < legs.length; i++) {
       const bar = legMaps[i].get(ts);
       if (bar) {
@@ -1156,9 +1220,14 @@ function computeStrategyPnlPath(legs, barsByLeg, greeksConfig) {
       }
       const hl2 = markPrice(effective);
       legPrices.push(hl2);
-      strategyPnl += (hl2 - legs[i].entryPrice) * legs[i].quantity * legs[i].multiplier;
+      strategyPnlMoney = addMoney(
+        strategyPnlMoney,
+        legPnlMoney(hl2, legs[i].entryPrice, legs[i].quantity, legs[i].multiplier),
+        "strategy P&L"
+      );
     }
     if (complete) {
+      const strategyPnl = fromMoney(strategyPnlMoney);
       const point = { timestamp: ts, strategyPnl, legPrices };
       if (greeksConfig) {
         let underlyingPrice = greeksConfig.underlyingPrices.get(ts);
@@ -3251,6 +3320,13 @@ export {
   massiveTimestampToETTime,
   nanosToETMinuteKey,
   MassiveProvider,
+  toMoneyField,
+  addMoney,
+  legPnlMoney,
+  thresholdFromEntryCost,
+  fromMoney,
+  moneyAtLeast,
+  formatMoney,
   markPrice,
   findNearestTimestamp,
   parseLegsString,
@@ -3295,4 +3371,4 @@ export {
   getProvider,
   _resetProvider
 };
-//# sourceMappingURL=chunk-SX2RJIMS.js.map
+//# sourceMappingURL=chunk-COSLRCST.js.map