tradeblocks-mcp 3.8.0 → 3.10.0

package/dist/test-exports.js

@@ -8209,6 +8209,56 @@ function decomposeGreeks(config) {
   };
 }
 
+// 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 ${MONEY_MAX_DOLLARS.toLocaleString("en-US")})`
+    );
+  }
+  return scaled === 0 ? 0 : scaled;
+}
+function applyRatioField(amount, ratio, field) {
+  if (!Number.isFinite(ratio)) {
+    throw new MoneyDomainError(`${field} must be a finite number`);
+  }
+  return toMoneyField(fromMoney(amount) * ratio, field);
+}
+function fromMoney(value) {
+  return value / SCALE;
+}
+function formatMoney(value) {
+  if (value % 1e4 === 0) return (value / SCALE).toFixed(2);
+  return (value / SCALE).toFixed(6).replace(/(\.\d\d[0-9]*?)0+$/, "$1");
+}
+function formatPercent2(ratio) {
+  const negative = ratio < 0;
+  const [coefficient, exponentText] = Math.abs(ratio).toString().split("e");
+  const exponent = Number(exponentText ?? 0);
+  const decimalAt = coefficient.indexOf(".");
+  const digits = coefficient.replace(".", "");
+  const shiftedDecimalAt = (decimalAt === -1 ? digits.length : decimalAt) + exponent + 2;
+  let percentage;
+  if (shiftedDecimalAt <= 0) {
+    percentage = `0.${"0".repeat(-shiftedDecimalAt)}${digits}`;
+  } else if (shiftedDecimalAt >= digits.length) {
+    percentage = `${digits}${"0".repeat(shiftedDecimalAt - digits.length)}`;
+  } else {
+    percentage = `${digits.slice(0, shiftedDecimalAt)}.${digits.slice(shiftedDecimalAt)}`;
+  }
+  percentage = percentage.replace(/^0+(?=\d)/, "");
+  if (percentage.includes(".")) percentage = percentage.replace(/0+$/, "").replace(/\.$/, "");
+  return `${negative ? "-" : ""}${percentage}%`;
+}
+
 // src/utils/exit-triggers.ts
 function parseDate(dateStr) {
   const [y, m, d] = dateStr.split("-").map(Number);
@@ -8257,9 +8307,11 @@ function evaluateProfitAction(trigger, pnlPath, _legs) {
     return { fireEvent: null, partialCloses };
   }
   const scale = trigger.unit === "percent" ? Math.abs(trigger.entryCost) : 1;
+  const entryCostMoney = trigger.unit === "percent" ? toMoneyField(scale, "entry cost") : 0;
+  const stepDollars = (value, field) => trigger.unit === "percent" ? fromMoney(applyRatioField(entryCostMoney, value, field)) : fromMoney(toMoneyField(value, field));
   const normalizedSteps = [...trigger.steps].sort((a, b) => a.armAt - b.armAt).map((step) => ({
-    armAt: step.armAt * scale,
-    stopAt: step.stopAt * scale,
+    armAt: stepDollars(step.armAt, "steps.armAt"),
+    stopAt: stepDollars(step.stopAt, "steps.stopAt"),
     closeAllocationPct: step.closeAllocationPct
   }));
   let remainingAllocation = 1;
@@ -8271,7 +8323,7 @@ function evaluateProfitAction(trigger, pnlPath, _legs) {
     if (pnl > runningMaxPnl) runningMaxPnl = pnl;
     for (let s = 0; s < normalizedSteps.length; s++) {
       const step = normalizedSteps[s];
-      if (!stepPartialFired[s] && step.closeAllocationPct && runningMaxPnl >= step.armAt) {
+      if (!stepPartialFired[s] && step.closeAllocationPct && Number.isFinite(runningMaxPnl) && runningMaxPnl >= step.armAt) {
         stepPartialFired[s] = true;
         const closeAmt = remainingAllocation * step.closeAllocationPct;
         partialCloses.push({
@@ -8284,14 +8336,16 @@ function evaluateProfitAction(trigger, pnlPath, _legs) {
       }
     }
     let activeFloor = -Infinity;
-    for (const step of normalizedSteps) {
-      if (runningMaxPnl >= step.armAt) {
-        activeFloor = Math.max(activeFloor, step.stopAt);
+    if (Number.isFinite(runningMaxPnl)) {
+      for (const step of normalizedSteps) {
+        if (runningMaxPnl >= step.armAt) {
+          activeFloor = Math.max(activeFloor, step.stopAt);
+        }
       }
     }
     if (activeFloor > -Infinity && remainingAllocation > 0 && pnl <= activeFloor) {
       const effectivePnl = pnl * remainingAllocation;
-      const detail = trigger.unit === "percent" ? `Profit action: stop adjusted to ${(activeFloor / scale * 100).toFixed(0)}% ($${activeFloor.toFixed(2)}) at max P&L $${runningMaxPnl.toFixed(2)}, hit at $${pnl.toFixed(2)} (remaining ${(remainingAllocation * 100).toFixed(0)}%)` : `Profit action: stop adjusted to $${activeFloor.toFixed(2)} at max P&L $${runningMaxPnl.toFixed(2)}, hit at $${pnl.toFixed(2)} (remaining ${(remainingAllocation * 100).toFixed(0)}%)`;
+      const detail = trigger.unit === "percent" ? `Profit action: stop adjusted to ${formatPercent2(activeFloor / scale)} ($${formatMoney(toMoneyField(activeFloor, "steps.stopAt"))}) at max P&L $${runningMaxPnl.toFixed(2)}, hit at $${pnl.toFixed(2)} (remaining ${(remainingAllocation * 100).toFixed(0)}%)` : `Profit action: stop adjusted to $${formatMoney(toMoneyField(activeFloor, "steps.stopAt"))} at max P&L $${runningMaxPnl.toFixed(2)}, hit at $${pnl.toFixed(2)} (remaining ${(remainingAllocation * 100).toFixed(0)}%)`;
       return {
         fireEvent: {
           type: "profitAction",
@@ -8325,12 +8379,16 @@ function evaluateTrigger(trigger, pnlPath, legs) {
       case "profitTarget": {
         if (trigger.unit === "percent" && trigger.entryCost == null) break;
         const requiredHits = trigger.requiredHits ?? 2;
-        const dollarThresholdPT = trigger.unit === "percent" ? threshold * Math.abs(trigger.entryCost) : threshold;
-        if (pnl >= dollarThresholdPT) {
+        const ptThresholdMoney = trigger.unit === "percent" ? applyRatioField(
+          toMoneyField(Math.abs(trigger.entryCost), "entry cost"),
+          threshold,
+          "threshold"
+        ) : toMoneyField(threshold, "threshold");
+        if (pnl >= fromMoney(ptThresholdMoney)) {
           if (point.allLegsSync !== false) profitTargetHits++;
           if (profitTargetHits < requiredHits) break;
           fired = true;
-          detail = trigger.unit === "percent" ? `P&L $${pnl.toFixed(2)} >= ${(threshold * 100).toFixed(0)}% of $${Math.abs(trigger.entryCost).toFixed(2)} ($${dollarThresholdPT.toFixed(2)})` : `P&L $${pnl.toFixed(2)} >= target $${dollarThresholdPT.toFixed(2)}`;
+          detail = trigger.unit === "percent" ? `P&L $${pnl.toFixed(2)} >= ${formatPercent2(threshold)} of $${formatMoney(toMoneyField(Math.abs(trigger.entryCost), "entry cost"))} ($${formatMoney(ptThresholdMoney)})` : `P&L $${pnl.toFixed(2)} >= target $${formatMoney(ptThresholdMoney)}`;
         } else if (point.allLegsSync !== false) {
           profitTargetHits = 0;
         }
@@ -8339,19 +8397,24 @@ function evaluateTrigger(trigger, pnlPath, legs) {
       case "stopLoss": {
         const absThreshold = Math.abs(threshold);
         if (trigger.unit === "percent" && trigger.entryCost == null) break;
-        const dollarThresholdSL = trigger.unit === "percent" ? absThreshold * Math.abs(trigger.entryCost) : absThreshold;
-        if (pnl <= -dollarThresholdSL) {
+        const slThresholdMoney = trigger.unit === "percent" ? applyRatioField(
+          toMoneyField(Math.abs(trigger.entryCost), "entry cost"),
+          absThreshold,
+          "threshold"
+        ) : toMoneyField(absThreshold, "threshold");
+        if (pnl <= -fromMoney(slThresholdMoney)) {
           fired = true;
-          detail = trigger.unit === "percent" ? `P&L $${pnl.toFixed(2)} <= -${(absThreshold * 100).toFixed(0)}% of $${Math.abs(trigger.entryCost).toFixed(2)} (-$${dollarThresholdSL.toFixed(2)})` : `P&L $${pnl.toFixed(2)} <= stop -$${dollarThresholdSL.toFixed(2)}`;
+          detail = trigger.unit === "percent" ? `P&L $${pnl.toFixed(2)} <= -${formatPercent2(absThreshold)} of $${formatMoney(toMoneyField(Math.abs(trigger.entryCost), "entry cost"))} (-$${formatMoney(slThresholdMoney)})` : `P&L $${pnl.toFixed(2)} <= stop -$${formatMoney(slThresholdMoney)}`;
         }
         break;
       }
       case "trailingStop": {
         const trailAmt = trigger.trailAmount ?? threshold;
-        const dropdown = runningMaxPnl - pnl;
-        if (dropdown >= trailAmt && runningMaxPnl > -Infinity) {
+        const trailArmed = Number.isFinite(runningMaxPnl);
+        const dropdown = trailArmed ? runningMaxPnl - pnl : 0;
+        if (trailArmed && dropdown >= fromMoney(toMoneyField(trailAmt, "trailAmount"))) {
           fired = true;
-          detail = `Dropdown $${dropdown.toFixed(2)} from max $${runningMaxPnl.toFixed(2)} >= trail $${trailAmt.toFixed(2)}`;
+          detail = `Dropdown $${dropdown.toFixed(2)} from max $${runningMaxPnl.toFixed(2)} >= trail $${formatMoney(toMoneyField(trailAmt, "trailAmount"))}`;
         }
         break;
       }
@@ -8610,8 +8673,8 @@ function analyzeExitTriggers(config) {
   if (!firstToFire) {
     summary = `No triggers fired across ${pnlPath.length} data points.`;
   } else if (actualExit) {
-    const betterWorse = actualExit.pnlDifference > 0 ? "better" : "worse";
-    summary = `${firstToFire.type} fired at ${firstToFire.firedAt} (P&L $${firstToFire.pnlAtFire.toFixed(2)}). Actual exit at ${actualExit.timestamp} (P&L $${actualExit.pnl.toFixed(2)}). Trigger was $${Math.abs(actualExit.pnlDifference).toFixed(2)} ${betterWorse}.`;
+    const betterWorse = actualExit.pnlDifference > 0 ? "better" : actualExit.pnlDifference < 0 ? "worse" : "the same";
+    summary = `${firstToFire.type} fired at ${firstToFire.firedAt} (P&L $${firstToFire.pnlAtFire.toFixed(2)}). Actual exit at ${actualExit.timestamp} (P&L $${actualExit.pnl.toFixed(2)}). Trigger was ${actualExit.pnlDifference === 0 ? "the same" : `$${Math.abs(actualExit.pnlDifference).toFixed(2)} ${betterWorse}`}.`;
   } else {
     summary = `${firstToFire.type} fired first at ${firstToFire.firedAt} (P&L $${firstToFire.pnlAtFire.toFixed(2)}). ${fireEvents.length} trigger(s) fired total.`;
   }
@@ -12476,7 +12539,10 @@ function isNonTradingDay(asOf) {
   const d = /* @__PURE__ */ new Date(`${asOf}T12:00:00Z`);
   const dow = d.getUTCDay();
   if (dow === 0 || dow === 6) return true;
-  return false;
+  if (asOf < XNYS_SESSION_CALENDAR_SUPPORTED_FROM || asOf > XNYS_SESSION_CALENDAR_SUPPORTED_THROUGH) {
+    return false;
+  }
+  return !isXnysSessionDate(asOf);
 }
 function unsupportedProviderResult(provider, operation, target, reason, originalError) {
   return {
@@ -12683,6 +12749,44 @@ var MarketIngestor = class {
       return result;
     }
   }
+  async enforceSpotRefreshCompleteness(symbol, asOf, result) {
+    if (result.rowsWritten > 0 || result.status !== "ok") return result;
+    try {
+      const coverage = await this.deps.stores.spot.getCoverage(symbol.toUpperCase(), asOf, asOf);
+      if (coverage.totalDates > 0) {
+        return {
+          status: "skipped",
+          rowsWritten: 0,
+          dateRange: { from: asOf, to: asOf },
+          details: {
+            ...result.details ?? {},
+            reason: "using_cached_coverage",
+            dataset: "spot",
+            symbol: symbol.toUpperCase(),
+            originalStatus: result.status,
+            cachedCoverage: {
+              totalDates: coverage.totalDates,
+              earliest: coverage.earliest,
+              latest: coverage.latest
+            }
+          }
+        };
+      }
+    } catch {
+    }
+    return {
+      status: "error",
+      rowsWritten: 0,
+      error: `Spot refresh for ${symbol.toUpperCase()} on ${asOf} returned zero rows and exact-date coverage remains absent`,
+      details: {
+        ...result.details ?? {},
+        reason: "zero_rows",
+        dataset: "spot",
+        symbol: symbol.toUpperCase(),
+        asOf
+      }
+    };
+  }
   quoteGreeksSourceForProvider(provider) {
     if (provider.name === "massive" || provider.name === "thetadata") {
       return provider.name;
@@ -13380,7 +13484,8 @@ var MarketIngestor = class {
         timespan: "1m",
         provider: opts.provider
       });
-      const result = await this.applyCoverageFallback("spot", ticker, opts.asOf, rawResult);
+      const fallbackResult = await this.applyCoverageFallback("spot", ticker, opts.asOf, rawResult);
+      const result = await this.enforceSpotRefreshCompleteness(ticker, opts.asOf, fallbackResult);
       spotResults.push(result);
       if (result.status === "error") errors.push(`spot ${ticker}: ${result.error}`);
     }