tradeblocks-mcp 3.8.0 → 3.9.0

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "tradeblocks-mcp",
-  "version": "3.8.0",
+  "version": "3.9.0",
   "description": "MCP server for options trade analysis",
   "author": "David Romeo <davidmromeo@gmail.com>",
   "type": "module",

package/server/{chunk-LUMKSOEC.js → chunk-BFXJCMA2.js}

@@ -6,7 +6,7 @@ import {
   isTatFormat,
   quoteParquetCanonicalProjection,
   readParquetGlobSql
-} from "./chunk-HC2NGC34.js";
+} from "./chunk-LNAAA74R.js";
 import {
   PlBasis
 } from "./chunk-N2RXXORM.js";
@@ -3543,7 +3543,7 @@ async function openReadWriteConnection(dbPath, threads, memoryLimit) {
   await createMarketParquetViews(connection, dataRoot);
   await ensureMarketDataTables(connection);
   try {
-    const blocksDir = (await import("./sync-P4DLN5YE.js")).getBlocksDir(dataRoot);
+    const blocksDir = (await import("./sync-FNVNZR6P.js")).getBlocksDir(dataRoot);
     await migrateMetadataToJson(connection, dataRoot, blocksDir);
   } catch (err) {
     console.warn(
@@ -5196,4 +5196,4 @@ export {
   loadReportingLog,
   importCsv
 };
-//# sourceMappingURL=chunk-LUMKSOEC.js.map
+//# sourceMappingURL=chunk-BFXJCMA2.js.map

package/server/{chunk-HC2NGC34.js → chunk-LNAAA74R.js}

@@ -22436,6 +22436,7 @@ function worstCaseInjectionCount(simulationLength, worstCasePercentage) {
   const requested = Math.ceil(simulationLength * worstCasePercentage / 100);
   return Math.min(simulationLength, Math.max(1, requested));
 }
+var ABSOLUTE_SIZING_PERCENTAGE_ERROR = "Historical-dollar loss sizing is not available with percentage returns: a fixed dollar amount has no stable meaning in a scale-free return stream. Use a dollar sampling method ('trades' or 'daily') for historical-dollar stress tests, or 'relative' sizing to scale each loss to account capital.";
 function normalizeRuinThresholdPct(ruinThresholdPct) {
   return ruinThresholdPct !== void 0 && ruinThresholdPct > 0 ? ruinThresholdPct : void 0;
 }
@@ -22805,6 +22806,10 @@ function runMonteCarloSimulation(trades, params) {
       `Insufficient trades for Monte Carlo simulation. Found ${trades.length} trades, need at least 10.`
     );
   }
+  const worstCaseRequested = params.worstCaseEnabled === true && params.worstCasePercentage !== void 0 && params.worstCasePercentage > 0;
+  if (worstCaseRequested && params.resampleMethod === "percentage" && params.worstCaseSizing === "absolute") {
+    throw new Error(ABSOLUTE_SIZING_PERCENTAGE_ERROR);
+  }
   const timestamp = /* @__PURE__ */ new Date();
   let resamplePool;
   let actualResamplePoolSize;
@@ -22846,7 +22851,7 @@ function runMonteCarloSimulation(trades, params) {
     );
   }
   let worstCaseTrades = [];
-  if (params.worstCaseEnabled && params.worstCasePercentage && params.worstCasePercentage > 0) {
+  if (worstCaseRequested && params.worstCasePercentage) {
     const syntheticTrades = createSyntheticMaxLossTrades(
       trades,
       params.worstCasePercentage,
@@ -22860,15 +22865,11 @@ function runMonteCarloSimulation(trades, params) {
     const capitalBasis = capitalBasisRaw > 0 ? capitalBasisRaw : 1;
     if (params.resampleMethod === "percentage") {
       worstCaseTrades = syntheticTrades.map((t) => {
-        if (lossSizing === "relative") {
-          const ratio = t.syntheticCapitalRatio;
-          if (ratio && ratio > 0) {
-            return -Math.abs(ratio);
-          }
-          return t.pl / capitalBasis;
+        const ratio = t.syntheticCapitalRatio;
+        if (ratio && ratio > 0) {
+          return -Math.abs(ratio);
         }
-        const pl = params.normalizeTo1Lot ? scaleTradeToOneLot(t) : t.pl;
-        return pl / capitalBasis;
+        return t.pl / capitalBasis;
       });
     } else {
       worstCaseTrades = syntheticTrades.map((t) => {
@@ -22882,13 +22883,12 @@ function runMonteCarloSimulation(trades, params) {
         return params.normalizeTo1Lot ? scaleTradeToOneLot(t) : t.pl;
       });
     }
-    if (params.worstCaseMode === "pool") {
-      resamplePool = [...resamplePool, ...worstCaseTrades];
-    }
   }
+  const worstCaseMode = params.worstCaseMode === "guarantee" ? "guarantee" : "probabilistic";
+  const replacementProbability = worstCaseMode === "probabilistic" && worstCaseTrades.length > 0 ? Math.min(1, (params.worstCasePercentage ?? 0) / 100) : 0;
   const useStationaryBlocks = (params.resampleMode ?? "stationary-block") === "stationary-block";
   const meanBlockLength = params.meanBlockLength ?? defaultMeanBlockLength(resamplePool.length);
-  const enforcedGuaranteeTrades = params.worstCaseEnabled && params.worstCaseMode === "guarantee" && params.simulationLength > 0 ? worstCaseTrades.slice(0, Math.min(worstCaseTrades.length, params.simulationLength)) : [];
+  const enforcedGuaranteeTrades = worstCaseMode === "guarantee" && params.simulationLength > 0 ? worstCaseTrades.slice(0, Math.min(worstCaseTrades.length, params.simulationLength)) : [];
   const ruinThresholdPct = normalizeRuinThresholdPct(params.ruinThresholdPct);
   const simulations = [];
   for (let i = 0; i < params.numSimulations; i++) {
@@ -22907,6 +22907,13 @@ function runMonteCarloSimulation(trades, params) {
         combined.length = params.simulationLength;
       }
       resampledPLs = combined;
+    } else if (replacementProbability > 0) {
+      const rng = seed !== void 0 ? createSeededRandom(seed + 999999) : Math.random;
+      for (let position = 0; position < resampledPLs.length; position++) {
+        if (rng() < replacementProbability) {
+          resampledPLs[position] = worstCaseTrades[Math.floor(rng() * worstCaseTrades.length)];
+        }
+      }
     }
     const simulation = runSingleSimulation(
       resampledPLs,
@@ -22926,7 +22933,8 @@ function runMonteCarloSimulation(trades, params) {
     parameters: params,
     timestamp,
     actualResamplePoolSize,
-    effectiveMeanBlockLength: useStationaryBlocks ? meanBlockLength : null
+    effectiveMeanBlockLength: useStationaryBlocks ? meanBlockLength : null,
+    effectiveWorstCaseReplacementProbability: replacementProbability > 0 ? replacementProbability : null
   };
 }
 function calculatePercentiles(simulations) {
@@ -26341,6 +26349,7 @@ export {
   WalkForwardAnalyzer,
   assessResults,
   getRecommendedParameters,
+  ABSOLUTE_SIZING_PERCENTAGE_ERROR,
   runMonteCarloSimulation,
   calculateDailyExposure,
   REPORT_FIELDS,
@@ -26384,4 +26393,4 @@ decimal.js/decimal.mjs:
    *  MIT Licence
    *)
 */
-//# sourceMappingURL=chunk-HC2NGC34.js.map
+//# sourceMappingURL=chunk-LNAAA74R.js.map