fixed up types and working on utils lib
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25d9f2dd85
commit
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17 changed files with 1093 additions and 901 deletions
34
libs/types/src/backtesting.ts
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34
libs/types/src/backtesting.ts
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/**
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* Backtesting & Strategy Types
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* Types for strategy backtesting and analysis
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*/
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import type { TradeExecution, TradePerformance } from './trading';
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import type { PortfolioAnalysis } from './portfolio';
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import type { RiskMetrics, DrawdownAnalysis } from './risk-metrics';
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/**
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* Backtesting results
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*/
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export interface BacktestResults {
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/** All trades executed */
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trades: TradeExecution[];
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/** Equity curve over time */
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equityCurve: Array<{ value: number; date: Date }>;
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/** Performance metrics */
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performance: PortfolioAnalysis;
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/** Risk metrics */
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riskMetrics: RiskMetrics;
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/** Drawdown analysis */
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drawdownAnalysis: DrawdownAnalysis;
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/** Trade performance */
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tradePerformance: TradePerformance;
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/** Start date */
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startDate: Date;
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/** End date */
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endDate: Date;
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/** Initial capital */
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initialCapital: number;
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/** Final value */
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finalValue: number;
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}
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197
libs/types/src/financial-statements.ts
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197
libs/types/src/financial-statements.ts
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/**
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* Financial Statements Types
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* Types for fundamental financial statement data
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*/
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/**
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* Balance Sheet data structure
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*/
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export interface BalanceSheet {
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/** Reporting period date */
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date: string;
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/** Fiscal period (Q1, Q2, Q3, Q4, FY) */
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period: string;
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/** Currency */
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currency: string;
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// Assets
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/** Total current assets */
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totalCurrentAssets: number;
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/** Cash and cash equivalents */
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cashAndEquivalents: number;
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/** Short-term investments */
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shortTermInvestments?: number;
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/** Accounts receivable */
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accountsReceivable: number;
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/** Inventory */
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inventory: number;
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/** Prepaid expenses */
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prepaidExpenses?: number;
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/** Other current assets */
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otherCurrentAssets?: number;
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/** Total non-current assets */
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totalNonCurrentAssets: number;
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/** Property, plant & equipment (net) */
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propertyPlantEquipmentNet: number;
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/** Intangible assets */
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intangibleAssets?: number;
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/** Goodwill */
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goodwill?: number;
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/** Long-term investments */
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longTermInvestments?: number;
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/** Other non-current assets */
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otherNonCurrentAssets?: number;
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/** Total assets */
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totalAssets: number;
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// Liabilities
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/** Total current liabilities */
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totalCurrentLiabilities: number;
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/** Accounts payable */
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accountsPayable: number;
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/** Short-term debt */
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shortTermDebt: number;
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/** Accrued liabilities */
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accruedLiabilities?: number;
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/** Other current liabilities */
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otherCurrentLiabilities?: number;
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/** Total non-current liabilities */
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totalNonCurrentLiabilities: number;
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/** Long-term debt */
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longTermDebt: number;
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/** Deferred tax liabilities */
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deferredTaxLiabilities?: number;
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/** Other non-current liabilities */
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otherNonCurrentLiabilities?: number;
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/** Total liabilities */
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totalLiabilities: number;
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// Equity
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/** Total stockholders' equity */
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totalStockholdersEquity: number;
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/** Common stock */
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commonStock: number;
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/** Retained earnings */
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retainedEarnings: number;
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/** Additional paid-in capital */
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additionalPaidInCapital?: number;
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/** Treasury stock */
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treasuryStock?: number;
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/** Accumulated other comprehensive income */
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accumulatedOtherComprehensiveIncome?: number;
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}
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/**
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* Income Statement data structure
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*/
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export interface IncomeStatement {
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/** Reporting period date */
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date: string;
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/** Fiscal period (Q1, Q2, Q3, Q4, FY) */
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period: string;
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/** Currency */
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currency: string;
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/** Total revenue/net sales */
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totalRevenue: number;
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/** Cost of goods sold */
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costOfGoodsSold: number;
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/** Gross profit */
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grossProfit: number;
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/** Operating expenses */
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operatingExpenses: number;
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/** Research and development */
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researchAndDevelopment?: number;
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/** Selling, general & administrative */
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sellingGeneralAdministrative?: number;
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/** Depreciation and amortization */
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depreciationAmortization?: number;
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/** Other operating expenses */
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otherOperatingExpenses?: number;
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/** Operating income */
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operatingIncome: number;
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/** Interest income */
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interestIncome?: number;
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/** Interest expense */
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interestExpense?: number;
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/** Other income/expense */
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otherIncomeExpense?: number;
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/** Income before taxes */
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incomeBeforeTaxes: number;
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/** Income tax expense */
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incomeTaxExpense: number;
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/** Net income */
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netIncome: number;
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/** Earnings per share (basic) */
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earningsPerShareBasic: number;
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/** Earnings per share (diluted) */
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earningsPerShareDiluted: number;
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/** Weighted average shares outstanding (basic) */
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sharesOutstandingBasic: number;
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/** Weighted average shares outstanding (diluted) */
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sharesOutstandingDiluted: number;
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}
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/**
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* Cash Flow Statement data structure
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*/
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export interface CashFlowStatement {
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/** Reporting period date */
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date: string;
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/** Fiscal period (Q1, Q2, Q3, Q4, FY) */
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period: string;
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/** Currency */
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currency: string;
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// Operating Activities
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/** Net income */
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netIncome: number;
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/** Depreciation and amortization */
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depreciationAmortization: number;
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/** Changes in working capital */
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changesInWorkingCapital: number;
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/** Other operating activities */
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otherOperatingActivities?: number;
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/** Net cash from operating activities */
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netCashFromOperatingActivities: number;
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// Investing Activities
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/** Capital expenditures */
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capitalExpenditures: number;
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/** Acquisitions */
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acquisitions?: number;
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/** Investments */
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investments?: number;
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/** Other investing activities */
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otherInvestingActivities?: number;
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/** Net cash from investing activities */
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netCashFromInvestingActivities: number;
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// Financing Activities
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/** Debt issuance/repayment */
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debtIssuanceRepayment?: number;
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/** Equity issuance/repurchase */
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equityIssuanceRepurchase?: number;
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/** Dividends paid */
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dividendsPaid?: number;
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/** Other financing activities */
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otherFinancingActivities?: number;
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/** Net cash from financing activities */
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netCashFromFinancingActivities: number;
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/** Net change in cash */
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netChangeInCash: number;
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/** Cash at beginning of period */
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cashAtBeginningOfPeriod: number;
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/** Cash at end of period */
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cashAtEndOfPeriod: number;
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}
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36
libs/types/src/helpers.ts
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36
libs/types/src/helpers.ts
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/**
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* Helper Types
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* Generic utility types for making functions work across different data types
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*/
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/**
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* Interface for data that has a close price
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* Used to make functions generic across different data types
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*/
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export interface HasClose {
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close: number;
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}
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/**
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* Interface for data that has OHLC prices
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*/
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export interface HasOHLC {
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open: number;
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high: number;
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low: number;
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close: number;
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}
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/**
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* Interface for data that has volume
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*/
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export interface HasVolume {
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volume: number;
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}
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/**
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* Interface for data that has timestamp
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*/
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export interface HasTimestamp {
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timestamp: number;
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}
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// Export all types from the events module
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export interface testEvent {
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stringValue: string;
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}
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/**
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* Standard OHLCV (Open, High, Low, Close, Volume) data structure
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* Used for candlestick/bar chart data across all market data providers
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* Stock Bot Types Library
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* Standardized type definitions for the entire trading platform
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*/
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export interface OHLCV {
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/** Opening price for the time period */
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open: number;
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/** Highest price during the time period */
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high: number;
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/** Lowest price during the time period */
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low: number;
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/** Closing price for the time period */
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close: number;
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/** Trading volume during the time period */
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volume: number;
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/** Timestamp of the data point (Unix timestamp in milliseconds) */
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timestamp: number;
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/** Symbol/ticker for the security */
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symbol: string;
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/** Time interval (e.g., '1m', '5m', '1h', '1d') */
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interval?: string;
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}
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/**
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* OHLCV data with additional metadata
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*/
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export interface OHLCVWithMetadata extends OHLCV {
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/** Source of the data (e.g., 'yahoo', 'ib', 'quotemedia') */
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source: string;
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/** Whether this is adjusted data */
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adjusted?: boolean;
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/** Number of trades during the period */
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trades?: number;
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/** Volume weighted average price */
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vwap?: number;
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}
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// Export all market data types
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export type {
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LiquidityMetrics,
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MarketData,
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MarketRegime,
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OHLCV,
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OHLCVWithMetadata,
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} from './market-data';
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// ============================================================================
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// PORTFOLIO & POSITION TYPES
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// ============================================================================
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// Export all portfolio & position types
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export type {
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AssetAllocation,
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KellyParams,
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PortfolioAnalysis,
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PortfolioPosition,
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PositionSizeParams,
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} from './portfolio';
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/**
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* Individual portfolio position
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*/
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export interface PortfolioPosition {
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/** Security symbol/ticker */
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symbol: string;
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/** Number of shares/units */
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shares: number;
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/** Average entry price */
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averagePrice: number;
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/** Current market price */
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currentPrice: number;
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/** Current market value */
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marketValue: number;
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/** Unrealized P&L */
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unrealizedPnL: number;
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/** Unrealized P&L percentage */
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unrealizedPnLPercent: number;
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/** Weight in portfolio */
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weight: number;
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/** Security type (stock, bond, option, etc.) */
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securityType?: string;
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/** Currency */
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currency?: string;
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}
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// Export all trading & execution types
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export type { TradeExecution, TradePerformance } from './trading';
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/**
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* Portfolio analysis metrics
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*/
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export interface PortfolioAnalysis {
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/** Total portfolio value */
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totalValue: number;
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/** Total cash balance */
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cash: number;
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/** Total invested amount */
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invested: number;
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/** Total unrealized P&L */
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unrealizedPnL: number;
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/** Total unrealized P&L percentage */
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unrealizedPnLPercent: number;
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/** Total return */
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totalReturn: number;
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/** Total return percentage */
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totalReturnPercent: number;
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/** Annualized return */
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annualizedReturn: number;
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/** Portfolio volatility (annualized) */
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volatility: number;
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/** Sharpe ratio */
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sharpeRatio: number;
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/** Maximum drawdown */
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maxDrawdown: number;
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/** Number of positions */
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positionCount: number;
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/** Portfolio concentration (largest position weight) */
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concentration: number;
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}
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// Export all risk & performance metrics
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export type { DrawdownAnalysis, ReturnAnalysis, RiskMetrics } from './risk-metrics';
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/**
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* Asset allocation breakdown
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*/
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export interface AssetAllocation {
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/** Asset class or category */
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category: string;
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/** Allocation value */
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value: number;
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/** Allocation percentage */
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percentage: number;
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/** Target allocation percentage */
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target?: number;
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/** Deviation from target */
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deviation?: number;
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}
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// Export all options pricing types
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export type { GreeksCalculation, OptionParameters, OptionPricing } from './options';
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// ============================================================================
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// TRADE & EXECUTION TYPES
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// ============================================================================
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// Export all financial statement types
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export type { BalanceSheet, CashFlowStatement, IncomeStatement } from './financial-statements';
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/**
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* Trade execution record
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*/
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export interface TradeExecution {
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/** Trade ID */
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id?: string;
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/** Security symbol */
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symbol: string;
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/** Trade type */
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type: 'buy' | 'sell' | 'short' | 'cover';
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/** Number of shares/units */
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quantity: number;
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/** Execution price */
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price: number;
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/** Total trade value */
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value: number;
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/** Commission/fees */
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commission?: number;
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/** Execution timestamp */
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timestamp: number;
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/** Order ID reference */
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orderId?: string;
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/** Execution venue */
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venue?: string;
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}
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// Export all technical analysis types
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export type {
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CorrelationMatrix,
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CorrelationResult,
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GARCHParameters,
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TechnicalIndicators,
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VolatilityEstimates,
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} from './technical-analysis';
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/**
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* Trade performance analysis
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*/
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export interface TradePerformance {
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/** Total number of trades */
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totalTrades: number;
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/** Number of winning trades */
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winningTrades: number;
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/** Number of losing trades */
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losingTrades: number;
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/** Win rate percentage */
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winRate: number;
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/** Average winning trade */
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averageWin: number;
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/** Average losing trade */
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averageLoss: number;
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/** Largest winning trade */
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largestWin: number;
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/** Largest losing trade */
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largestLoss: number;
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/** Profit factor (gross profit / gross loss) */
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profitFactor: number;
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/** Mathematical expectancy */
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expectancy: number;
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/** Total gross profit */
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grossProfit: number;
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/** Total gross loss */
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grossLoss: number;
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/** Net profit */
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netProfit: number;
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}
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// Export backtesting types
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export type { BacktestResults } from './backtesting';
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// ============================================================================
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// RISK & PERFORMANCE METRICS
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// ============================================================================
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/**
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* Comprehensive risk metrics
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*/
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export interface RiskMetrics {
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/** Value at Risk 95% */
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var95: number;
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/** Value at Risk 99% */
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var99: number;
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/** Conditional VaR 95% */
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cvar95: number;
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/** Maximum drawdown */
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maxDrawdown: number;
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/** Volatility (annualized) */
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volatility: number;
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/** Downside deviation */
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downside_deviation: number;
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/** Calmar ratio */
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calmar_ratio: number;
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/** Sortino ratio */
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sortino_ratio: number;
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/** Beta (vs benchmark) */
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beta: number;
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/** Alpha (vs benchmark) */
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alpha: number;
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/** Sharpe ratio */
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sharpeRatio: number;
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/** Treynor ratio */
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treynorRatio: number;
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/** Tracking error */
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trackingError: number;
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/** Information ratio */
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informationRatio: number;
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}
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/**
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* Drawdown analysis
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*/
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export interface DrawdownAnalysis {
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/** Maximum drawdown percentage */
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maxDrawdown: number;
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/** Maximum drawdown duration (days) */
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maxDrawdownDuration: number;
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/** Current drawdown percentage */
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currentDrawdown: number;
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/** Current drawdown duration (days) */
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currentDrawdownDuration: number;
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/** Average drawdown percentage */
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averageDrawdown: number;
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/** Average drawdown duration (days) */
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averageDrawdownDuration: number;
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/** Number of drawdown periods */
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drawdownPeriods: number;
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/** Recovery factor */
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recoveryFactor: number;
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}
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/**
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* Return analysis statistics
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*/
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export interface ReturnAnalysis {
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/** Total return */
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totalReturn: number;
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/** Annualized return */
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annualizedReturn: number;
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/** Volatility (annualized) */
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volatility: number;
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/** Skewness */
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||||
skewness: number;
|
||||
/** Kurtosis */
|
||||
kurtosis: number;
|
||||
/** Best period return */
|
||||
bestPeriod: number;
|
||||
/** Worst period return */
|
||||
worstPeriod: number;
|
||||
/** Positive periods percentage */
|
||||
positivePeriods: number;
|
||||
/** Average positive return */
|
||||
averagePositiveReturn: number;
|
||||
/** Average negative return */
|
||||
averageNegativeReturn: number;
|
||||
}
|
||||
|
||||
// ============================================================================
|
||||
// OPTIONS PRICING TYPES
|
||||
// ============================================================================
|
||||
|
||||
/**
|
||||
* Options pricing parameters
|
||||
*/
|
||||
export interface OptionParameters {
|
||||
/** Underlying asset price */
|
||||
spotPrice: number;
|
||||
/** Strike price */
|
||||
strikePrice: number;
|
||||
/** Time to expiration (in years) */
|
||||
timeToExpiry: number;
|
||||
/** Risk-free interest rate */
|
||||
riskFreeRate: number;
|
||||
/** Volatility */
|
||||
volatility: number;
|
||||
/** Dividend yield */
|
||||
dividendYield?: number;
|
||||
/** Option type */
|
||||
optionType: 'call' | 'put';
|
||||
}
|
||||
|
||||
/**
|
||||
* Option pricing results
|
||||
*/
|
||||
export interface OptionPricing {
|
||||
/** Call option price */
|
||||
callPrice: number;
|
||||
/** Put option price */
|
||||
putPrice: number;
|
||||
/** Call intrinsic value */
|
||||
callIntrinsic: number;
|
||||
/** Put intrinsic value */
|
||||
putIntrinsic: number;
|
||||
/** Call time value */
|
||||
callTimeValue: number;
|
||||
/** Put time value */
|
||||
putTimeValue: number;
|
||||
}
|
||||
|
||||
/**
|
||||
* Option Greeks calculation
|
||||
*/
|
||||
export interface GreeksCalculation {
|
||||
/** Delta - price sensitivity */
|
||||
delta: number;
|
||||
/** Gamma - delta sensitivity */
|
||||
gamma: number;
|
||||
/** Theta - time decay */
|
||||
theta: number;
|
||||
/** Vega - volatility sensitivity */
|
||||
vega: number;
|
||||
/** Rho - interest rate sensitivity */
|
||||
rho: number;
|
||||
}
|
||||
|
||||
// ============================================================================
|
||||
// MARKET DATA & STATISTICS TYPES
|
||||
// ============================================================================
|
||||
|
||||
/**
|
||||
* Market data structure
|
||||
*/
|
||||
export interface MarketData {
|
||||
/** Security symbol */
|
||||
symbol: string;
|
||||
/** Current price */
|
||||
price: number;
|
||||
/** Trading volume */
|
||||
volume: number;
|
||||
/** Timestamp */
|
||||
timestamp: number;
|
||||
/** Bid price */
|
||||
bid?: number;
|
||||
/** Ask price */
|
||||
ask?: number;
|
||||
/** Bid size */
|
||||
bidSize?: number;
|
||||
/** Ask size */
|
||||
askSize?: number;
|
||||
/** Previous close */
|
||||
previousClose?: number;
|
||||
/** Day's high */
|
||||
high?: number;
|
||||
/** Day's low */
|
||||
low?: number;
|
||||
/** Day's open */
|
||||
open?: number;
|
||||
}
|
||||
|
||||
/**
|
||||
* Market liquidity metrics
|
||||
*/
|
||||
export interface LiquidityMetrics {
|
||||
/** Bid-ask spread */
|
||||
bidAskSpread: number;
|
||||
/** Bid-ask spread percentage */
|
||||
bidAskSpreadPercent: number;
|
||||
/** Market depth */
|
||||
marketDepth: number;
|
||||
/** Average daily volume */
|
||||
averageDailyVolume: number;
|
||||
/** Volume rate */
|
||||
volumeRate: number;
|
||||
/** Price impact */
|
||||
priceImpact: number;
|
||||
/** Liquidity score */
|
||||
liquidityScore: number;
|
||||
}
|
||||
|
||||
/**
|
||||
* Market regime classification
|
||||
*/
|
||||
export interface MarketRegime {
|
||||
/** Current regime */
|
||||
regime: 'trending' | 'ranging' | 'volatile' | 'quiet';
|
||||
/** Regime strength (0-1) */
|
||||
strength: number;
|
||||
/** Regime duration (periods) */
|
||||
duration: number;
|
||||
/** Trend direction (if trending) */
|
||||
trendDirection?: 'up' | 'down';
|
||||
/** Volatility level */
|
||||
volatilityLevel: 'low' | 'medium' | 'high';
|
||||
}
|
||||
|
||||
// ============================================================================
|
||||
// POSITION SIZING TYPES
|
||||
// ============================================================================
|
||||
|
||||
/**
|
||||
* Position sizing parameters
|
||||
*/
|
||||
export interface PositionSizeParams {
|
||||
/** Account size */
|
||||
accountSize: number;
|
||||
/** Risk percentage per trade */
|
||||
riskPercent: number;
|
||||
/** Entry price */
|
||||
entryPrice: number;
|
||||
/** Stop loss price */
|
||||
stopPrice: number;
|
||||
/** Commission per share */
|
||||
commission?: number;
|
||||
}
|
||||
|
||||
/**
|
||||
* Kelly Criterion parameters
|
||||
*/
|
||||
export interface KellyParams {
|
||||
/** Win rate (0-1) */
|
||||
winRate: number;
|
||||
/** Average winning trade */
|
||||
averageWin: number;
|
||||
/** Average losing trade */
|
||||
averageLoss: number;
|
||||
/** Risk-free rate */
|
||||
riskFreeRate?: number;
|
||||
}
|
||||
|
||||
// ============================================================================
|
||||
// FINANCIAL STATEMENTS TYPES
|
||||
// ============================================================================
|
||||
|
||||
/**
|
||||
* Balance Sheet data structure
|
||||
*/
|
||||
export interface BalanceSheet {
|
||||
/** Reporting period date */
|
||||
date: string;
|
||||
/** Fiscal period (Q1, Q2, Q3, Q4, FY) */
|
||||
period: string;
|
||||
/** Currency */
|
||||
currency: string;
|
||||
|
||||
// Assets
|
||||
/** Total current assets */
|
||||
totalCurrentAssets: number;
|
||||
/** Cash and cash equivalents */
|
||||
cashAndEquivalents: number;
|
||||
/** Short-term investments */
|
||||
shortTermInvestments?: number;
|
||||
/** Accounts receivable */
|
||||
accountsReceivable: number;
|
||||
/** Inventory */
|
||||
inventory: number;
|
||||
/** Prepaid expenses */
|
||||
prepaidExpenses?: number;
|
||||
/** Other current assets */
|
||||
otherCurrentAssets?: number;
|
||||
|
||||
/** Total non-current assets */
|
||||
totalNonCurrentAssets: number;
|
||||
/** Property, plant & equipment (net) */
|
||||
propertyPlantEquipmentNet: number;
|
||||
/** Intangible assets */
|
||||
intangibleAssets?: number;
|
||||
/** Goodwill */
|
||||
goodwill?: number;
|
||||
/** Long-term investments */
|
||||
longTermInvestments?: number;
|
||||
/** Other non-current assets */
|
||||
otherNonCurrentAssets?: number;
|
||||
|
||||
/** Total assets */
|
||||
totalAssets: number;
|
||||
|
||||
// Liabilities
|
||||
/** Total current liabilities */
|
||||
totalCurrentLiabilities: number;
|
||||
/** Accounts payable */
|
||||
accountsPayable: number;
|
||||
/** Short-term debt */
|
||||
shortTermDebt: number;
|
||||
/** Accrued liabilities */
|
||||
accruedLiabilities?: number;
|
||||
/** Other current liabilities */
|
||||
otherCurrentLiabilities?: number;
|
||||
|
||||
/** Total non-current liabilities */
|
||||
totalNonCurrentLiabilities: number;
|
||||
/** Long-term debt */
|
||||
longTermDebt: number;
|
||||
/** Deferred tax liabilities */
|
||||
deferredTaxLiabilities?: number;
|
||||
/** Other non-current liabilities */
|
||||
otherNonCurrentLiabilities?: number;
|
||||
|
||||
/** Total liabilities */
|
||||
totalLiabilities: number;
|
||||
|
||||
// Equity
|
||||
/** Total stockholders' equity */
|
||||
totalStockholdersEquity: number;
|
||||
/** Common stock */
|
||||
commonStock: number;
|
||||
/** Retained earnings */
|
||||
retainedEarnings: number;
|
||||
/** Additional paid-in capital */
|
||||
additionalPaidInCapital?: number;
|
||||
/** Treasury stock */
|
||||
treasuryStock?: number;
|
||||
/** Accumulated other comprehensive income */
|
||||
accumulatedOtherComprehensiveIncome?: number;
|
||||
}
|
||||
|
||||
/**
|
||||
* Income Statement data structure
|
||||
*/
|
||||
export interface IncomeStatement {
|
||||
/** Reporting period date */
|
||||
date: string;
|
||||
/** Fiscal period (Q1, Q2, Q3, Q4, FY) */
|
||||
period: string;
|
||||
/** Currency */
|
||||
currency: string;
|
||||
|
||||
/** Total revenue/net sales */
|
||||
totalRevenue: number;
|
||||
/** Cost of goods sold */
|
||||
costOfGoodsSold: number;
|
||||
/** Gross profit */
|
||||
grossProfit: number;
|
||||
|
||||
/** Operating expenses */
|
||||
operatingExpenses: number;
|
||||
/** Research and development */
|
||||
researchAndDevelopment?: number;
|
||||
/** Selling, general & administrative */
|
||||
sellingGeneralAdministrative?: number;
|
||||
/** Depreciation and amortization */
|
||||
depreciationAmortization?: number;
|
||||
/** Other operating expenses */
|
||||
otherOperatingExpenses?: number;
|
||||
|
||||
/** Operating income */
|
||||
operatingIncome: number;
|
||||
|
||||
/** Interest income */
|
||||
interestIncome?: number;
|
||||
/** Interest expense */
|
||||
interestExpense?: number;
|
||||
/** Other income/expense */
|
||||
otherIncomeExpense?: number;
|
||||
|
||||
/** Income before taxes */
|
||||
incomeBeforeTaxes: number;
|
||||
/** Income tax expense */
|
||||
incomeTaxExpense: number;
|
||||
/** Net income */
|
||||
netIncome: number;
|
||||
|
||||
/** Earnings per share (basic) */
|
||||
earningsPerShareBasic: number;
|
||||
/** Earnings per share (diluted) */
|
||||
earningsPerShareDiluted: number;
|
||||
/** Weighted average shares outstanding (basic) */
|
||||
sharesOutstandingBasic: number;
|
||||
/** Weighted average shares outstanding (diluted) */
|
||||
sharesOutstandingDiluted: number;
|
||||
}
|
||||
|
||||
/**
|
||||
* Cash Flow Statement data structure
|
||||
*/
|
||||
export interface CashFlowStatement {
|
||||
/** Reporting period date */
|
||||
date: string;
|
||||
/** Fiscal period (Q1, Q2, Q3, Q4, FY) */
|
||||
period: string;
|
||||
/** Currency */
|
||||
currency: string;
|
||||
|
||||
// Operating Activities
|
||||
/** Net income */
|
||||
netIncome: number;
|
||||
/** Depreciation and amortization */
|
||||
depreciationAmortization: number;
|
||||
/** Changes in working capital */
|
||||
changesInWorkingCapital: number;
|
||||
/** Other operating activities */
|
||||
otherOperatingActivities?: number;
|
||||
/** Net cash from operating activities */
|
||||
netCashFromOperatingActivities: number;
|
||||
|
||||
// Investing Activities
|
||||
/** Capital expenditures */
|
||||
capitalExpenditures: number;
|
||||
/** Acquisitions */
|
||||
acquisitions?: number;
|
||||
/** Investments */
|
||||
investments?: number;
|
||||
/** Other investing activities */
|
||||
otherInvestingActivities?: number;
|
||||
/** Net cash from investing activities */
|
||||
netCashFromInvestingActivities: number;
|
||||
|
||||
// Financing Activities
|
||||
/** Debt issuance/repayment */
|
||||
debtIssuanceRepayment?: number;
|
||||
/** Equity issuance/repurchase */
|
||||
equityIssuanceRepurchase?: number;
|
||||
/** Dividends paid */
|
||||
dividendsPaid?: number;
|
||||
/** Other financing activities */
|
||||
otherFinancingActivities?: number;
|
||||
/** Net cash from financing activities */
|
||||
netCashFromFinancingActivities: number;
|
||||
|
||||
/** Net change in cash */
|
||||
netChangeInCash: number;
|
||||
/** Cash at beginning of period */
|
||||
cashAtBeginningOfPeriod: number;
|
||||
/** Cash at end of period */
|
||||
cashAtEndOfPeriod: number;
|
||||
}
|
||||
|
||||
// ============================================================================
|
||||
// TECHNICAL ANALYSIS TYPES
|
||||
// ============================================================================
|
||||
|
||||
/**
|
||||
* Technical indicators collection
|
||||
*/
|
||||
export interface TechnicalIndicators {
|
||||
/** Simple Moving Average */
|
||||
sma: number[];
|
||||
/** Exponential Moving Average */
|
||||
ema: number[];
|
||||
/** Relative Strength Index */
|
||||
rsi: number[];
|
||||
/** MACD indicator */
|
||||
macd: {
|
||||
macd: number[];
|
||||
signal: number[];
|
||||
histogram: number[];
|
||||
};
|
||||
/** Bollinger Bands */
|
||||
bollinger: {
|
||||
upper: number[];
|
||||
middle: number[];
|
||||
lower: number[];
|
||||
};
|
||||
/** Average True Range */
|
||||
atr: number[];
|
||||
/** Stochastic Oscillator */
|
||||
stochastic: {
|
||||
k: number[];
|
||||
d: number[];
|
||||
};
|
||||
/** Williams %R */
|
||||
williams_r: number[];
|
||||
/** Commodity Channel Index */
|
||||
cci: number[];
|
||||
/** Momentum */
|
||||
momentum: number[];
|
||||
/** Rate of Change */
|
||||
roc: number[];
|
||||
}
|
||||
|
||||
// ============================================================================
|
||||
// CORRELATION & VOLATILITY TYPES
|
||||
// ============================================================================
|
||||
|
||||
/**
|
||||
* Correlation analysis result
|
||||
*/
|
||||
export interface CorrelationResult {
|
||||
/** Correlation coefficient */
|
||||
correlation: number;
|
||||
/** P-value for statistical significance */
|
||||
pValue: number;
|
||||
/** Is statistically significant */
|
||||
isSignificant: boolean;
|
||||
/** Confidence interval */
|
||||
confidenceInterval: [number, number];
|
||||
/** Sample size */
|
||||
sampleSize: number;
|
||||
}
|
||||
|
||||
/**
|
||||
* Correlation matrix
|
||||
*/
|
||||
export interface CorrelationMatrix {
|
||||
/** Asset symbols */
|
||||
symbols: string[];
|
||||
/** Correlation matrix values */
|
||||
matrix: number[][];
|
||||
/** Eigenvalues */
|
||||
eigenvalues: number[];
|
||||
/** Condition number */
|
||||
conditionNumber: number;
|
||||
/** Is positive definite */
|
||||
isPositiveDefinite: boolean;
|
||||
}
|
||||
|
||||
/**
|
||||
* Volatility estimates using different models
|
||||
*/
|
||||
export interface VolatilityEstimates {
|
||||
/** Close-to-close volatility */
|
||||
closeToClose: number;
|
||||
/** Parkinson volatility */
|
||||
parkinson: number;
|
||||
/** Garman-Klass volatility */
|
||||
garmanKlass: number;
|
||||
/** Rogers-Satchell volatility */
|
||||
rogersSatchell: number;
|
||||
/** Yang-Zhang volatility */
|
||||
yangZhang: number;
|
||||
}
|
||||
|
||||
/**
|
||||
* GARCH model parameters
|
||||
*/
|
||||
export interface GARCHParameters {
|
||||
/** Alpha parameter */
|
||||
alpha: number;
|
||||
/** Beta parameter */
|
||||
beta: number;
|
||||
/** Omega parameter */
|
||||
omega: number;
|
||||
/** Log likelihood */
|
||||
logLikelihood: number;
|
||||
/** AIC (Akaike Information Criterion) */
|
||||
aic: number;
|
||||
/** BIC (Bayesian Information Criterion) */
|
||||
bic: number;
|
||||
}
|
||||
|
||||
// ============================================================================
|
||||
// BACKTESTING & STRATEGY TYPES
|
||||
// ============================================================================
|
||||
|
||||
/**
|
||||
* Backtesting results
|
||||
*/
|
||||
export interface BacktestResults {
|
||||
/** All trades executed */
|
||||
trades: TradeExecution[];
|
||||
/** Equity curve over time */
|
||||
equityCurve: Array<{ value: number; date: Date }>;
|
||||
/** Performance metrics */
|
||||
performance: PortfolioAnalysis;
|
||||
/** Risk metrics */
|
||||
riskMetrics: RiskMetrics;
|
||||
/** Drawdown analysis */
|
||||
drawdownAnalysis: DrawdownAnalysis;
|
||||
/** Trade performance */
|
||||
tradePerformance: TradePerformance;
|
||||
/** Start date */
|
||||
startDate: Date;
|
||||
/** End date */
|
||||
endDate: Date;
|
||||
/** Initial capital */
|
||||
initialCapital: number;
|
||||
/** Final value */
|
||||
finalValue: number;
|
||||
}
|
||||
|
||||
// ============================================================================
|
||||
// HELPER TYPES FOR GENERIC FUNCTIONS
|
||||
// ============================================================================
|
||||
|
||||
/**
|
||||
* Interface for data that has a close price
|
||||
* Used to make functions generic across different data types
|
||||
*/
|
||||
export interface HasClose {
|
||||
close: number;
|
||||
}
|
||||
|
||||
/**
|
||||
* Interface for data that has OHLC prices
|
||||
*/
|
||||
export interface HasOHLC {
|
||||
open: number;
|
||||
high: number;
|
||||
low: number;
|
||||
close: number;
|
||||
}
|
||||
|
||||
/**
|
||||
* Interface for data that has volume
|
||||
*/
|
||||
export interface HasVolume {
|
||||
volume: number;
|
||||
}
|
||||
|
||||
/**
|
||||
* Interface for data that has timestamp
|
||||
*/
|
||||
export interface HasTimestamp {
|
||||
timestamp: number;
|
||||
}
|
||||
// Export helper types
|
||||
export type { HasClose, HasOHLC, HasTimestamp, HasVolume } from './helpers';
|
||||
|
|
|
|||
107
libs/types/src/market-data.ts
Normal file
107
libs/types/src/market-data.ts
Normal file
|
|
@ -0,0 +1,107 @@
|
|||
/**
|
||||
* Market Data Types
|
||||
* Standard types for market data and pricing information
|
||||
*/
|
||||
|
||||
/**
|
||||
* Standard OHLCV (Open, High, Low, Close, Volume) data structure
|
||||
* Used for candlestick/bar chart data across all market data providers
|
||||
*/
|
||||
export interface OHLCV {
|
||||
/** Opening price for the time period */
|
||||
open: number;
|
||||
/** Highest price during the time period */
|
||||
high: number;
|
||||
/** Lowest price during the time period */
|
||||
low: number;
|
||||
/** Closing price for the time period */
|
||||
close: number;
|
||||
/** Trading volume during the time period */
|
||||
volume: number;
|
||||
/** Timestamp of the data point (Unix timestamp in milliseconds) */
|
||||
timestamp: number;
|
||||
/** Symbol/ticker for the security */
|
||||
symbol: string;
|
||||
/** Time interval (e.g., '1m', '5m', '1h', '1d') */
|
||||
interval?: string;
|
||||
}
|
||||
|
||||
/**
|
||||
* OHLCV data with additional metadata
|
||||
*/
|
||||
export interface OHLCVWithMetadata extends OHLCV {
|
||||
/** Source of the data (e.g., 'yahoo', 'ib', 'quotemedia') */
|
||||
source: string;
|
||||
/** Whether this is adjusted data */
|
||||
adjusted?: boolean;
|
||||
/** Number of trades during the period */
|
||||
trades?: number;
|
||||
/** Volume weighted average price */
|
||||
vwap?: number;
|
||||
}
|
||||
|
||||
/**
|
||||
* Market data structure
|
||||
*/
|
||||
export interface MarketData {
|
||||
/** Security symbol */
|
||||
symbol: string;
|
||||
/** Current price */
|
||||
price: number;
|
||||
/** Trading volume */
|
||||
volume: number;
|
||||
/** Timestamp */
|
||||
timestamp: number;
|
||||
/** Bid price */
|
||||
bid?: number;
|
||||
/** Ask price */
|
||||
ask?: number;
|
||||
/** Bid size */
|
||||
bidSize?: number;
|
||||
/** Ask size */
|
||||
askSize?: number;
|
||||
/** Previous close */
|
||||
previousClose?: number;
|
||||
/** Day's high */
|
||||
high?: number;
|
||||
/** Day's low */
|
||||
low?: number;
|
||||
/** Day's open */
|
||||
open?: number;
|
||||
}
|
||||
|
||||
/**
|
||||
* Market liquidity metrics
|
||||
*/
|
||||
export interface LiquidityMetrics {
|
||||
/** Bid-ask spread */
|
||||
bidAskSpread: number;
|
||||
/** Bid-ask spread percentage */
|
||||
bidAskSpreadPercent: number;
|
||||
/** Market depth */
|
||||
marketDepth: number;
|
||||
/** Average daily volume */
|
||||
averageDailyVolume: number;
|
||||
/** Volume rate */
|
||||
volumeRate: number;
|
||||
/** Price impact */
|
||||
priceImpact: number;
|
||||
/** Liquidity score */
|
||||
liquidityScore: number;
|
||||
}
|
||||
|
||||
/**
|
||||
* Market regime classification
|
||||
*/
|
||||
export interface MarketRegime {
|
||||
/** Current regime */
|
||||
regime: 'trending' | 'ranging' | 'volatile' | 'quiet';
|
||||
/** Regime strength (0-1) */
|
||||
strength: number;
|
||||
/** Regime duration (periods) */
|
||||
duration: number;
|
||||
/** Trend direction (if trending) */
|
||||
trendDirection?: 'up' | 'down';
|
||||
/** Volatility level */
|
||||
volatilityLevel: 'low' | 'medium' | 'high';
|
||||
}
|
||||
58
libs/types/src/options.ts
Normal file
58
libs/types/src/options.ts
Normal file
|
|
@ -0,0 +1,58 @@
|
|||
/**
|
||||
* Options Pricing Types
|
||||
* Types for options pricing and derivatives
|
||||
*/
|
||||
|
||||
/**
|
||||
* Options pricing parameters
|
||||
*/
|
||||
export interface OptionParameters {
|
||||
/** Underlying asset price */
|
||||
spotPrice: number;
|
||||
/** Strike price */
|
||||
strikePrice: number;
|
||||
/** Time to expiration (in years) */
|
||||
timeToExpiry: number;
|
||||
/** Risk-free interest rate */
|
||||
riskFreeRate: number;
|
||||
/** Volatility */
|
||||
volatility: number;
|
||||
/** Dividend yield */
|
||||
dividendYield?: number;
|
||||
/** Option type */
|
||||
optionType: 'call' | 'put';
|
||||
}
|
||||
|
||||
/**
|
||||
* Option pricing results
|
||||
*/
|
||||
export interface OptionPricing {
|
||||
/** Call option price */
|
||||
callPrice: number;
|
||||
/** Put option price */
|
||||
putPrice: number;
|
||||
/** Call intrinsic value */
|
||||
callIntrinsic: number;
|
||||
/** Put intrinsic value */
|
||||
putIntrinsic: number;
|
||||
/** Call time value */
|
||||
callTimeValue: number;
|
||||
/** Put time value */
|
||||
putTimeValue: number;
|
||||
}
|
||||
|
||||
/**
|
||||
* Option Greeks calculation
|
||||
*/
|
||||
export interface GreeksCalculation {
|
||||
/** Delta - price sensitivity */
|
||||
delta: number;
|
||||
/** Gamma - delta sensitivity */
|
||||
gamma: number;
|
||||
/** Theta - time decay */
|
||||
theta: number;
|
||||
/** Vega - volatility sensitivity */
|
||||
vega: number;
|
||||
/** Rho - interest rate sensitivity */
|
||||
rho: number;
|
||||
}
|
||||
108
libs/types/src/portfolio.ts
Normal file
108
libs/types/src/portfolio.ts
Normal file
|
|
@ -0,0 +1,108 @@
|
|||
/**
|
||||
* Portfolio & Position Types
|
||||
* Types for portfolio management and position tracking
|
||||
*/
|
||||
|
||||
/**
|
||||
* Individual portfolio position
|
||||
*/
|
||||
export interface PortfolioPosition {
|
||||
/** Security symbol/ticker */
|
||||
symbol: string;
|
||||
/** Number of shares/units */
|
||||
shares: number;
|
||||
/** Average entry price */
|
||||
averagePrice: number;
|
||||
/** Current market price */
|
||||
currentPrice: number;
|
||||
/** Current market value */
|
||||
marketValue: number;
|
||||
/** Unrealized P&L */
|
||||
unrealizedPnL: number;
|
||||
/** Unrealized P&L percentage */
|
||||
unrealizedPnLPercent: number;
|
||||
/** Weight in portfolio */
|
||||
weight: number;
|
||||
/** Security type (stock, bond, option, etc.) */
|
||||
securityType?: string;
|
||||
/** Currency */
|
||||
currency?: string;
|
||||
}
|
||||
|
||||
/**
|
||||
* Portfolio analysis metrics
|
||||
*/
|
||||
export interface PortfolioAnalysis {
|
||||
/** Total portfolio value */
|
||||
totalValue: number;
|
||||
/** Total cash balance */
|
||||
cash: number;
|
||||
/** Total invested amount */
|
||||
invested: number;
|
||||
/** Total unrealized P&L */
|
||||
unrealizedPnL: number;
|
||||
/** Total unrealized P&L percentage */
|
||||
unrealizedPnLPercent: number;
|
||||
/** Total return */
|
||||
totalReturn: number;
|
||||
/** Total return percentage */
|
||||
totalReturnPercent: number;
|
||||
/** Annualized return */
|
||||
annualizedReturn: number;
|
||||
/** Portfolio volatility (annualized) */
|
||||
volatility: number;
|
||||
/** Sharpe ratio */
|
||||
sharpeRatio: number;
|
||||
/** Maximum drawdown */
|
||||
maxDrawdown: number;
|
||||
/** Number of positions */
|
||||
positionCount: number;
|
||||
/** Portfolio concentration (largest position weight) */
|
||||
concentration: number;
|
||||
}
|
||||
|
||||
/**
|
||||
* Asset allocation breakdown
|
||||
*/
|
||||
export interface AssetAllocation {
|
||||
/** Asset class or category */
|
||||
category: string;
|
||||
/** Allocation value */
|
||||
value: number;
|
||||
/** Allocation percentage */
|
||||
percentage: number;
|
||||
/** Target allocation percentage */
|
||||
target?: number;
|
||||
/** Deviation from target */
|
||||
deviation?: number;
|
||||
}
|
||||
|
||||
/**
|
||||
* Position sizing parameters
|
||||
*/
|
||||
export interface PositionSizeParams {
|
||||
/** Account size */
|
||||
accountSize: number;
|
||||
/** Risk percentage per trade */
|
||||
riskPercent: number;
|
||||
/** Entry price */
|
||||
entryPrice: number;
|
||||
/** Stop loss price */
|
||||
stopPrice: number;
|
||||
/** Commission per share */
|
||||
commission?: number;
|
||||
}
|
||||
|
||||
/**
|
||||
* Kelly Criterion parameters
|
||||
*/
|
||||
export interface KellyParams {
|
||||
/** Win rate (0-1) */
|
||||
winRate: number;
|
||||
/** Average winning trade */
|
||||
averageWin: number;
|
||||
/** Average losing trade */
|
||||
averageLoss: number;
|
||||
/** Risk-free rate */
|
||||
riskFreeRate?: number;
|
||||
}
|
||||
86
libs/types/src/risk-metrics.ts
Normal file
86
libs/types/src/risk-metrics.ts
Normal file
|
|
@ -0,0 +1,86 @@
|
|||
/**
|
||||
* Risk & Performance Metrics Types
|
||||
* Types for risk measurement and performance analysis
|
||||
*/
|
||||
|
||||
/**
|
||||
* Comprehensive risk metrics
|
||||
*/
|
||||
export interface RiskMetrics {
|
||||
/** Value at Risk 95% */
|
||||
var95: number;
|
||||
/** Value at Risk 99% */
|
||||
var99: number;
|
||||
/** Conditional VaR 95% */
|
||||
cvar95: number;
|
||||
/** Maximum drawdown */
|
||||
maxDrawdown: number;
|
||||
/** Volatility (annualized) */
|
||||
volatility: number;
|
||||
/** Downside deviation */
|
||||
downside_deviation: number;
|
||||
/** Calmar ratio */
|
||||
calmar_ratio: number;
|
||||
/** Sortino ratio */
|
||||
sortino_ratio: number;
|
||||
/** Beta (vs benchmark) */
|
||||
beta: number;
|
||||
/** Alpha (vs benchmark) */
|
||||
alpha: number;
|
||||
/** Sharpe ratio */
|
||||
sharpeRatio: number;
|
||||
/** Treynor ratio */
|
||||
treynorRatio: number;
|
||||
/** Tracking error */
|
||||
trackingError: number;
|
||||
/** Information ratio */
|
||||
informationRatio: number;
|
||||
}
|
||||
|
||||
/**
|
||||
* Drawdown analysis
|
||||
*/
|
||||
export interface DrawdownAnalysis {
|
||||
/** Maximum drawdown percentage */
|
||||
maxDrawdown: number;
|
||||
/** Maximum drawdown duration (days) */
|
||||
maxDrawdownDuration: number;
|
||||
/** Current drawdown percentage */
|
||||
currentDrawdown: number;
|
||||
/** Current drawdown duration (days) */
|
||||
currentDrawdownDuration: number;
|
||||
/** Average drawdown percentage */
|
||||
averageDrawdown: number;
|
||||
/** Average drawdown duration (days) */
|
||||
averageDrawdownDuration: number;
|
||||
/** Number of drawdown periods */
|
||||
drawdownPeriods: number;
|
||||
/** Recovery factor */
|
||||
recoveryFactor: number;
|
||||
}
|
||||
|
||||
/**
|
||||
* Return analysis statistics
|
||||
*/
|
||||
export interface ReturnAnalysis {
|
||||
/** Total return */
|
||||
totalReturn: number;
|
||||
/** Annualized return */
|
||||
annualizedReturn: number;
|
||||
/** Volatility (annualized) */
|
||||
volatility: number;
|
||||
/** Skewness */
|
||||
skewness: number;
|
||||
/** Kurtosis */
|
||||
kurtosis: number;
|
||||
/** Best period return */
|
||||
bestPeriod: number;
|
||||
/** Worst period return */
|
||||
worstPeriod: number;
|
||||
/** Positive periods percentage */
|
||||
positivePeriods: number;
|
||||
/** Average positive return */
|
||||
averagePositiveReturn: number;
|
||||
/** Average negative return */
|
||||
averageNegativeReturn: number;
|
||||
}
|
||||
109
libs/types/src/technical-analysis.ts
Normal file
109
libs/types/src/technical-analysis.ts
Normal file
|
|
@ -0,0 +1,109 @@
|
|||
/**
|
||||
* Technical Analysis Types
|
||||
* Types for technical indicators and market analysis
|
||||
*/
|
||||
|
||||
/**
|
||||
* Technical indicators collection
|
||||
*/
|
||||
export interface TechnicalIndicators {
|
||||
/** Simple Moving Average */
|
||||
sma: number[];
|
||||
/** Exponential Moving Average */
|
||||
ema: number[];
|
||||
/** Relative Strength Index */
|
||||
rsi: number[];
|
||||
/** MACD indicator */
|
||||
macd: {
|
||||
macd: number[];
|
||||
signal: number[];
|
||||
histogram: number[];
|
||||
};
|
||||
/** Bollinger Bands */
|
||||
bollinger: {
|
||||
upper: number[];
|
||||
middle: number[];
|
||||
lower: number[];
|
||||
};
|
||||
/** Average True Range */
|
||||
atr: number[];
|
||||
/** Stochastic Oscillator */
|
||||
stochastic: {
|
||||
k: number[];
|
||||
d: number[];
|
||||
};
|
||||
/** Williams %R */
|
||||
williams_r: number[];
|
||||
/** Commodity Channel Index */
|
||||
cci: number[];
|
||||
/** Momentum */
|
||||
momentum: number[];
|
||||
/** Rate of Change */
|
||||
roc: number[];
|
||||
}
|
||||
|
||||
/**
|
||||
* Correlation analysis result
|
||||
*/
|
||||
export interface CorrelationResult {
|
||||
/** Correlation coefficient */
|
||||
correlation: number;
|
||||
/** P-value for statistical significance */
|
||||
pValue: number;
|
||||
/** Is statistically significant */
|
||||
isSignificant: boolean;
|
||||
/** Confidence interval */
|
||||
confidenceInterval: [number, number];
|
||||
/** Sample size */
|
||||
sampleSize: number;
|
||||
}
|
||||
|
||||
/**
|
||||
* Correlation matrix
|
||||
*/
|
||||
export interface CorrelationMatrix {
|
||||
/** Asset symbols */
|
||||
symbols: string[];
|
||||
/** Correlation matrix values */
|
||||
matrix: number[][];
|
||||
/** Eigenvalues */
|
||||
eigenvalues: number[];
|
||||
/** Condition number */
|
||||
conditionNumber: number;
|
||||
/** Is positive definite */
|
||||
isPositiveDefinite: boolean;
|
||||
}
|
||||
|
||||
/**
|
||||
* Volatility estimates using different models
|
||||
*/
|
||||
export interface VolatilityEstimates {
|
||||
/** Close-to-close volatility */
|
||||
closeToClose: number;
|
||||
/** Parkinson volatility */
|
||||
parkinson: number;
|
||||
/** Garman-Klass volatility */
|
||||
garmanKlass: number;
|
||||
/** Rogers-Satchell volatility */
|
||||
rogersSatchell: number;
|
||||
/** Yang-Zhang volatility */
|
||||
yangZhang: number;
|
||||
}
|
||||
|
||||
/**
|
||||
* GARCH model parameters
|
||||
*/
|
||||
export interface GARCHParameters {
|
||||
/** Alpha parameter */
|
||||
alpha: number;
|
||||
/** Beta parameter */
|
||||
beta: number;
|
||||
/** Omega parameter */
|
||||
omega: number;
|
||||
/** Log likelihood */
|
||||
logLikelihood: number;
|
||||
/** AIC (Akaike Information Criterion) */
|
||||
aic: number;
|
||||
/** BIC (Bayesian Information Criterion) */
|
||||
bic: number;
|
||||
}
|
||||
62
libs/types/src/trading.ts
Normal file
62
libs/types/src/trading.ts
Normal file
|
|
@ -0,0 +1,62 @@
|
|||
/**
|
||||
* Trading & Execution Types
|
||||
* Types for trade execution and performance analysis
|
||||
*/
|
||||
|
||||
/**
|
||||
* Trade execution record
|
||||
*/
|
||||
export interface TradeExecution {
|
||||
/** Trade ID */
|
||||
id?: string;
|
||||
/** Security symbol */
|
||||
symbol: string;
|
||||
/** Trade type */
|
||||
type: 'buy' | 'sell' | 'short' | 'cover';
|
||||
/** Number of shares/units */
|
||||
quantity: number;
|
||||
/** Execution price */
|
||||
price: number;
|
||||
/** Total trade value */
|
||||
value: number;
|
||||
/** Commission/fees */
|
||||
commission?: number;
|
||||
/** Execution timestamp */
|
||||
timestamp: number;
|
||||
/** Order ID reference */
|
||||
orderId?: string;
|
||||
/** Execution venue */
|
||||
venue?: string;
|
||||
}
|
||||
|
||||
/**
|
||||
* Trade performance analysis
|
||||
*/
|
||||
export interface TradePerformance {
|
||||
/** Total number of trades */
|
||||
totalTrades: number;
|
||||
/** Number of winning trades */
|
||||
winningTrades: number;
|
||||
/** Number of losing trades */
|
||||
losingTrades: number;
|
||||
/** Win rate percentage */
|
||||
winRate: number;
|
||||
/** Average winning trade */
|
||||
averageWin: number;
|
||||
/** Average losing trade */
|
||||
averageLoss: number;
|
||||
/** Largest winning trade */
|
||||
largestWin: number;
|
||||
/** Largest losing trade */
|
||||
largestLoss: number;
|
||||
/** Profit factor (gross profit / gross loss) */
|
||||
profitFactor: number;
|
||||
/** Mathematical expectancy */
|
||||
expectancy: number;
|
||||
/** Total gross profit */
|
||||
grossProfit: number;
|
||||
/** Total gross loss */
|
||||
grossLoss: number;
|
||||
/** Net profit */
|
||||
netProfit: number;
|
||||
}
|
||||
|
|
@ -95,8 +95,11 @@ export function internalRateOfReturn(
|
|||
let dnpv = 0;
|
||||
|
||||
for (let j = 0; j < cashFlows.length; j++) {
|
||||
npv += cashFlows[j] / Math.pow(1 + rate, j);
|
||||
dnpv += (-j * cashFlows[j]) / Math.pow(1 + rate, j + 1);
|
||||
const cashFlow = cashFlows[j];
|
||||
if (cashFlow !== undefined) {
|
||||
npv += cashFlow / Math.pow(1 + rate, j);
|
||||
dnpv += (-j * cashFlow) / Math.pow(1 + rate, j + 1);
|
||||
}
|
||||
}
|
||||
|
||||
if (Math.abs(npv) < 1e-10) {
|
||||
|
|
@ -119,9 +122,12 @@ export function paybackPeriod(initialInvestment: number, cashFlows: number[]): n
|
|||
let cumulativeCashFlow = 0;
|
||||
|
||||
for (let i = 0; i < cashFlows.length; i++) {
|
||||
cumulativeCashFlow += cashFlows[i];
|
||||
if (cumulativeCashFlow >= initialInvestment) {
|
||||
return i + 1 - (cumulativeCashFlow - initialInvestment) / cashFlows[i];
|
||||
const cashFlow = cashFlows[i];
|
||||
if (cashFlow !== undefined) {
|
||||
cumulativeCashFlow += cashFlow;
|
||||
if (cumulativeCashFlow >= initialInvestment) {
|
||||
return i + 1 - (cumulativeCashFlow - initialInvestment) / cashFlow;
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
|
|
|
|||
|
|
@ -65,7 +65,10 @@ export function pearsonCorrelation(x: number[], y: number[]): CorrelationResult
|
|||
const n = x.length;
|
||||
const sumX = x.reduce((a, b) => a + b, 0);
|
||||
const sumY = y.reduce((a, b) => a + b, 0);
|
||||
const sumXY = x.reduce((sum, xi, i) => sum + xi * y[i], 0);
|
||||
const sumXY = x.reduce((sum, xi, i) => {
|
||||
const yi = y[i];
|
||||
return yi !== undefined ? sum + xi * yi : sum;
|
||||
}, 0);
|
||||
const sumX2 = x.reduce((sum, xi) => sum + xi * xi, 0);
|
||||
const sumY2 = y.reduce((sum, yi) => sum + yi * yi, 0);
|
||||
|
||||
|
|
@ -127,13 +130,20 @@ export function kendallTau(x: number[], y: number[]): CorrelationResult {
|
|||
|
||||
for (let i = 0; i < n - 1; i++) {
|
||||
for (let j = i + 1; j < n; j++) {
|
||||
const xDiff = x[i] - x[j];
|
||||
const yDiff = y[i] - y[j];
|
||||
const xi = x[i];
|
||||
const xj = x[j];
|
||||
const yi = y[i];
|
||||
const yj = y[j];
|
||||
|
||||
if (xi !== undefined && xj !== undefined && yi !== undefined && yj !== undefined) {
|
||||
const xDiff = xi - xj;
|
||||
const yDiff = yi - yj;
|
||||
|
||||
if (xDiff * yDiff > 0) {
|
||||
concordant++;
|
||||
} else if (xDiff * yDiff < 0) {
|
||||
discordant++;
|
||||
if (xDiff * yDiff > 0) {
|
||||
concordant++;
|
||||
} else if (xDiff * yDiff < 0) {
|
||||
discordant++;
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
|
|
|||
|
|
@ -25,98 +25,40 @@ import {
|
|||
* Organized into logical categories for easy use and maintenance.
|
||||
*/
|
||||
|
||||
// Re-export standardized types
|
||||
export type { OHLCV, OHLCVWithMetadata } from '@stock-bot/types';
|
||||
|
||||
// Legacy interface for backward compatibility - prefer OHLCV from @stock-bot/types
|
||||
/** @deprecated Use OHLCV from @stock-bot/types instead */
|
||||
export interface OHLCVData {
|
||||
open: number;
|
||||
high: number;
|
||||
low: number;
|
||||
close: number;
|
||||
volume: number;
|
||||
timestamp: Date;
|
||||
}
|
||||
|
||||
export interface PriceData {
|
||||
price: number;
|
||||
timestamp: Date;
|
||||
}
|
||||
|
||||
// Financial calculation result interfaces
|
||||
export interface PortfolioMetrics {
|
||||
totalValue: number;
|
||||
totalReturn: number;
|
||||
totalReturnPercent: number;
|
||||
dailyReturn: number;
|
||||
dailyReturnPercent: number;
|
||||
maxDrawdown: number;
|
||||
sharpeRatio: number;
|
||||
beta: number;
|
||||
alpha: number;
|
||||
volatility: number;
|
||||
}
|
||||
|
||||
export interface RiskMetrics {
|
||||
var95: number; // Value at Risk 95%
|
||||
var99: number; // Value at Risk 99%
|
||||
cvar95: number; // Conditional VaR 95%
|
||||
maxDrawdown: number;
|
||||
volatility: number;
|
||||
downside_deviation: number;
|
||||
calmar_ratio: number;
|
||||
sortino_ratio: number;
|
||||
beta: number;
|
||||
alpha: number;
|
||||
sharpeRatio: number;
|
||||
treynorRatio: number;
|
||||
trackingError: number;
|
||||
informationRatio: number;
|
||||
}
|
||||
|
||||
export interface TechnicalIndicators {
|
||||
sma: number[];
|
||||
ema: number[];
|
||||
rsi: number[];
|
||||
macd: { macd: number[]; signal: number[]; histogram: number[] };
|
||||
bollinger: { upper: number[]; middle: number[]; lower: number[] };
|
||||
atr: number[];
|
||||
stochastic: { k: number[]; d: number[] };
|
||||
williams_r: number[];
|
||||
cci: number[];
|
||||
momentum: number[];
|
||||
roc: number[];
|
||||
}
|
||||
|
||||
// Additional interfaces for new functionality
|
||||
export interface TradeExecution {
|
||||
entry: number;
|
||||
exit: number;
|
||||
peak?: number;
|
||||
trough?: number;
|
||||
volume: number;
|
||||
timestamp: Date;
|
||||
}
|
||||
|
||||
export interface MarketData {
|
||||
price: number;
|
||||
volume: number;
|
||||
timestamp: Date;
|
||||
bid?: number;
|
||||
ask?: number;
|
||||
bidSize?: number;
|
||||
askSize?: number;
|
||||
}
|
||||
|
||||
export interface BacktestResults {
|
||||
trades: TradeExecution[];
|
||||
equityCurve: Array<{ value: number; date: Date }>;
|
||||
|
||||
performance: PortfolioMetrics;
|
||||
riskMetrics: RiskMetrics;
|
||||
drawdownAnalysis: any; // Import from performance-metrics
|
||||
}
|
||||
// Re-export all standardized types from @stock-bot/types
|
||||
export type {
|
||||
OHLCV,
|
||||
OHLCVWithMetadata,
|
||||
PortfolioPosition,
|
||||
PortfolioAnalysis,
|
||||
AssetAllocation,
|
||||
TradeExecution,
|
||||
TradePerformance,
|
||||
RiskMetrics,
|
||||
DrawdownAnalysis,
|
||||
ReturnAnalysis,
|
||||
OptionParameters,
|
||||
OptionPricing,
|
||||
GreeksCalculation,
|
||||
MarketData,
|
||||
LiquidityMetrics,
|
||||
MarketRegime,
|
||||
PositionSizeParams,
|
||||
KellyParams,
|
||||
BalanceSheet,
|
||||
IncomeStatement,
|
||||
CashFlowStatement,
|
||||
TechnicalIndicators,
|
||||
CorrelationResult,
|
||||
CorrelationMatrix,
|
||||
VolatilityEstimates,
|
||||
GARCHParameters,
|
||||
BacktestResults,
|
||||
HasClose,
|
||||
HasOHLC,
|
||||
HasVolume,
|
||||
HasTimestamp
|
||||
} from '@stock-bot/types';
|
||||
|
||||
// Export all calculation functions
|
||||
export * from './basic-calculations';
|
||||
|
|
@ -132,7 +74,7 @@ export * from './correlation-analysis';
|
|||
|
||||
// Convenience function to calculate all technical indicators at once
|
||||
export function calculateAllTechnicalIndicators(
|
||||
ohlcv: OHLCVData[],
|
||||
ohlcv: OHLCV[],
|
||||
periods: { sma?: number; ema?: number; rsi?: number; atr?: number } = {}
|
||||
): TechnicalIndicators {
|
||||
const {
|
||||
|
|
@ -166,7 +108,7 @@ export function analyzePortfolio(
|
|||
benchmarkReturns?: number[],
|
||||
riskFreeRate: number = 0.02
|
||||
): {
|
||||
performance: PortfolioMetrics;
|
||||
performance: PortfolioAnalysis;
|
||||
risk: RiskMetrics;
|
||||
trades?: any;
|
||||
drawdown?: any;
|
||||
|
|
|
|||
|
|
@ -43,7 +43,8 @@ export const dateUtils = {
|
|||
* Format a date as YYYY-MM-DD
|
||||
*/
|
||||
formatDate(date: Date): string {
|
||||
return date.toISOString().split('T')[0];
|
||||
const parts = date.toISOString().split('T');
|
||||
return parts[0] ?? '';
|
||||
},
|
||||
|
||||
/**
|
||||
|
|
|
|||
191
libs/utils/src/generic-functions.ts
Normal file
191
libs/utils/src/generic-functions.ts
Normal file
|
|
@ -0,0 +1,191 @@
|
|||
/**
|
||||
* Generic utility functions that work with standardized types
|
||||
* These functions demonstrate how to use generic types with OHLCV data
|
||||
*/
|
||||
|
||||
import type { OHLCV, HasClose, HasOHLC, HasVolume } from '@stock-bot/types';
|
||||
|
||||
/**
|
||||
* Extract close prices from any data structure that has a close field
|
||||
* Works with OHLCV, MarketData, or any custom type with close price
|
||||
*/
|
||||
export function extractCloses<T extends HasClose>(data: T[]): number[] {
|
||||
return data.map(item => item.close);
|
||||
}
|
||||
|
||||
/**
|
||||
* Extract OHLC prices from any data structure that has OHLC fields
|
||||
*/
|
||||
export function extractOHLC<T extends HasOHLC>(data: T[]): {
|
||||
opens: number[];
|
||||
highs: number[];
|
||||
lows: number[];
|
||||
closes: number[];
|
||||
} {
|
||||
return {
|
||||
opens: data.map(item => item.open),
|
||||
highs: data.map(item => item.high),
|
||||
lows: data.map(item => item.low),
|
||||
closes: data.map(item => item.close),
|
||||
};
|
||||
}
|
||||
|
||||
/**
|
||||
* Extract volumes from any data structure that has a volume field
|
||||
*/
|
||||
export function extractVolumes<T extends HasVolume>(data: T[]): number[] {
|
||||
return data.map(item => item.volume);
|
||||
}
|
||||
|
||||
/**
|
||||
* Calculate simple moving average using close prices from any compatible data type
|
||||
*/
|
||||
export function calculateSMA<T extends HasClose>(data: T[], period: number): number[] {
|
||||
const closes = extractCloses(data);
|
||||
const result: number[] = [];
|
||||
|
||||
for (let i = period - 1; i < closes.length; i++) {
|
||||
const sum = closes.slice(i - period + 1, i + 1).reduce((a, b) => a + b, 0);
|
||||
result.push(sum / period);
|
||||
}
|
||||
|
||||
return result;
|
||||
}
|
||||
|
||||
/**
|
||||
* Calculate typical price (HLC/3) from any OHLC compatible data
|
||||
*/
|
||||
export function calculateTypicalPrice<T extends HasOHLC>(data: T[]): number[] {
|
||||
return data.map(item => (item.high + item.low + item.close) / 3);
|
||||
}
|
||||
|
||||
/**
|
||||
* Calculate true range from OHLC data
|
||||
*/
|
||||
export function calculateTrueRange<T extends HasOHLC>(data: T[]): number[] {
|
||||
const result: number[] = [];
|
||||
|
||||
for (let i = 0; i < data.length; i++) {
|
||||
if (i === 0) {
|
||||
result.push(data[i]!.high - data[i]!.low);
|
||||
} else {
|
||||
const current = data[i]!;
|
||||
const previous = data[i - 1]!;
|
||||
const tr = Math.max(
|
||||
current.high - current.low,
|
||||
Math.abs(current.high - previous.close),
|
||||
Math.abs(current.low - previous.close)
|
||||
);
|
||||
result.push(tr);
|
||||
}
|
||||
}
|
||||
|
||||
return result;
|
||||
}
|
||||
|
||||
/**
|
||||
* Calculate returns from close prices
|
||||
*/
|
||||
export function calculateReturns<T extends HasClose>(data: T[]): number[] {
|
||||
const closes = extractCloses(data);
|
||||
const returns: number[] = [];
|
||||
|
||||
for (let i = 1; i < closes.length; i++) {
|
||||
const current = closes[i]!;
|
||||
const previous = closes[i - 1]!;
|
||||
if (previous > 0) {
|
||||
returns.push((current - previous) / previous);
|
||||
} else {
|
||||
returns.push(0);
|
||||
}
|
||||
}
|
||||
|
||||
return returns;
|
||||
}
|
||||
|
||||
/**
|
||||
* Calculate log returns from close prices
|
||||
*/
|
||||
export function calculateLogReturns<T extends HasClose>(data: T[]): number[] {
|
||||
const closes = extractCloses(data);
|
||||
const logReturns: number[] = [];
|
||||
|
||||
for (let i = 1; i < closes.length; i++) {
|
||||
const current = closes[i]!;
|
||||
const previous = closes[i - 1]!;
|
||||
if (previous > 0 && current > 0) {
|
||||
logReturns.push(Math.log(current / previous));
|
||||
} else {
|
||||
logReturns.push(0);
|
||||
}
|
||||
}
|
||||
|
||||
return logReturns;
|
||||
}
|
||||
|
||||
/**
|
||||
* Calculate volume-weighted average price (VWAP) from OHLC + Volume data
|
||||
*/
|
||||
export function calculateVWAP<T extends HasOHLC & HasVolume>(data: T[]): number[] {
|
||||
const result: number[] = [];
|
||||
let cumulativeVolumePrice = 0;
|
||||
let cumulativeVolume = 0;
|
||||
|
||||
for (const item of data) {
|
||||
const typicalPrice = (item.high + item.low + item.close) / 3;
|
||||
cumulativeVolumePrice += typicalPrice * item.volume;
|
||||
cumulativeVolume += item.volume;
|
||||
|
||||
if (cumulativeVolume > 0) {
|
||||
result.push(cumulativeVolumePrice / cumulativeVolume);
|
||||
} else {
|
||||
result.push(typicalPrice);
|
||||
}
|
||||
}
|
||||
|
||||
return result;
|
||||
}
|
||||
|
||||
/**
|
||||
* Filter OHLCV data by symbol
|
||||
*/
|
||||
export function filterBySymbol(data: OHLCV[], symbol: string): OHLCV[] {
|
||||
return data.filter(item => item.symbol === symbol);
|
||||
}
|
||||
|
||||
/**
|
||||
* Filter OHLCV data by time range
|
||||
*/
|
||||
export function filterByTimeRange(
|
||||
data: OHLCV[],
|
||||
startTime: number,
|
||||
endTime: number
|
||||
): OHLCV[] {
|
||||
return data.filter(item => item.timestamp >= startTime && item.timestamp <= endTime);
|
||||
}
|
||||
|
||||
/**
|
||||
* Group OHLCV data by symbol
|
||||
*/
|
||||
export function groupBySymbol(data: OHLCV[]): Record<string, OHLCV[]> {
|
||||
const grouped: Record<string, OHLCV[]> = {};
|
||||
|
||||
for (const item of data) {
|
||||
if (!grouped[item.symbol]) {
|
||||
grouped[item.symbol] = [];
|
||||
}
|
||||
grouped[item.symbol]!.push(item);
|
||||
}
|
||||
|
||||
return grouped;
|
||||
}
|
||||
|
||||
/**
|
||||
* Convert timestamp to Date for OHLCV data
|
||||
*/
|
||||
export function convertTimestamps(data: OHLCV[]): Array<OHLCV & { date: Date }> {
|
||||
return data.map(item => ({
|
||||
...item,
|
||||
date: new Date(item.timestamp)
|
||||
}));
|
||||
}
|
||||
|
|
@ -1,3 +1,4 @@
|
|||
export * from './calculations/index';
|
||||
export * from './common';
|
||||
export * from './dateUtils';
|
||||
export * from './generic-functions';
|
||||
|
|
|
|||
Loading…
Add table
Add a link
Reference in a new issue