kestrel.markets/src/fill/index.ts

A typed, token-efficient language + runtime for agentic trading: agents author bounded plans, the runtime fires them at the tick. CLI + typed library + MCP server.

/**
 * # fill — the FillModel seam + SimFillEngine (RUNTIME §6–7)
 *
 * The judge of the runtime. One seam ({@link FillModel}) returns a calibrated per-assessment
 * `pFill`, an expected fill price, and a definite floor `fill?` — never a bare boolean — and
 * every plan *and the structural null* cross the same model, so strategies are compared on
 * fills, not on fill assumptions (ARCHITECTURE §4). Two implementations bracket the truth:
 *
 * - {@link StrictCrossV1} — the **floor judge**: fills only on a strict tape cross, at the
 *   resting price. Conservative by construction (`pFill ∈ {0,1}`).
 * - {@link MakerFairV1} — the **ceiling judge**: strict-cross ∪ a hazard of being filled
 *   while resting at/near `fair`, with hazard **parameters injected as versioned data**
 *   ({@link MakerFairHazardParams}); the shipped {@link MAKER_FAIR_DEFAULT_HAZARD} is clearly
 *   labelled uncalibrated.
 *
 * {@link SimFillEngine} is the pure, time-injected state machine that rests orders, reassesses
 * them on book updates, and cash-settles at intrinsic — reporting both the floor outcome and
 * the E[$] under `pFill`. Same event sequence ⇒ same outcomes (RUNTIME §0).
 */

export type {
  FillModel,
  FillOrderView,
  FillAssessCtx,
  FillAssessment,
  FillCalibration,
  FillLimit,
  FillSupport,
  Moneyness,
  MakerFairHazardParams,
  EpisodeSigmoidParams,
  EpisodeSigmoidSide,
} from "./model.ts";
export {
  StrictCrossV1,
  MakerFairV1,
  MakerFairCalV1,
  STRICT_CROSS_LIMITS,
  MAKER_FAIR_LIMITS,
  loadEpisodeSigmoidParams,
  MAKER_FAIR_DEFAULT_HAZARD,
  makerFairHazard,
  strictCross,
  isCalibratedSupport,
  directionalPfill,
  classifyMoneyness,
  MONEYNESS_ATM_BAND,
  MONEYNESS_DEEP_OTM_FRAC,
  SELL_FAR_OTM_CAP,
  BUY_FAR_OTM_CROSSING,
} from "./model.ts";

/** The **GuardedIntent** owner (kestrel-vav2, arch-review C1b): the ONE interface concentrating leg
 * classification, decision-time spot resolution, and the far-OTM cap decision that the fill model
 * consumes — so the BOUNDED-RISK / never-naked property is testable through the enforcing seam. */
export type { GuardedIntent, GuardIntentInput } from "./guarded-intent.ts";
export { guardIntent, guardedIntentOf, guardedPfill } from "./guarded-intent.ts";
/** Per-contract option intrinsic — the single canonical `intrinsic(spot, strike, right)` from
 * `src/fair` (pure). The fill seam and settlement read the same function fair prices against
 * (RUNTIME §4/§6); it is re-exported here so fill consumers keep one import surface. */
export { intrinsic } from "../fair/index.ts";

export type {
  CarriedLot,
  FillOrder,
  OrderOutcome,
  SampledOutcome,
  SettleMark,
  SettleMarkProvenance,
  SettleMarkResolution,
  SettleReport,
  SimFillEngineOptions,
} from "./engine.ts";
export { SimFillEngine, SETTLE_MARK_STALE_AFTER_MS, EPISODE_REMINT_DT_REF_MS } from "./engine.ts";

/** The instrument-general spot engine (ADR-0017): the equity/crypto sibling of
 * {@link SimFillEngine} — matches strict-cross on `instrument` alone and settles
 * **mark-to-final-spot** (no strike, no intrinsic-at-expiry). */
export type {
  SpotQuote,
  SpotFillOrder,
  SpotOrderOutcome,
  SpotSettleReport,
  SpotFillEngineOptions,
} from "./spot.ts";
export { SpotFillEngine, spotStrictCross } from "./spot.ts";

/** The PER-WAKE mark-to-model of held option legs (theta-cell seam b): re-marks a held straddle
 * against the tape's own option book at each wake, so standing pat on a bleeding position is
 * natively costly. Gated; byte-identical when off. */
export type {
  HeldOptionLeg,
  WakeMark,
  MarkToModelInput,
  MarkToModelResult,
} from "./mark-to-model.ts";
export { markHeldLegsPerWake, OPTION_CONTRACT_MULTIPLIER } from "./mark-to-model.ts";

/** The HELD POSITION AS OF THE GRADED BUS (theta-floor owner): concentrates reconstruction + blended
 * basis + per-wake marking behind ONE surface whose result decides the theta floor the sim driver folds
 * into the graded Blotter — the tested surface decides, not driver glue below an untested private step
 * (kestrel-pta5). Gated; `thetaBleed = null` (byte-identical) when off. */
export type { HeldPositionInput, HeldPositionResult } from "./held-position.ts";
export { heldPositionAsOfGradedBus, reconstructHeldOptionLegs } from "./held-position.ts";