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kestrel.markets

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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.

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/** * # session/sim — the sim Session driver + graded report (RUNTIME §7) * * The one object that owns a `sim` run, wired end to end over the shipped substrate. It reads a * recorded/synthetic bus **as its clock** (`now` = each event's `ts`, RUNTIME §0), drives the * canonical market state and the {@link PlanEngine} trigger sweep, routes the engine's orders * through the **Gate** into a {@link SimFillEngine} (the judge, RUNTIME §6), reassesses resting * orders on every BOOK event (and resting SPOT orders on every SPOT tick carrying an NBBO, * ADR-0017), feeds the resulting fills **back** into the engine's org facts and onto the emitted * bus, cash-settles held inventory off the final spot — options at intrinsic, spot inventory * mark-to-market (ADR-0017) — and returns a graded {@link EpisodeReport}. * * One code path, one gate (RUNTIME §7): swapping the gate adapter is what turns this into paper * or live; nothing else changes. Every mode crosses the same fill model, so grades compare on * fills, not on fill assumptions (ARCHITECTURE §4). * * ## The per-event pass (no look-ahead — state at event N is a function of events ≤ N) * For each bus event, in order: * 1. **clock** — the gate's `now` is pinned to the event's `ts` (the Gate seam is `now`-less; * the driver owns the injected clock, RUNTIME §0). * 2. **canonical state** — {@link CanonicalState.applyEvent} folds SPOT/HEARTBEAT into the * signal instrument's one causal coordinate (the market-fact substrate the triggers read). * 3. **fill reassessment (BOOK only, BEFORE the sweep)** — the market acts first: every leg of * the book reassesses the matching resting orders through {@link SimFillEngine.onBook}; a * strict-cross floor fill is emitted **and fed back** into the engine (`engine.onEvent(fill)`) * so inventory, basis, and TP maintenance advance — all **before** the engine reacts to that * book. This is the load-bearing ordering (RUNTIME §7): a plan can never cancel/reprice an * order the same book would have filled. * 4. **engine sweep** — {@link PlanEngine.onEvent} arms/fires/manages; its PLAN + WAKE land on * the emitted bus, its order submits/cancels go through the {@link SimGate} into the fill * engine (each `place`/`cancel` ORDER event drained onto the emitted bus at submission time). * Orders placed *by this sweep* rest for the **next** book (fills are reassessed on book * events, one book at a time). * * At session end the fill engines **settle** at the final exec spot: filled option inventory * settles at intrinsic, filled spot inventory marks to the final spot (ADR-0017 — no expiry, no * intrinsic), still-resting orders expire worthless-unfilled ($0 floor). The report carries the * floor outcome and the E[$] under `pFill` side by side (RUNTIME §6). * * ## Determinism (RUNTIME §0/§7 — a test, not a hope) * Everything on the path is pure and injected-time; the emitted stream is stamped with a * monotonic `seq` in emission order and serialized canonically. `determinism_hash` is the * sha256 of that serialization: two runs on the same inputs produce the identical hash, and a * zero-documents run produces a stable pass-through hash. * * ## Fail-closed (RUNTIME §8, all loud) * No META header → refuse (a well-formed bus opens with exactly one META). Unknown fill model → * refuse to grade (never default silently). No instruments → refuse. Bus corruption surfaces * from {@link readBus} as a loud, line-located error. */ import { writeFileSync } from "node:fs"; import type { BookEvent, BookState, BusEvent, ExperimentalEnvelope, Fidelity, FillModelStamp, InstanceIdentity, MetaEvent, Mode, NewBusEvent, OptionQuote, OrderEvent, PlanOutcome, PlanState, Right, SampledQualificationClaim, } from "../bus/index.ts"; import { BUS_SCHEMA, canonicalEnvelope, foldBook, groupPlanInstances, readBus, serializeBus } from "../bus/index.ts"; import { CanonicalSeriesProvider, CanonicalState, FakeOrgFacts, UNKNOWN, type SeriesProvider, type TriState, } from "../series/index.ts"; import { PlanEngine, armRefusalError, type Gate, type InstrumentSpec, type OrderIntent, type OrderRole } from "../engine/index.ts"; import type { FillEvent } from "../lang/index.ts"; import { expiryTauYears, etMinuteOfDay, type FairTauProvider } from "./clock.ts"; import { requireMeta, resolveSpecs, specFromMeta } from "./specs.ts"; import { MakerFairCalV1, MakerFairV1, SETTLE_MARK_STALE_AFTER_MS, SimFillEngine, SpotFillEngine, StrictCrossV1, type EpisodeSigmoidParams, type FillModel, type OrderOutcome, type SettleMark, type SpotSettleReport, } from "../fill/index.ts"; import { executionFair } from "../fair/index.ts"; import { type KestrelNode, type Module, type PlanStatement } from "../lang/index.ts"; import { canonicalPlansText } from "../canonical/plans.ts"; import { project, type Blotter } from "../blotter/index.ts"; import { makeGate } from "../adapters/broker.ts"; import { canonicalizeConfig, cellConfigId as cellConfigIdOf, deriveConfigId, envelopeForConfig, fillSeedOf, sampledQualificationOf } from "./config.ts"; import { nakedShortTaint, sampledQualified, selectHeadline, type FilledLeg, type HeadlinePnl } from "../grade/headline.ts"; import type { AgentConfig } from "./agent.ts"; import type { CarriedLot } from "../fill/index.ts"; import type { SessionCarry } from "./carry.ts"; import { sha256 } from "../crypto/sha256.ts"; import { roundToGrid } from "../protocol/grade.ts"; // ───────────────────────────────────────────────────────────────────────────── // Public surface // ───────────────────────────────────────────────────────────────────────────── /** The two shipped, named fill models (RUNTIME §6). Any other name is refused (fail-closed). */ export type FillModelName = "strict-cross-v1" | "maker-fair-v1"; /** * The machine-readable reason code a session de-arms under when the exec book's time-to-expiry is * unknowable (kestrel-wcnd) — it prefixes the CONTROL `disarm` note, which the Blotter projects as * a reason-carrying de-arm record (`disarms[].reason`, kestrel-2pl). Exported so a consumer (and * the guard fixture) matches the CODE rather than scraping prose. */ export const FAIR_TAU_UNKNOWN_CODE = "fair-tau-unknown" as const; /** Options for {@link runSimSession}. Exactly one of `busPath`/`events` supplies the bus. * `documents` are already-parsed Kestrel nodes (a bare statement or a full module — both are * normalized to a module and armed). Instrument contract facts are not on the v1 bus META, so * they are derived from the asset class (tick `0.01`, strike step `1`, multiplier `100` for an * option-underlier else `1`, role carried from META) unless `instruments` overrides them. * `fairTauYears` injects time-to-expiry so `@fair` (and the maker-fair hazard) can be built; * **absent, it defaults to the CONTRACT-expiry tau** ({@link expiryTauYears}: `max(0, 16:00 ET on * the book's OWN expiry − now)`, RUNTIME §4) — so `@fair` is buildable by default, decays toward * the contract's expiry (not this session's close, kestrel-wcnd), and goes UNKNOWN (fail-closed, * see {@link SessionCore.step}) when a book names no resolvable expiry. */ export interface RunSimOptions { readonly busPath?: string; readonly events?: readonly BusEvent[]; readonly documents: readonly KestrelNode[]; readonly fillModel: FillModelName; readonly rUsd: number; readonly out?: string; readonly instruments?: readonly InstrumentSpec[]; readonly fairTauYears?: FairTauProvider; /** Calibrated maker-fair fill params (the `episode-sigmoid-u-v1` form). When present with * `fillModel: "maker-fair-v1"`, the session grades under the calibrated curve instead of the * uncalibrated default hazard (RUNTIME §6). Ignored by `strict-cross-v1`. */ readonly makerFairParams?: EpisodeSigmoidParams; /** An optional agent config (kestrel-5zl.6). When supplied AND it declares an authoring identity, its * a57.14 experimental envelope is captured (`envelopeForConfig`) and stamped on the graded META. A * config-less run (the default) stamps no envelope — byte-identical to before (backward-compatible). */ readonly config?: AgentConfig; } /** One transition in a plan's lifecycle trace (RUNTIME §5), reconstructed from the emitted PLAN * stream. */ export interface PlanLifecycleStep { readonly ts: number; readonly state: PlanState; readonly outcome?: PlanOutcome; readonly reason?: string; } /** A plan's lifecycle trace + its terminal state (the outcome when `done`, else the last * lifecycle state). ONE trace is one exact Plan **instance** (kestrel-22j.15): a legal same-name replacement * is its OWN trace beside its predecessor, never collapsed into it. */ export interface PlanTrace { /** The authored plan NAME — the Lineage aggregation key (a name may legally recur; NOT the instance id). */ readonly plan: string; /** The exact Plan-instance identity this trace belongs to (kestrel-22j.15) — the id the engine minted, * carried on the emitted PLAN stream. Distinct per instance, so two same-name instances are two traces. */ readonly plan_instance: string; readonly lifecycle: readonly PlanLifecycleStep[]; readonly final_state: PlanState | PlanOutcome; } /** One gate order, joined across the intent (resolution annotation, role), the engine child * (esc stage), and the fill engine outcome (`pFill`, floor fill, settle P&L). */ export interface OrderReport { readonly ref: string; readonly plan: string; /** The authoring plan's exact INSTANCE identity (kestrel-22j.15) — carried from the order intent so an * order joins its exact instance, not merely its recurring name. */ readonly plan_instance: string; readonly role: OrderRole; readonly instrument: string; readonly side: "buy" | "sell"; readonly qty: number; /** The option strike; ABSENT for a spot/equity order (ADR-0017 — no fictional strike). */ readonly strike?: number; /** The option right; ABSENT for a spot/equity order (ADR-0017). */ readonly right?: Right; readonly px: number; /** The price-resolution annotation (`fair=fallback(mid)`, …) — a silent mid is forbidden, * RUNTIME §4. */ readonly annotation: string; /** The esc stage this resting order occupied (RUNTIME §4/§5) — the ladder rung, NOT a count of * reprices (the honest session-wide reprice tally is `session.reprice_count`, F6). */ readonly esc_stages: number; /** Expected fill probability `1 − survival` (`1` on a floor fill). */ readonly pFill: number; /** Did the strict-cross floor fire? */ readonly filled: boolean; /** The floor fill price, else `null`. */ readonly fillPx: number | null; /** Realized $ under the floor (0 unless floor-filled). */ readonly floorPnl: number; /** E[$] under `pFill`. */ readonly expectedPnl: number; /** Present + `true` when the order was cancelled mid-session (esc-replaced, TTL/INVALIDATE * pulled, or CANCEL-IF) rather than filled or settled. */ readonly cancelled?: boolean; } /** The graded sim report (RUNTIME §7). Stamps its judge (`fill_model`) and carries the * determinism hash of the emitted event stream. */ export interface EpisodeReport { readonly session: { readonly date: string; readonly instruments: readonly string[]; readonly mode: "sim"; readonly fill_model: string; readonly bus_events: number; /** sha256 of the emitted PLAN/WAKE/ORDER stream — pins the engine's OUTPUT (RUNTIME §0/§7). */ readonly determinism_hash: string; /** sha256 of the raw INPUT bus (serialized events) — pins what the run was graded against, so * determinism_hash (output) and bus_sha256 (input) together bind the whole computation (F6). */ readonly bus_sha256: string; /** Count of actual cancel/replace reprice submissions across the session (peg + esc), from the * engine — the honest reprice tally (F6; `orders[].esc_stages` is the ladder rung, not a count). */ readonly reprice_count: number; /** The **last bus event `ts`** — the session clock's final value (settle time). Injected, never * wall-clock (RUNTIME §0); the natural deterministic `now` for recording this run into the * ledger (ADR-0006). Equals `firstTs` for an empty bus. */ readonly settle_ts: number; }; readonly plans: readonly PlanTrace[]; readonly orders: readonly OrderReport[]; /** The three-channel P&L contract (kestrel-9gu.12): floor + expected always, sampled on a seeded run, * and the HEADLINE selected by the fail-closed qualification gate (floor until 9gu.8.6 passes). */ readonly totals: { /** Realized $ under the deterministic strict-cross floor — the honest lower bound. */ readonly realized_floor_usd: number; /** E[$] under the survival product — the analytic bound beside the realization. */ readonly expected_usd: number; /** The seeded causal realization (one ensemble replicate, ADR-0016). Present ONLY on a `fillSeed` * run — an un-run channel is never conflated with a zero outcome (kestrel-9gu.12). */ readonly sampled_usd?: number; readonly premium_spent: number; /** The settle mark's provenance + fail-closed staleness verdict + annotated recovery * (kestrel-xwf): the spot the book cash-settled against (`px` — the parity-recovered value when * `source: "parity"`), WHEN the primary mark's value was last established on the input tape * (`as_of_ts`; a frozen feed re-printing the same px does not refresh it), its age vs the settle * instant, and the `stale` verdict under the declared threshold. `stale: true` means the totals * above are graded against a mark the tape stopped supporting — NON-BANKABLE (a parity recovery * annotates, it does not pardon), never a silently fresh-looking number (the taint also rides the * Blotter's `totals.headline`). `source`/`mark_uncertain`/`note` are the recovery annotation: * `"parity"` = recovered honestly from a two-sided closing book; `"stale"` = refused — * `mark_uncertain: true`, the last mark retained. Explicit `null`s (never omitted keys) so the * report's shape is fixed. */ readonly settle_mark: { readonly px: number; readonly as_of_ts: number | null; readonly last_observed_ts: number | null; readonly age_ms: number | null; readonly stale_after_ms: number; readonly stale: boolean; readonly source: "market" | "parity" | "stale"; readonly mark_uncertain: boolean; readonly note: string | null; }; /** WHICH channel is the headline + the gate verdict that selected it + the xwf settle taint * ({@link HeadlinePnl}, kestrel-9gu.12). `floor` today; `sampled` once the 9gu.8.6 qualification is * on the record (never with extrapolated-support sampled realizations — bankableEv stays). The * settle-mark staleness verdict above feeds this headline's taint (a stale mark — including a * parity-recovered one — taints whichever channel leads). */ readonly headline: HeadlinePnl; }; readonly emitted: Readonly<Record<string, number>>; } /** * @deprecated Renamed to {@link EpisodeReport} (kestrel-markets-jcn0): the * deterministic execution unit is an **Episode**, not a "Kestrel Session" * ("session" is now reserved for the stateful TerminalSession seat, * PLAT-ADR-0052). This alias keeps `engine.session.SessionReport` type-importers * compiling across the rename; it will be removed after the 0.8.0 public cutover. * The on-the-wire report shape (its `session` payload field, `sessionId` keys) is * unchanged — this is a type-name-only rename, wire contract untouched. */ export type SessionReport = EpisodeReport; // ───────────────────────────────────────────────────────────────────────────── // Internals // ───────────────────────────────────────────────────────────────────────────── /** The fill-model factory — the ONE place a name maps to an implementation. An unknown name is * refused loudly: never grade under a fill model you did not name (RUNTIME §6/§8). */ function makeFillModel(name: FillModelName, makerFairParams?: EpisodeSigmoidParams): FillModel { switch (name) { case "strict-cross-v1": if (makerFairParams !== undefined) { throw new Error("session: --hazard-params applies only to maker-fair-v1 (fail-closed, RUNTIME §8)"); } return new StrictCrossV1(); case "maker-fair-v1": // Calibrated curve when params are supplied; the uncalibrated default hazard otherwise. return makerFairParams !== undefined ? new MakerFairCalV1(makerFairParams) : new MakerFairV1(); default: throw new Error(`session: unknown fill model ${JSON.stringify(name)} (fail-closed, RUNTIME §8)`); } } /** Normalize a parsed Kestrel node into a module (a bare statement becomes a one-statement * module) so it can be armed. */ function toModule(node: KestrelNode): Module { return node.kind === "module" ? node : { kind: "module", imports: [], statements: [node] }; } // ───────────────────────────────────────────────────────────────────────────── // Graded-bus judge self-description (ADR-0011 part B — the two-bus rule) // // A GRADED bus self-describes its judge on its opening META: the fill model that produced its fills, // the Instance identity, and the Fidelity it may claim. These are session INPUTS (known at open), so // the driver stamps them onto the META. An INPUT tape stays fill-model-agnostic (no stamp). Pure and // deterministic — no wall clock, no RNG. // ───────────────────────────────────────────────────────────────────────────── // sha256 (the portable, synchronous digest — Bun-native fast path, Worker-portable pure-JS fallback, // kestrel-alw.17) is imported from ../crypto/sha256.ts so a graded bus hashes byte-identically under // `bun test`, the CLI, and a Cloudflare Worker isolate. No wall clock, no RNG. /** The canonical parse-print text of an armed document set — the byte-stable printer projection * (ADR-0001), documents joined by a blank line (matching the CLI's canonical plans text / the ledger's * `plans_sha256` input). Its sha256 is {@link InstanceIdentity.version}. A `Module` is a `KestrelNode`, * so this is the {@link canonicalPlansText} owner (canonical/plans) applied to an armed module set. */ export function canonicalPlansTextOf(modules: readonly Module[]): string { return canonicalPlansText(modules); } /** The fill-model judge stamp for a GRADED bus's META. `name`/`version` are the model's identity; * `calibration_sha` is a stable digest of the calibration descriptor; `self_limitation` is what the judge * DECLARES it could not observe (a57.4) — stamped verbatim so the projector never re-guesses it from `name` * (the mislabel of the calibrated judge, kestrel-o32) ({@link FillModelStamp}). */ export function fillModelStampOf(model: FillModel): FillModelStamp { const cal = model.calibration; const calibration_sha = sha256( cal !== undefined ? JSON.stringify({ version: cal.version, calibrated: cal.calibrated }) : "none", ); return { name: model.name, version: model.version, calibration_sha, self_limitation: model.self_limitation.map((l) => ({ code: l.code, note: l.note })), }; } /** The Instance identity for a GRADED bus's META (ADR-0011 recommendation 1, ADR-0006 names-are-data): * `lineage` = the authored NAME (the Pod's when the document set runs a Pod, else the first authored * plan/book statement's), `version` = `plans_sha256`, `mode` = the session mode, `pod` present ONLY for * an actual Pod document. A zero-document grade authors nothing ⇒ an empty `lineage`. */ export function instanceIdentityOf(modules: readonly Module[], mode: Mode): InstanceIdentity { const version = sha256(canonicalPlansTextOf(modules)); let pod: string | undefined; let firstNamed: string | undefined; for (const m of modules) { for (const st of m.statements) { if (st.kind === "pod" && pod === undefined) pod = st.name; if ((st.kind === "plan" || st.kind === "book" || st.kind === "pod") && firstNamed === undefined) { firstNamed = st.name; } } } const lineage = pod ?? firstNamed ?? ""; return { lineage, version, mode, ...(pod !== undefined ? { pod } : {}) }; } /** Fidelity level for a mode (CONTEXT: Fidelity): sim/paper are `modeled`, live is `realized`. */ export function fidelityOf(mode: Mode): Fidelity { return mode === "live" ? "realized" : "modeled"; } /** Stamp a GRADED bus's opening META: the input session header + the judge self-description * (`fill_model` + `instance` + `fidelity`) and, when supplied, the author's a57.14 experimental * `envelope` (the config's captured identity — kestrel-5zl.6) plus the FULL `config_id` * (`sha256(canonical AgentConfig)` — the sampling-axis-complete identity the grid CellKey keys on, * m9i.2 owner tweak). Advertises the current {@link BUS_SCHEMA} (v6 — a graded bus is the ONLY stamping * site that follows the bump; input tapes keep their pinned literal, clock-honest wakes §1) and, for a * verified clock-honest session, the `clock_honest: true` attestation (ADR-0040 — `true` or ABSENT, * never `false`). Keeps the input META's `seq`/`ts`. Pure. Only a GRADED bus carries these; an INPUT * tape's META stays judge-less (the two-bus rule, ADR-0011). The `envelope`/`config_id` keys are OMITTED * entirely when absent — a config-less graded bus is byte-identical to before (backward-compatible; * a57.14 leaves it `certified`). */ export function stampGradedMeta( inputMeta: MetaEvent, judge: { fillModel: FillModelStamp; instance: InstanceIdentity; fidelity: Fidelity; envelope?: ExperimentalEnvelope; configId?: string; cellConfigId?: string; sampledQualification?: SampledQualificationClaim; /** The clock-honest attestation (ADR-0040 / kestrel-w7la.1): pass `true` ONLY when the session ran * clocked semantics AND the data-floor verification held. The stamp is `true` or ABSENT — never * `false` (`false` is reserved platform-side as a revocation value; clock-honest wakes §5). */ clockHonest?: true; }, ): MetaEvent { return { seq: inputMeta.seq, ts: inputMeta.ts, stream: "META", type: "session", session_date: inputMeta.session_date, instruments: inputMeta.instruments, mode: inputMeta.mode, bus_schema: BUS_SCHEMA, fill_model: judge.fillModel, instance: judge.instance, fidelity: judge.fidelity, ...(judge.envelope !== undefined ? { envelope: judge.envelope } : {}), ...(judge.configId !== undefined ? { config_id: judge.configId } : {}), ...(judge.cellConfigId !== undefined ? { cell_config_id: judge.cellConfigId } : {}), // The sampled-channel qualification claim (kestrel-9gu.12) — the headline gate's bus-derivable // input. Omitted entirely when absent, so every unqualified graded bus is byte-identical to before. ...(judge.sampledQualification !== undefined ? { sampled_qualification: judge.sampledQualification } : {}), // The clock-honest attestation (ADR-0040): `true` or ABSENT, never `false` (clock-honest wakes §5). ...(judge.clockHonest === true ? { clock_honest: true } : {}), }; } /** Assemble the canonical GRADED bus for a session: the judge-stamped opening META (seq 0) followed by * the engine's emitted reactions (PLAN/WAKE/ORDER/TELEMETRY, incl. the settle-outcome records), * re-stamped `seq` 1..N so the stream is gap-free from 0 and opens with exactly one META — a well-formed * bus {@link readBus} accepts. This is the self-describing artifact the Blotter projector (slice 2) will * consume; slice 1 uses it to PROVE totals{floor,expected} + orders[].support re-derive from bus bytes * with no engine-state scrape. Pure. */ export function assembleGradedBus(gradedMeta: MetaEvent, emitted: readonly BusEvent[]): BusEvent[] { let seq = 0; const out: BusEvent[] = [{ ...gradedMeta, seq: seq++ }]; // Seq-space REFERENCES re-stamp with the seqs they name (clock-honest wakes §1): a v6 deliberation // record's `wake_seq` points at its WAKE checkpoint's seq in the EMITTED stream, so assembling the // graded bus (which re-stamps every seq to make room for the META at 0) must remap it through the // same old→new map — otherwise the reader's record-vs-checkpoint identity would verify against the // wrong event. The map is explicit (never an assumed "+1") so the invariant survives any future // re-stamping shape. const newSeqOf = new Map<number, number>(); for (const e of emitted) { const stamped = seq++; newSeqOf.set(e.seq, stamped); if (e.stream === "WAKE" && e.type === "deliberation") { const remapped = newSeqOf.get(e.wake_seq); if (remapped === undefined) { throw new Error( `session: deliberation record (emitted seq ${e.seq}) names wake_seq ${e.wake_seq}, which is not an earlier emitted event (fail-closed, clock-honest wakes §1)`, ); } out.push({ ...e, seq: stamped, wake_seq: remapped } as BusEvent); } else { out.push({ ...e, seq: stamped } as BusEvent); } } return out; } /** * Session-scoped own-fill telemetry — the `fillEvent` provider hook (RUNTIME §3). It observes the * ORDER events the fill engine drains onto the emitted bus and answers `filled`/`rejected`/ * `cancelled` fill-lifecycle triggers as a **definite `true` once seen** (else definite `false`, * since it IS wired). Deliberately session-scoped and all-or-nothing: per-plan / per-leg / * `partial-fill` / `unfilled` semantics are ABSENT-with-reason — single-leg fills are never * partial (documented in SURFACES.md). * * A LEG QUALIFIER never reaches here: `ComposedProvider.fillEvent` (src/engine/plans.ts) refuses it * upstream with a logged de-arm reason (kestrel-s3h8), precisely BECAUSE this latch is session-wide — * answering `filled leg 1` from it would fire a plan on a stranger's fill. Do not "support" the * qualifier here by ignoring it; scope it for real (kestrel-qbwo.2) or leave the refusal standing. */ class FillTelemetry { #filled = false; #rejected = false; #cancelled = false; /** Fold one drained bus event; only ORDER events matter. */ observe(ev: BusEvent): void { if (ev.stream !== "ORDER") return; if (ev.type === "fill") this.#filled = true; else if (ev.type === "reject") this.#rejected = true; else if (ev.type === "cancel" && ev.reason === "cancelled") this.#cancelled = true; } /** Answer a fill-lifecycle trigger. */ assess(ev: FillEvent): TriState { switch (ev.event) { case "filled": return this.#filled; case "rejected": return this.#rejected; case "cancelled": return this.#cancelled; default: return UNKNOWN; // partial-fill / unfilled: not modeled for single-leg fills } } } /** The append-only emitted stream: stamps a monotonic `seq` in emission order and serializes * canonically (the determinism substrate, RUNTIME §0/§1). */ class EmittedStream { readonly events: BusEvent[] = []; #seq = 0; /** Stamp the next `seq` and land the event in CANONICAL field order. The canonicalization is * {@link canonicalEnvelope} — the SAME owner {@link import("../bus/write.ts").BusWriter} stamps * through, never a second copy of the order — because a bare `{ seq: this.#seq++, ...ev }` would * preserve the CALLER's key order verbatim: an emitter spreading a payload that carries * `ts`/`stream`/`type` mid-object then serializes a non-canonical record onto the graded bus * (`serializeEvent` is `JSON.stringify`, insertion-order-dependent). That was kestrel-pta5 — * `theta_bleed` put `ts` after `type` — patched at the one call site with the class left open; * kestrel-byfl closes the class here, so no present or future emitter can reintroduce it. */ emit(ev: NewBusEvent): BusEvent { const stamped = canonicalEnvelope(this.#seq++, ev); this.events.push(stamped); return stamped; } hash(): string { return sha256(serializeBus(this.events)); } } /** The sim Gate: rests engine order intents in the {@link SimFillEngine} — or, for a SPOT/equity * intent (no strike/right, ADR-0017 / kestrel-20f.14), in the instrument-keyed * {@link SpotFillEngine} — and cancels them, pinning the injected clock (`now`) the driver sets * each event. Every `place`/`cancel` drains the fill engines' fresh ORDER events onto the * emitted bus at submission time. */ export class SimGate implements Gate { now = 0; readonly intents: OrderIntent[] = []; constructor( private readonly fill: SimFillEngine, private readonly spotFill: SpotFillEngine, /** Whether spot orders may grade in this session — only the strict-cross family has a spot * judge today; a spot order under `maker-fair-v1` is REFUSED loudly (no spot hazard model * exists — never grade under a judge that cannot assess the instrument, RUNTIME §8). */ private readonly spotAllowed: boolean, private readonly drain: () => void, ) {} submit(intent: OrderIntent): string { this.intents.push(intent); // Route on the instrument kind (ADR-0017): an option intent carries strike+right; a spot // intent carries neither — it rests in the SpotFillEngine keyed on the instrument alone. if (intent.strike === undefined || intent.right === undefined) { if (!this.spotAllowed) { throw new Error( "session: a spot/equity order grades only under strict-cross-v1 — no spot hazard model exists for maker-fair-v1 (fail-closed, RUNTIME §8; ADR-0017)", ); } const ref = this.spotFill.place( { ref: intent.ref, plan: intent.plan, plan_instance: intent.plan_instance, instrument: intent.instrument, side: intent.side, qty: intent.qty, px: intent.px, }, this.now, ); this.drain(); return ref; } const ref = this.fill.place( { ref: intent.ref, plan: intent.plan, plan_instance: intent.plan_instance, instrument: intent.instrument, side: intent.side, qty: intent.qty, px: intent.px, strike: intent.strike, right: intent.right, // Thread the directional-guard evidence (kestrel-9gu.6): the engine derived the leg's // moneyness + covered-state onto the intent, and the FillOrder must carry them so the // maker-fair directional guard runs end to end (the far-OTM SELL cap / covered-wing exemption // / BUY unlock). Omitting them is exactly the drop that let a Session's far-OTM standalone // SELL bypass the cap. ...(intent.moneyness !== undefined ? { moneyness: intent.moneyness } : {}), ...(intent.covered !== undefined ? { covered: intent.covered } : {}), }, this.now, ); this.drain(); return ref; } cancel(ref: string): boolean { // Returns whether a resting order was actually removed. The engine's own cancels ignore the return // (a double-cancel / already-filled ref is a harmless no-op); an AGENT `cancelOrder` reads it to // fail-closed refuse a ref that matches no resting order (kestrel-5zl.5). Widening void→boolean still // satisfies the `Gate.cancel(): void` interface (a boolean return is assignable to a void one). // Try the options book first, then the spot book (a ref lives in exactly one — the engine's // monotonic ids never collide across the two). const removed = this.fill.cancel(ref, this.now) || this.spotFill.cancel(ref, this.now); this.drain(); return removed; } } /** Deterministic report/grader $-grid rounding so dollars/prices are byte-stable in the report (RUNTIME * §0). Re-homed onto the ONE grid the grader owns ({@link ../protocol/grade.ts REPORT_GRID} / `roundToGrid`, * kestrel-z473.6) — never a local `1e8` — so an outsider's recomputation is byte-identical. */ const round = roundToGrid; // ───────────────────────────────────────────────────────────────────────────── // Closing put-call-parity recovery candidate (kestrel-xwf annotated recovery) // ───────────────────────────────────────────────────────────────────────────── /** * Derive a closing settle spot from **put-call parity** on a two-sided book: at (near-)expiry the * forward ≈ spot, so `C − P = S − K ⇒ S = K + (C_mid − P_mid)` for the strike nearest `nearSpot` that * quotes BOTH a two-sided call and a two-sided put. Returns the parity spot + the strike used, or * `null` when no strike has both sides two-sided (parity not derivable → fail-closed to a taint). * * Mids are used ONLY as a settle-mark of last resort when the primary feed died — never as an * execution anchor (the never-a-mid-anchor rule governs FILL prices, RUNTIME §4) — and the result is * always flagged as recovered-from-stale, never silently banked as a live mark. * * The caller supplies the CLOSING legs: {@link SessionCore} feeds this only quotes whose values are * FRESH at the settle instant (carried on a BOOK event within the declared settle-mark staleness * threshold, {@link SETTLE_MARK_STALE_AFTER_MS}) — a two-sided pair surviving in the FOLDED book * from hours before the option feed died is NOT a closing strike, and "recovering" from its stale * mids would launder one dead feed through another (the DEGRADED-DATA cell's dark-to-close shape). */ export function closingParitySpot( book: Pick<BookState, "legs"> | undefined, nearSpot: number, ): { spot: number; strike: number } | null { if (book === undefined) return null; const mid = (q: OptionQuote): number | null => q.bid !== null && q.ask !== null && q.ask >= q.bid ? (q.bid + q.ask) / 2 : null; const calls = new Map<number, number>(); const puts = new Map<number, number>(); for (const leg of book.legs) { const m = mid(leg); if (m === null) continue; (leg.right === "C" ? calls : puts).set(leg.strike, m); } let best: { spot: number; strike: number } | null = null; let bestDist = Infinity; for (const [k, c] of calls) { const p = puts.get(k); if (p === undefined) continue; const dist = Math.abs(k - nearSpot); if (dist < bestDist) { bestDist = dist; best = { spot: k + c - p, strike: k }; } } return best; } // ───────────────────────────────────────────────────────────────────────────── // SessionCore — the reusable sim substrate (the per-event pass, single-sourced) // ───────────────────────────────────────────────────────────────────────────── // ───────────────────────────────────────────────────────────────────────────── // The LIVE-gate seam (OSS-ADR-0053) — how a non-sim progression (paper/live) plugs its own Gate // and venue-fill feedback into the ONE per-event pass, so sim and paper differ ONLY by the adapters // at these seams. Absent (every sim/day/simulate caller) ⇒ the core builds its reference SimGate over // its own fill engine and its per-event pass is byte-identical to before. // ───────────────────────────────────────────────────────────────────────────── /** The wired core internals a {@link SessionCoreOptions.liveGate} factory is handed to build its Gate. * It reads canonical state / the folded books the core already owns (never a second copy) and appends * the venue's own ORDER events onto the session's single live bus. */ export interface LiveGateWiring { readonly state: CanonicalState; readonly execSpec: InstrumentSpec; readonly signalSpec: InstrumentSpec; /** The core's folded option books (per instrument) — the same map a Frame renders, read by a paper * gate's price-anchor wall so the driver keeps no second book of its own. */ readonly books: ReadonlyMap<string, BookState>; /** Append ONE venue-emitted ORDER event onto the session's single live bus (stamps `seq`, stripping * any venue-local one), returning the stamped event. A `fill` is additionally queued to be fed back * into the engine AFTER the sweep (the broker fills-after-sweep ordering — the venue acts, the engine * reacts next). */ appendVenueEvent(ev: BusEvent | NewBusEvent): BusEvent; } /** What a {@link SessionCoreOptions.liveGate} factory returns — the injected Gate plus the two thin * hooks the live progression needs the core's per-event pass to call. Every field but `gate` is * optional; the sim path uses none of this. */ export interface LiveGateBinding { /** The gate orders route through (the L0-clamped paper/live gate) — REPLACES the reference SimGate. * Its `now` is pinned by the core each event exactly as `SimGate.now` is (RUNTIME §0). */ readonly gate: Gate & { now: number }; /** Wrap the core's canonical series provider before the engine reads it — the paper path wraps it in * the feed-death staleness gate so a plan cannot fire off a dead line. Absent ⇒ the bare provider. */ wrapSeriesProvider?(base: SeriesProvider): SeriesProvider; /** Fold a venue fill into the driver's expected-position ledger (the reconciliation input), called * per fill BEFORE it is fed back to the engine. */ onVenueFill?(fill: OrderEvent): void; /** Run the engine sweep (+ the post-sweep venue-fill feedback) inside the driver's own error boundary * — the paper path maps a wall's `ClampRefused`/`IbkrOrderRefused` throw into a typed session * STAND_DOWN here. Absent ⇒ the sweep runs bare and any throw propagates. */ guardSweep?(apply: () => void): void; } /** What a {@link SessionCore} is constructed from — the pieces both the one-shot * {@link runSimSession} and the stepped {@link import("./day.ts").runDaySession} agree on. */ export interface SessionCoreOptions { readonly meta: MetaEvent; readonly specs: readonly InstrumentSpec[]; readonly fillModel: FillModelName; readonly rUsd: number; readonly fairTauYears: FairTauProvider; readonly makerFairParams?: EpisodeSigmoidParams; /** The initial injected clock (the first bus event's `ts`). */ readonly firstTs: number; /** The author's a57.14 experimental envelope, captured from the run's config (kestrel-5zl.6), stamped on * the graded META at open. Absent for a config-less run (a NO-LLM Backtest / day session) ⇒ no envelope. */ readonly envelope?: ExperimentalEnvelope; /** The FULL `ConfigId` of the run's config (`deriveConfigId(canonicalizeConfig(config))`, kestrel-5zl.6), * stamped on the graded META alongside `envelope` (m9i.2 owner tweak — the seeded RUN identity feeding * `SimRunId`). Supplied under the SAME condition as `envelope`; absent ⇒ no stamp. */ readonly configId?: string; /** The **cell config axis** (`cellConfigId(config)` — the full ConfigId with the `fillSeed` REPLICATE axis * stripped, kestrel-9gu.8.1 / ADR-0016 §3), stamped as `meta.cell_config_id`. Supplied ONLY when it DIVERGES * from {@link configId} (the config carried a `fillSeed`); absent for a seedless run, whose cell axis equals * `config_id` (so the graded bus stays byte-identical). The config axis the grid `cellOf` keys the cell on: * seed-only replicates share it. */ readonly cellConfigId?: string; /** The prior session's {@link SessionCarry} (the multi-session horizon design, kestrel-5zl.16). When present with non-empty * `positions`, this session OPENS with that carried inventory seeded into the fill engine at its * carry-mark basis (emitting an opening `place`+`fill` per lot). **Absent — or an `emptyCarry()` — * seeds nothing, so every existing single-session caller (and a length-1 sequence) is byte-identical * to today's flat open.** The standing-document re-arm is the driver's concern, not the core's. */ readonly openingCarry?: SessionCarry; /** The SamplingConfig fill-realization seed (kestrel-9gu.8.1/.8.3, ADR-0016). Present ⇒ the fill engine * draws CAUSAL sampled fills off a `fillSeed`-keyed per-episode substream; absent ⇒ the sampled channel is * OFF (fail-closed — floor + expected only). Derived from the run's config via `fillSeedOf`. */ readonly fillSeed?: number; /** The owner-recorded sampled-channel qualification claim (kestrel-9gu.8.6 → 9gu.12), derived from the * run's config via `sampledQualificationOf`. Present ⇒ stamped on the graded META and judged by the * headline gate. REFUSED LOUDLY (RUNTIME §8) when structurally contradictory: a claim on an unseeded run * (nothing to qualify) or under an uncalibrated judge (never an uncalibrated headline). Absent — every * run today — ⇒ the gate fails closed and strict-cross floor stays the headline (9gu.8 AC#7). */ readonly sampledQualification?: SampledQualificationClaim; /** The complete regime-scope vocabulary of the tape (kestrel-ocyf), pre-scanned from the full bus by * callers that hold it up front (`runSimSession` / `runSimulateSession`). Threaded to the engine so * `armDocument` can issue the DEFINITIVE dead-on-arrival notice for a regime gate whose scope is * never written on this tape (vs the conditional not-yet-written notice when the future is unknown). */ readonly tapeRegimeScopes?: readonly string[]; /** The clock-honest attestation input (ADR-0040 / kestrel-w7la.1): the driver passes `true` ONLY when * the session ran clocked semantics AND the §4 data-floor verification held (it refuses at open * otherwise, so a constructed core with this flag is an attested one). Stamped as the graded META's * `clock_honest: true`; absent ⇒ latency-blind ⇒ no stamp, byte-identical META. */ readonly clockHonest?: true; /** The LIVE-gate seam (OSS-ADR-0053): a factory that, given the wired core internals, returns the * gate a NON-sim progression (paper/live) routes orders through, plus its venue-fill hooks. Present * ONLY for the paper/live drivers; ABSENT for every sim/day/simulate caller — and when absent the * core builds its reference SimGate over its own fill engine and its per-event pass is byte-identical * to before (the sim corpus never sees this field). The factory is called ONCE at construction, after * canonical state + the emitted stream exist. */ readonly liveGate?: (wiring: LiveGateWiring) => LiveGateBinding; } /** * The sim runtime wired end to end — the ONE place the load-bearing per-event pass lives * (RUNTIME §7). Owns the fill engine (the judge), the emitted stream (determinism substrate), * the Gate, canonical market state, and the {@link PlanEngine}. Documents are armed * incrementally ({@link SessionCore.arm}); {@link SessionCore.step} advances one bus event with * **fills-before-sweep** ordering; {@link SessionCore.settle} cash-settles and drains. Both the * one-shot driver and the stepped day runner drive the identical core, so their emitted streams — * and therefore their determinism hashes — are produced by exactly the same code (no duplicated * event loop to drift). */ export class SessionCore { readonly meta: MetaEvent; readonly emitted = new EmittedStream(); readonly fill: SimFillEngine; /** The instrument-keyed resting-order engine for SPOT/equity orders (ADR-0017, * kestrel-20f.14) — the spot sibling of {@link fill}; the Gate routes an intent with no * strike/right here. Idle (zero events, zero settle outcomes) on an options-only session. */ readonly spotFill: SpotFillEngine; readonly gate: SimGate; readonly engine: PlanEngine; readonly state: CanonicalState; readonly execSpec: InstrumentSpec; readonly signalSpec: InstrumentSpec; /** The GATE the engine routes orders through (RUNTIME §7) — the reference {@link gate} SimGate for a * sim session, or the injected {@link LiveGateBinding.gate} for a paper/live one (OSS-ADR-0053). The * ONE thing that differs between the modes; every event the driver pins its `now`. */ readonly #activeGate: Gate & { now: number }; /** The injected live-progression hooks (OSS-ADR-0053), or `undefined` for a sim session — the * discriminator the per-event pass reads to switch on the live one-bus + venue-fill feedback. */ readonly #liveBinding: LiveGateBinding | undefined; /** Venue fills queued by {@link LiveGateWiring.appendVenueEvent} during a sweep, fed back into the * engine AFTER it (the broker fills-after-sweep ordering). Always empty on a sim session. */ readonly #pendingVenueFills: OrderEvent[] = []; readonly #fairTauYears: FairTauProvider; /** kestrel-wcnd: latched once the τ-fail-closed de-arm has fired, so the reason is logged ONCE * per session (it cannot change — the exec book's expiry is a property of the tape). */ #fairTauDisarmed = false; /** Whether `@fair` is the anchor this session GRADES against — i.e. `maker-fair-v1`, whose fill * hazard is a function of `|px − fair|` (RUNTIME §6). `strict-cross-v1` ignores `@fair` entirely, * so an unknown τ moves no decision it makes (kestrel-wcnd, see {@link #failClosedOnUnknownTau}). */ readonly #fairIsGraded: boolean; readonly #fillTelemetry = new FillTelemetry(); readonly #books = new Map<string, BookState>(); /** The fill model object (the judge), kept for the GRADED bus's META self-description (ADR-0011 B). */ readonly #fillModelObj: FillModel; /** The author's captured experimental envelope (a57.14 / 5zl.6), or `undefined` for a config-less run. */ readonly #envelope: ExperimentalEnvelope | undefined; /** The run's FULL ConfigId (m9i.2 owner tweak), or `undefined` for a config-less run. */ readonly #configId: string | undefined; /** The run's cell config axis (fillSeed stripped — ADR-0016 §3), or `undefined` when it equals `#configId` * (a seedless run) or there is no config. Stamped as `meta.cell_config_id`; the axis `cellOf` keys on. */ readonly #cellConfigId: string | undefined; /** The sampled-channel qualification claim (kestrel-9gu.12), or `undefined` — the fail-closed default * under which the headline gate resolves to the strict-cross floor (9gu.8 AC#7). */ readonly #sampledQualification: SampledQualificationClaim | undefined; /** The clock-honest attestation (ADR-0040): `true` for a verified clocked session, else `undefined`. */ readonly #clockHonest: true | undefined; /** The armed document set, in arm order — the source of the Instance identity (lineage/version). */ readonly #modules: Module[] = []; /** The last AUTHORED standing module (the View/Wake/Plan book) — the multi-session carry document * (the multi-session horizon design). Excludes synthesized one-shot `placeOrder` arms (they are transient order actions, not * the authored book), so a carried document never re-fires a stale order next session. */ #standingModuleAuthored: Module | undefined; #drainedCount = 0; #spotDrainedCount = 0; #settleSpot: number | undefined; #settleTs: number; #settle: ReturnType<SimFillEngine["settle"]> | undefined; // Settle-mark provenance (kestrel-xwf): WHEN the current #settleSpot VALUE was established // (`asOf` — a frozen feed re-printing the same px does not refresh it; the 2025-04-09 failure // mode), and the last spot-bearing event of any kind (`lastObserved` — feed-death detection). // Tracked as injected-clock `ts` only, never input `seq` (seq shifts under JOURNAL interleaving // and emitted bytes must not depend on it — the a57.11 invariant). The SPOT settle reads the // same `asOf` as its mark watermark (ADR-0017 staleMark provenance). #settleSpotAsOfTs: number | null = null; #settleSpotLastObservedTs: number | null = null; /** The resolved settle mark (kestrel-xwf) — provenance + verdict + annotated recovery, after {@link settle}. */ #settleMark: SettleMark | undefined; #spotSettle: SpotSettleReport | undefined; /** kestrel-xwf parity-candidate freshness: per exec-symbol leg (`strike|right`), the last two-sided * quote CARRIED on a BOOK event and the `ts` it was carried. A leg carried with a dark side is * DELETED (the market said the quote is gone). At settle, only legs fresh within the declared * settle-mark staleness threshold qualify as a CLOSING strike for the parity recovery — a * two-sided pair surviving only in the fold from before a feed death is not a closing quote. */ readonly #parityQuotes = new Map<string, { readonly leg: OptionQuote; readonly ts: number }>(); constructor(opts: SessionCoreOptions) { this.meta = opts.meta; this.execSpec = opts.specs.find((s) => s.role === "exec") ?? opts.specs[0]!; this.signalSpec = opts.specs.find((s) => s.role === "signal") ?? opts.specs[0]!; this.#fairTauYears = opts.fairTauYears; this.#fairIsGraded = opts.fillModel === "maker-fair-v1"; this.#settleTs = opts.firstTs; const model = makeFillModel(opts.fillModel, opts.makerFairParams); this.#fillModelObj = model; this.#envelope = opts.envelope; this.#configId = opts.configId; this.#cellConfigId = opts.cellConfigId; this.#clockHonest = opts.clockHonest; // The sampled-channel qualification claim (kestrel-9gu.12) is REFUSED LOUDLY when structurally // contradictory (RUNTIME §8): qualification without a seeded run has nothing it could qualify, and // qualification under an uncalibrated judge would license an uncalibrated headline — the exact thing // the gate exists to forbid (9gu.8 AC#7; ADR-0016 §5). Absent (every run today) ⇒ fail-closed floor. if (opts.sampledQualification !== undefined) { if (opts.fillSeed === undefined) { throw new Error( "session: sampledQualification claimed with the sampled channel OFF (no fillSeed) — nothing to qualify (fail-closed, kestrel-9gu.12)", ); } if (model.calibration?.calibrated !== true) { throw new Error( "session: sampledQualification claimed under an uncalibrated judge — never an uncalibrated headline (fail-closed, kestrel-9gu.12 / 9gu.8 AC#7)", ); } } this.#sampledQualification = opts.sampledQualification; // Arm the seeded sampled fill channel when the config declared a