Point of Control, Value Area, HVN, and LVN Detection

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/** Reference algorithms for D08-F06. Repository teaching conventions only. */

type Row = Record<string, any>;

function numberValue(value: unknown, name: string, minimum?: number): number {
  if (typeof value !== "number" || !Number.isFinite(value)) throw new TypeError(`${name} must be a finite number`);
  if (minimum !== undefined && value < minimum) throw new RangeError(`${name} must be >= ${minimum}`);
  return value;
}

function integerValue(value: unknown, name: string, minimum = 0): number {
  const result = numberValue(value, name);
  if (!Number.isInteger(result) || result < minimum) throw new RangeError(`${name} must be an integer >= ${minimum}`);
  return result;
}

function timeValue(value: unknown, name: string): number {
  if (typeof value !== "string" || !/(Z|[+-]\d\d:\d\d)$/.test(value)) throw new TypeError(`${name} must be a zoned ISO-8601 string`);
  const result = Date.parse(value);
  if (!Number.isFinite(result)) throw new RangeError(`${name} must be a zoned ISO-8601 string`);
  return result;
}

function rounded(value: number): number { return Number(value.toFixed(12)); }

function alignedTicks(price: unknown, tick: number, name: string): number {
  const value = numberValue(price, name);
  const ticks = Math.round(value / tick);
  if (Math.abs(value - ticks * tick) > tick * 1e-8) throw new RangeError(`${name} must align to tick_size`);
  return ticks;
}

function median(values: number[]): number {
  const ordered = [...values].sort((a, b) => a - b);
  const middle = Math.floor(ordered.length / 2);
  return ordered.length % 2 ? ordered[middle] : (ordered[middle - 1] + ordered[middle]) / 2;
}

function profile(input: Row): Row {
  const tick = numberValue(input.tick_size, "tick_size", 1e-12);
  const widthTicks = integerValue(input.bin_size_ticks, "bin_size_ticks", 1);
  const windowEnd = timeValue(input.window_end, "window_end");
  if (!Array.isArray(input.trades) || input.trades.length === 0) throw new RangeError("trades must be non-empty");
  const seen = new Set<string>();
  const volumes = new Map<number, number>();
  let previous: number | null = null, total = 0, eligible = 0;
  input.trades.forEach((trade: Row, index: number) => {
    if (!trade || typeof trade !== "object") throw new TypeError("each trade must be an object");
    if (typeof trade.trade_id !== "string" || !trade.trade_id || seen.has(trade.trade_id)) throw new RangeError("trade_id must be unique");
    seen.add(trade.trade_id);
    if (trade.final !== true) throw new RangeError("all trades must be final");
    const timestamp = timeValue(trade.timestamp, `trades[${index}].timestamp`);
    if (timestamp > windowEnd || (previous !== null && timestamp < previous)) throw new RangeError("trades must be ordered and available");
    previous = timestamp;
    const priceTicks = alignedTicks(trade.price, tick, `trades[${index}].price`);
    const volume = numberValue(trade.volume, `trades[${index}].volume`, 0);
    if (volume === 0) return;
    eligible += 1; total += volume;
    const binIndex = Math.floor(priceTicks / widthTicks);
    volumes.set(binIndex, (volumes.get(binIndex) ?? 0) + volume);
  });
  if (total <= 0) throw new RangeError("eligible volume must be positive");
  const rows = [...volumes.keys()].sort((a, b) => a - b).map(binIndex => {
    const lowerTicks = binIndex * widthTicks, lower = lowerTicks * tick, upper = (lowerTicks + widthTicks) * tick;
    const volume = volumes.get(binIndex)!;
    return { bin_index: binIndex, lower: rounded(lower), upper: rounded(upper), midpoint: rounded((lower + upper) / 2), volume: rounded(volume), share: rounded(volume / total) };
  });
  return { state: "calculated", tick_size: tick, bin_size_ticks: widthTicks, bin_width: rounded(widthTicks * tick), total_volume: rounded(total), trade_count: input.trades.length, eligible_trade_count: eligible, rows };
}

function profileFeatures(input: Row): Row {
  if (!Array.isArray(input.profile_rows) || input.profile_rows.length < 3) throw new RangeError("profile_rows must contain at least three rows");
  const fraction = numberValue(input.value_area_fraction, "value_area_fraction");
  const hvnRatio = numberValue(input.hvn_median_ratio, "hvn_median_ratio", 1);
  const lvnRatio = numberValue(input.lvn_median_ratio, "lvn_median_ratio");
  if (!(fraction > 0 && fraction <= 1) || lvnRatio < 0 || lvnRatio > 1) throw new RangeError("fractions outside canonical range");
  let previousUpper: number | null = null;
  const rows = input.profile_rows.map((row: Row, index: number) => {
    const lower = numberValue(row.lower, `profile_rows[${index}].lower`), upper = numberValue(row.upper, `profile_rows[${index}].upper`), volume = numberValue(row.volume, `profile_rows[${index}].volume`, 0);
    if (upper <= lower || (previousUpper !== null && Math.abs(lower - previousUpper) > 1e-9)) throw new RangeError("profile rows must be ordered and contiguous");
    previousUpper = upper; return { lower, upper, midpoint: (lower + upper) / 2, volume };
  });
  const total = rows.reduce((sum: number, row: Row) => sum + row.volume, 0);
  if (total <= 0) throw new RangeError("profile volume must be positive");
  const profileMidpoint = (rows[0].lower + rows[rows.length - 1].upper) / 2;
  const maximum = Math.max(...rows.map((row: Row) => row.volume));
  const candidates = rows.map((row: Row, i: number) => row.volume === maximum ? i : -1).filter((i: number) => i >= 0);
  candidates.sort((a: number, b: number) => Math.abs(rows[a].midpoint - profileMidpoint) - Math.abs(rows[b].midpoint - profileMidpoint) || rows[a].midpoint - rows[b].midpoint);
  const pocIndex = candidates[0], included = new Set<number>([pocIndex]), trace = [pocIndex];
  let cumulative = rows[pocIndex].volume, low = pocIndex, high = pocIndex;
  const target = total * fraction;
  while (cumulative < target && (low > 0 || high < rows.length - 1)) {
    const below = low > 0 ? low - 1 : null, above = high < rows.length - 1 ? high + 1 : null;
    let chosen: number;
    if (below === null) chosen = above!; else if (above === null) chosen = below; else chosen = rows[above].volume >= rows[below].volume ? above : below;
    included.add(chosen); cumulative += rows[chosen].volume; low = Math.min(low, chosen); high = Math.max(high, chosen); trace.push(chosen);
  }
  const positiveMedian = median(rows.filter((row: Row) => row.volume > 0).map((row: Row) => row.volume));
  const hvn: Row[] = [], lvn: Row[] = [];
  for (let i = 1; i < rows.length - 1; i += 1) {
    const current = rows[i].volume, item = { price: rounded(rows[i].midpoint), volume: rounded(current), median_ratio: rounded(current / positiveMedian) };
    if (current > rows[i - 1].volume && current >= rows[i + 1].volume && current >= positiveMedian * hvnRatio) hvn.push(item);
    if (current < rows[i - 1].volume && current <= rows[i + 1].volume && current <= positiveMedian * lvnRatio) lvn.push(item);
  }
  return { state: "calculated", poc_index: pocIndex, poc_price: rounded(rows[pocIndex].midpoint), poc_volume: rounded(maximum), value_area_low: rounded(rows[low].lower), value_area_high: rounded(rows[high].upper), value_area_volume: rounded(cumulative), value_area_share: rounded(cumulative / total), target_share: fraction, included_indices: [...included].sort((a, b) => a - b), expansion_trace: trace, hvn, lvn };
}

function fibonacci(input: Row): Row {
  const start = numberValue(input.start_price, "start_price"), end = numberValue(input.end_price, "end_price"), correction = numberValue(input.retracement_end_price, "retracement_end_price"), tick = numberValue(input.tick_size, "tick_size", 1e-12);
  if (start === end || !Array.isArray(input.retracement_ratios) || !input.retracement_ratios.length || !Array.isArray(input.extension_ratios) || !input.extension_ratios.length) throw new RangeError("invalid anchors or ratios");
  const rr = input.retracement_ratios.map((v: unknown) => numberValue(v, "retracement ratio")), er = input.extension_ratios.map((v: unknown) => numberValue(v, "extension ratio"));
  if (rr.some((v: number) => v < 0 || v > 1) || er.some((v: number) => v < 0)) throw new RangeError("ratios outside canonical ranges");
  const direction = end > start ? 1 : -1, magnitude = Math.abs(end - start), snap = (value: number) => {
    const tickUnits = value / tick, roundedUnits = Math.sign(tickUnits) * Math.floor(Math.abs(tickUnits) + 0.5);
    return rounded(roundedUnits * tick);
  };
  return { state: "calculated", direction: direction > 0 ? "up" : "down", leg_size: rounded(magnitude), retracement_levels: rr.map((ratio: number) => ({ ratio, raw_price: rounded(end - direction * ratio * magnitude), price: snap(end - direction * ratio * magnitude) })), extension_levels: er.map((ratio: number) => ({ ratio, raw_price: rounded(correction + direction * ratio * magnitude), price: snap(correction + direction * ratio * magnitude) })), rounding: "nearest tick, half away from zero" };
}

function roundNumbers(input: Row): Row {
  const current = numberValue(input.current_price, "current_price"), lower = numberValue(input.lower_bound, "lower_bound"), upper = numberValue(input.upper_bound, "upper_bound"), tick = numberValue(input.tick_size, "tick_size", 1e-12), unit = numberValue(input.base_unit, "base_unit", tick);
  if (lower > current || current > upper || lower >= upper) throw new RangeError("invalid bounds");
  const unitTicks = alignedTicks(unit, tick, "base_unit"), lowerTicks = Math.ceil(lower / tick - 1e-9), upperTicks = Math.floor(upper / tick + 1e-9), first = Math.ceil(lowerTicks / unitTicks) * unitTicks;
  const levels: Row[] = [];
  for (let priceTicks = first; priceTicks <= upperTicks; priceTicks += unitTicks) {
    const multiple = Math.round(priceTicks / unitTicks), major = multiple % 10 === 0, half = multiple % 5 === 0, price = priceTicks * tick, weight = major ? 1 : half ? 0.75 : 0.5;
    levels.push({ price: rounded(price), class: major ? "major" : half ? "half" : "minor", salience_weight: weight, distance: rounded(Math.abs(price - current)), distance_bps: current === 0 ? null : rounded(Math.abs(price - current) / Math.abs(current) * 10000) });
  }
  if (!levels.length) throw new RangeError("bounds contain no levels");
  const closest = [...levels].sort((a, b) => a.distance - b.distance || b.salience_weight - a.salience_weight || a.price - b.price)[0];
  return { state: "calculated", base_unit: unit, level_count: levels.length, closest_level: closest, levels };
}

function fusion(input: Row): Row {
  if (!Array.isArray(input.levels) || !input.levels.length) throw new RangeError("levels must be non-empty");
  const tolerance = numberValue(input.fusion_tolerance, "fusion_tolerance", 0), minimumSources = integerValue(input.minimum_sources, "minimum_sources", 1), seen = new Set<string>();
  const parsed = input.levels.map((level: Row, index: number) => {
    if (typeof level.level_id !== "string" || !level.level_id || seen.has(level.level_id) || typeof level.source !== "string" || !level.source) throw new RangeError("level identity/source invalid");
    seen.add(level.level_id); return { level_id: level.level_id, source: level.source, price: numberValue(level.price, `levels[${index}].price`), weight: numberValue(level.weight, `levels[${index}].weight`, 0) };
  }).sort((a: Row, b: Row) => a.price - b.price || a.source.localeCompare(b.source) || a.level_id.localeCompare(b.level_id));
  const clusters: Row[][] = [];
  parsed.forEach((level: Row) => { if (!clusters.length || level.price - clusters[clusters.length - 1][0].price > 2 * tolerance) clusters.push([level]); else clusters[clusters.length - 1].push(level); });
  const zones: Row[] = [], rejected_clusters: Row[] = [];
  clusters.forEach((cluster, index) => {
    const sources = [...new Set(cluster.map(row => row.source))].sort(), weightSum = cluster.reduce((sum, row) => sum + row.weight, 0), center = weightSum > 0 ? cluster.reduce((sum, row) => sum + row.price * row.weight, 0) / weightSum : cluster.reduce((sum, row) => sum + row.price, 0) / cluster.length;
    const item = { zone_id: `Z${String(index + 1).padStart(2, "0")}`, lower: rounded(Math.min(...cluster.map(row => row.price)) - tolerance), upper: rounded(Math.max(...cluster.map(row => row.price)) + tolerance), center: rounded(center), source_count: sources.length, sources, weight_sum: rounded(weightSum), member_ids: cluster.map(row => row.level_id) };
    if (sources.length >= minimumSources) zones.push(item); else rejected_clusters.push({ ...item, reason: "insufficient-distinct-sources" });
  });
  zones.sort((a, b) => b.source_count - a.source_count || b.weight_sum - a.weight_sum || a.center - b.center);
  return { state: "calculated", zones, rejected_clusters, fusion_tolerance: tolerance, minimum_sources: minimumSources };
}

function strength(input: Row): Row {
  const source = numberValue(input.source_confluence, "source_confluence"), age = integerValue(input.zone_age_bars, "zone_age_bars"), halfLife = numberValue(input.half_life_bars, "half_life_bars", 1e-12), breakCount = integerValue(input.break_count, "break_count"), rejectionTarget = numberValue(input.rejection_target_atr, "rejection_target_atr", 1e-12);
  if (source < 0 || source > 1 || !Array.isArray(input.touches)) throw new RangeError("invalid source or touches");
  const decayed = input.touches.map((touch: Row, index: number) => { const touchAge = integerValue(touch.age_bars, `touches[${index}].age_bars`), rejection = numberValue(touch.rejection_atr, `touches[${index}].rejection_atr`, 0); return [0.5 ** (touchAge / halfLife), Math.min(rejection / rejectionTarget, 1)]; });
  const evidence = decayed.reduce((sum: number, value: number[]) => sum + value[0], 0), sourceComponent = 30 * source, touchComponent = 35 * (1 - Math.exp(-evidence)), rejectionComponent = evidence === 0 ? 0 : 25 * decayed.reduce((sum: number, value: number[]) => sum + value[0] * value[1], 0) / evidence, durabilityComponent = 10 * (0.5 ** (age / halfLife)), penalty = Math.min(30, 15 * breakCount), score = Math.max(0, Math.min(100, sourceComponent + touchComponent + rejectionComponent + durabilityComponent - penalty));
  return { state: "calculated", score: rounded(score), grade: score >= 75 ? "strong" : score >= 50 ? "moderate" : score >= 25 ? "weak" : "depleted", components: { source: rounded(sourceComponent), touch: rounded(touchComponent), rejection: rounded(rejectionComponent), durability: rounded(durabilityComponent), break_penalty: rounded(penalty) }, decayed_touch_evidence: rounded(evidence), touch_count: input.touches.length };
}

function roleReversal(input: Row): Row {
  const lower = numberValue(input.zone_lower, "zone_lower"), upper = numberValue(input.zone_upper, "zone_upper"), buffer = numberValue(input.break_buffer, "break_buffer", 0), confirmations = integerValue(input.confirmation_closes, "confirmation_closes", 1);
  if (lower >= upper || !["support", "resistance"].includes(input.initial_role) || !Array.isArray(input.closes) || !input.closes.length) throw new RangeError("invalid role-reversal input");
  const values = input.closes.map((value: unknown) => numberValue(value, "close")); let role = input.initial_role, state = `active-${role}`, outsideCount = 0, retestSeen = false; const transitions: Row[] = [];
  values.forEach((close: number, index: number) => {
    const side = close > upper + buffer ? "above" : close < lower - buffer ? "below" : "zone", previous = state;
    if (state === "active-support") { outsideCount = side === "below" ? outsideCount + 1 : 0; if (outsideCount >= confirmations) { state = "awaiting-resistance-retest"; outsideCount = 0; } }
    else if (state === "active-resistance") { outsideCount = side === "above" ? outsideCount + 1 : 0; if (outsideCount >= confirmations) { state = "awaiting-support-retest"; outsideCount = 0; } }
    else if (state === "awaiting-resistance-retest") { if (side === "zone") retestSeen = true; else if (retestSeen && side === "below") { state = "confirmed-resistance"; role = "resistance"; } else if (side === "above") state = "invalidated"; }
    else if (state === "awaiting-support-retest") { if (side === "zone") retestSeen = true; else if (retestSeen && side === "above") { state = "confirmed-support"; role = "support"; } else if (side === "below") state = "invalidated"; }
    if (state !== previous) transitions.push({ index, close, from: previous, to: state, side });
  });
  return { state, final_role: state === "invalidated" ? "none" : role, confirmed: state.startsWith("confirmed-"), retest_seen: retestSeen, transitions, observations: values.length };
}

function breakoutRetest(input: Row): Row {
  const lower = numberValue(input.zone_lower, "zone_lower"), upper = numberValue(input.zone_upper, "zone_upper"), buffer = numberValue(input.break_buffer, "break_buffer", 0), tolerance = numberValue(input.retest_tolerance, "retest_tolerance", 0), needed = integerValue(input.breakout_closes, "breakout_closes", 1), maxBars = integerValue(input.max_retest_bars, "max_retest_bars", 1), direction = input.direction;
  if (lower >= upper || !["up", "down"].includes(direction) || !Array.isArray(input.bars) || !input.bars.length) throw new RangeError("invalid breakout input");
  let state = "searching", count = 0, breakout_index: number | null = null, retest_index: number | null = null, confirmation_index: number | null = null; const transitions: Row[] = [];
  input.bars.forEach((bar: Row, index: number) => {
    const high = numberValue(bar.high, "bar.high"), low = numberValue(bar.low, "bar.low"), close = numberValue(bar.close, "bar.close");
    if (high < Math.max(low, close) || low > Math.min(high, close)) throw new RangeError("inconsistent bar");
    const previous = state, beyond = direction === "up" ? close > upper + buffer : close < lower - buffer, failed = direction === "up" ? close < lower - buffer : close > upper + buffer, contact = low <= upper + tolerance && high >= lower - tolerance;
    if (state === "searching" || state === "breakout-pending") { count = beyond ? count + 1 : 0; state = count ? "breakout-pending" : "searching"; if (count >= needed) { breakout_index = index; state = "awaiting-retest"; } }
    else if (state === "awaiting-retest") { if (breakout_index !== null && index - breakout_index > maxBars) state = "expired"; else if (failed) state = "failed"; else if (contact) { retest_index = index; state = "retest-contact"; } }
    else if (state === "retest-contact") { if (failed) state = "failed"; else if (beyond) { confirmation_index = index; state = "confirmed"; } else if (breakout_index !== null && index - breakout_index > maxBars) state = "expired"; }
    if (state !== previous) transitions.push({ index, from: previous, to: state, close });
  });
  return { state, confirmed: state === "confirmed", direction, breakout_index, retest_index, confirmation_index, transitions };
}

function scanner(input: Row): Row {
  const asOf = timeValue(input.as_of, "as_of"), maxBps = numberValue(input.max_distance_bps, "max_distance_bps", 0), halfLife = numberValue(input.freshness_half_life_hours, "freshness_half_life_hours", 1e-12);
  if (!Array.isArray(input.instruments) || !input.instruments.length) throw new RangeError("instruments must be non-empty");
  const seen = new Set<string>(), ranked: Row[] = [];
  input.instruments.forEach((item: Row, index: number) => {
    if (typeof item.instrument_id !== "string" || !item.instrument_id || seen.has(item.instrument_id)) throw new RangeError("instrument_id must be unique"); seen.add(item.instrument_id);
    const price = numberValue(item.current_price, `instruments[${index}].current_price`, 1e-12), lower = numberValue(item.zone_lower, "zone_lower"), upper = numberValue(item.zone_upper, "zone_upper"), zoneStrength = numberValue(item.zone_strength, "zone_strength"), observed = timeValue(item.observed_at, "observed_at");
    if (lower >= upper || zoneStrength < 0 || zoneStrength > 100 || observed > asOf) throw new RangeError("invalid point-in-time zone record");
    const distance = price < lower ? lower - price : price > upper ? price - upper : 0, distanceBps = distance / price * 10000, ageHours = (asOf - observed) / 3600000, freshness = 0.5 ** (ageHours / halfLife), proximity = maxBps > 0 ? Math.max(0, 1 - distanceBps / maxBps) : distanceBps === 0 ? 1 : 0, score = 100 * (0.55 * proximity + 0.30 * zoneStrength / 100 + 0.15 * freshness);
    if (distanceBps <= maxBps) ranked.push({ instrument_id: item.instrument_id, current_price: price, zone_lower: lower, zone_upper: upper, inside_zone: distance === 0, distance: rounded(distance), distance_bps: rounded(distanceBps), strength: zoneStrength, freshness: rounded(freshness), rank_score: rounded(score) });
  });
  ranked.sort((a, b) => b.rank_score - a.rank_score || a.distance_bps - b.distance_bps || a.instrument_id.localeCompare(b.instrument_id)); ranked.forEach((row, index) => { row.rank = index + 1; });
  return { state: "calculated", as_of: input.as_of, eligible_count: ranked.length, ranked };
}

const calculators: Record<string, (input: Row) => Row> = {
  "D08-F06-A01": profile,
  "D08-F06-A02": profileFeatures,
  "D08-F06-A03": fibonacci,
  "D08-F06-A04": roundNumbers,
  "D08-F06-A05": fusion,
  "D08-F06-A06": strength,
  "D08-F06-A07": roleReversal,
  "D08-F06-A08": breakoutRetest,
  "D08-F06-A09": scanner,
};

export function calculate(topicId: string, input: Row): Row {
  const calculator = calculators[topicId];
  if (!calculator) throw new RangeError(`unsupported topic_id: ${topicId}`);
  if (!input || typeof input !== "object" || Array.isArray(input)) throw new TypeError("inputs must be an object");
  return calculator(input);
}