Net Advances: Count Participation Without Hiding Data Gaps

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/** Causal, revision-aware reference implementation of Net Advances. */

export type BreadthStatus =
  | "ready"
  | "no_movers"
  | "empty_universe"
  | "incomplete"
  | "ambiguous"
  | "unsupported";
export type BreadthDirection =
  | "advances_dominant"
  | "declines_dominant"
  | "balanced";
export type MemberState =
  | "eligible"
  | "excluded_halted"
  | "excluded_suspended"
  | "excluded_delisted"
  | "excluded_new_no_prior_close"
  | "missing_price"
  | "unclassified";

export interface IssueObservation {
  listing_id: string;
  security_id: string;
  ticker: string | null;
  state: MemberState;
  current_price: number | null;
  prior_comparable_price: number | null;
}

export interface BreadthRevision {
  revision_id: string;
  revision_sequence: number;
  supersedes_revision_id: string | null;
  effective_at: string;
  available_at: string;
  is_final: boolean;
  members: IssueObservation[];
}

export interface BreadthRequest {
  session_date: string;
  session_id: string;
  session_timezone: string;
  venue_id: string;
  universe_id: string;
  comparison_basis: string;
  corporate_action_policy: string;
  price_tolerance: number;
  calculation_as_of: string;
  revisions: BreadthRevision[];
}

export interface BreadthResult {
  status: BreadthStatus;
  direction: BreadthDirection | null;
  metric: "advances_minus_declines";
  session_date: string;
  session_id: string;
  venue_id: string;
  universe_id: string;
  calculation_as_of: string;
  selected_revision_id: string | null;
  selected_revision_sequence: number | null;
  selected_effective_at: string | null;
  selected_available_at: string | null;
  is_provisional: boolean | null;
  advances: number | null;
  declines: number | null;
  unchanged: number | null;
  excluded: number | null;
  unclassified: number | null;
  universe_size: number | null;
  mover_count: number | null;
  classified_count: number | null;
  coverage_ratio: number | null;
  net_advances: number | null;
  exclusion_counts: Record<string, number>;
  diagnostics: string[];
}

export class BreadthValidationError extends Error {
  constructor(message: string) {
    super(message);
    this.name = "BreadthValidationError";
  }
}

const STATES = new Set<MemberState>([
  "eligible",
  "excluded_halted",
  "excluded_suspended",
  "excluded_delisted",
  "excluded_new_no_prior_close",
  "missing_price",
  "unclassified",
]);
const EXCLUSIONS = [...STATES].filter(
  (state) => state !== "eligible" && state !== "missing_price" && state !== "unclassified",
);
const DATE_RE = /^\d{4}-\d{2}-\d{2}$/;
const RFC3339_RE =
  /^\d{4}-\d{2}-\d{2}T\d{2}:\d{2}:\d{2}(?:\.\d+)?(?:Z|[+-]\d{2}:\d{2})$/;

function text(value: unknown, field: string): string {
  if (typeof value !== "string" || value.trim() === "") {
    throw new BreadthValidationError(`${field} must be a non-empty string.`);
  }
  return value;
}

function timestamp(value: unknown, field: string): [string, number] {
  if (
    typeof value !== "string" ||
    !RFC3339_RE.test(value) ||
    Number.isNaN(Date.parse(value))
  ) {
    throw new BreadthValidationError(
      `${field} must be a real RFC 3339 timestamp with an offset.`,
    );
  }
  return [value, Date.parse(value)];
}

function sessionDate(value: unknown): string {
  if (typeof value !== "string" || !DATE_RE.test(value)) {
    throw new BreadthValidationError("session_date must be a real YYYY-MM-DD date.");
  }
  const [year, month, day] = value.split("-").map(Number);
  const parsed = new Date(Date.UTC(year, month - 1, day));
  if (
    parsed.getUTCFullYear() !== year ||
    parsed.getUTCMonth() !== month - 1 ||
    parsed.getUTCDate() !== day
  ) {
    throw new BreadthValidationError("session_date must be a real YYYY-MM-DD date.");
  }
  return value;
}

function safeInteger(value: unknown, field: string, positive = false): number {
  if (
    !Number.isSafeInteger(value) ||
    (value as number) < (positive ? 1 : 0)
  ) {
    throw new BreadthValidationError(
      `${field} must be a ${positive ? "positive" : "non-negative"} safe integer.`,
    );
  }
  return value as number;
}

function finitePrice(
  value: unknown,
  field: string,
  strictlyPositive = false,
): number {
  if (
    typeof value !== "number" ||
    !Number.isFinite(value) ||
    value < 0 ||
    (strictlyPositive && value <= 0)
  ) {
    throw new BreadthValidationError(
      `${field} must be a finite ${strictlyPositive ? "positive" : "non-negative"} number.`,
    );
  }
  return value;
}

function emptyResult(
  request: BreadthRequest,
  status: BreadthStatus,
  diagnostics: string[],
): BreadthResult {
  return {
    status,
    direction: null,
    metric: "advances_minus_declines",
    session_date: request.session_date,
    session_id: request.session_id,
    venue_id: request.venue_id,
    universe_id: request.universe_id,
    calculation_as_of: request.calculation_as_of,
    selected_revision_id: null,
    selected_revision_sequence: null,
    selected_effective_at: null,
    selected_available_at: null,
    is_provisional: null,
    advances: null,
    declines: null,
    unchanged: null,
    excluded: null,
    unclassified: null,
    universe_size: null,
    mover_count: null,
    classified_count: null,
    coverage_ratio: null,
    net_advances: null,
    exclusion_counts: {},
    diagnostics,
  };
}

export function calculateNetAdvances(request: BreadthRequest): BreadthResult {
  if (request === null || typeof request !== "object") {
    throw new BreadthValidationError("request must be an object.");
  }
  sessionDate(request.session_date);
  for (const field of [
    "session_id",
    "session_timezone",
    "venue_id",
    "universe_id",
    "comparison_basis",
    "corporate_action_policy",
  ] as const) {
    text(request[field], field);
  }
  const [, calculationTime] = timestamp(
    request.calculation_as_of,
    "calculation_as_of",
  );
  const tolerance = finitePrice(request.price_tolerance, "price_tolerance");
  if (!Array.isArray(request.revisions)) {
    throw new BreadthValidationError("revisions must be an array.");
  }

  const candidates = request.revisions
    .map((revision, index) => {
      if (revision === null || typeof revision !== "object") {
        throw new BreadthValidationError(`revisions[${index}] must be a record.`);
      }
      text(revision.revision_id, `revisions[${index}].revision_id`);
      safeInteger(
        revision.revision_sequence,
        `revisions[${index}].revision_sequence`,
        true,
      );
      const [, effectiveTime] = timestamp(
        revision.effective_at,
        `revisions[${index}].effective_at`,
      );
      const [, availableTime] = timestamp(
        revision.available_at,
        `revisions[${index}].available_at`,
      );
      if (availableTime < effectiveTime) {
        throw new BreadthValidationError("available_at cannot precede effective_at.");
      }
      if (typeof revision.is_final !== "boolean") {
        throw new BreadthValidationError(`revisions[${index}].is_final must be boolean.`);
      }
      if (revision.supersedes_revision_id !== null) {
        text(
          revision.supersedes_revision_id,
          `revisions[${index}].supersedes_revision_id`,
        );
      }
      if (!Array.isArray(revision.members)) {
        throw new BreadthValidationError(`revisions[${index}].members must be an array.`);
      }
      return {...revision, effectiveTime, availableTime};
    })
    .filter(
      (revision) =>
        revision.effectiveTime <= calculationTime &&
        revision.availableTime <= calculationTime,
    );

  if (candidates.length === 0) {
    return emptyResult(request, "unsupported", [
      "No revision was both effective and available at calculation_as_of.",
    ]);
  }
  if (new Set(candidates.map((r) => r.revision_id)).size !== candidates.length) {
    return emptyResult(request, "ambiguous", [
      "Causally available revision IDs are not unique.",
    ]);
  }
  const highestSequence = Math.max(...candidates.map((r) => r.revision_sequence));
  const chain = [] as typeof candidates;
  for (let sequence = 1; sequence <= highestSequence; sequence += 1) {
    const matches = candidates.filter((r) => r.revision_sequence === sequence);
    if (matches.length !== 1) {
      return emptyResult(request, "ambiguous", [
        "The causal revision chain has a gap or duplicate sequence.",
      ]);
    }
    chain.push(matches[0]);
  }
  if (
    chain[0].supersedes_revision_id !== null ||
    chain.slice(1).some((revision, index) => revision.supersedes_revision_id !== chain[index].revision_id)
  ) {
    return emptyResult(request, "ambiguous", ["The causal supersession links are broken."]);
  }
  const selected = chain.at(-1)!;

  const listingIds = new Set<string>();
  const duplicateIds = new Set<string>();
  const parsed: Array<[MemberState, number | null, number | null]> = [];
  const exclusionCounts = Object.fromEntries(
    EXCLUSIONS.map((state) => [state, 0]),
  ) as Record<string, number>;
  selected.members.forEach((member, index) => {
    if (member === null || typeof member !== "object") {
      throw new BreadthValidationError(`members[${index}] must be a record.`);
    }
    const listingId = text(member.listing_id, `members[${index}].listing_id`);
    text(member.security_id, `members[${index}].security_id`);
    if (
      member.ticker !== null &&
      (typeof member.ticker !== "string" || member.ticker.trim() === "")
    ) {
      throw new BreadthValidationError(`members[${index}].ticker must be null or non-empty.`);
    }
    if (!STATES.has(member.state)) {
      throw new BreadthValidationError(`members[${index}].state is unsupported.`);
    }
    if (listingIds.has(listingId)) duplicateIds.add(listingId);
    listingIds.add(listingId);
    if (member.state === "eligible") {
      if (member.current_price === null || member.prior_comparable_price === null) {
        parsed.push(["unclassified", null, null]);
      } else {
        parsed.push([
          member.state,
          finitePrice(member.current_price, `members[${index}].current_price`),
          finitePrice(
            member.prior_comparable_price,
            `members[${index}].prior_comparable_price`,
            true,
          ),
        ]);
      }
    } else {
      if (member.current_price !== null) {
        finitePrice(member.current_price, `members[${index}].current_price`);
      }
      if (member.prior_comparable_price !== null) {
        finitePrice(
          member.prior_comparable_price,
          `members[${index}].prior_comparable_price`,
          true,
        );
      }
      parsed.push([member.state, null, null]);
    }
  });

  if (duplicateIds.size > 0) {
    return {
      ...emptyResult(request, "ambiguous", [
        "Duplicate listing_id values prevent a unique universe partition.",
      ]),
      selected_revision_id: selected.revision_id,
      selected_revision_sequence: selected.revision_sequence,
      selected_effective_at: selected.effective_at,
      selected_available_at: selected.available_at,
      is_provisional: !selected.is_final,
    };
  }

  let advances = 0;
  let declines = 0;
  let unchanged = 0;
  let excluded = 0;
  let unclassified = 0;
  for (const [state, current, prior] of parsed) {
    if (state === "eligible") {
      const delta = (current as number) - (prior as number);
      if (Math.abs(delta) <= tolerance + 1e-12) unchanged += 1;
      else if (delta > 0) advances += 1;
      else declines += 1;
    } else if (state === "unclassified" || state === "missing_price") {
      unclassified += 1;
    } else {
      excluded += 1;
      exclusionCounts[state] += 1;
    }
  }
  const universeSize = selected.members.length;
  const classifiedCount = advances + declines + unchanged;
  const moverCount = advances + declines;
  const coverageRatio = universeSize ? classifiedCount / universeSize : null;
  if (classifiedCount + excluded + unclassified !== universeSize) {
    throw new Error("Internal partition invariant failed.");
  }

  let status: BreadthStatus;
  let direction: BreadthDirection | null = null;
  let netAdvances: number | null;
  const diagnostics: string[] = [];
  if (unclassified > 0) {
    status = "incomplete";
    netAdvances = null;
    diagnostics.push(
      "At least one member lacks enough causally available evidence for classification.",
    );
  } else if (universeSize === 0) {
    status = "empty_universe";
    netAdvances = 0;
    diagnostics.push("The declared point-in-time universe is empty.");
  } else if (moverCount === 0) {
    status = "no_movers";
    netAdvances = 0;
    diagnostics.push("The complete universe has no advancing or declining issues.");
  } else {
    status = "ready";
    netAdvances = advances - declines;
    direction =
      netAdvances > 0
        ? "advances_dominant"
        : netAdvances < 0
          ? "declines_dominant"
          : "balanced";
    diagnostics.push("Counts reconcile to the selected point-in-time universe.");
  }

  return {
    status,
    direction,
    metric: "advances_minus_declines",
    session_date: request.session_date,
    session_id: request.session_id,
    venue_id: request.venue_id,
    universe_id: request.universe_id,
    calculation_as_of: request.calculation_as_of,
    selected_revision_id: selected.revision_id,
    selected_revision_sequence: selected.revision_sequence,
    selected_effective_at: selected.effective_at,
    selected_available_at: selected.available_at,
    is_provisional: !selected.is_final,
    advances,
    declines,
    unchanged,
    excluded,
    unclassified,
    universe_size: universeSize,
    mover_count: moverCount,
    classified_count: classifiedCount,
    coverage_ratio: coverageRatio,
    net_advances: netAdvances,
    exclusion_counts: exclusionCounts,
    diagnostics,
  };
}