Trade-and-Quote Event Normalization

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/* Reference algorithms for D01-F05. This file intentionally uses
   JavaScript-compatible TypeScript so the parity runner can execute the same
   source as an ES module without a build dependency. */

const asInt = (name, value, minimum = null) => {
  if (!Number.isInteger(value)) throw new TypeError(`${name} must be an integer`);
  if (minimum !== null && value < minimum) throw new RangeError(`${name} must be >= ${minimum}`);
  return value;
};
const side = value => {
  if (value !== "bid" && value !== "ask") throw new RangeError("side must be bid or ask");
  return value;
};
const sortedLevels = book => ({
  bids: [...book.bid.entries()].filter(([,q])=>q>0).sort((a,b)=>b[0]-a[0]).map(([price_ticks,quantity])=>({price_ticks,quantity})),
  asks: [...book.ask.entries()].filter(([,q])=>q>0).sort((a,b)=>a[0]-b[0]).map(([price_ticks,quantity])=>({price_ticks,quantity})),
});
const bookFromLevels = levels => {
  const book={bid:new Map(),ask:new Map()};
  for (const [plural,s] of [["bids","bid"],["asks","ask"]]) {
    for (const [index,row] of (levels[plural]??[]).entries()) {
      const price=asInt(`${plural}[${index}].price_ticks`,row.price_ticks,1);
      const quantity=asInt(`${plural}[${index}].quantity`,row.quantity,0);
      if (book[s].has(price)) throw new RangeError(`duplicate ${s} price level ${price}`);
      if (quantity) book[s].set(price,quantity);
    }
  }
  return book;
};

export function normalizeEvents(events) {
  const output=[], lastSequence=new Map();
  for (const [index,raw] of events.entries()) {
    const venue=String(raw.venue??"").trim(), instrument=String(raw.instrument??"").trim();
    if (!venue||!instrument) throw new RangeError("venue and instrument are required");
    const sequence=asInt(`events[${index}].sequence`,raw.sequence,0);
    if (lastSequence.has(venue)&&sequence<=lastSequence.get(venue)) throw new RangeError(`sequence must increase within venue ${venue}`);
    lastSequence.set(venue,sequence);
    const event_time_ns=asInt("event_time_ns",raw.event_time_ns,0);
    const receive_time_ns=asInt("receive_time_ns",raw.receive_time_ns,0);
    if (receive_time_ns<event_time_ns) throw new RangeError("receive_time_ns must not precede event_time_ns in this contract");
    const scale=asInt("price_scale",raw.price_scale,1);
    const common={schema_version:1,venue,instrument,sequence,event_time_ns,receive_time_ns,latency_ns:receive_time_ns-event_time_ns,price_scale:scale};
    if (raw.kind==="trade") {
      const price_atoms=asInt("price_atoms",raw.price_atoms,1);
      output.push({...common,kind:"trade",trade_id:String(raw.trade_id??""),price_atoms,price:price_atoms/scale,quantity:asInt("quantity",raw.quantity,1),aggressor_side:raw.aggressor_side??null});
    } else if (raw.kind==="quote") {
      const bid=asInt("bid_price_atoms",raw.bid_price_atoms,1), ask=asInt("ask_price_atoms",raw.ask_price_atoms,1);
      if (bid>ask) throw new RangeError("crossed quote is outside the normalization contract");
      output.push({...common,kind:"quote",bid_price_atoms:bid,bid_price:bid/scale,bid_quantity:asInt("bid_quantity",raw.bid_quantity,0),ask_price_atoms:ask,ask_price:ask/scale,ask_quantity:asInt("ask_quantity",raw.ask_quantity,0),quote_state:bid===ask?"locked":"normal"});
    } else throw new RangeError("kind must be trade or quote");
  }
  return {schema_version:1,event_count:output.length,trade_count:output.filter(x=>x.kind==="trade").length,quote_count:output.filter(x=>x.kind==="quote").length,venue_count:lastSequence.size,max_latency_ns:output.reduce((n,x)=>Math.max(n,x.latency_ns),0),events:output,state:"normalized"};
}

export function reconstructL2(snapshot,{snapshot_sequence,deltas}) {
  const anchor=asInt("snapshot_sequence",snapshot_sequence,0), book=bookFromLevels(snapshot);
  let expected=anchor+1; const applied_sequences=[],discarded_sequences=[];
  for (const [index,delta] of deltas.entries()) {
    const sequence=asInt(`deltas[${index}].sequence`,delta.sequence,0);
    if (sequence<=anchor) {discarded_sequences.push(sequence);continue;}
    if (sequence!==expected) throw new RangeError(`sequence gap: expected ${expected}, received ${sequence}`);
    const s=side(delta.side), price=asInt("price_ticks",delta.price_ticks,1), quantity=asInt("quantity",delta.quantity,0);
    if (quantity) book[s].set(price,quantity); else book[s].delete(price);
    applied_sequences.push(sequence); expected++;
  }
  const levels=sortedLevels(book), best_bid_ticks=levels.bids[0]?.price_ticks??null, best_ask_ticks=levels.asks[0]?.price_ticks??null;
  if (best_bid_ticks!==null&&best_ask_ticks!==null&&best_bid_ticks>best_ask_ticks) throw new RangeError("reconstruction produced a crossed book");
  return {quantity_semantics:"absolute-replacement",snapshot_sequence:anchor,last_sequence:expected-1,applied_sequences,applied_count:applied_sequences.length,discarded_sequences,discarded_count:discarded_sequences.length,...levels,best_bid_ticks,best_ask_ticks,state:"current"};
}

export function aggregatePriceLevels(orders,{depth_limit=null}={}) {
  const totals={bid:new Map(),ask:new Map()}; let order_count=0;
  for (const [index,order] of orders.entries()) {
    const s=side(order.side), price=asInt(`orders[${index}].price_ticks`,order.price_ticks,1), quantity=asInt("quantity",order.quantity,1);
    const current=totals[s].get(price)??[0,0]; current[0]+=quantity; current[1]++; totals[s].set(price,current); order_count++;
  }
  const limit=depth_limit===null?null:asInt("depth_limit",depth_limit,1);
  let bids=[...totals.bid.entries()].sort((a,b)=>b[0]-a[0]).map(([price_ticks,v])=>({price_ticks,quantity:v[0],order_count:v[1]}));
  let asks=[...totals.ask.entries()].sort((a,b)=>a[0]-b[0]).map(([price_ticks,v])=>({price_ticks,quantity:v[0],order_count:v[1]}));
  const full_bid_level_count=bids.length, full_ask_level_count=asks.length,full_bid_quantity=bids.reduce((n,x)=>n+x.quantity,0),full_ask_quantity=asks.reduce((n,x)=>n+x.quantity,0);
  if (limit!==null) {bids=bids.slice(0,limit);asks=asks.slice(0,limit);}
  const visible_bid_quantity=bids.reduce((n,x)=>n+x.quantity,0),visible_ask_quantity=asks.reduce((n,x)=>n+x.quantity,0);
  return {order_count,full_bid_level_count,full_ask_level_count,depth_limit:limit,bids,asks,visible_bid_quantity,visible_ask_quantity,full_bid_quantity,full_ask_quantity,hidden_by_depth_limit_bid_quantity:full_bid_quantity-visible_bid_quantity,hidden_by_depth_limit_ask_quantity:full_ask_quantity-visible_ask_quantity,state:"aggregated"};
}

export function reconstructL3(snapshot_orders,{snapshot_sequence,events}) {
  const anchor=asInt("snapshot_sequence",snapshot_sequence,0), orders=new Map(),action_counts={add:0,reduce:0,execute:0,delete:0,replace:0}; let rank=0, expected=anchor+1;
  for (const raw of snapshot_orders) {
    const order_id=String(raw.order_id??"");
    if (!order_id||orders.has(order_id)) throw new RangeError("snapshot order IDs must be non-empty and unique");
    rank++; orders.set(order_id,{order_id,side:side(raw.side),price_ticks:asInt("price_ticks",raw.price_ticks,1),quantity:asInt("quantity",raw.quantity,1),priority_rank:rank});
  }
  for (const [index,event] of events.entries()) {
    const sequence=asInt(`events[${index}].sequence`,event.sequence,0);
    if (sequence<=anchor) continue;
    if (sequence!==expected) throw new RangeError(`sequence gap: expected ${expected}, received ${sequence}`);
    const action=event.action, order_id=String(event.order_id??"");
    if (action==="add") {
      if (!order_id||orders.has(order_id)) throw new RangeError("add requires a new order_id");
      rank++; orders.set(order_id,{order_id,side:side(event.side),price_ticks:asInt("price_ticks",event.price_ticks,1),quantity:asInt("quantity",event.quantity,1),priority_rank:rank});
    } else if (action==="reduce"||action==="execute") {
      if (!orders.has(order_id)) throw new RangeError(`${action} references unknown order`);
      const reduction=asInt("quantity",event.quantity,1), row=orders.get(order_id);
      if (reduction>row.quantity) throw new RangeError("reduction exceeds resting quantity");
      row.quantity-=reduction; if (!row.quantity) orders.delete(order_id);
    } else if (action==="delete") {
      if (!orders.has(order_id)) throw new RangeError("delete references unknown order");
      orders.delete(order_id);
    } else if (action==="replace") {
      if (!orders.has(order_id)) throw new RangeError("replace references unknown order");
      const original=orders.get(order_id);orders.delete(order_id);
      const new_order_id=String(event.new_order_id??"");
      if (!new_order_id||orders.has(new_order_id)) throw new RangeError("replace requires a new unique new_order_id");
      rank++;orders.set(new_order_id,{order_id:new_order_id,side:original.side,price_ticks:asInt("price_ticks",event.price_ticks,1),quantity:asInt("quantity",event.quantity,1),priority_rank:rank});
    } else throw new RangeError("action must be add, reduce, execute, delete, or replace");
    action_counts[action]++;
    expected++;
  }
  const rows=[...orders.values()].sort((a,b)=>a.priority_rank-b.priority_rank), aggregation=aggregatePriceLevels(rows);
  return {snapshot_sequence:anchor,last_sequence:expected-1,order_count:rows.length,event_count:Object.values(action_counts).reduce((a,b)=>a+b,0),action_counts,orders:rows,bids:aggregation.bids,asks:aggregation.asks,state:"current"};
}

export function recoverSequenceStream(arrivals,{start_sequence}) {
  let expected=asInt("start_sequence",start_sequence,0),lastRequest=null; const buffer=new Map(), applied_sequences=[], duplicate_sequences=[], trace=[],recovery_requests=[];
  for (const [index,arrival] of arrivals.entries()) {
    const sequence=asInt(`arrivals[${index}].sequence`,arrival.sequence,0), source=String(arrival.source??"live");
    if (sequence<expected||buffer.has(sequence)) duplicate_sequences.push(sequence); else buffer.set(sequence,source);
    while (buffer.has(expected)) {buffer.delete(expected);applied_sequences.push(expected);expected++;}
    const buffered=[...buffer.keys()].sort((a,b)=>a-b), stop=buffered.length?buffered[0]:expected;
    const missing=Array.from({length:stop-expected},(_,i)=>expected+i);
    if (missing.length) {
      const key=`${missing[0]}:${missing.at(-1)}`;
      if (key!==lastRequest) {recovery_requests.push({from_sequence:missing[0],to_sequence:missing.at(-1)});lastRequest=key;}
    }
    trace.push({arrival_sequence:sequence,source,next_expected:expected,missing,buffered});
  }
  const buffered_sequences=[...buffer.keys()].sort((a,b)=>a-b), stop=buffered_sequences.length?buffered_sequences[0]:expected;
  return {start_sequence:asInt("start_sequence",start_sequence,0),applied_sequences,next_expected:expected,missing_sequences:Array.from({length:stop-expected},(_,i)=>expected+i),buffered_sequences,duplicate_sequences,recovery_requests,recovery_request_count:recovery_requests.length,replay_arrival_count:arrivals.filter(x=>(x.source??"live")==="replay").length,trace,state:buffer.size?"recovering":"current"};
}

export function reconcileSnapshotIncrementals(snapshot,{snapshot_sequence,incrementals,checkpoint,checkpoint_sequence}) {
  const anchor=asInt("snapshot_sequence",snapshot_sequence,0), check=asInt("checkpoint_sequence",checkpoint_sequence,anchor);
  const eligible=incrementals.filter(row=>asInt("sequence",row.sequence,0)<=check),pending=incrementals.filter(row=>asInt("sequence",row.sequence,0)>check), reconstructed=reconstructL2(snapshot,{snapshot_sequence:anchor,deltas:eligible});
  if (reconstructed.last_sequence!==check) throw new RangeError("incrementals do not reach checkpoint_sequence contiguously");
  const observed=bookFromLevels(checkpoint), rebuilt={bid:new Map(reconstructed.bids.map(x=>[x.price_ticks,x.quantity])),ask:new Map(reconstructed.asks.map(x=>[x.price_ticks,x.quantity]))}, differences=[];
  for (const s of ["bid","ask"]) {
    const prices=[...new Set([...rebuilt[s].keys(),...observed[s].keys()])].sort((a,b)=>s==="bid"?b-a:a-b);
    for (const price_ticks of prices) {
      const left=rebuilt[s].get(price_ticks)??0,right=observed[s].get(price_ticks)??0;
      if (left!==right) differences.push({side:s,price_ticks,reconstructed_quantity:left,snapshot_quantity:right,difference:left-right,kind:left===0?"missing-reconstructed-level":right===0?"missing-checkpoint-level":"quantity-mismatch"});
    }
  }
  const mismatch_counts={"quantity-mismatch":0,"missing-reconstructed-level":0,"missing-checkpoint-level":0};for(const row of differences)mismatch_counts[row.kind]++;
  return {snapshot_sequence:anchor,checkpoint_sequence:check,compared_level_count:new Set([...rebuilt.bid.keys(),...observed.bid.keys()]).size+new Set([...rebuilt.ask.keys(),...observed.ask.keys()]).size,difference_count:differences.length,mismatch_counts,replayed_incremental_count:eligible.length,pending_after_checkpoint_count:pending.length,differences,reconstructed:{bids:reconstructed.bids,asks:reconstructed.asks},checkpoint:sortedLevels(observed),state:differences.length?"drift-detected":"reconciled"};
}

export function consolidateVenues(quotes,{as_of_receive_time_ns,max_staleness_ns}) {
  const as_of=asInt("as_of_receive_time_ns",as_of_receive_time_ns,0), tolerance=asInt("max_staleness_ns",max_staleness_ns,0), latest=new Map();
  for (const [index,quote] of quotes.entries()) {
    const venue=String(quote.venue??"").trim(); if (!venue) throw new RangeError("venue is required");
    const receive=asInt(`quotes[${index}].receive_time_ns`,quote.receive_time_ns,0); if (receive>as_of) continue;
    if (!latest.has(venue)||receive>latest.get(venue).receive_time_ns) latest.set(venue,{...quote});
  }
  const eligible=[],excluded=[];
  for (const [venue,quote] of [...latest.entries()].sort()) {
    const age=as_of-asInt("receive_time_ns",quote.receive_time_ns,0);
    if (quote.eligible===false) excluded.push({venue,reason:"ineligible"});
    else if ((quote.status??"open")!=="open") excluded.push({venue,reason:"not-open"});
    else if (age>tolerance) excluded.push({venue,reason:"stale"});
    else {
      const levels=("bids" in quote||"asks" in quote)?sortedLevels(bookFromLevels(quote)):{bids:[{price_ticks:asInt("bid_price_ticks",quote.bid_price_ticks,1),quantity:asInt("bid_quantity",quote.bid_quantity,0)}],asks:[{price_ticks:asInt("ask_price_ticks",quote.ask_price_ticks,1),quantity:asInt("ask_quantity",quote.ask_quantity,0)}]};
      if (!levels.bids.length||!levels.asks.length) {excluded.push({venue,reason:"empty-local-side"});continue;}
      if (levels.bids[0].price_ticks>levels.asks[0].price_ticks) {excluded.push({venue,reason:"crossed-local-book"});continue;}
      eligible.push({venue,bids:levels.bids,asks:levels.asks,receive_time_ns:quote.receive_time_ns});
    }
  }
  if (!eligible.length) return {state:"no-eligible-quote",eligible_venue_count:0,excluded};
  const depth={bid:new Map(),ask:new Map()};
  for (const row of eligible) {
    for (const [plural,s] of [["bids","bid"],["asks","ask"]]) for (const level of row[plural]) {
      if (!depth[s].has(level.price_ticks)) depth[s].set(level.price_ticks,{quantity:0,venues:[]});
      const cell=depth[s].get(level.price_ticks);cell.quantity+=level.quantity;cell.venues.push(row.venue);
    }
  }
  const bids=[...depth.bid.entries()].sort((a,b)=>b[0]-a[0]).map(([price_ticks,v])=>({price_ticks,quantity:v.quantity,venues:v.venues.sort()})),asks=[...depth.ask.entries()].sort((a,b)=>a[0]-b[0]).map(([price_ticks,v])=>({price_ticks,quantity:v.quantity,venues:v.venues.sort()}));
  const best_bid_ticks=bids[0].price_ticks,best_ask_ticks=asks[0].price_ticks;
  return {as_of_receive_time_ns:as_of,max_staleness_ns:tolerance,eligible_venue_count:eligible.length,excluded,best_bid_ticks,best_bid_quantity:bids[0].quantity,best_bid_venues:bids[0].venues,best_ask_ticks,best_ask_quantity:asks[0].quantity,best_ask_venues:asks[0].venues,consolidated_book:{bids,asks},consolidated_levels:[...bids.map(x=>({side:"bid",...x})),...asks.map(x=>({side:"ask",...x}))],state:best_bid_ticks>best_ask_ticks?"crossed-consolidated":best_bid_ticks===best_ask_ticks?"locked-consolidated":"normal"};
}

export function calculate(topicId, inputs) {
  if (topicId==="D01-F05-A01") return normalizeEvents(inputs.events);
  if (topicId==="D01-F05-A02") return reconstructL2(inputs.snapshot,{snapshot_sequence:inputs.snapshot_sequence,deltas:inputs.deltas});
  if (topicId==="D01-F05-A03") return reconstructL3(inputs.snapshot_orders,{snapshot_sequence:inputs.snapshot_sequence,events:inputs.events});
  if (topicId==="D01-F05-A04") return recoverSequenceStream(inputs.arrivals,{start_sequence:inputs.start_sequence});
  if (topicId==="D01-F05-A05") return aggregatePriceLevels(inputs.orders,{depth_limit:inputs.depth_limit??null});
  if (topicId==="D01-F05-A06") return reconcileSnapshotIncrementals(inputs.snapshot,{snapshot_sequence:inputs.snapshot_sequence,incrementals:inputs.incrementals,checkpoint:inputs.checkpoint,checkpoint_sequence:inputs.checkpoint_sequence});
  if (topicId==="D01-F05-A07") return consolidateVenues(inputs.quotes,{as_of_receive_time_ns:inputs.as_of_receive_time_ns,max_staleness_ns:inputs.max_staleness_ns});
  throw new RangeError(`unsupported topic_id: ${topicId}`);
}