Pro-Rata Matching

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export type JsonObject = Record<string, any>;

function num(name: string, value: unknown, positive = false): number {
  if (typeof value !== "number" || !Number.isFinite(value)) throw new TypeError(`${name} must be a finite number`);
  if (positive && value <= 0) throw new RangeError(`${name} must be positive`);
  return value;
}
function integer(name: string, value: unknown, nonnegative = false): number {
  const result = num(name, value);
  if (!Number.isInteger(result)) throw new RangeError(`${name} must be an integer`);
  if (nonnegative && result < 0) throw new RangeError(`${name} must be nonnegative`);
  return result;
}
function text(name: string, value: unknown): string {
  if (typeof value !== "string" || !value.trim()) throw new TypeError(`${name} must be a non-empty string`);
  return value;
}
function multiple(name: string, value: number, lot: number): void {
  if (Math.abs(value / lot - Math.round(value / lot)) > 1e-9) throw new RangeError(`${name} must be an integer multiple of lot_size`);
}
function parseResting(raw: unknown, expectedSide: string | null = null): JsonObject[] {
  if (!Array.isArray(raw) || raw.length === 0) throw new RangeError("resting_orders must be a non-empty list");
  const ids = new Set<string>(), sequences = new Set<number>();
  return raw.map((item, index) => {
    if (!item || typeof item !== "object") throw new TypeError(`resting_orders[${index}] must be an object`);
    const order = item as JsonObject, orderId = text(`resting_orders[${index}].order_id`, order.order_id);
    if (ids.has(orderId)) throw new RangeError("order_id values must be unique"); ids.add(orderId);
    const side = text(`resting_orders[${index}].side`, order.side);
    if (!["buy", "sell"].includes(side)) throw new RangeError("order side must be buy or sell");
    if (expectedSide && side !== expectedSide) throw new RangeError("all resting orders must be on the opposite side");
    const sequence = integer(`resting_orders[${index}].arrival_sequence`, order.arrival_sequence, true);
    if (sequences.has(sequence)) throw new RangeError("arrival_sequence values must be unique"); sequences.add(sequence);
    return {
      order_id: orderId,
      side,
      price: num(`resting_orders[${index}].price`, order.price, true),
      remaining_quantity: num(`resting_orders[${index}].remaining_quantity`, order.remaining_quantity, true),
      arrival_sequence: sequence,
    };
  });
}

export function priceTimePriority(incomingRaw: unknown, restingRaw: unknown): JsonObject {
  if (!incomingRaw || typeof incomingRaw !== "object") throw new TypeError("incoming_order must be an object");
  const incoming = incomingRaw as JsonObject;
  const orderId = text("incoming_order.order_id", incoming.order_id), side = text("incoming_order.side", incoming.side);
  if (!["buy", "sell"].includes(side)) throw new RangeError("incoming side must be buy or sell");
  const orderType = text("incoming_order.order_type", incoming.order_type);
  if (!["market", "limit"].includes(orderType)) throw new RangeError("order_type must be market or limit");
  const quantity = num("incoming_order.quantity", incoming.quantity, true);
  let limitPrice: number | null = null;
  if (orderType === "limit") limitPrice = num("incoming_order.limit_price", incoming.limit_price, true);
  else if (incoming.limit_price != null) throw new RangeError("market order must not carry limit_price");
  const opposite = side === "buy" ? "sell" : "buy";
  const book = parseResting(restingRaw, opposite);
  if (book.some(order => order.order_id === orderId)) throw new RangeError("incoming and resting order IDs must be unique");
  book.sort((a, b) => side === "buy" ? a.price - b.price || a.arrival_sequence - b.arrival_sequence : b.price - a.price || a.arrival_sequence - b.arrival_sequence);
  let remaining = quantity, notional = 0;
  const fills: JsonObject[] = [];
  for (const order of book) {
    const marketable = limitPrice == null || (side === "buy" ? order.price <= limitPrice : order.price >= limitPrice);
    if (!marketable) break;
    const fill = Math.min(remaining, order.remaining_quantity);
    if (fill <= 0) continue;
    order.remaining_quantity -= fill; remaining -= fill; notional += fill * order.price;
    fills.push({resting_order_id: order.order_id, price: order.price, quantity: fill, arrival_sequence: order.arrival_sequence});
    if (remaining <= 1e-12) { remaining = 0; break; }
  }
  const filled = quantity - remaining;
  return {
    model: "single-venue-price-time-priority", incoming_order_id: orderId, requested_quantity: quantity,
    filled_quantity: filled, residual_quantity: remaining, average_fill_price: filled ? notional / filled : null,
    fill_count: fills.length, fills, final_resting_orders: book.filter(order => order.remaining_quantity > 0),
    state: remaining === 0 ? "filled" : filled ? "partially-filled" : "unfilled",
  };
}

function singlePriceInputs(incomingRaw: unknown, priceRaw: unknown, lotRaw: unknown, restingRaw: unknown): [number, number, number, JsonObject[]] {
  const incoming = num("incoming_quantity", incomingRaw, true), price = num("price", priceRaw, true), lot = num("lot_size", lotRaw, true);
  multiple("incoming_quantity", incoming, lot);
  const orders = parseResting(restingRaw), side = orders[0].side;
  orders.forEach(order => {
    if (order.side !== side) throw new RangeError("single-price allocation requires one resting side");
    if (Math.abs(order.price - price) > 1e-12) throw new RangeError("every resting order must be at price");
    multiple("remaining_quantity", order.remaining_quantity, lot);
  });
  return [incoming, price, lot, orders];
}

function proRataUnits(orders: JsonObject[], allocationUnits: number, lot: number): Record<string, number> {
  const capacities: Record<string, number> = {};
  orders.forEach(order => capacities[order.order_id] = Math.round(order.remaining_quantity / lot));
  const totalCapacity = Object.values(capacities).reduce((a, b) => a + b, 0), units = Math.min(allocationUnits, totalCapacity);
  if (units <= 0) return Object.fromEntries(orders.map(order => [order.order_id, 0]));
  const raw: Record<string, number> = {}, allocated: Record<string, number> = {};
  orders.forEach(order => {
    raw[order.order_id] = units * capacities[order.order_id] / totalCapacity;
    allocated[order.order_id] = Math.min(capacities[order.order_id], Math.floor(raw[order.order_id]));
  });
  let remainder = units - Object.values(allocated).reduce((a, b) => a + b, 0);
  const rank = [...orders].sort((a, b) => {
    const fa = raw[a.order_id] - Math.floor(raw[a.order_id]), fb = raw[b.order_id] - Math.floor(raw[b.order_id]);
    return fb - fa || capacities[b.order_id] - capacities[a.order_id] || a.arrival_sequence - b.arrival_sequence;
  });
  while (remainder > 0) {
    let progressed = false;
    for (const order of rank) {
      if (allocated[order.order_id] < capacities[order.order_id]) {
        allocated[order.order_id] += 1; remainder -= 1; progressed = true;
        if (remainder === 0) break;
      }
    }
    if (!progressed) break;
  }
  return allocated;
}

export function proRataMatching(incomingRaw: unknown, priceRaw: unknown, lotRaw: unknown, restingRaw: unknown): JsonObject {
  const [incoming, price, lot, orders] = singlePriceInputs(incomingRaw, priceRaw, lotRaw, restingRaw);
  const executable = Math.min(incoming, orders.reduce((sum, order) => sum + order.remaining_quantity, 0));
  const units = proRataUnits(orders, Math.round(executable / lot), lot);
  const allocations = [...orders].sort((a, b) => a.arrival_sequence - b.arrival_sequence).map(order => {
    const quantity = units[order.order_id] * lot;
    return {order_id: order.order_id, resting_quantity: order.remaining_quantity, allocated_quantity: quantity, remaining_quantity: order.remaining_quantity - quantity, arrival_sequence: order.arrival_sequence};
  });
  const allocated = allocations.reduce((sum, row) => sum + row.allocated_quantity, 0);
  return {model: "single-price-lot-aware-pro-rata", price, lot_size: lot, incoming_quantity: incoming, executable_quantity: executable, allocated_quantity: allocated, unfilled_quantity: incoming - allocated, allocations, state: allocated === incoming ? "fully-allocated" : "partially-allocated"};
}

export function sizeTimePriority(incomingRaw: unknown, priceRaw: unknown, lotRaw: unknown, restingRaw: unknown): JsonObject {
  const [incoming, price, lot, orders] = singlePriceInputs(incomingRaw, priceRaw, lotRaw, restingRaw);
  const ranked = [...orders].sort((a, b) => b.remaining_quantity - a.remaining_quantity || a.arrival_sequence - b.arrival_sequence);
  let remaining = incoming;
  const allocations: JsonObject[] = [];
  for (let index = 0; index < ranked.length; index += 1) {
    const order = ranked[index], quantity = Math.min(remaining, order.remaining_quantity);
    remaining -= quantity;
    allocations.push({rank: index + 1, order_id: order.order_id, resting_quantity: order.remaining_quantity, allocated_quantity: quantity, remaining_quantity: order.remaining_quantity - quantity, arrival_sequence: order.arrival_sequence});
    if (remaining <= 1e-12) { remaining = 0; break; }
  }
  const allocated = incoming - remaining;
  return {model: "single-price-size-then-time-priority", price, lot_size: lot, incoming_quantity: incoming, allocated_quantity: allocated, unfilled_quantity: remaining, ranked_order_ids: ranked.map(order => order.order_id), allocations, state: remaining === 0 ? "fully-allocated" : "partially-allocated"};
}

export function hybridProRataTime(incomingRaw: unknown, priceRaw: unknown, lotRaw: unknown, fractionRaw: unknown, restingRaw: unknown): JsonObject {
  const [incoming, price, lot, orders] = singlePriceInputs(incomingRaw, priceRaw, lotRaw, restingRaw);
  const fraction = num("fifo_fraction", fractionRaw);
  if (fraction < 0 || fraction > 1) throw new RangeError("fifo_fraction must be between zero and one");
  const executable = Math.min(incoming, orders.reduce((sum, order) => sum + order.remaining_quantity, 0));
  const totalUnits = Math.round(executable / lot), fifoUnits = Math.floor(totalUnits * fraction + 1e-12);
  const fifoAlloc: Record<string, number> = Object.fromEntries(orders.map(order => [order.order_id, 0]));
  let fifoRemaining = fifoUnits;
  for (const order of [...orders].sort((a, b) => a.arrival_sequence - b.arrival_sequence)) {
    const capacity = Math.round(order.remaining_quantity / lot), take = Math.min(fifoRemaining, capacity);
    fifoAlloc[order.order_id] = take; fifoRemaining -= take;
    if (fifoRemaining === 0) break;
  }
  const residual = orders.flatMap(order => {
    const residualUnits = Math.round(order.remaining_quantity / lot) - fifoAlloc[order.order_id];
    return residualUnits > 0 ? [{...order, remaining_quantity: residualUnits * lot}] : [];
  });
  const proUnits = totalUnits - fifoUnits, proAlloc = residual.length ? proRataUnits(residual, proUnits, lot) : {};
  const allocations = [...orders].sort((a, b) => a.arrival_sequence - b.arrival_sequence).map(order => {
    const fifoQuantity = fifoAlloc[order.order_id] * lot, proQuantity = (proAlloc[order.order_id] || 0) * lot, total = fifoQuantity + proQuantity;
    return {order_id: order.order_id, resting_quantity: order.remaining_quantity, fifo_quantity: fifoQuantity, pro_rata_quantity: proQuantity, allocated_quantity: total, remaining_quantity: order.remaining_quantity - total, arrival_sequence: order.arrival_sequence};
  });
  const allocated = allocations.reduce((sum, row) => sum + row.allocated_quantity, 0);
  return {model: "single-price-fifo-pro-rata-split", price, lot_size: lot, fifo_fraction: fraction, incoming_quantity: incoming, executable_quantity: executable, fifo_target_quantity: fifoUnits * lot, pro_rata_target_quantity: proUnits * lot, allocated_quantity: allocated, unfilled_quantity: incoming - allocated, allocations, state: allocated === incoming ? "fully-allocated" : "partially-allocated"};
}

export function calculate(topicId: string, inputs: JsonObject): JsonObject {
  if (!inputs || typeof inputs !== "object" || Array.isArray(inputs)) throw new TypeError("inputs must be an object");
  if (topicId === "D12-F01-A01") return priceTimePriority(inputs.incoming_order, inputs.resting_orders);
  if (topicId === "D12-F01-A02") return proRataMatching(inputs.incoming_quantity, inputs.price, inputs.lot_size, inputs.resting_orders);
  if (topicId === "D12-F01-A03") return sizeTimePriority(inputs.incoming_quantity, inputs.price, inputs.lot_size, inputs.resting_orders);
  if (topicId === "D12-F01-A04") return hybridProRataTime(inputs.incoming_quantity, inputs.price, inputs.lot_size, inputs.fifo_fraction, inputs.resting_orders);
  throw new RangeError(`unsupported topic_id: ${topicId}`);
}