Iceberg/Reserve-Order Replenishment

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export type JsonObject = Record<string, any>;

function numberValue(name: string, value: unknown, options: {positive?: boolean; nonnegative?: boolean} = {}): number {
  if (typeof value !== "number" || !Number.isFinite(value)) throw new TypeError(`${name} must be a finite number`);
  if (options.positive && value <= 0) throw new RangeError(`${name} must be positive`);
  if (options.nonnegative && value < 0) throw new RangeError(`${name} must be nonnegative`);
  return value;
}
function integerValue(name: string, value: unknown, nonnegative = false): number {
  const result = numberValue(name, value);
  if (!Number.isInteger(result)) throw new RangeError(`${name} must be an integer`);
  if (nonnegative && result < 0) throw new RangeError(`${name} must be nonnegative`);
  return result;
}
function textValue(name: string, value: unknown): string {
  if (typeof value !== "string" || !value.trim()) throw new TypeError(`${name} must be a non-empty string`);
  return value;
}

export function limitOrderLifecycle(orderIdRaw: unknown, orderQuantityRaw: unknown, eventsRaw: unknown): JsonObject {
  const orderId = textValue("order_id", orderIdRaw), orderQuantity = numberValue("order_quantity", orderQuantityRaw, {positive: true});
  if (!Array.isArray(eventsRaw) || eventsRaw.length === 0) throw new RangeError("events must be a non-empty chronological list");
  let status = "pending-new", cumulative = 0, leaves = orderQuantity, notional = 0, executionCount = 0;
  const terminal = new Set(["filled", "canceled", "rejected", "expired", "replaced"]);
  const transitions: JsonObject[] = [];
  eventsRaw.forEach((raw, index) => {
    if (!raw || typeof raw !== "object") throw new TypeError(`events[${index}] must be an object`);
    const event = raw as JsonObject, eventType = textValue(`events[${index}].type`, event.type), before = status;
    if (terminal.has(status)) throw new RangeError("terminal order state cannot accept another event");
    if (eventType === "accept") {
      if (status !== "pending-new") throw new RangeError("accept is valid only from pending-new");
      status = "new";
    } else if (eventType === "reject") {
      if (status !== "pending-new") throw new RangeError("reject is valid only from pending-new");
      status = "rejected"; leaves = 0;
    } else if (eventType === "fill") {
      if (!["new", "partially-filled"].includes(status)) throw new RangeError("fill requires a live accepted order");
      const fillQuantity = numberValue(`events[${index}].quantity`, event.quantity, {positive: true});
      const fillPrice = numberValue(`events[${index}].price`, event.price, {positive: true});
      if (fillQuantity > leaves + 1e-12) throw new RangeError("fill quantity exceeds order leaves quantity");
      cumulative += fillQuantity; leaves = Math.max(0, orderQuantity - cumulative); notional += fillQuantity * fillPrice; executionCount += 1;
      status = leaves === 0 ? "filled" : "partially-filled";
    } else if (eventType === "cancel" || eventType === "expire") {
      if (!["new", "partially-filled"].includes(status)) throw new RangeError(`${eventType} requires a live accepted order`);
      status = eventType === "cancel" ? "canceled" : "expired"; leaves = 0;
    } else if (eventType === "replace") {
      if (!["new", "partially-filled"].includes(status)) throw new RangeError("replace requires a live accepted order");
      textValue(`events[${index}].new_order_id`, event.new_order_id); status = "replaced"; leaves = 0;
    } else throw new RangeError(`unsupported lifecycle event: ${eventType}`);
    transitions.push({event_index: index, event_type: eventType, before_status: before, after_status: status, cumulative_quantity: cumulative, leaves_quantity: leaves});
  });
  return {model: "accepted-order-lifecycle-state-machine", order_id: orderId, order_quantity: orderQuantity, cumulative_quantity: cumulative, leaves_quantity: leaves, average_fill_price: cumulative ? notional / cumulative : null, execution_count: executionCount, status, terminal: terminal.has(status), transitions, state: status};
}

export function cancelReplacePriority(originalRaw: unknown, replacementRaw: unknown): JsonObject {
  if (!originalRaw || typeof originalRaw !== "object" || !replacementRaw || typeof replacementRaw !== "object") throw new TypeError("original and replacement must be objects");
  const original = originalRaw as JsonObject, replacement = replacementRaw as JsonObject;
  const orderType = textValue("original.order_type", original.order_type);
  if (orderType !== "displayed-limit") throw new RangeError("canonical priority rule supports displayed-limit orders only");
  const originalId = textValue("original.order_id", original.order_id), replacementId = textValue("replacement.order_id", replacement.order_id);
  const originalPrice = numberValue("original.price", original.price, {positive: true}), replacementPrice = numberValue("replacement.price", replacement.price, {positive: true});
  const originalQuantity = numberValue("original.remaining_quantity", original.remaining_quantity, {positive: true}), replacementQuantity = numberValue("replacement.remaining_quantity", replacement.remaining_quantity, {positive: true});
  const originalSequence = integerValue("original.priority_sequence", original.priority_sequence, true), replaceSequence = integerValue("replacement.replace_sequence", replacement.replace_sequence, true);
  if (replaceSequence <= originalSequence) throw new RangeError("replace_sequence must be after original priority_sequence");
  const samePrice = Math.abs(originalPrice - replacementPrice) <= 1e-12, decreaseOnly = replacementQuantity <= originalQuantity, preserved = samePrice && decreaseOnly;
  const reason = preserved ? "same-price quantity decrease preserves canonical displayed-order priority" : !samePrice ? "price modification creates a new priority timestamp" : "quantity increase creates a new priority timestamp";
  return {model: "nasdaq-style-displayed-limit-priority-rule", original_order_id: originalId, replacement_order_id: replacementId, original_price: originalPrice, replacement_price: replacementPrice, original_remaining_quantity: originalQuantity, replacement_remaining_quantity: replacementQuantity, same_price: samePrice, decrease_only: decreaseOnly, priority_preserved: preserved, original_priority_sequence: originalSequence, effective_priority_sequence: preserved ? originalSequence : replaceSequence, reason, state: preserved ? "priority-preserved" : "new-priority"};
}

export function partialFillResidual(orderQuantityRaw: unknown, fillsRaw: unknown): JsonObject {
  const orderQuantity = numberValue("order_quantity", orderQuantityRaw, {positive: true});
  if (!Array.isArray(fillsRaw)) throw new TypeError("fills must be a list");
  let cumulative = 0, notional = 0;
  const seen = new Set<string>(), states: JsonObject[] = [];
  fillsRaw.forEach((raw, index) => {
    if (!raw || typeof raw !== "object") throw new TypeError(`fills[${index}] must be an object`);
    const fill = raw as JsonObject, executionId = textValue(`fills[${index}].execution_id`, fill.execution_id);
    if (seen.has(executionId)) throw new RangeError("execution_id values must be unique"); seen.add(executionId);
    const fillQuantity = numberValue(`fills[${index}].quantity`, fill.quantity, {positive: true}), fillPrice = numberValue(`fills[${index}].price`, fill.price, {positive: true});
    if (cumulative + fillQuantity > orderQuantity + 1e-12) throw new RangeError("fills exceed original order quantity");
    cumulative += fillQuantity; notional += fillQuantity * fillPrice;
    const leaves = Math.max(0, orderQuantity - cumulative);
    states.push({execution_id: executionId, last_quantity: fillQuantity, last_price: fillPrice, cumulative_quantity: cumulative, leaves_quantity: leaves, status: leaves === 0 ? "filled" : "partially-filled"});
  });
  const leaves = orderQuantity - cumulative, status = fillsRaw.length === 0 ? "new" : leaves === 0 ? "filled" : "partially-filled";
  return {model: "partial-fill-residual-accounting", order_quantity: orderQuantity, cumulative_quantity: cumulative, leaves_quantity: leaves, fill_notional: notional, average_fill_price: cumulative ? notional / cumulative : null, execution_count: fillsRaw.length, fill_states: states, status, state: status};
}

export function queuePositionAheadVolume(ordersRaw: unknown, targetIdRaw: unknown): JsonObject {
  if (!Array.isArray(ordersRaw) || ordersRaw.length === 0) throw new RangeError("orders must be a non-empty list");
  const targetId = textValue("target_order_id", targetIdRaw), ids = new Set<string>(), sequences = new Set<number>();
  const parsed = ordersRaw.map((raw, index) => {
    if (!raw || typeof raw !== "object") throw new TypeError(`orders[${index}] must be an object`);
    const order = raw as JsonObject, orderId = textValue(`orders[${index}].order_id`, order.order_id);
    if (ids.has(orderId)) throw new RangeError("order_id values must be unique"); ids.add(orderId);
    const sequence = integerValue(`orders[${index}].arrival_sequence`, order.arrival_sequence, true);
    if (sequences.has(sequence)) throw new RangeError("arrival_sequence values must be unique"); sequences.add(sequence);
    const side = textValue(`orders[${index}].side`, order.side);
    if (!["buy", "sell"].includes(side)) throw new RangeError("order side must be buy or sell");
    if (typeof order.displayed !== "boolean") throw new TypeError("displayed must be boolean");
    return {order_id: orderId, side, price: numberValue(`orders[${index}].price`, order.price, {positive: true}), remaining_quantity: numberValue(`orders[${index}].remaining_quantity`, order.remaining_quantity, {positive: true}), arrival_sequence: sequence, displayed: order.displayed};
  });
  const target = parsed.find(order => order.order_id === targetId);
  if (!target) throw new RangeError("target order is not present");
  if (!target.displayed) throw new RangeError("canonical queue position requires a displayed target");
  const samePrice = parsed.filter(order => order.side === target.side && Math.abs(order.price - target.price) <= 1e-12);
  const displayed = samePrice.filter(order => order.displayed).sort((a, b) => a.arrival_sequence - b.arrival_sequence);
  const ahead = displayed.filter(order => order.arrival_sequence < target.arrival_sequence), behind = displayed.filter(order => order.arrival_sequence > target.arrival_sequence);
  const aheadVolume = ahead.reduce((sum, order) => sum + order.remaining_quantity, 0);
  return {model: "displayed-price-time-fifo-ahead-volume", target_order_id: targetId, side: target.side, price: target.price, ahead_order_count: ahead.length, ahead_volume: aheadVolume, displayed_queue_rank: ahead.length + 1, behind_order_count: behind.length, behind_volume: behind.reduce((sum, order) => sum + order.remaining_quantity, 0), hidden_same_price_quantity_excluded: samePrice.filter(order => !order.displayed).reduce((sum, order) => sum + order.remaining_quantity, 0), ahead_order_ids: ahead.map(order => order.order_id), state: ahead.length ? "queued-behind-displayed-volume" : "front-of-displayed-queue"};
}

export function icebergReplenishment(totalRaw: unknown, initialRaw: unknown, displaySizeRaw: unknown, fillsRaw: unknown, priorityRaw: unknown): JsonObject {
  const total = numberValue("total_quantity", totalRaw, {positive: true});
  let displayed = numberValue("initial_display_quantity", initialRaw, {positive: true});
  const tranche = numberValue("display_size", displaySizeRaw, {positive: true});
  let priority = integerValue("starting_priority_sequence", priorityRaw, true);
  if (displayed > total) throw new RangeError("initial displayed quantity cannot exceed total quantity");
  if (!Array.isArray(fillsRaw)) throw new TypeError("fills must be a list");
  let reserve = total - displayed, executed = 0, unfilledRequested = 0, replenishments = 0;
  const events: JsonObject[] = [];
  const replenish = () => {
    if (displayed !== 0 || reserve <= 0) return;
    const amount = Math.min(tranche, reserve); reserve -= amount; displayed = amount; priority += 1; replenishments += 1;
    events.push({type: "replenish", quantity: amount, new_priority_sequence: priority, displayed_remaining: displayed, reserve_remaining: reserve});
  };
  fillsRaw.forEach((rawFill, index) => {
    let remainingRequest = numberValue(`fills[${index}]`, rawFill, {positive: true});
    while (remainingRequest > 1e-12) {
      replenish();
      if (displayed <= 0) { unfilledRequested += remainingRequest; break; }
      const amount = Math.min(displayed, remainingRequest);
      displayed -= amount; remainingRequest -= amount; executed += amount;
      events.push({type: "fill", fill_request_index: index, quantity: amount, displayed_remaining: displayed, reserve_remaining: reserve, priority_sequence: priority});
    }
    replenish();
  });
  const remainingTotal = displayed + reserve;
  return {model: "zero-displayed-tranche-replenishment", total_quantity: total, display_size: tranche, executed_quantity: executed, displayed_remaining: displayed, reserve_remaining: reserve, total_remaining: remainingTotal, replenishment_count: replenishments, current_priority_sequence: priority, unfilled_requested_quantity: unfilledRequested, events, state: remainingTotal === 0 ? "filled" : reserve > 0 ? "active-reserve" : "displayed-only"};
}

export function marketableOrderSweep(incomingRaw: unknown, restingRaw: unknown): JsonObject {
  if (!incomingRaw || typeof incomingRaw !== "object" || !Array.isArray(restingRaw)) throw new TypeError("incoming_order must be an object and resting_orders a list");
  const incoming = incomingRaw as JsonObject, incomingId = textValue("incoming_order.order_id", incoming.order_id), side = textValue("incoming_order.side", incoming.side);
  if (!["buy", "sell"].includes(side)) throw new RangeError("incoming side must be buy or sell");
  const orderType = textValue("incoming_order.order_type", incoming.order_type);
  if (!["market", "limit"].includes(orderType)) throw new RangeError("order_type must be market or limit");
  const tif = textValue("incoming_order.time_in_force", incoming.time_in_force);
  if (!["GTC", "IOC"].includes(tif)) throw new RangeError("time_in_force must be GTC or IOC");
  const quantity = numberValue("incoming_order.quantity", incoming.quantity, {positive: true});
  let limit: number | null = null;
  if (orderType === "limit") limit = numberValue("incoming_order.limit_price", incoming.limit_price, {positive: true});
  else if (incoming.limit_price != null) throw new RangeError("market order must not specify limit_price");
  const arrivalSequence = integerValue("incoming_order.arrival_sequence", incoming.arrival_sequence, true), ids = new Set([incomingId]), sequences = new Set<number>();
  const parsed = restingRaw.map((raw, index) => {
    if (!raw || typeof raw !== "object") throw new TypeError(`resting_orders[${index}] must be an object`);
    const order = raw as JsonObject, orderId = textValue(`resting_orders[${index}].order_id`, order.order_id);
    if (ids.has(orderId)) throw new RangeError("order_id values must be unique"); ids.add(orderId);
    const restingSide = textValue(`resting_orders[${index}].side`, order.side);
    if (!["buy", "sell"].includes(restingSide)) throw new RangeError("resting side must be buy or sell");
    const sequence = integerValue(`resting_orders[${index}].priority_sequence`, order.priority_sequence, true);
    if (sequences.has(sequence)) throw new RangeError("priority_sequence values must be unique"); sequences.add(sequence);
    return {order_id: orderId, side: restingSide, price: numberValue(`resting_orders[${index}].price`, order.price, {positive: true}), remaining_quantity: numberValue(`resting_orders[${index}].remaining_quantity`, order.remaining_quantity, {positive: true}), priority_sequence: sequence};
  });
  const opposite = side === "buy" ? "sell" : "buy";
  const candidates = parsed.filter(order => order.side === opposite).sort((a, b) => side === "buy" ? a.price - b.price || a.priority_sequence - b.priority_sequence : b.price - a.price || a.priority_sequence - b.priority_sequence);
  let remaining = quantity, notional = 0;
  const fills: JsonObject[] = [];
  for (const resting of candidates) {
    const marketable = limit == null || (side === "buy" ? resting.price <= limit : resting.price >= limit);
    if (!marketable) break;
    const amount = Math.min(remaining, resting.remaining_quantity);
    if (amount <= 0) continue;
    resting.remaining_quantity -= amount; remaining -= amount; notional += amount * resting.price;
    fills.push({resting_order_id: resting.order_id, price: resting.price, quantity: amount, resting_remaining_quantity: resting.remaining_quantity});
    if (remaining <= 1e-12) { remaining = 0; break; }
  }
  const filled = quantity - remaining;
  let residualAction = "none";
  if (remaining > 0) {
    if (orderType === "limit" && tif === "GTC") {
      parsed.push({order_id: incomingId, side, price: limit as number, remaining_quantity: remaining, priority_sequence: arrivalSequence}); residualAction = "posted";
    } else residualAction = "canceled";
  }
  const finalBook = parsed.filter(order => order.remaining_quantity > 0).sort((a, b) => {
    if (a.side !== b.side) return a.side === "buy" ? -1 : 1;
    return a.side === "buy" ? b.price - a.price || a.priority_sequence - b.priority_sequence : a.price - b.price || a.priority_sequence - b.priority_sequence;
  });
  const status = remaining === 0 ? "filled" : filled > 0 && residualAction === "posted" ? "partially-filled-and-posted" : filled > 0 ? "partially-filled-and-canceled" : residualAction === "posted" ? "posted" : "unfilled-and-canceled";
  return {model: "single-venue-price-time-marketable-sweep", incoming_order_id: incomingId, incoming_side: side, requested_quantity: quantity, filled_quantity: filled, residual_quantity: remaining, fill_notional: notional, average_fill_price: filled ? notional / filled : null, fills, residual_action: residualAction, final_book: finalBook, status, state: status};
}

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-F04-A01") return limitOrderLifecycle(inputs.order_id, inputs.order_quantity, inputs.events);
  if (topicId === "D12-F04-A02") return cancelReplacePriority(inputs.original, inputs.replacement);
  if (topicId === "D12-F04-A03") return partialFillResidual(inputs.order_quantity, inputs.fills);
  if (topicId === "D12-F04-A04") return queuePositionAheadVolume(inputs.orders, inputs.target_order_id);
  if (topicId === "D12-F04-A05") return icebergReplenishment(inputs.total_quantity, inputs.initial_display_quantity, inputs.display_size, inputs.fills, inputs.starting_priority_sequence);
  if (topicId === "D12-F04-A06") return marketableOrderSweep(inputs.incoming_order, inputs.resting_orders);
  throw new RangeError(`unsupported topic_id: ${topicId}`);
}