pine_lang/

lib.rs

// Re-export all public types from sub-crates
pub use pine_ast as ast;
pub use pine_builtins as builtins;
use pine_builtins::DefaultPineOutput;
pub use pine_core as core;
pub use pine_data as data;
pub use pine_interpreter as interpreter;
pub use pine_lexer as lexer;
pub use pine_parser as parser;

mod backtest;
mod run;

pub use backtest::Backtest;
pub use pine_core::{DataProvider, FileResolver, LibraryLoader};
pub use run::{Run, RunResult};

use pine_ast::Program;
use pine_core::{
    AlertConditionOutput, BoxOutput, FillOutput, GlobalOutput, IndicatorOutput, InputOutput,
    LabelOutput, LineOutput, LogOutput, PineOutput, PlotOutput, TableOutput,
};
use pine_core::{Bar, Data, PineVersion, Timeframe, VersionError};
use pine_diagnostics::Diagnostic;
use pine_interpreter::{Interpreter, RuntimeError, Value};
use pine_lexer::{Lexer, LexerError};
use pine_parser::{Parser, ParserError};
use std::collections::HashMap;
use std::rc::Rc;

/// Error type for Pine operations
#[derive(Debug)]
pub enum Error {
    Lexer(LexerError),
    Parser(ParserError),
    Runtime(RuntimeError),
    /// Semantic analysis failed; the program is invalid. Carries every
    /// diagnostic found.
    Sema(Vec<Diagnostic>),
    /// The script's `//@version=N` annotation names a version this toolchain
    /// cannot compile.
    Version(VersionError),
    /// No bars to run over: neither data nor a provider was given, or the
    /// provider could not produce the requested feed.
    Data(pine_core::ProviderError),
}

impl std::fmt::Display for Error {
    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
        match self {
            Error::Lexer(e) => write!(f, "Lexer error: {}", e),
            Error::Parser(e) => write!(f, "Parser error: {}", e),
            Error::Runtime(e) => write!(f, "Runtime error: {}", e),
            Error::Version(e) => write!(f, "Version error: {}", e),
            Error::Data(e) => write!(f, "Data error: {}", e),
            // One diagnostic per line, so multiple errors are simply appended.
            Error::Sema(diags) => {
                for (i, d) in diags.iter().enumerate() {
                    if i > 0 {
                        writeln!(f)?;
                    }
                    write!(f, "{}", d)?;
                }
                Ok(())
            }
        }
    }
}

impl std::error::Error for Error {}

impl From<RuntimeError> for Error {
    fn from(e: RuntimeError) -> Self {
        Error::Runtime(e)
    }
}

impl From<LexerError> for Error {
    fn from(e: LexerError) -> Self {
        Error::Lexer(e)
    }
}

impl From<ParserError> for Error {
    fn from(e: ParserError) -> Self {
        Error::Parser(e)
    }
}

impl From<VersionError> for Error {
    fn from(e: VersionError) -> Self {
        Error::Version(e)
    }
}

pub struct ScriptBuilder<O: PineOutput> {
    source: String,
    custom_variables: HashMap<String, Value<O>>,
    library_loader: Option<Box<dyn LibraryLoader>>,
    request_provider: Option<Box<dyn DataProvider>>,
    ticker: Option<String>,
    timeframe: Timeframe,
    data: Option<Data>,
    bar_count: Option<usize>,
}

impl<O: PineOutput> ScriptBuilder<O> {
    pub fn with_code(source: &str) -> ScriptBuilder<O> {
        Self {
            source: source.to_string(),
            custom_variables: HashMap::new(),
            library_loader: None,
            request_provider: None,
            ticker: None,
            timeframe: Timeframe::default(),
            data: None,
            bar_count: None,
        }
    }

    /// Host-supplied variables the script can reference, registered as consts
    /// alongside the builtin namespaces.
    pub fn with_custom_variables(mut self, variables: HashMap<String, Value<O>>) -> Self {
        self.custom_variables = variables;
        self
    }

    /// Resolves `import` statements. Without one, importing a library fails.
    pub fn with_library_loader(mut self, loader: Box<dyn LibraryLoader>) -> Self {
        self.library_loader = Some(loader);
        self
    }

    /// Supplies bars for `request.security`. Without one, `request.security`
    /// returns na.
    pub fn with_request_provider(mut self, provider: Box<dyn DataProvider>) -> Self {
        self.request_provider = Some(provider);
        self
    }

    pub fn with_ticker(mut self, ticker: String) -> Self {
        self.ticker = Some(ticker);
        self
    }

    /// The chart timeframe exposed to the script as `timeframe.*`. Without one,
    /// the namespace is populated with defaults.
    pub fn with_timeframe(mut self, timeframe: Timeframe) -> Self {
        self.timeframe = timeframe;
        self
    }

    /// Run over only the last `bar_count` bars of the feed. Without one, the
    /// whole feed is used.
    pub fn with_bar_count(mut self, bar_count: usize) -> Self {
        self.bar_count = Some(bar_count);
        self
    }

    /// The market to run over: the bars, and the symbol and timeframe they
    /// belong to.
    ///
    /// The data describes itself, so it fills in `syminfo.*` and `timeframe.*`
    /// too. An explicit [`ScriptBuilder::with_syminfo`] or
    /// [`ScriptBuilder::with_timeframe`] still wins, whichever order they are
    /// called in.
    pub fn with_data(mut self, data: Data) -> Self {
        self.data = Some(data);
        self
    }

    /// Compile PineScript source code into a Script with default output
    pub fn compile(self) -> Result<Script<O>, Error>
    where
        O: LogOutput
            + PlotOutput
            + LabelOutput
            + BoxOutput
            + InputOutput
            + LineOutput
            + TableOutput
            + IndicatorOutput
            + GlobalOutput
            + AlertConditionOutput
            + FillOutput,
    {
        let data = match self.data {
            Some(data) => data,
            None => {
                let provider = self
                    .request_provider
                    .as_ref()
                    .ok_or_else(|| Error::Data("no data or request provider set".into()))?;

                let ticker = self.ticker.clone().unwrap_or_default();
                provider
                    .request(&ticker, self.timeframe.clone())
                    .map_err(Error::Data)?
            }
        };

        let syminfo = data.syminfo;
        let timeframe = self.timeframe;

        // Keep only the last `bar_count` bars when the caller limited the run.
        let mut bars = data.bars;
        if let Some(n) = self.bar_count {
            let len = bars.len();
            bars = bars.split_off(len.saturating_sub(n.max(1)));
        }

        // The chart's bar spacing, so `request.security_lower_tf` can reject a
        // request that is not actually lower than the chart timeframe.
        let chart_period = bars
            .windows(2)
            .next()
            .map(|pair| pair[1].time - pair[0].time);

        let source = self.source.as_str();
        let version = PineVersion::detect(source)?.unwrap_or(PineVersion::LATEST);

        let mut lexer = Lexer::with_version(source, version);
        let tokens = lexer.tokenize()?;

        let mut parser = Parser::new(tokens);
        let statements = parser.parse()?;
        let program = Program::new(statements);

        let namespaces =
            pine_builtins::register_namespace_objects(version, Some(syminfo), Some(timeframe));

        // The names sema accepts without a user declaration: the registered
        // namespaces, the per-bar variables `execute` sets (barstate + OHLCV),
        // and any host-supplied custom variables.
        let mut builtins = namespaces.clone();
        for (name, value) in pine_builtins::register_per_bar(&Bar::default()) {
            builtins.insert(name, value);
        }
        for name in [
            "open",
            "high",
            "low",
            "close",
            "volume",
            "hl2",
            "hlc3",
            "hlcc4",
            "ohlc4",
            "bar_index",
        ] {
            builtins.insert(name.to_string(), Value::Na);
        }
        for (name, value) in &self.custom_variables {
            builtins.insert(name.clone(), value.clone());
        }

        // Semantic pre-check: reject if sema produces errors.
        let errors: Vec<_> =
            pine_sema::analyze(&program, &builtins, self.library_loader.as_deref())
                .into_iter()
                .filter(|diagnostic| diagnostic.severity == pine_diagnostics::Severity::Error)
                .collect();
        if !errors.is_empty() {
            return Err(Error::Sema(errors));
        }

        // Create interpreter and load builtin namespace objects
        let mut interpreter = Interpreter::new();
        if let Some(library_loader) = self.library_loader {
            interpreter.set_library_loader(library_loader);
        }
        // The feed `request.security` draws from, reached through `ctx`.
        interpreter.request_provider = self.request_provider.map(Rc::from);
        interpreter.chart_period = chart_period;

        // Register namespace objects as const variables
        for (name, value) in namespaces {
            interpreter.set_const_variable(&name, value);
        }

        for (name, value) in self.custom_variables {
            interpreter.set_const_variable(&name, value);
        }

        Ok(Script {
            program,
            interpreter,
            bars,
            equity_curve: Vec::new(),
            last_close: 0.0,
            equity_peak: f64::NEG_INFINITY,
            equity_trough: f64::INFINITY,
            max_drawdown: 0.0,
            max_runup: 0.0,
        })
    }
}

/// A compiled PineScript program, and the bars it will run over.
///
/// State accumulates across bars — series history, `var` locals, and every
/// stateful builtin's window — exactly as it does in TradingView. That makes a
/// `Script` single-use: [`Script::run`] takes it by value so a second run
/// cannot inherit the first one's state.
pub struct Script<O: PineOutput> {
    program: Program,
    interpreter: Interpreter<O>,
    /// Bars from the builder's source; empty when none was given.
    bars: Vec<Bar>,
    /// Account value at each bar's close, accumulated while a `strategy` runs.
    equity_curve: Vec<f64>,
    /// The last bar's close, used to mark open trades at the run's end.
    last_close: f64,
    /// Running equity extremes for `strategy.max_drawdown`/`max_runup`.
    equity_peak: f64,
    equity_trough: f64,
    max_drawdown: f64,
    max_runup: f64,
}

impl<O: PineOutput> Script<O> {
    /// Run one bar. Private: bars must be replayed in order from the first, so
    /// [`Script::run`] is the only way in.
    fn execute(&mut self, bar: &Bar) -> Result<O, Error> {
        // Load bar data as Series variables so TA functions can access historical data
        use interpreter::{Series, Value};

        // The series id is also the key the historical provider is queried with.
        for (id, value) in [
            ("open", bar.open),
            ("high", bar.high),
            ("low", bar.low),
            ("close", bar.close),
            ("volume", bar.volume),
            ("hl2", (bar.high + bar.low) / 2.0),
            ("hlc3", (bar.high + bar.low + bar.close) / 3.0),
            ("hlcc4", (bar.high + bar.low + bar.close * 2.0) / 4.0),
            ("ohlc4", (bar.open + bar.high + bar.low + bar.close) / 4.0),
        ] {
            self.interpreter.advance_series(
                id,
                Value::Series(Series {
                    id: id.to_string(),
                    current: Box::new(Value::Number(value)),
                }),
            );
        }

        self.interpreter
            .set_variable("bar_index", Value::Number(bar.index as f64));

        // Per-bar namespaces (barstate) are rebuilt from this bar's flags.
        for (name, value) in pine_builtins::register_per_bar(bar) {
            self.interpreter.set_variable(&name, value);
        }

        // Fill orders left pending by the previous bar before the body runs, so
        // it reads the position and equity they produced. A no-op unless the
        // script declared a `strategy`.
        self.advance_broker(bar);

        let output = self.interpreter.execute(&self.program)?;

        // Read after the body so the bar a `strategy` is declared on is counted.
        if let Some(broker) = self.interpreter.broker.as_ref() {
            self.equity_curve.push(broker.equity(bar.close));
            self.last_close = bar.close;
        }

        Ok(output)
    }

    /// Advance the simulated broker one bar and refresh the read-only
    /// `strategy.*` values from it. The interpreter only holds the broker
    /// handle; the backtest accounting that maps it onto script variables lives
    /// here, in the host.
    fn advance_broker(&mut self, bar: &Bar) {
        use interpreter::Value;

        let close = bar.close;

        // Read from the broker, then drop the borrow to update `self`'s state.
        let Some(broker) = self.interpreter.broker.as_mut() else {
            return;
        };
        broker.advance(bar);

        let position = broker.position();
        let equity = broker.equity(close);
        let initial = broker.initial_capital();
        // Equity is monotonic in price, so its intrabar extremes are the marks
        // at the bar's high and low — lower is adverse, higher favourable.
        let equity_hi = broker.equity(bar.high);
        let equity_lo = broker.equity(bar.low);
        let intrabar_low = equity_hi.min(equity_lo);
        let intrabar_high = equity_hi.max(equity_lo);
        let open_profit: f64 = broker.open_trades().iter().map(|t| t.profit(close)).sum();
        let open_trades = broker.open_trades().len() as i64;
        let closed_trades = broker.closed_trades().len() as i64;

        let (mut gross_profit, mut gross_loss) = (0.0, 0.0);
        let (mut wins, mut losses, mut evens) = (0i64, 0i64, 0i64);
        for trade in broker.closed_trades() {
            let profit = trade.profit(close); // closed, so the price is ignored
            if profit > 0.0 {
                gross_profit += profit;
                wins += 1;
            } else if profit < 0.0 {
                gross_loss -= profit; // positive magnitude, as Pine reports it
                losses += 1;
            } else {
                evens += 1;
            }
        }

        // Drawdown/run-up measure the intrabar extreme against a peak/trough
        // that tracks close equity — an intrabar swing does not move the mark.
        // Seed with the starting capital (the declaration bar's equity).
        if self.equity_peak == f64::NEG_INFINITY {
            self.equity_peak = initial;
            self.equity_trough = initial;
        }
        self.equity_peak = self.equity_peak.max(equity);
        self.equity_trough = self.equity_trough.min(equity);
        self.max_drawdown = self.max_drawdown.max(self.equity_peak - intrabar_low);
        self.max_runup = self.max_runup.max(intrabar_high - self.equity_trough);

        // Pine's identity equity = initial + netprofit + openprofit; derive
        // netprofit from it so commission can't make the two drift.
        let net_profit = equity - initial - open_profit;
        // na, not 0, when flat — matching Pine.
        let avg_price = if position.size == 0.0 {
            Value::Na
        } else {
            Value::Number(position.avg_price)
        };

        let refreshed = [
            ("position_size", Value::Number(position.size)),
            ("position_avg_price", avg_price),
            ("equity", Value::Number(equity)),
            ("netprofit", Value::Number(net_profit)),
            ("openprofit", Value::Number(open_profit)),
            ("grossprofit", Value::Number(gross_profit)),
            ("grossloss", Value::Number(gross_loss)),
            ("max_drawdown", Value::Number(self.max_drawdown)),
            ("max_runup", Value::Number(self.max_runup)),
            ("opentrades", Value::Int(open_trades)),
            ("closedtrades", Value::Int(closed_trades)),
            ("wintrades", Value::Int(wins)),
            ("losstrades", Value::Int(losses)),
            ("eventrades", Value::Int(evens)),
        ];
        for (name, value) in refreshed {
            self.interpreter.set_object_field("strategy", name, value);
        }
    }

    /// Replay the script over every bar from its source, returning what each
    /// one produced.
    pub fn run(mut self) -> Result<Run<O>, Error> {
        let bars = std::mem::take(&mut self.bars);
        let outputs = bars
            .iter()
            .map(|bar| self.execute(bar))
            .collect::<Result<Vec<O>, Error>>()?;
        let backtest = self.take_backtest();
        Ok(Run { outputs, backtest })
    }

    fn take_backtest(&mut self) -> Option<Backtest> {
        let broker = self.interpreter.broker.as_ref()?;
        let close = self.last_close;

        // Closed trades first, then those still open.
        let mut trades: Vec<_> = broker.closed_trades().to_vec();
        trades.extend(broker.open_trades().into_iter().cloned());

        let open_profit: f64 = broker.open_trades().iter().map(|t| t.profit(close)).sum();
        let initial_capital = broker.initial_capital();
        let position_size = broker.position().size;

        let (mut gross_profit, mut gross_loss) = (0.0, 0.0);
        let (mut win_trades, mut loss_trades, mut even_trades) = (0, 0, 0);
        for trade in broker.closed_trades() {
            let profit = trade.profit(close);
            if profit > 0.0 {
                gross_profit += profit;
                win_trades += 1;
            } else if profit < 0.0 {
                gross_loss -= profit;
                loss_trades += 1;
            } else {
                even_trades += 1;
            }
        }

        let equity = std::mem::take(&mut self.equity_curve);
        let final_equity = equity.last().copied().unwrap_or(initial_capital);

        Some(Backtest {
            initial_capital,
            net_profit: final_equity - initial_capital - open_profit,
            open_profit,
            gross_profit,
            gross_loss,
            max_drawdown: self.max_drawdown,
            max_runup: self.max_runup,
            win_trades,
            loss_trades,
            even_trades,
            position_size,
            mark_price: close,
            equity,
            trades,
        })
    }
}

pub fn execute(source: &str, data: Data) -> Result<(), Error> {
    ScriptBuilder::<DefaultPineOutput>::with_code(source)
        .with_data(data)
        .compile()?
        .run()
        .map(|_| ())
}