fintech-algorithms

Intraday Index-Level Calculation

Install and import

bash
npm install fintech-algorithms
ts
import { calculate } from "fintech-algorithms/index-and-benchmark-engineering/index-initialization-and-continuity/intraday-index-level-calculation";

Signature

calculate(data)

Worked example

verified This is the worked example published in the article, replayed by the test suite on every run. The output cannot drift.

Input

data
{
  "indexShares": [800, 450, 1080],
  "floatFactors": [1, 1, 1],
  "divisor": 120,
  "snapshots": [
    {
      "timestamp": "09:30",
      "prices": [50, 80, 40],
      "fxRates": [1, 1, 1]
    },
    {
      "timestamp": "10:00",
      "prices": [50.5, 79, 40.2],
      "fxRates": [1, 1, 1]
    },
    {
      "timestamp": "10:30",
      "prices": [51, 79.5, 40.6],
      "fxRates": [1, 1, 1]
    }
  ]
}

Call

calculate(data)

Returns

object with 2 fields: levels, divisor

{
  "levels": [
    {
      "timestamp": "09:30",
      "numerator": 119200,
      "level": 993.333333
    },
    {
      "timestamp": "10:00",
      "numerator": 119366,
      "level": 994.716667
    },
    {
      "timestamp": "10:30",
      "numerator": 120423,
      "level": 1003.525
    }
  ],
  "divisor": 120
}

Diagrams

Intraday Index-Level Calculation — article hero
Intraday Index-Level Calculation — failure guard
Intraday Index-Level Calculation — worked example

Calculation flow

Intraday Index-Level Calculation calculation flow 
flowchart LR
    A["Point-in-time inputs"] --> B["Validate units and timing"]
    B --> C{"Contract feasible?"}
    C -->|No| D["Reject with reason"]
    C -->|Yes| E["Calculate Intraday Index-Level Calculation"]
    E --> F["Recompute invariants"]
    F --> G{"Checks pass?"}
    G -->|No| D
    G -->|Yes| H["Publish audited output"]
Intraday Index-Level Calculation methodology state 
stateDiagram-v2
    [*] --> FrozenInputs
    FrozenInputs --> Validated: contract passes
    FrozenInputs --> Rejected: missing or infeasible
    Validated --> Calculated: apply named rule
    Calculated --> Audited: invariants pass
    Calculated --> Rejected: invariant fails
    Audited --> Published: version and timestamp recorded
    Published --> Revised: approved correction
    Revised --> FrozenInputs: rebuild from retained source state

How it works

This page states the contract — how to call it correctly. The article explains the concept: why it works, and where it breaks.

Read the article →

References