fintech-algorithms

Net Advances

Count Participation Without Hiding Data Gaps

Install and import

bash
npm install fintech-algorithms
ts
import { calculateNetAdvances } from "fintech-algorithms/market-breadth-and-internals/advance-decline-breadth/net-advances";

Signature

calculateNetAdvances(request)

Worked example

executed Captured by running this function on the input its own test provides. Real output of real code — but not asserted against a published figure.

Input

request
{
  "session_date": "2026-01-05",
  "session_id": "regular-close",
  "session_timezone": "America/New_York",
  "venue_id": "SYNTH:XNAS",
  "universe_id": "SYNTH:ACTIVE-LISTINGS@2026-01-05",
  "comparison_basis": "official-close-versus-source-adjusted-comparable-prior-close",
  "corporate_action_policy": "provider-supplies-split-and-distribution-adjusted-prior-close;calculator-does-not-adjust",
  "price_tolerance": 0.01,
  "calculation_as_of": "2026-01-05T21:04:59Z",
  "revisions": [
    {
      "revision_id": "SYNTH-R1",
      "revision_sequence": 1,
      "supersedes_revision_id": null,
      "effective_at": "2026-01-05T21:00:00Z",
      "available_at": "2026-01-05T21:05:00Z",
      "is_final": false,
      "members": [
        {
          "listing_id": "L-001",
          "security_id": "SEC-001",
          "ticker": "ALFA",
          "state": "eligible",
          "current_price": 101,
          "prior_comparable_price": 100
        },
        {
          "listing_id": "L-002",
          "security_id": "SEC-002",
          "ticker": "BRAV",
          "state": "eligible",
          "current_price": 51,
          "prior_comparable_price": 50
        },
        {
          "listing_id": "L-003",
          "security_id": "SEC-003",
          "ticker": "CRWN",
          "state": "eligible",
          "current_price": 12,
          "prior_comparable_price": 11
        }
      ]
    },
    {
      "revision_id": "SYNTH-R2",
      "revision_sequence": 2,
      "supersedes_revision_id": "SYNTH-R1",
      "effective_at": "2026-01-05T21:00:00Z",
      "available_at": "2026-01-05T22:00:00Z",
      "is_final": true,
      "members": [
        {
          "listing_id": "L-001",
          "security_id": "SEC-001",
          "ticker": "ALFA",
          "state": "eligible",
          "current_price": 101,
          "prior_comparable_price": 100
        },
        {
          "listing_id": "L-002",
          "security_id": "SEC-002",
          "ticker": "BRAV",
          "state": "eligible",
          "current_price": 51,
          "prior_comparable_price": 50
        },
        {
          "listing_id": "L-003",
          "security_id": "SEC-003",
          "ticker": "CRWN",
          "state": "eligible",
          "current_price": 12,
          "prior_comparable_price": 11
        }
      ]
    }
  ]
}

Call

calculateNetAdvances(request)

Returns

object with 25 fields: status, direction, metric, session_date, session_id, venue_id, universe_id, calculation_as_of, …

{
  "status": "unsupported",
  "direction": null,
  "metric": "advances_minus_declines",
  "session_date": "2026-01-05",
  "session_id": "regular-close",
  "venue_id": "SYNTH:XNAS",
  "universe_id": "SYNTH:ACTIVE-LISTINGS@2026-01-05",
  "calculation_as_of": "2026-01-05T21:04:59Z",
  "selected_revision_id": null,
  "selected_revision_sequence": null,
  "selected_effective_at": null,
  "selected_available_at": null,
  "is_provisional": null,
  "advances": null
}

Showing 14 of 25 fields.

Diagrams

Net Advances — historical opposite breadth
Net Advances — net advances balance

Calculation flow

Net Advances evidence and calculation flow 
flowchart TD
    A["Session, universe, identity, and price policy"] --> B["Select revision effective and available by query time"]
    B --> C{"Unique revision chain and listing IDs?"}
    C -- "No" --> D["ambiguous; net is null"]
    C -- "Yes" --> E["Classify every point-in-time member"]
    E --> F{"Missing or unclassified evidence?"}
    F -- "Yes" --> G["incomplete; net is null"]
    F -- "No" --> H["Reconcile A + D + U + X = N"]
    H --> I{"Universe or movers empty?"}
    I -- "Universe empty" --> J["empty_universe; net 0"]
    I -- "No movers" --> K["no_movers; net 0"]
    I -- "Movers present" --> L["ready; net = A - D"]
Revision lifecycle with two clocks 
flowchart LR
    S["Session close effective 21:00"] --> R1["R1 available 21:05"]
    R1 --> Q1["21:30 query selects R1: 5 - 3 = +2"]
    S --> R2["R2 correction available 22:00"]
    R2 --> Q2["22:30 query selects R2: 4 - 4 = 0"]
    R2 -. "Unavailable at 21:30" .-> N["Must not affect or appear in Q1"]

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

  • R1 - Nasdaq A-D glossary
  • R2 - Nasdaq Daily Market Summary definitions
  • R3 - Nasdaq Daily Market Files and 2026 CSV
  • R4 - Consolidated Tape System output specification
  • R5 - FINRA TRACE End of Day Market Breadth correction
  • R6 - NYSE Daily TAQ catalog and reference data
  • Evidence boundary