@quantform/core 0.3.217 → 0.3.222

package/dist/indicator/tma.d.ts

@@ -1,3 +1,2 @@
 import { Observable } from 'rxjs';
-import { SWMA } from './swma';
-export declare function tma<T>(length: number, fn: (it: T) => number): (source: Observable<T>) => Observable<SWMA>;
+export declare function tma<T>(length: number, fn: (it: T) => number): (source: Observable<T>) => Observable<[T, number]>;

package/dist/indicator/tma.js

@@ -6,7 +6,10 @@ const swma_1 = require("./swma");
 const wma_1 = require("./wma");
 function tma(length, fn) {
     return function (source) {
-        return source.pipe((0, wma_1.wma)(length, fn), (0, swma_1.swma)(it => it.value), (0, operators_1.share)());
+        return source.pipe((0, wma_1.wma)(length, fn), (0, swma_1.swma)(([, it]) => it), (0, operators_1.map)(([[it], swma]) => {
+            const tuple = [it, swma];
+            return tuple;
+        }), (0, operators_1.share)());
     };
 }
 exports.tma = tma;

package/dist/indicator/tma.js.map

@@ -1 +1 @@
-{"version":3,"file":"tma.js","sourceRoot":"","sources":["../../src/indicator/tma.ts"],"names":[],"mappings":";;;AACA,8CAAuC;AACvC,iCAAoC;AACpC,+BAA4B;AAE5B,SAAgB,GAAG,CAAI,MAAc,EAAE,EAAqB;IAC1D,OAAO,UAAS,MAAqB;QACnC,OAAO,MAAM,CAAC,IAAI,CAChB,IAAA,SAAG,EAAC,MAAM,EAAE,EAAE,CAAC,EACf,IAAA,WAAI,EAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,KAAK,CAAC,EACpB,IAAA,iBAAK,GAAE,CACR,CAAC;IACJ,CAAC,CAAC;AACJ,CAAC;AARD,kBAQC"}
+{"version":3,"file":"tma.js","sourceRoot":"","sources":["../../src/indicator/tma.ts"],"names":[],"mappings":";;;AACA,8CAA4C;AAC5C,iCAA8B;AAC9B,+BAA4B;AAE5B,SAAgB,GAAG,CAAI,MAAc,EAAE,EAAqB;IAC1D,OAAO,UAAU,MAAqB;QACpC,OAAO,MAAM,CAAC,IAAI,CAChB,IAAA,SAAG,EAAC,MAAM,EAAE,EAAE,CAAC,EACf,IAAA,WAAI,EAAC,CAAC,CAAC,EAAE,EAAE,CAAC,EAAE,EAAE,CAAC,EAAE,CAAC,EACpB,IAAA,eAAG,EAAC,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,IAAI,CAAC,EAAE,EAAE;YACnB,MAAM,KAAK,GAAgB,CAAC,EAAE,EAAE,IAAI,CAAC,CAAC;YAEtC,OAAO,KAAK,CAAC;QACf,CAAC,CAAC,EACF,IAAA,iBAAK,GAAE,CACR,CAAC;IACJ,CAAC,CAAC;AACJ,CAAC;AAbD,kBAaC"}

package/dist/indicator/tma.spec.js

@@ -8,7 +8,7 @@ describe('tma tests', () => {
         (0, rxjs_1.from)([18086.36, 18116.15, 18127.81, 18136.17, 18092.15, 18082.39, 18065.4, 18046.47])
             .pipe((0, tma_1.tma)(4, it => it))
             .subscribe({
-            next: it => (value = it.value),
+            next: ([, it]) => (value = it),
             complete: () => {
                 expect(parseFloat(value.toFixed(2))).toBe(18090.98);
                 done();

package/dist/indicator/tma.spec.js.map

@@ -1 +1 @@
-{"version":3,"file":"tma.spec.js","sourceRoot":"","sources":["../../src/indicator/tma.spec.ts"],"names":[],"mappings":";;AAAA,+BAA4B;AAC5B,+BAA4B;AAE5B,QAAQ,CAAC,WAAW,EAAE,GAAG,EAAE;IACzB,IAAI,CAAC,8BAA8B,EAAE,IAAI,CAAC,EAAE;QAC1C,IAAI,KAAK,CAAC;QAGV,IAAA,WAAI,EAAC,CAAC,QAAQ,EAAE,QAAQ,EAAE,QAAQ,EAAE,QAAQ,EAAE,QAAQ,EAAE,QAAQ,EAAE,OAAO,EAAE,QAAQ,CAAC,CAAC;aAClF,IAAI,CAAC,IAAA,SAAG,EAAC,CAAC,EAAE,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,CAAC;aACtB,SAAS,CAAC;YACT,IAAI,EAAE,EAAE,CAAC,EAAE,CAAC,CAAC,KAAK,GAAG,EAAE,CAAC,KAAK,CAAC;YAC9B,QAAQ,EAAE,GAAG,EAAE;gBACb,MAAM,CAAC,UAAU,CAAC,KAAK,CAAC,OAAO,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,IAAI,CAAC,QAAQ,CAAC,CAAC;gBACpD,IAAI,EAAE,CAAC;YACT,CAAC;SACF,CAAC,CAAC;IACP,CAAC,CAAC,CAAC;AACL,CAAC,CAAC,CAAC"}
+{"version":3,"file":"tma.spec.js","sourceRoot":"","sources":["../../src/indicator/tma.spec.ts"],"names":[],"mappings":";;AAAA,+BAA4B;AAC5B,+BAA4B;AAE5B,QAAQ,CAAC,WAAW,EAAE,GAAG,EAAE;IACzB,IAAI,CAAC,8BAA8B,EAAE,IAAI,CAAC,EAAE;QAC1C,IAAI,KAAK,CAAC;QAGV,IAAA,WAAI,EAAC,CAAC,QAAQ,EAAE,QAAQ,EAAE,QAAQ,EAAE,QAAQ,EAAE,QAAQ,EAAE,QAAQ,EAAE,OAAO,EAAE,QAAQ,CAAC,CAAC;aAClF,IAAI,CAAC,IAAA,SAAG,EAAC,CAAC,EAAE,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,CAAC;aACtB,SAAS,CAAC;YACT,IAAI,EAAE,CAAC,CAAC,EAAE,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,KAAK,GAAG,EAAE,CAAC;YAC9B,QAAQ,EAAE,GAAG,EAAE;gBACb,MAAM,CAAC,UAAU,CAAC,KAAK,CAAC,OAAO,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,IAAI,CAAC,QAAQ,CAAC,CAAC;gBACpD,IAAI,EAAE,CAAC;YACT,CAAC;SACF,CAAC,CAAC;IACP,CAAC,CAAC,CAAC;AACL,CAAC,CAAC,CAAC"}

package/dist/indicator/truerange.d.ts

@@ -1,3 +1,3 @@
 import { Observable } from 'rxjs';
 import { Candle } from '../domain';
-export declare function truerange<T>(fn: (it: T) => Candle): (source: Observable<T>) => Observable<number>;
+export declare function truerange<T>(fn: (it: T) => Candle): (source: Observable<T>) => Observable<[T, number]>;

package/dist/indicator/truerange.js

@@ -7,9 +7,11 @@ function truerange(fn) {
         let previous;
         return source.pipe((0, operators_1.map)(it => {
             const current = fn(it);
-            return previous == null
+            const value = previous == null
                 ? current.high - current.low
                 : Math.max(Math.max(current.high - current.low, Math.abs(current.high - previous.close)), Math.abs(current.low - previous.close));
+            const tuple = [it, value];
+            return tuple;
         }), (0, operators_1.share)());
     };
 }

package/dist/indicator/truerange.js.map

@@ -1 +1 @@
-{"version":3,"file":"truerange.js","sourceRoot":"","sources":["../../src/indicator/truerange.ts"],"names":[],"mappings":";;;AACA,8CAA4C;AAG5C,SAAgB,SAAS,CAAI,EAAqB;IAChD,OAAO,UAAS,MAAqB;QACnC,IAAI,QAAQ,CAAC;QAEb,OAAO,MAAM,CAAC,IAAI,CAChB,IAAA,eAAG,EAAC,EAAE,CAAC,EAAE;YACP,MAAM,OAAO,GAAG,EAAE,CAAC,EAAE,CAAC,CAAC;YAEvB,OAAO,QAAQ,IAAI,IAAI;gBACrB,CAAC,CAAC,OAAO,CAAC,IAAI,GAAG,OAAO,CAAC,GAAG;gBAC5B,CAAC,CAAC,IAAI,CAAC,GAAG,CACN,IAAI,CAAC,GAAG,CACN,OAAO,CAAC,IAAI,GAAG,OAAO,CAAC,GAAG,EAC1B,IAAI,CAAC,GAAG,CAAC,OAAO,CAAC,IAAI,GAAG,QAAQ,CAAC,KAAK,CAAC,CACxC,EACD,IAAI,CAAC,GAAG,CAAC,OAAO,CAAC,GAAG,GAAG,QAAQ,CAAC,KAAK,CAAC,CACvC,CAAC;QACR,CAAC,CAAC,EACF,IAAA,iBAAK,GAAE,CACR,CAAC;IACJ,CAAC,CAAC;AACJ,CAAC;AArBD,8BAqBC"}
+{"version":3,"file":"truerange.js","sourceRoot":"","sources":["../../src/indicator/truerange.ts"],"names":[],"mappings":";;;AACA,8CAA4C;AAG5C,SAAgB,SAAS,CAAI,EAAqB;IAChD,OAAO,UAAU,MAAqB;QACpC,IAAI,QAAQ,CAAC;QAEb,OAAO,MAAM,CAAC,IAAI,CAChB,IAAA,eAAG,EAAC,EAAE,CAAC,EAAE;YACP,MAAM,OAAO,GAAG,EAAE,CAAC,EAAE,CAAC,CAAC;YAEvB,MAAM,KAAK,GACT,QAAQ,IAAI,IAAI;gBACd,CAAC,CAAC,OAAO,CAAC,IAAI,GAAG,OAAO,CAAC,GAAG;gBAC5B,CAAC,CAAC,IAAI,CAAC,GAAG,CACN,IAAI,CAAC,GAAG,CACN,OAAO,CAAC,IAAI,GAAG,OAAO,CAAC,GAAG,EAC1B,IAAI,CAAC,GAAG,CAAC,OAAO,CAAC,IAAI,GAAG,QAAQ,CAAC,KAAK,CAAC,CACxC,EACD,IAAI,CAAC,GAAG,CAAC,OAAO,CAAC,GAAG,GAAG,QAAQ,CAAC,KAAK,CAAC,CACvC,CAAC;YAER,MAAM,KAAK,GAAgB,CAAC,EAAE,EAAE,KAAK,CAAC,CAAC;YAEvC,OAAO,KAAK,CAAC;QACf,CAAC,CAAC,EACF,IAAA,iBAAK,GAAE,CACR,CAAC;IACJ,CAAC,CAAC;AACJ,CAAC;AA1BD,8BA0BC"}

package/dist/indicator/truerange.spec.js

@@ -15,9 +15,9 @@ describe('truerange atr tests', () => {
             new domain_1.Candle((0, common_1.now)(), 18082.39, 18087.04, 18041.0, 18065.4),
             new domain_1.Candle((0, common_1.now)(), 18066.11, 18079.15, 18041.0, 18046.47)
         ])
-            .pipe((0, truerange_1.truerange)(it => it), (0, sma_1.sma)(4, it => it))
+            .pipe((0, truerange_1.truerange)(it => it), (0, sma_1.sma)(4, ([, it]) => it))
             .subscribe({
-            next: it => (value = it.value),
+            next: ([, it]) => (value = it),
             complete: () => {
                 expect(parseFloat(value.toFixed(2))).toBe(42.41);
                 done();

package/dist/indicator/truerange.spec.js.map

@@ -1 +1 @@
-{"version":3,"file":"truerange.spec.js","sourceRoot":"","sources":["../../src/indicator/truerange.spec.ts"],"names":[],"mappings":";;AAAA,+BAA4B;AAC5B,sCAAmC;AACnC,2CAAwC;AACxC,+BAA4B;AAC5B,sCAAgC;AAEhC,QAAQ,CAAC,qBAAqB,EAAE,GAAG,EAAE;IACnC,IAAI,CAAC,8BAA8B,EAAE,IAAI,CAAC,EAAE;QAC1C,IAAI,KAAK,CAAC;QAGV,IAAA,WAAI,EAAC;YACH,IAAI,eAAM,CAAC,IAAA,YAAG,GAAE,EAAE,QAAQ,EAAE,QAAQ,EAAE,OAAO,EAAE,QAAQ,CAAC;YACxD,IAAI,eAAM,CAAC,IAAA,YAAG,GAAE,EAAE,QAAQ,EAAE,QAAQ,EAAE,QAAQ,EAAE,QAAQ,CAAC;YACzD,IAAI,eAAM,CAAC,IAAA,YAAG,GAAE,EAAE,QAAQ,EAAE,QAAQ,EAAE,OAAO,EAAE,QAAQ,CAAC;YACxD,IAAI,eAAM,CAAC,IAAA,YAAG,GAAE,EAAE,QAAQ,EAAE,QAAQ,EAAE,OAAO,EAAE,OAAO,CAAC;YACvD,IAAI,eAAM,CAAC,IAAA,YAAG,GAAE,EAAE,QAAQ,EAAE,QAAQ,EAAE,OAAO,EAAE,QAAQ,CAAC;SACzD,CAAC;aACC,IAAI,CACH,IAAA,qBAAS,EAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EACnB,IAAA,SAAG,EAAC,CAAC,EAAE,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,CACjB;aACA,SAAS,CAAC;YACT,IAAI,EAAE,EAAE,CAAC,EAAE,CAAC,CAAC,KAAK,GAAG,EAAE,CAAC,KAAK,CAAC;YAC9B,QAAQ,EAAE,GAAG,EAAE;gBACb,MAAM,CAAC,UAAU,CAAC,KAAK,CAAC,OAAO,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,IAAI,CAAC,KAAK,CAAC,CAAC;gBACjD,IAAI,EAAE,CAAC;YACT,CAAC;SACF,CAAC,CAAC;IACP,CAAC,CAAC,CAAC;AACL,CAAC,CAAC,CAAC"}
+{"version":3,"file":"truerange.spec.js","sourceRoot":"","sources":["../../src/indicator/truerange.spec.ts"],"names":[],"mappings":";;AAAA,+BAA4B;AAC5B,sCAAmC;AACnC,2CAAwC;AACxC,+BAA4B;AAC5B,sCAAgC;AAEhC,QAAQ,CAAC,qBAAqB,EAAE,GAAG,EAAE;IACnC,IAAI,CAAC,8BAA8B,EAAE,IAAI,CAAC,EAAE;QAC1C,IAAI,KAAK,CAAC;QAGV,IAAA,WAAI,EAAC;YACH,IAAI,eAAM,CAAC,IAAA,YAAG,GAAE,EAAE,QAAQ,EAAE,QAAQ,EAAE,OAAO,EAAE,QAAQ,CAAC;YACxD,IAAI,eAAM,CAAC,IAAA,YAAG,GAAE,EAAE,QAAQ,EAAE,QAAQ,EAAE,QAAQ,EAAE,QAAQ,CAAC;YACzD,IAAI,eAAM,CAAC,IAAA,YAAG,GAAE,EAAE,QAAQ,EAAE,QAAQ,EAAE,OAAO,EAAE,QAAQ,CAAC;YACxD,IAAI,eAAM,CAAC,IAAA,YAAG,GAAE,EAAE,QAAQ,EAAE,QAAQ,EAAE,OAAO,EAAE,OAAO,CAAC;YACvD,IAAI,eAAM,CAAC,IAAA,YAAG,GAAE,EAAE,QAAQ,EAAE,QAAQ,EAAE,OAAO,EAAE,QAAQ,CAAC;SACzD,CAAC;aACC,IAAI,CACH,IAAA,qBAAS,EAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EACnB,IAAA,SAAG,EAAC,CAAC,EAAE,CAAC,CAAC,EAAE,EAAE,CAAC,EAAE,EAAE,CAAC,EAAE,CAAC,CACvB;aACA,SAAS,CAAC;YACT,IAAI,EAAE,CAAC,CAAC,EAAE,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,KAAK,GAAG,EAAE,CAAC;YAC9B,QAAQ,EAAE,GAAG,EAAE;gBACb,MAAM,CAAC,UAAU,CAAC,KAAK,CAAC,OAAO,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,IAAI,CAAC,KAAK,CAAC,CAAC;gBACjD,IAAI,EAAE,CAAC;YACT,CAAC;SACF,CAAC,CAAC;IACP,CAAC,CAAC,CAAC;AACL,CAAC,CAAC,CAAC"}

package/dist/indicator/window.d.ts

@@ -0,0 +1,3 @@
+import { Observable } from 'rxjs';
+import { RingBuffer } from './ring-buffer';
+export declare function window<T, Y>(length: number, fn: (value: T) => Y): (source: Observable<T>) => Observable<[T, RingBuffer<Y>, Y, Y]>;

package/dist/indicator/window.js

@@ -0,0 +1,22 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.window = void 0;
+const rxjs_1 = require("rxjs");
+const ring_buffer_1 = require("./ring-buffer");
+function window(length, fn) {
+    return function (source) {
+        const buffer = new ring_buffer_1.RingBuffer(length);
+        return source.pipe((0, rxjs_1.map)(it => {
+            let removed = null;
+            if (buffer.isFull) {
+                removed = buffer.peek();
+            }
+            const value = fn(it);
+            buffer.enqueue(value);
+            const tuple = [it, buffer, value, removed];
+            return tuple;
+        }), (0, rxjs_1.share)());
+    };
+}
+exports.window = window;
+//# sourceMappingURL=window.js.map

package/dist/indicator/window.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"window.js","sourceRoot":"","sources":["../../src/indicator/window.ts"],"names":[],"mappings":";;;AAAA,+BAA8C;AAC9C,+CAA2C;AAE3C,SAAgB,MAAM,CAAO,MAAc,EAAE,EAAmB;IAC9D,OAAO,UAAU,MAAqB;QACpC,MAAM,MAAM,GAAG,IAAI,wBAAU,CAAI,MAAM,CAAC,CAAC;QAEzC,OAAO,MAAM,CAAC,IAAI,CAChB,IAAA,UAAG,EAAC,EAAE,CAAC,EAAE;YACP,IAAI,OAAO,GAAG,IAAI,CAAC;YAEnB,IAAI,MAAM,CAAC,MAAM,EAAE;gBACjB,OAAO,GAAG,MAAM,CAAC,IAAI,EAAE,CAAC;aACzB;YAED,MAAM,KAAK,GAAG,EAAE,CAAC,EAAE,CAAC,CAAC;YAErB,MAAM,CAAC,OAAO,CAAC,KAAK,CAAC,CAAC;YAEtB,MAAM,KAAK,GAA6B,CAAC,EAAE,EAAE,MAAM,EAAE,KAAK,EAAE,OAAO,CAAC,CAAC;YAErE,OAAO,KAAK,CAAC;QACf,CAAC,CAAC,EACF,IAAA,YAAK,GAAE,CACR,CAAC;IACJ,CAAC,CAAC;AACJ,CAAC;AAvBD,wBAuBC"}

package/dist/indicator/wma.d.ts

@@ -1,12 +1,2 @@
 import { Observable } from 'rxjs';
-import { RingBuffer } from './ring-buffer';
-import { WindowIndicator } from './window-indicator';
-export declare class WMA extends WindowIndicator<number> {
-    private _k;
-    private _sma;
-    private _value;
-    get value(): number;
-    constructor(capacity: number);
-    calculate(added: number, removed: number, buffer: RingBuffer<number>): void;
-}
-export declare function wma<T>(length: number, fn: (it: T) => number): (source: Observable<T>) => Observable<WMA>;
+export declare function wma<T>(length: number, fn: (it: T) => number): (source: Observable<T>) => Observable<[T, number]>;

package/dist/indicator/wma.js

@@ -1,41 +1,21 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
-exports.wma = exports.WMA = void 0;
+exports.wma = void 0;
 const operators_1 = require("rxjs/operators");
-const sma_1 = require("./sma");
-const window_indicator_1 = require("./window-indicator");
-class WMA extends window_indicator_1.WindowIndicator {
-    constructor(capacity) {
-        super(capacity);
-        this._k = 0;
-        this._k = 1.0 / capacity;
-        this._sma = new sma_1.SMA(capacity);
-    }
-    get value() {
-        return this._value;
-    }
-    calculate(added, removed, buffer) {
-        if (!this.isCompleted) {
-            return;
-        }
-        let norm = 0.0;
-        let sum = 0.0;
-        for (let i = 0; i < this.capacity; i++) {
-            const weight = (this.capacity - i) * this.capacity;
-            norm = norm + weight;
-            sum = sum + buffer.at(this.capacity - (i + 1)) * weight;
-        }
-        this._value = sum / norm;
-    }
-}
-exports.WMA = WMA;
+const window_1 = require("./window");
 function wma(length, fn) {
     return function (source) {
-        const indicator = new WMA(length);
-        return source.pipe((0, operators_1.filter)(it => {
-            indicator.append(fn(it));
-            return indicator.isCompleted;
-        }), (0, operators_1.map)(_ => indicator), (0, operators_1.share)());
+        return source.pipe((0, window_1.window)(length, fn), (0, operators_1.filter)(([, buffer]) => buffer.isFull), (0, operators_1.map)(([it, buffer]) => {
+            let norm = 0.0;
+            let sum = 0.0;
+            for (let i = 0; i < buffer.capacity; i++) {
+                const weight = (buffer.capacity - i) * buffer.capacity;
+                norm = norm + weight;
+                sum = sum + buffer.at(buffer.capacity - (i + 1)) * weight;
+            }
+            const tuple = [it, sum / norm];
+            return tuple;
+        }), (0, operators_1.share)());
     };
 }
 exports.wma = wma;

package/dist/indicator/wma.js.map

@@ -1 +1 @@
-{"version":3,"file":"wma.js","sourceRoot":"","sources":["../../src/indicator/wma.ts"],"names":[],"mappings":";;;AACA,8CAAoD;AAEpD,+BAA4B;AAC5B,yDAAqD;AAErD,MAAa,GAAI,SAAQ,kCAAuB;IAS9C,YAAY,QAAgB;QAC1B,KAAK,CAAC,QAAQ,CAAC,CAAC;QATV,OAAE,GAAG,CAAC,CAAC;QAWb,IAAI,CAAC,EAAE,GAAG,GAAG,GAAG,QAAQ,CAAC;QACzB,IAAI,CAAC,IAAI,GAAG,IAAI,SAAG,CAAC,QAAQ,CAAC,CAAC;IAChC,CAAC;IATD,IAAI,KAAK;QACP,OAAO,IAAI,CAAC,MAAM,CAAC;IACrB,CAAC;IASD,SAAS,CAAC,KAAa,EAAE,OAAe,EAAE,MAA0B;QAClE,IAAI,CAAC,IAAI,CAAC,WAAW,EAAE;YACrB,OAAO;SACR;QAED,IAAI,IAAI,GAAG,GAAG,CAAC;QACf,IAAI,GAAG,GAAG,GAAG,CAAC;QAEd,KAAK,IAAI,CAAC,GAAG,CAAC,EAAE,CAAC,GAAG,IAAI,CAAC,QAAQ,EAAE,CAAC,EAAE,EAAE;YACtC,MAAM,MAAM,GAAG,CAAC,IAAI,CAAC,QAAQ,GAAG,CAAC,CAAC,GAAG,IAAI,CAAC,QAAQ,CAAC;YACnD,IAAI,GAAG,IAAI,GAAG,MAAM,CAAC;YAErB,GAAG,GAAG,GAAG,GAAG,MAAM,CAAC,EAAE,CAAC,IAAI,CAAC,QAAQ,GAAG,CAAC,CAAC,GAAG,CAAC,CAAC,CAAC,GAAG,MAAM,CAAC;SACzD;QAED,IAAI,CAAC,MAAM,GAAG,GAAG,GAAG,IAAI,CAAC;IAC3B,CAAC;CACF;AAjCD,kBAiCC;AAED,SAAgB,GAAG,CAAI,MAAc,EAAE,EAAqB;IAC1D,OAAO,UAAS,MAAqB;QACnC,MAAM,SAAS,GAAG,IAAI,GAAG,CAAC,MAAM,CAAC,CAAC;QAElC,OAAO,MAAM,CAAC,IAAI,CAChB,IAAA,kBAAM,EAAC,EAAE,CAAC,EAAE;YACV,SAAS,CAAC,MAAM,CAAC,EAAE,CAAC,EAAE,CAAC,CAAC,CAAC;YAEzB,OAAO,SAAS,CAAC,WAAW,CAAC;QAC/B,CAAC,CAAC,EACF,IAAA,eAAG,EAAC,CAAC,CAAC,EAAE,CAAC,SAAS,CAAC,EACnB,IAAA,iBAAK,GAAE,CACR,CAAC;IACJ,CAAC,CAAC;AACJ,CAAC;AAdD,kBAcC"}
+{"version":3,"file":"wma.js","sourceRoot":"","sources":["../../src/indicator/wma.ts"],"names":[],"mappings":";;;AACA,8CAAoD;AACpD,qCAAkC;AAElC,SAAgB,GAAG,CAAI,MAAc,EAAE,EAAqB;IAC1D,OAAO,UAAU,MAAqB;QACpC,OAAO,MAAM,CAAC,IAAI,CAChB,IAAA,eAAM,EAAC,MAAM,EAAE,EAAE,CAAC,EAClB,IAAA,kBAAM,EAAC,CAAC,CAAC,EAAE,MAAM,CAAC,EAAE,EAAE,CAAC,MAAM,CAAC,MAAM,CAAC,EACrC,IAAA,eAAG,EAAC,CAAC,CAAC,EAAE,EAAE,MAAM,CAAC,EAAE,EAAE;YACnB,IAAI,IAAI,GAAG,GAAG,CAAC;YACf,IAAI,GAAG,GAAG,GAAG,CAAC;YAEd,KAAK,IAAI,CAAC,GAAG,CAAC,EAAE,CAAC,GAAG,MAAM,CAAC,QAAQ,EAAE,CAAC,EAAE,EAAE;gBACxC,MAAM,MAAM,GAAG,CAAC,MAAM,CAAC,QAAQ,GAAG,CAAC,CAAC,GAAG,MAAM,CAAC,QAAQ,CAAC;gBAEvD,IAAI,GAAG,IAAI,GAAG,MAAM,CAAC;gBACrB,GAAG,GAAG,GAAG,GAAG,MAAM,CAAC,EAAE,CAAC,MAAM,CAAC,QAAQ,GAAG,CAAC,CAAC,GAAG,CAAC,CAAC,CAAC,GAAG,MAAM,CAAC;aAC3D;YAED,MAAM,KAAK,GAAgB,CAAC,EAAE,EAAE,GAAG,GAAG,IAAI,CAAC,CAAC;YAE5C,OAAO,KAAK,CAAC;QACf,CAAC,CAAC,EACF,IAAA,iBAAK,GAAE,CACR,CAAC;IACJ,CAAC,CAAC;AACJ,CAAC;AAvBD,kBAuBC"}

package/dist/indicator/wma.spec.js

@@ -8,7 +8,7 @@ describe('wma tests', () => {
         (0, rxjs_1.from)([18136.17, 18092.15, 18082.39, 18065.4, 18046.47])
             .pipe((0, wma_1.wma)(5, it => it))
             .subscribe({
-            next: it => (value = it.value),
+            next: ([, it]) => (value = it),
             complete: () => {
                 expect(parseFloat(value.toFixed(2))).toBe(18070.77);
                 done();

package/dist/indicator/wma.spec.js.map

@@ -1 +1 @@
-{"version":3,"file":"wma.spec.js","sourceRoot":"","sources":["../../src/indicator/wma.spec.ts"],"names":[],"mappings":";;AAAA,+BAA4B;AAC5B,+BAA4B;AAE5B,QAAQ,CAAC,WAAW,EAAE,GAAG,EAAE;IACzB,IAAI,CAAC,8BAA8B,EAAE,IAAI,CAAC,EAAE;QAC1C,IAAI,KAAK,CAAC;QAEV,IAAA,WAAI,EAAC,CAAC,QAAQ,EAAE,QAAQ,EAAE,QAAQ,EAAE,OAAO,EAAE,QAAQ,CAAC,CAAC;aACpD,IAAI,CAAC,IAAA,SAAG,EAAC,CAAC,EAAE,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,CAAC;aACtB,SAAS,CAAC;YACT,IAAI,EAAE,EAAE,CAAC,EAAE,CAAC,CAAC,KAAK,GAAG,EAAE,CAAC,KAAK,CAAC;YAC9B,QAAQ,EAAE,GAAG,EAAE;gBACb,MAAM,CAAC,UAAU,CAAC,KAAK,CAAC,OAAO,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,IAAI,CAAC,QAAQ,CAAC,CAAC;gBACpD,IAAI,EAAE,CAAC;YACT,CAAC;SACF,CAAC,CAAC;IACP,CAAC,CAAC,CAAC;AACL,CAAC,CAAC,CAAC"}
+{"version":3,"file":"wma.spec.js","sourceRoot":"","sources":["../../src/indicator/wma.spec.ts"],"names":[],"mappings":";;AAAA,+BAA4B;AAC5B,+BAA4B;AAE5B,QAAQ,CAAC,WAAW,EAAE,GAAG,EAAE;IACzB,IAAI,CAAC,8BAA8B,EAAE,IAAI,CAAC,EAAE;QAC1C,IAAI,KAAK,CAAC;QAEV,IAAA,WAAI,EAAC,CAAC,QAAQ,EAAE,QAAQ,EAAE,QAAQ,EAAE,OAAO,EAAE,QAAQ,CAAC,CAAC;aACpD,IAAI,CAAC,IAAA,SAAG,EAAC,CAAC,EAAE,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,CAAC;aACtB,SAAS,CAAC;YACT,IAAI,EAAE,CAAC,CAAC,EAAE,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,KAAK,GAAG,EAAE,CAAC;YAC9B,QAAQ,EAAE,GAAG,EAAE;gBACb,MAAM,CAAC,UAAU,CAAC,KAAK,CAAC,OAAO,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,IAAI,CAAC,QAAQ,CAAC,CAAC;gBACpD,IAAI,EAAE,CAAC;YACT,CAAC;SACF,CAAC,CAAC;IACP,CAAC,CAAC,CAAC;AACL,CAAC,CAAC,CAAC"}

package/dist/session/session-descriptor.d.ts

@@ -9,6 +9,5 @@ export interface SessionDescriptor {
     adapter: Adapter[];
     feed?: Feed;
     measurement?: Measurement;
-    template?: string;
     behaviour?: Behaviour | Behaviour[] | ((session: Session) => Observable<any>);
 }

package/dist/session/session-optimizer.js.map

@@ -1 +1 @@
-{"version":3,"file":"session-optimizer.js","sourceRoot":"","sources":["../../src/session/session-optimizer.ts"],"names":[],"mappings":";;;AAAA,SAAgB,GAAG,CAAC,GAAW,EAAE,SAAiB;IAChD,OAAO,UAAS,MAAW,EAAE,WAAmB;QAC9C,IAAI,kBAAkB,CAAC;QAEvB,IAAI,SAAS,EAAE;YACb,yBAAyB,CAAC,MAAM,CAAC,GAAG,CAAC,GAAG,SAAS,CAAC;SACnD;QAED,MAAM,CAAC,cAAc,CAAC,MAAM,EAAE,WAAW,EAAE;YACzC,GAAG,EAAE,GAAG,EAAE,WAAC,OAAA,MAAA,gBAAgB,CAAC,OAAO,CAAC,GAAG,CAAC,mCAAI,kBAAkB,CAAA,EAAA;YAC9D,GAAG,EAAE,CAAC,QAAa,EAAE,EAAE;gBACrB,IAAI,CAAC,kBAAkB,EAAE;oBACvB,kBAAkB,GAAG,QAAQ,CAAC;oBAC9B,OAAO;iBACR;gBAED,IAAI,kBAAkB,IAAI,QAAQ,EAAE;oBAClC,OAAO;iBACR;gBAED,MAAM,IAAI,KAAK,CAAC,4CAA4C,CAAC,CAAC;YAChE,CAAC;SACF,CAAC,CAAC;IACL,CAAC,CAAC;AACJ,CAAC;AAxBD,kBAwBC;AAED,MAAa,gBAAgB;IAG3B,MAAM,CAAC,OAAO,CAAC,GAAW;QACxB,OAAO,GAAG;aACP,KAAK,CAAC,GAAG,CAAC;aACV,MAAM,CACL,CAAC,SAAS,EAAE,YAAY,EAAE,EAAE,CAAC,CAAC,SAAS,CAAC,CAAC,CAAC,SAAS,CAAC,YAAY,CAAC,CAAC,CAAC,CAAC,IAAI,CAAC,EACzE,IAAI,CAAC,MAAM,CACZ,CAAC;IACN,CAAC;;AAVH,4CAWC;AAVQ,uBAAM,GAAQ,EAAE,CAAC;AAY1B,MAAa,yBAAyB;IAGpC,MAAM,KAAK,KAAK;QACd,OAAO,MAAM,CAAC,MAAM,CAAC,IAAI,CAAC,MAAM,CAAC,CAAC,MAAM,CACtC,CAAC,SAAS,EAAE,KAAK,EAAE,EAAE,CAAC,CAAC,SAAS,IAAI,KAAK,CAAC,MAAM,CAAC,EACjD,CAAC,CACF,CAAC;IACJ,CAAC;IAED,MAAM,CAAC,OAAO;QACZ,MAAM,MAAM,GAAG,EAAE,CAAC;QAClB,MAAM,IAAI,GAAG,MAAM,CAAC,IAAI,CAAC,IAAI,CAAC,MAAM,CAAC,CAAC;QACtC,MAAM,MAAM,GAAG,MAAM,CAAC,MAAM,CAAC,IAAI,CAAC,MAAM,CAAC,CAAC,MAAM,CAC9C,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,CAAC,GAAG,CAAC,CAAC,CAAC,EAAE,CAAC,CAAC,CAAC,GAAG,CAAC,CAAC,CAAC,EAAE,CAAC,CAAC,CAAC,MAAM,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,MAAM,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,CAAC,MAAM,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,EAC/E,CAAC,EAAE,CAAC,CACL,CAAC;QAEF,KAAK,MAAM,KAAK,IAAI,MAAM,EAAE;YAC1B,MAAM,MAAM,GAAG,EAAE,CAAC;YAElB,KAAK,IAAI,CAAC,GAAG,CAAC,EAAE,CAAC,GAAG,IAAI,CAAC,MAAM,EAAE,CAAC,EAAE,EAAE;gBACpC,MAAM,IAAI,GAAG,IAAI,CAAC,CAAC,CAAC,CAAC;gBACrB,MAAM,KAAK,GAAG,IAAI,CAAC,KAAK,CAAC,GAAG,CAAC,CAAC;gBAE9B,IAAI,EAAE,GAAG,MAAM,CAAC;gBAEhB,OAAO,KAAK,CAAC,MAAM,GAAG,CAAC,EAAE;oBACvB,MAAM,IAAI,GAAG,KAAK,CAAC,KAAK,EAAE,CAAC;oBAE3B,EAAE,GAAG,EAAE,CAAC,IAAI,CAAC,GAAG,EAAE,CAAC,IAAI,CAAC,IAAI,EAAE,CAAC;iBAChC;gBAED,EAAE,CAAC,KAAK,CAAC,CAAC,CAAC,CAAC,GAAG,KAAK,CAAC,CAAC,CAAC,CAAC;aACzB;YAED,MAAM,CAAC,IAAI,CAAC,MAAM,CAAC,CAAC;SACrB;QAED,OAAO,MAAM,CAAC;IAChB,CAAC;;AAxCH,8DAyCC;AAxCQ,gCAAM,GAA0B,EAAE,CAAC"}
+{"version":3,"file":"session-optimizer.js","sourceRoot":"","sources":["../../src/session/session-optimizer.ts"],"names":[],"mappings":";;;AAAA,SAAgB,GAAG,CAAC,GAAW,EAAE,SAAiB;IAChD,OAAO,UAAU,MAAW,EAAE,WAAmB;QAC/C,IAAI,kBAAkB,CAAC;QAEvB,IAAI,SAAS,EAAE;YACb,yBAAyB,CAAC,MAAM,CAAC,GAAG,CAAC,GAAG,SAAS,CAAC;SACnD;QAED,MAAM,CAAC,cAAc,CAAC,MAAM,EAAE,WAAW,EAAE;YACzC,GAAG,EAAE,GAAG,EAAE,WAAC,OAAA,MAAA,gBAAgB,CAAC,OAAO,CAAC,GAAG,CAAC,mCAAI,kBAAkB,CAAA,EAAA;YAC9D,GAAG,EAAE,CAAC,QAAa,EAAE,EAAE;gBACrB,IAAI,CAAC,kBAAkB,EAAE;oBACvB,kBAAkB,GAAG,QAAQ,CAAC;oBAC9B,OAAO;iBACR;gBAED,IAAI,kBAAkB,IAAI,QAAQ,EAAE;oBAClC,OAAO;iBACR;gBAED,MAAM,IAAI,KAAK,CAAC,4CAA4C,CAAC,CAAC;YAChE,CAAC;SACF,CAAC,CAAC;IACL,CAAC,CAAC;AACJ,CAAC;AAxBD,kBAwBC;AAED,MAAa,gBAAgB;IAG3B,MAAM,CAAC,OAAO,CAAC,GAAW;QACxB,OAAO,GAAG;aACP,KAAK,CAAC,GAAG,CAAC;aACV,MAAM,CACL,CAAC,SAAS,EAAE,YAAY,EAAE,EAAE,CAAC,CAAC,SAAS,CAAC,CAAC,CAAC,SAAS,CAAC,YAAY,CAAC,CAAC,CAAC,CAAC,IAAI,CAAC,EACzE,IAAI,CAAC,MAAM,CACZ,CAAC;IACN,CAAC;;AAVH,4CAWC;AAVQ,uBAAM,GAAQ,EAAE,CAAC;AAY1B,MAAa,yBAAyB;IAGpC,MAAM,KAAK,KAAK;QACd,OAAO,MAAM,CAAC,MAAM,CAAC,IAAI,CAAC,MAAM,CAAC,CAAC,MAAM,CACtC,CAAC,SAAS,EAAE,KAAK,EAAE,EAAE,CAAC,CAAC,SAAS,IAAI,KAAK,CAAC,MAAM,CAAC,EACjD,CAAC,CACF,CAAC;IACJ,CAAC;IAED,MAAM,CAAC,OAAO;QACZ,MAAM,MAAM,GAAG,EAAE,CAAC;QAClB,MAAM,IAAI,GAAG,MAAM,CAAC,IAAI,CAAC,IAAI,CAAC,MAAM,CAAC,CAAC;QACtC,MAAM,MAAM,GAAG,MAAM,CAAC,MAAM,CAAC,IAAI,CAAC,MAAM,CAAC,CAAC,MAAM,CAC9C,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,CAAC,GAAG,CAAC,CAAC,CAAC,EAAE,CAAC,CAAC,CAAC,GAAG,CAAC,CAAC,CAAC,EAAE,CAAC,CAAC,CAAC,MAAM,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,MAAM,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,CAAC,MAAM,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,EAC/E,CAAC,EAAE,CAAC,CACL,CAAC;QAEF,KAAK,MAAM,KAAK,IAAI,MAAM,EAAE;YAC1B,MAAM,MAAM,GAAG,EAAE,CAAC;YAElB,KAAK,IAAI,CAAC,GAAG,CAAC,EAAE,CAAC,GAAG,IAAI,CAAC,MAAM,EAAE,CAAC,EAAE,EAAE;gBACpC,MAAM,IAAI,GAAG,IAAI,CAAC,CAAC,CAAC,CAAC;gBACrB,MAAM,KAAK,GAAG,IAAI,CAAC,KAAK,CAAC,GAAG,CAAC,CAAC;gBAE9B,IAAI,EAAE,GAAG,MAAM,CAAC;gBAEhB,OAAO,KAAK,CAAC,MAAM,GAAG,CAAC,EAAE;oBACvB,MAAM,IAAI,GAAG,KAAK,CAAC,KAAK,EAAE,CAAC;oBAE3B,EAAE,GAAG,EAAE,CAAC,IAAI,CAAC,GAAG,EAAE,CAAC,IAAI,CAAC,IAAI,EAAE,CAAC;iBAChC;gBAED,EAAE,CAAC,KAAK,CAAC,CAAC,CAAC,CAAC,GAAG,KAAK,CAAC,CAAC,CAAC,CAAC;aACzB;YAED,MAAM,CAAC,IAAI,CAAC,MAAM,CAAC,CAAC;SACrB;QAED,OAAO,MAAM,CAAC;IAChB,CAAC;;AAxCH,8DAyCC;AAxCQ,gCAAM,GAA0B,EAAE,CAAC"}

package/dist/session/session.d.ts

@@ -4,7 +4,7 @@ import { Observable } from 'rxjs';
 import { AdapterAggregate } from '../adapter/adapter-aggregate';
 import { Trade } from '../domain/trade';
 import { SessionDescriptor } from './session-descriptor';
-import { Measure } from '../storage/measurement';
+declare type Optional<T, K extends keyof T> = Omit<T, K> & Partial<T>;
 export declare class Session {
     readonly store: Store;
     readonly aggregate: AdapterAggregate;
@@ -13,15 +13,18 @@ export declare class Session {
     private subscription;
     private behaviour;
     private worker;
+    get timestamp(): number;
     constructor(store: Store, aggregate: AdapterAggregate, descriptor?: SessionDescriptor);
     awake(): Promise<void>;
     dispose(): Promise<void>;
-    save(...measure: Measure[]): void;
-    query(params: {
-        type: string;
-        timestamp?: number;
-    }): Observable<Measure>;
     statement(output: Record<string, any>): void;
+    useMeasure<T extends {
+        timestamp: number;
+    }>(params: {
+        key: string;
+        timestamp?: number;
+    }, defaultValue?: T): [Observable<T>, (value: Optional<T, 'timestamp'>) => void];
+    useOptimizer(path: string): any;
     subscribe(instrument: Array<InstrumentSelector>): Promise<void>;
     open(...orders: Order[]): Promise<void>;
     cancel(order: Order): Promise<void>;
@@ -39,3 +42,4 @@ export declare class Session {
     balance(selector?: AssetSelector): Observable<Balance>;
     history(selector: InstrumentSelector, timeframe: number, length: number): Observable<Candle>;
 }
+export {};

package/dist/session/session.js

@@ -16,6 +16,9 @@ class Session {
         this.initialized = false;
         this.worker = new common_1.Worker();
     }
+    get timestamp() {
+        return this.store.snapshot.timestamp;
+    }
     async awake() {
         var _a;
         if (this.initialized) {
@@ -46,28 +49,36 @@ class Session {
         await this.aggregate.dispose();
         await this.worker.wait();
     }
-    save(...measure) {
+    statement(output) {
         var _a;
-        if (!((_a = this.descriptor) === null || _a === void 0 ? void 0 : _a.measurement)) {
+        if (!((_a = this.behaviour) === null || _a === void 0 ? void 0 : _a.statement)) {
             return;
         }
-        this.worker.enqueue(() => this.descriptor.measurement.save(this.descriptor.id, measure));
+        this.behaviour.statement(output);
     }
-    query(params) {
+    useMeasure(params, defaultValue = undefined) {
         var _a;
-        return (0, rxjs_1.from)(this.descriptor.measurement.query(this.descriptor.id, {
-            type: params.type,
-            timestamp: (_a = params.timestamp) !== null && _a !== void 0 ? _a : this.store.snapshot.timestamp,
+        const stored$ = (0, rxjs_1.from)(this.descriptor.measurement.query(this.descriptor.id, {
+            type: params.key,
+            timestamp: (_a = params.timestamp) !== null && _a !== void 0 ? _a : this.timestamp,
             limit: 1,
             direction: 'BACKWARD'
-        })).pipe((0, operators_1.map)(it => it[0]));
-    }
-    statement(output) {
-        var _a;
-        if (!((_a = this.behaviour) === null || _a === void 0 ? void 0 : _a.statement)) {
-            return;
-        }
-        this.behaviour.statement(output);
+        })).pipe((0, operators_1.map)(it => it.length ? Object.assign({ timestamp: it[0].timestamp }, it[0].payload) : defaultValue), (0, operators_1.share)());
+        const subject$ = new rxjs_1.Subject();
+        const setter = (value) => {
+            var _a;
+            const timestamp = (_a = value.timestamp) !== null && _a !== void 0 ? _a : this.timestamp;
+            const measure = { timestamp, type: params.key, payload: value };
+            this.worker.enqueue(() => this.descriptor.measurement.save(this.descriptor.id, [measure]));
+            subject$.next(Object.assign(Object.assign({}, value), { timestamp }));
+        };
+        return [(0, rxjs_1.concat)(stored$, subject$.asObservable()), setter];
+    }
+    useOptimizer(path) {
+        const session = this;
+        const [order$, setOrderMeasure] = session.useMeasure({ key: 'ordered' }, { limt: 10, timestamp: 0 });
+        setOrderMeasure({ limt: 0, timestamp: 0 });
+        return undefined;
     }
     async subscribe(instrument) {
         const grouped = instrument

package/dist/session/session.js.map

@@ -1 +1 @@
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package/dist/storage/measurement.d.ts

@@ -2,7 +2,7 @@ import { timestamp } from '../common';
 export interface Measure {
     timestamp: timestamp;
     type: string;
-    [key: string]: any;
+    payload: any;
 }
 export interface Measurement {
     index(): Promise<Array<number>>;