@quantform/core 0.3.220 → 0.3.228

package/dist/adapter/adapter.event.js

@@ -10,6 +10,7 @@ var __metadata = (this && this.__metadata) || function (k, v) {
 };
 Object.defineProperty(exports, "__esModule", { value: true });
 exports.AdapterFeedCommand = exports.AdapterHistoryQuery = exports.AdapterOrderCancelCommand = exports.AdapterOrderOpenCommand = exports.AdapterSubscribeCommand = exports.AdapterAccountCommand = exports.AdapterDisposeCommand = exports.AdapterAwakeCommand = void 0;
+const storage_1 = require("../storage");
 const domain_1 = require("../domain");
 const topic_1 = require("../common/topic");
 let AdapterAwakeCommand = class AdapterAwakeCommand {
@@ -97,7 +98,7 @@ let AdapterFeedCommand = class AdapterFeedCommand {
 };
 AdapterFeedCommand = __decorate([
     topic_1.event,
-    __metadata("design:paramtypes", [domain_1.InstrumentSelector, Number, Number, Object, Function])
+    __metadata("design:paramtypes", [domain_1.InstrumentSelector, Number, Number, storage_1.Feed, Function])
 ], AdapterFeedCommand);
 exports.AdapterFeedCommand = AdapterFeedCommand;
 //# sourceMappingURL=adapter.event.js.map

package/dist/adapter/adapter.event.js.map

@@ -1 +1 @@
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+{"version":3,"file":"adapter.event.js","sourceRoot":"","sources":["../../src/adapter/adapter.event.ts"],"names":[],"mappings":";;;;;;;;;;;;AAAA,wCAAkC;AAElC,sCAAsD;AACtD,2CAAwC;AAGxC,IAAa,mBAAmB,GAAhC,MAAa,mBAAmB;IAAhC;QACE,SAAI,GAAG,OAAO,CAAC;IACjB,CAAC;CAAA,CAAA;AAFY,mBAAmB;IAD/B,aAAK;GACO,mBAAmB,CAE/B;AAFY,kDAAmB;AAKhC,IAAa,qBAAqB,GAAlC,MAAa,qBAAqB;IAAlC;QACE,SAAI,GAAG,SAAS,CAAC;IACnB,CAAC;CAAA,CAAA;AAFY,qBAAqB;IADjC,aAAK;GACO,qBAAqB,CAEjC;AAFY,sDAAqB;AAKlC,IAAa,qBAAqB,GAAlC,MAAa,qBAAqB;IAAlC;QACE,SAAI,GAAG,SAAS,CAAC;IACnB,CAAC;CAAA,CAAA;AAFY,qBAAqB;IADjC,aAAK;GACO,qBAAqB,CAEjC;AAFY,sDAAqB;AAKlC,IAAa,uBAAuB,GAApC,MAAa,uBAAuB;IAGlC,YAAqB,UAAqC;QAArC,eAAU,GAAV,UAAU,CAA2B;QAF1D,SAAI,GAAG,WAAW,CAAC;IAE0C,CAAC;CAC/D,CAAA;AAJY,uBAAuB;IADnC,aAAK;qCAI6B,KAAK;GAH3B,uBAAuB,CAInC;AAJY,0DAAuB;AAOpC,IAAa,uBAAuB,GAApC,MAAa,uBAAuB;IAGlC,YAAqB,KAAY;QAAZ,UAAK,GAAL,KAAK,CAAO;QAFjC,SAAI,GAAG,YAAY,CAAC;IAEgB,CAAC;CACtC,CAAA;AAJY,uBAAuB;IADnC,aAAK;qCAIwB,cAAK;GAHtB,uBAAuB,CAInC;AAJY,0DAAuB;AAOpC,IAAa,yBAAyB,GAAtC,MAAa,yBAAyB;IAGpC,YAAqB,KAAY;QAAZ,UAAK,GAAL,KAAK,CAAO;QAFjC,SAAI,GAAG,cAAc,CAAC;IAEc,CAAC;CACtC,CAAA;AAJY,yBAAyB;IADrC,aAAK;qCAIwB,cAAK;GAHtB,yBAAyB,CAIrC;AAJY,8DAAyB;AAOtC,IAAa,mBAAmB,GAAhC,MAAa,mBAAmB;IAG9B,YACW,UAA8B,EAC9B,SAAiB,EACjB,MAAc;QAFd,eAAU,GAAV,UAAU,CAAoB;QAC9B,cAAS,GAAT,SAAS,CAAQ;QACjB,WAAM,GAAN,MAAM,CAAQ;QALzB,SAAI,GAAG,SAAS,CAAC;IAMd,CAAC;CACL,CAAA;AARY,mBAAmB;IAD/B,aAAK;qCAKmB,2BAAkB;GAJ9B,mBAAmB,CAQ/B;AARY,kDAAmB;AAWhC,IAAa,kBAAkB,GAA/B,MAAa,kBAAkB;IAG7B,YACW,UAA8B,EAC9B,IAAe,EACf,EAAa,EACb,IAAU,EACV,QAAqC;QAJrC,eAAU,GAAV,UAAU,CAAoB;QAC9B,SAAI,GAAJ,IAAI,CAAW;QACf,OAAE,GAAF,EAAE,CAAW;QACb,SAAI,GAAJ,IAAI,CAAM;QACV,aAAQ,GAAR,QAAQ,CAA6B;QAPhD,SAAI,GAAG,QAAQ,CAAC;IAQb,CAAC;CACL,CAAA;AAVY,kBAAkB;IAD9B,aAAK;qCAKmB,2BAAkB,kBAGxB,cAAI;GAPV,kBAAkB,CAU9B;AAVY,gDAAkB"}

package/dist/adapter/backtester/backtester-cursor.d.ts

@@ -12,5 +12,5 @@ export declare class BacktesterCursor {
     constructor(instrument: InstrumentSelector, feed: Feed);
     peek(): StoreEvent;
     dequeue(): StoreEvent & any;
-    fetchNextPage(from: timestamp, to: timestamp): Promise<void>;
+    fetchNextPage(from: timestamp, to: number): Promise<void>;
 }

package/dist/adapter/backtester/backtester-cursor.js

@@ -29,7 +29,11 @@ class BacktesterCursor {
             throw new Error('page is not empty');
         }
         this.pageIndex = 0;
-        this.page = await this.feed.read(this.instrument, from, to);
+        this.page = await this.feed.query(this.instrument, {
+            from,
+            to,
+            count: 10000
+        });
         this.completed = this.page.length == 0;
     }
 }

package/dist/adapter/backtester/backtester-cursor.js.map

@@ -1 +1 @@
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+{"version":3,"file":"backtester-cursor.js","sourceRoot":"","sources":["../../../src/adapter/backtester/backtester-cursor.ts"],"names":[],"mappings":";;;AAKA,MAAa,gBAAgB;IAS3B,YAAqB,UAA8B,EAAmB,IAAU;QAA3D,eAAU,GAAV,UAAU,CAAoB;QAAmB,SAAI,GAAJ,IAAI,CAAM;QARxE,SAAI,GAAG,IAAI,KAAK,EAAc,CAAC;QAC/B,cAAS,GAAG,CAAC,CAAC;QACtB,cAAS,GAAG,KAAK,CAAC;IAMiE,CAAC;IAJpF,IAAI,IAAI;QACN,OAAO,IAAI,CAAC,IAAI,CAAC,MAAM,GAAG,IAAI,CAAC,SAAS,CAAC;IAC3C,CAAC;IAID,IAAI;QACF,IAAI,CAAC,IAAI,CAAC,IAAI,EAAE;YACd,OAAO,SAAS,CAAC;SAClB;QAED,OAAO,IAAI,CAAC,IAAI,CAAC,IAAI,CAAC,SAAS,CAAC,CAAC;IACnC,CAAC;IAED,OAAO;QACL,OAAO,IAAI,CAAC,IAAI,CAAC,IAAI,CAAC,SAAS,EAAE,CAAC,CAAC;IACrC,CAAC;IAED,KAAK,CAAC,aAAa,CAAC,IAAe,EAAE,EAAU;QAC7C,IAAI,IAAI,CAAC,SAAS,EAAE;YAClB,OAAO;SACR;QAED,IAAI,IAAI,CAAC,IAAI,GAAG,CAAC,EAAE;YACjB,MAAM,IAAI,KAAK,CAAC,mBAAmB,CAAC,CAAC;SACtC;QAED,IAAI,CAAC,SAAS,GAAG,CAAC,CAAC;QACnB,IAAI,CAAC,IAAI,GAAG,MAAM,IAAI,CAAC,IAAI,CAAC,KAAK,CAAC,IAAI,CAAC,UAAU,EAAE;YACjD,IAAI;YACJ,EAAE;YACF,KAAK,EAAE,KAAK;SACb,CAAC,CAAC;QAEH,IAAI,CAAC,SAAS,GAAG,IAAI,CAAC,IAAI,CAAC,MAAM,IAAI,CAAC,CAAC;IACzC,CAAC;CACF;AAzCD,4CAyCC"}

package/dist/adapter/backtester/backtester-cursor.spec.js

@@ -7,9 +7,9 @@ const backtester_cursor_1 = require("./backtester-cursor");
 describe('backtester cursor tests', () => {
     test('should reapeat specific events', async () => {
         const instrument = (0, domain_1.instrumentOf)('binance:btc-usdt');
-        const feed = new storage_1.InMemoryFeed();
+        const feed = new storage_1.Feed(new storage_1.InMemoryStorage());
         const cursor = new backtester_cursor_1.BacktesterCursor(instrument, feed);
-        feed.write(instrument, [
+        feed.save(instrument, [
             new event_1.TradePatchEvent(instrument, 1, 1, 1),
             new event_1.TradePatchEvent(instrument, 2, 1, 2),
             new event_1.TradePatchEvent(instrument, 3, 1, 3),
@@ -19,17 +19,17 @@ describe('backtester cursor tests', () => {
             new event_1.TradePatchEvent(instrument, 7, 1, 7),
             new event_1.TradePatchEvent(instrument, 8, 1, 8)
         ]);
-        await cursor.fetchNextPage(0, 3);
+        await cursor.fetchNextPage(0, 4);
         expect(cursor.dequeue().rate).toEqual(1);
         expect(cursor.dequeue().rate).toEqual(2);
         expect(cursor.dequeue().rate).toEqual(3);
         expect(cursor.peek()).toEqual(undefined);
-        await cursor.fetchNextPage(3, 6);
+        await cursor.fetchNextPage(3, 7);
         expect(cursor.dequeue().rate).toEqual(4);
         expect(cursor.dequeue().rate).toEqual(5);
         expect(cursor.dequeue().rate).toEqual(6);
         expect(cursor.peek()).toEqual(undefined);
-        await cursor.fetchNextPage(6, 9);
+        await cursor.fetchNextPage(6, 10);
         expect(cursor.dequeue().rate).toEqual(7);
         expect(cursor.dequeue().rate).toEqual(8);
         expect(cursor.peek()).toEqual(undefined);

package/dist/adapter/backtester/backtester-cursor.spec.js.map

@@ -1 +1 @@
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+{"version":3,"file":"backtester-cursor.spec.js","sourceRoot":"","sources":["../../../src/adapter/backtester/backtester-cursor.spec.ts"],"names":[],"mappings":";;AAAA,yCAA4C;AAC5C,2CAAsD;AACtD,6CAAoD;AACpD,2DAAuD;AAEvD,QAAQ,CAAC,yBAAyB,EAAE,GAAG,EAAE;IACvC,IAAI,CAAC,gCAAgC,EAAE,KAAK,IAAI,EAAE;QAChD,MAAM,UAAU,GAAG,IAAA,qBAAY,EAAC,kBAAkB,CAAC,CAAC;QACpD,MAAM,IAAI,GAAG,IAAI,cAAI,CAAC,IAAI,yBAAe,EAAE,CAAC,CAAC;QAC7C,MAAM,MAAM,GAAG,IAAI,oCAAgB,CAAC,UAAU,EAAE,IAAI,CAAC,CAAC;QAEtD,IAAI,CAAC,IAAI,CAAC,UAAU,EAAE;YACpB,IAAI,uBAAe,CAAC,UAAU,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,CAAC;YACxC,IAAI,uBAAe,CAAC,UAAU,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,CAAC;YACxC,IAAI,uBAAe,CAAC,UAAU,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,CAAC;YACxC,IAAI,uBAAe,CAAC,UAAU,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,CAAC;YACxC,IAAI,uBAAe,CAAC,UAAU,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,CAAC;YACxC,IAAI,uBAAe,CAAC,UAAU,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,CAAC;YACxC,IAAI,uBAAe,CAAC,UAAU,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,CAAC;YACxC,IAAI,uBAAe,CAAC,UAAU,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,CAAC;SACzC,CAAC,CAAC;QAEH,MAAM,MAAM,CAAC,aAAa,CAAC,CAAC,EAAE,CAAC,CAAC,CAAC;QAEjC,MAAM,CAAC,MAAM,CAAC,OAAO,EAAE,CAAC,IAAI,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,CAAC;QACzC,MAAM,CAAC,MAAM,CAAC,OAAO,EAAE,CAAC,IAAI,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,CAAC;QACzC,MAAM,CAAC,MAAM,CAAC,OAAO,EAAE,CAAC,IAAI,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,CAAC;QACzC,MAAM,CAAC,MAAM,CAAC,IAAI,EAAE,CAAC,CAAC,OAAO,CAAC,SAAS,CAAC,CAAC;QAEzC,MAAM,MAAM,CAAC,aAAa,CAAC,CAAC,EAAE,CAAC,CAAC,CAAC;QAEjC,MAAM,CAAC,MAAM,CAAC,OAAO,EAAE,CAAC,IAAI,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,CAAC;QACzC,MAAM,CAAC,MAAM,CAAC,OAAO,EAAE,CAAC,IAAI,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,CAAC;QACzC,MAAM,CAAC,MAAM,CAAC,OAAO,EAAE,CAAC,IAAI,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,CAAC;QACzC,MAAM,CAAC,MAAM,CAAC,IAAI,EAAE,CAAC,CAAC,OAAO,CAAC,SAAS,CAAC,CAAC;QAEzC,MAAM,MAAM,CAAC,aAAa,CAAC,CAAC,EAAE,EAAE,CAAC,CAAC;QAElC,MAAM,CAAC,MAAM,CAAC,OAAO,EAAE,CAAC,IAAI,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,CAAC;QACzC,MAAM,CAAC,MAAM,CAAC,OAAO,EAAE,CAAC,IAAI,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,CAAC;QACzC,MAAM,CAAC,MAAM,CAAC,IAAI,EAAE,CAAC,CAAC,OAAO,CAAC,SAAS,CAAC,CAAC;IAC3C,CAAC,CAAC,CAAC;AACL,CAAC,CAAC,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;
@@ -13,14 +13,17 @@ 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>;
     statement(output: Record<string, any>): void;
-    useMeasure<T extends Measure>(params: {
-        type: string;
+    useMeasure<T extends {
+        timestamp: number;
+    }>(params: {
+        kind: string;
         timestamp?: number;
-    }, defaultValue?: T): (Observable<T> | ((value: T) => void))[];
+    }, defaultValue?: T): [Observable<T>, (value: Optional<T, 'timestamp'>) => void];
     useOptimizer(path: string): any;
     subscribe(instrument: Array<InstrumentSelector>): Promise<void>;
     open(...orders: 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) {
@@ -55,19 +58,23 @@ class Session {
     }
     useMeasure(params, defaultValue = undefined) {
         var _a;
-        const query$ = (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,
-            limit: 1,
-            direction: 'BACKWARD'
-        })).pipe((0, operators_1.map)(it => (it.length ? it[0] : defaultValue)));
+        const stored$ = (0, rxjs_1.from)(this.descriptor.measurement.query(this.descriptor.id, {
+            to: (_a = params.timestamp) !== null && _a !== void 0 ? _a : this.timestamp,
+            kind: params.kind,
+            count: 1
+        })).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) => {
-            this.worker.enqueue(() => this.descriptor.measurement.save(this.descriptor.id, [value]));
+            var _a;
+            const timestamp = (_a = value.timestamp) !== null && _a !== void 0 ? _a : this.timestamp;
+            const measure = { timestamp, kind: params.kind, payload: value };
+            this.worker.enqueue(() => this.descriptor.measurement.save(this.descriptor.id, [measure]));
+            subject$.next(Object.assign(Object.assign({}, value), { timestamp }));
         };
-        return [query$, setter];
+        return [(0, rxjs_1.concat)(stored$, subject$.asObservable()), setter];
     }
     useOptimizer(path) {
-        return 0;
+        return undefined;
     }
     async subscribe(instrument) {
         const grouped = instrument

package/dist/session/session.js.map

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

@@ -1,7 +1,10 @@
 import { StoreEvent } from '../store/event';
 import { InstrumentSelector } from '../domain';
-import { timestamp } from '../common';
-export interface Feed {
-    read(instrument: InstrumentSelector, from: timestamp, to: timestamp): Promise<StoreEvent[]>;
-    write(instrument: InstrumentSelector, events: StoreEvent[]): Promise<void>;
+import { Storage, StorageQueryOptions } from './storage';
+export declare class Feed {
+    private readonly storage;
+    constructor(storage: Storage);
+    index(): Promise<Array<string>>;
+    save(instrument: InstrumentSelector, events: StoreEvent[]): Promise<void>;
+    query(instrument: InstrumentSelector, options: StorageQueryOptions): Promise<StoreEvent[]>;
 }

package/dist/storage/feed.js

@@ -1,3 +1,24 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
+exports.Feed = void 0;
+class Feed {
+    constructor(storage) {
+        this.storage = storage;
+    }
+    index() {
+        return this.storage.index();
+    }
+    save(instrument, events) {
+        return this.storage.save(instrument.toString(), events.map(it => ({
+            timestamp: it.timestamp,
+            kind: it.type,
+            json: JSON.stringify(it, (key, value) => key != 'timestamp' && key != 'type' && key != 'instrument' ? value : undefined)
+        })));
+    }
+    async query(instrument, options) {
+        const rows = await this.storage.query(instrument.toString(), options);
+        return rows.map(it => (Object.assign({ timestamp: it.timestamp, type: it.kind, instrument }, JSON.parse(it.json))));
+    }
+}
+exports.Feed = Feed;
 //# sourceMappingURL=feed.js.map

package/dist/storage/feed.js.map

@@ -1 +1 @@
-{"version":3,"file":"feed.js","sourceRoot":"","sources":["../../src/storage/feed.ts"],"names":[],"mappings":""}
+{"version":3,"file":"feed.js","sourceRoot":"","sources":["../../src/storage/feed.ts"],"names":[],"mappings":";;;AAIA,MAAa,IAAI;IACf,YAA6B,OAAgB;QAAhB,YAAO,GAAP,OAAO,CAAS;IAAG,CAAC;IAEjD,KAAK;QACH,OAAO,IAAI,CAAC,OAAO,CAAC,KAAK,EAAE,CAAC;IAC9B,CAAC;IAED,IAAI,CAAC,UAA8B,EAAE,MAAoB;QACvD,OAAO,IAAI,CAAC,OAAO,CAAC,IAAI,CACtB,UAAU,CAAC,QAAQ,EAAE,EACrB,MAAM,CAAC,GAAG,CAAC,EAAE,CAAC,EAAE,CAAC,CAAC;YAChB,SAAS,EAAE,EAAE,CAAC,SAAS;YACvB,IAAI,EAAE,EAAE,CAAC,IAAI;YACb,IAAI,EAAE,IAAI,CAAC,SAAS,CAAC,EAAE,EAAE,CAAC,GAAG,EAAE,KAAK,EAAE,EAAE,CACtC,GAAG,IAAI,WAAW,IAAI,GAAG,IAAI,MAAM,IAAI,GAAG,IAAI,YAAY,CAAC,CAAC,CAAC,KAAK,CAAC,CAAC,CAAC,SAAS,CAC/E;SACF,CAAC,CAAC,CACJ,CAAC;IACJ,CAAC;IAED,KAAK,CAAC,KAAK,CACT,UAA8B,EAC9B,OAA4B;QAE5B,MAAM,IAAI,GAAG,MAAM,IAAI,CAAC,OAAO,CAAC,KAAK,CAAC,UAAU,CAAC,QAAQ,EAAE,EAAE,OAAO,CAAC,CAAC;QAEtE,OAAO,IAAI,CAAC,GAAG,CAAC,EAAE,CAAC,EAAE,CAAC,iBACpB,SAAS,EAAE,EAAE,CAAC,SAAS,EACvB,IAAI,EAAE,EAAE,CAAC,IAAI,EACb,UAAU,IACP,IAAI,CAAC,KAAK,CAAC,EAAE,CAAC,IAAI,CAAC,EACtB,CAAC,CAAC;IACN,CAAC;CACF;AAjCD,oBAiCC"}

package/dist/storage/index.d.ts

@@ -1,4 +1,3 @@
 export * from './feed';
-export * from './in-memory.feed';
-export * from './feed.interceptor';
+export * from './storage';
 export * from './measurement';

package/dist/storage/index.js

@@ -11,7 +11,6 @@ var __exportStar = (this && this.__exportStar) || function(m, exports) {
 };
 Object.defineProperty(exports, "__esModule", { value: true });
 __exportStar(require("./feed"), exports);
-__exportStar(require("./in-memory.feed"), exports);
-__exportStar(require("./feed.interceptor"), exports);
+__exportStar(require("./storage"), exports);
 __exportStar(require("./measurement"), exports);
 //# sourceMappingURL=index.js.map

package/dist/storage/index.js.map

@@ -1 +1 @@
-{"version":3,"file":"index.js","sourceRoot":"","sources":["../../src/storage/index.ts"],"names":[],"mappings":";;;;;;;;;;;;AAAA,yCAAuB;AACvB,mDAAiC;AACjC,qDAAmC;AACnC,gDAA8B"}
+{"version":3,"file":"index.js","sourceRoot":"","sources":["../../src/storage/index.ts"],"names":[],"mappings":";;;;;;;;;;;;AAAA,yCAAuB;AACvB,4CAA0B;AAC1B,gDAA8B"}

package/dist/storage/measurement.d.ts

@@ -1,16 +1,14 @@
 import { timestamp } from '../common';
+import { Storage, StorageQueryOptions } from './storage';
 export interface Measure {
     timestamp: timestamp;
-    type: string;
-    [key: string]: any;
+    kind: string;
+    payload: any;
 }
-export interface Measurement {
+export declare class Measurement {
+    private readonly storage;
+    constructor(storage: Storage);
     index(): Promise<Array<number>>;
-    query(session: number, options: {
-        timestamp: timestamp;
-        type?: string;
-        limit: number;
-        direction: 'FORWARD' | 'BACKWARD';
-    }): Promise<Measure[]>;
     save(session: number, measurements: Measure[]): Promise<void>;
+    query(session: number, options: StorageQueryOptions): Promise<Measure[]>;
 }

package/dist/storage/measurement.js

@@ -1,3 +1,28 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
+exports.Measurement = void 0;
+class Measurement {
+    constructor(storage) {
+        this.storage = storage;
+    }
+    async index() {
+        return (await this.storage.index()).map(it => Number(it));
+    }
+    save(session, measurements) {
+        return this.storage.save(session.toString(), measurements.map(it => ({
+            timestamp: it.timestamp,
+            kind: it.kind,
+            json: JSON.stringify(it.payload)
+        })));
+    }
+    async query(session, options) {
+        const rows = await this.storage.query(session.toString(), options);
+        return rows.map(it => ({
+            timestamp: it.timestamp,
+            kind: it.kind,
+            payload: JSON.parse(it.json)
+        }));
+    }
+}
+exports.Measurement = Measurement;
 //# sourceMappingURL=measurement.js.map

package/dist/storage/measurement.js.map

@@ -1 +1 @@
-{"version":3,"file":"measurement.js","sourceRoot":"","sources":["../../src/storage/measurement.ts"],"names":[],"mappings":""}
+{"version":3,"file":"measurement.js","sourceRoot":"","sources":["../../src/storage/measurement.ts"],"names":[],"mappings":";;;AASA,MAAa,WAAW;IACtB,YAA6B,OAAgB;QAAhB,YAAO,GAAP,OAAO,CAAS;IAAG,CAAC;IAEjD,KAAK,CAAC,KAAK;QACT,OAAO,CAAC,MAAM,IAAI,CAAC,OAAO,CAAC,KAAK,EAAE,CAAC,CAAC,GAAG,CAAC,EAAE,CAAC,EAAE,CAAC,MAAM,CAAC,EAAE,CAAC,CAAC,CAAC;IAC5D,CAAC;IAED,IAAI,CAAC,OAAe,EAAE,YAAuB;QAC3C,OAAO,IAAI,CAAC,OAAO,CAAC,IAAI,CACtB,OAAO,CAAC,QAAQ,EAAE,EAClB,YAAY,CAAC,GAAG,CAAC,EAAE,CAAC,EAAE,CAAC,CAAC;YACtB,SAAS,EAAE,EAAE,CAAC,SAAS;YACvB,IAAI,EAAE,EAAE,CAAC,IAAI;YACb,IAAI,EAAE,IAAI,CAAC,SAAS,CAAC,EAAE,CAAC,OAAO,CAAC;SACjC,CAAC,CAAC,CACJ,CAAC;IACJ,CAAC;IAED,KAAK,CAAC,KAAK,CAAC,OAAe,EAAE,OAA4B;QACvD,MAAM,IAAI,GAAG,MAAM,IAAI,CAAC,OAAO,CAAC,KAAK,CAAC,OAAO,CAAC,QAAQ,EAAE,EAAE,OAAO,CAAC,CAAC;QAEnE,OAAO,IAAI,CAAC,GAAG,CAAC,EAAE,CAAC,EAAE,CAAC,CAAC;YACrB,SAAS,EAAE,EAAE,CAAC,SAAS;YACvB,IAAI,EAAE,EAAE,CAAC,IAAI;YACb,OAAO,EAAE,IAAI,CAAC,KAAK,CAAC,EAAE,CAAC,IAAI,CAAC;SAC7B,CAAC,CAAC,CAAC;IACN,CAAC;CACF;AA3BD,kCA2BC"}

package/dist/storage/storage.d.ts

@@ -0,0 +1,23 @@
+export declare type StorageDocument = {
+    timestamp: number;
+    kind: string;
+    json: string;
+};
+export declare type StorageQueryOptions = {
+    from?: number;
+    to?: number;
+    kind?: string;
+    count: number;
+};
+export interface Storage {
+    index(): Promise<Array<string>>;
+    save(library: string, documents: StorageDocument[]): Promise<void>;
+    query(library: string, options: StorageQueryOptions): Promise<StorageDocument[]>;
+}
+export declare class InMemoryStorage implements Storage {
+    private tables;
+    index(): Promise<Array<string>>;
+    query(library: string, options: StorageQueryOptions): Promise<StorageDocument[]>;
+    save(library: string, documents: StorageDocument[]): Promise<void>;
+    clear(): void;
+}

package/dist/storage/storage.js

@@ -0,0 +1,48 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.InMemoryStorage = void 0;
+class InMemoryStorage {
+    constructor() {
+        this.tables = {};
+    }
+    async index() {
+        return Object.keys(this.tables);
+    }
+    async query(library, options) {
+        if (!this.tables[library]) {
+            return [];
+        }
+        let query = this.tables[library];
+        if (options.from) {
+            query = query.filter(it => it.timestamp > options.from);
+        }
+        if (options.to) {
+            query = query.filter(it => it.timestamp < options.to);
+        }
+        if (options.kind) {
+            query = query.filter(it => it.kind == options.kind);
+        }
+        if (options.from == undefined && options.to) {
+            query = query.reverse();
+        }
+        if (options.count) {
+            query = query.slice(0, options.count);
+        }
+        return query;
+    }
+    async save(library, documents) {
+        if (!this.tables[library]) {
+            this.tables[library] = [];
+        }
+        const buffer = this.tables[library];
+        for (const document of documents) {
+            buffer.push(document);
+        }
+        buffer.sort((lhs, rhs) => lhs.timestamp - rhs.timestamp);
+    }
+    clear() {
+        this.tables = {};
+    }
+}
+exports.InMemoryStorage = InMemoryStorage;
+//# sourceMappingURL=storage.js.map

package/dist/storage/storage.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"storage.js","sourceRoot":"","sources":["../../src/storage/storage.ts"],"names":[],"mappings":";;;AAqBA,MAAa,eAAe;IAA5B;QACU,WAAM,GAAsC,EAAE,CAAC;IAqDzD,CAAC;IAnDC,KAAK,CAAC,KAAK;QACT,OAAO,MAAM,CAAC,IAAI,CAAC,IAAI,CAAC,MAAM,CAAC,CAAC;IAClC,CAAC;IAED,KAAK,CAAC,KAAK,CAAC,OAAe,EAAE,OAA4B;QACvD,IAAI,CAAC,IAAI,CAAC,MAAM,CAAC,OAAO,CAAC,EAAE;YACzB,OAAO,EAAE,CAAC;SACX;QAED,IAAI,KAAK,GAAG,IAAI,CAAC,MAAM,CAAC,OAAO,CAAC,CAAC;QAEjC,IAAI,OAAO,CAAC,IAAI,EAAE;YAChB,KAAK,GAAG,KAAK,CAAC,MAAM,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,SAAS,GAAG,OAAO,CAAC,IAAI,CAAC,CAAC;SACzD;QAED,IAAI,OAAO,CAAC,EAAE,EAAE;YACd,KAAK,GAAG,KAAK,CAAC,MAAM,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,SAAS,GAAG,OAAO,CAAC,EAAE,CAAC,CAAC;SACvD;QAED,IAAI,OAAO,CAAC,IAAI,EAAE;YAChB,KAAK,GAAG,KAAK,CAAC,MAAM,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,IAAI,IAAI,OAAO,CAAC,IAAI,CAAC,CAAC;SACrD;QAED,IAAI,OAAO,CAAC,IAAI,IAAI,SAAS,IAAI,OAAO,CAAC,EAAE,EAAE;YAC3C,KAAK,GAAG,KAAK,CAAC,OAAO,EAAE,CAAC;SACzB;QAED,IAAI,OAAO,CAAC,KAAK,EAAE;YACjB,KAAK,GAAG,KAAK,CAAC,KAAK,CAAC,CAAC,EAAE,OAAO,CAAC,KAAK,CAAC,CAAC;SACvC;QAED,OAAO,KAAK,CAAC;IACf,CAAC;IAED,KAAK,CAAC,IAAI,CAAC,OAAe,EAAE,SAA4B;QACtD,IAAI,CAAC,IAAI,CAAC,MAAM,CAAC,OAAO,CAAC,EAAE;YACzB,IAAI,CAAC,MAAM,CAAC,OAAO,CAAC,GAAG,EAAE,CAAC;SAC3B;QAED,MAAM,MAAM,GAAG,IAAI,CAAC,MAAM,CAAC,OAAO,CAAC,CAAC;QAEpC,KAAK,MAAM,QAAQ,IAAI,SAAS,EAAE;YAChC,MAAM,CAAC,IAAI,CAAC,QAAQ,CAAC,CAAC;SACvB;QAED,MAAM,CAAC,IAAI,CAAC,CAAC,GAAG,EAAE,GAAG,EAAE,EAAE,CAAC,GAAG,CAAC,SAAS,GAAG,GAAG,CAAC,SAAS,CAAC,CAAC;IAC3D,CAAC;IAED,KAAK;QACH,IAAI,CAAC,MAAM,GAAG,EAAE,CAAC;IACnB,CAAC;CACF;AAtDD,0CAsDC"}

package/dist/store/event/store-candle.event.d.ts

@@ -14,4 +14,4 @@ export declare class CandleEvent implements StoreEvent {
     type: string;
     constructor(instrument: InstrumentSelector, timeframe: number, open: number, high: number, low: number, close: number, volume: number, timestamp: timestamp);
 }
-export declare function CandleEventHandler(event: CandleEvent, state: State): import("../../domain").Trade;
+export declare function CandleEventHandler(event: CandleEvent, state: State): (import("../../domain").Orderbook | import("../../domain").Trade)[];

package/dist/store/event/store-candle.event.js

@@ -1,8 +1,20 @@
 "use strict";
+var __decorate = (this && this.__decorate) || function (decorators, target, key, desc) {
+    var c = arguments.length, r = c < 3 ? target : desc === null ? desc = Object.getOwnPropertyDescriptor(target, key) : desc, d;
+    if (typeof Reflect === "object" && typeof Reflect.decorate === "function") r = Reflect.decorate(decorators, target, key, desc);
+    else for (var i = decorators.length - 1; i >= 0; i--) if (d = decorators[i]) r = (c < 3 ? d(r) : c > 3 ? d(target, key, r) : d(target, key)) || r;
+    return c > 3 && r && Object.defineProperty(target, key, r), r;
+};
+var __metadata = (this && this.__metadata) || function (k, v) {
+    if (typeof Reflect === "object" && typeof Reflect.metadata === "function") return Reflect.metadata(k, v);
+};
 Object.defineProperty(exports, "__esModule", { value: true });
 exports.CandleEventHandler = exports.CandleEvent = void 0;
 const store_trade_event_1 = require("./store-trade.event");
-class CandleEvent {
+const store_orderbook_event_1 = require("./store-orderbook.event");
+const domain_1 = require("../../domain");
+const topic_1 = require("../../common/topic");
+let CandleEvent = class CandleEvent {
     constructor(instrument, timeframe, open, high, low, close, volume, timestamp) {
         this.instrument = instrument;
         this.timeframe = timeframe;
@@ -14,16 +26,32 @@ class CandleEvent {
         this.timestamp = timestamp;
         this.type = 'candle';
     }
-}
+};
+CandleEvent = __decorate([
+    topic_1.event,
+    __metadata("design:paramtypes", [domain_1.InstrumentSelector, Number, Number, Number, Number, Number, Number, Number])
+], CandleEvent);
 exports.CandleEvent = CandleEvent;
 function CandleEventHandler(event, state) {
-    return (0, store_trade_event_1.TradePatchEventHandler)({
+    const instrument = state.universe.instrument[event.instrument.toString()];
+    const trade = (0, store_trade_event_1.TradePatchEventHandler)({
         type: 'trade-patch',
         instrument: event.instrument,
         quantity: event.volume,
         rate: event.close,
         timestamp: event.timestamp
     }, state);
+    const orderbook = (0, store_orderbook_event_1.OrderbookPatchEventHandler)({
+        type: 'orderbook-patch',
+        instrument: event.instrument,
+        bestAskQuantity: event.volume * 0.5,
+        bestAskRate: event.close + instrument.quote.tickSize,
+        bestBidQuantity: event.volume * 0.5,
+        bestBidRate: event.close - instrument.quote.tickSize,
+        timestamp: event.timestamp
+    }, state);
+    state.timestamp = event.timestamp;
+    return [trade, orderbook];
 }
 exports.CandleEventHandler = CandleEventHandler;
 //# sourceMappingURL=store-candle.event.js.map

package/dist/store/event/store-candle.event.js.map

@@ -1 +1 @@
-{"version":3,"file":"store-candle.event.js","sourceRoot":"","sources":["../../../src/store/event/store-candle.event.ts"],"names":[],"mappings":";;;AAAA,2DAA6D;AAM7D,MAAa,WAAW;IAGtB,YACW,UAA8B,EAC9B,SAAiB,EACjB,IAAY,EACZ,IAAY,EACZ,GAAW,EACX,KAAa,EACb,MAAc,EACd,SAAoB;QAPpB,eAAU,GAAV,UAAU,CAAoB;QAC9B,cAAS,GAAT,SAAS,CAAQ;QACjB,SAAI,GAAJ,IAAI,CAAQ;QACZ,SAAI,GAAJ,IAAI,CAAQ;QACZ,QAAG,GAAH,GAAG,CAAQ;QACX,UAAK,GAAL,KAAK,CAAQ;QACb,WAAM,GAAN,MAAM,CAAQ;QACd,cAAS,GAAT,SAAS,CAAW;QAV/B,SAAI,GAAG,QAAQ,CAAC;IAWb,CAAC;CACL;AAbD,kCAaC;AAED,SAAgB,kBAAkB,CAAC,KAAkB,EAAE,KAAY;IACjE,OAAO,IAAA,0CAAsB,EAC3B;QACE,IAAI,EAAE,aAAa;QACnB,UAAU,EAAE,KAAK,CAAC,UAAU;QAC5B,QAAQ,EAAE,KAAK,CAAC,MAAM;QACtB,IAAI,EAAE,KAAK,CAAC,KAAK;QACjB,SAAS,EAAE,KAAK,CAAC,SAAS;KAC3B,EACD,KAAK,CACN,CAAC;AACJ,CAAC;AAXD,gDAWC"}
+{"version":3,"file":"store-candle.event.js","sourceRoot":"","sources":["../../../src/store/event/store-candle.event.ts"],"names":[],"mappings":";;;;;;;;;;;;AAAA,2DAA6D;AAC7D,mEAAqE;AAErE,yCAAkD;AAGlD,8CAA2C;AAG3C,IAAa,WAAW,GAAxB,MAAa,WAAW;IAGtB,YACW,UAA8B,EAC9B,SAAiB,EACjB,IAAY,EACZ,IAAY,EACZ,GAAW,EACX,KAAa,EACb,MAAc,EACd,SAAoB;QAPpB,eAAU,GAAV,UAAU,CAAoB;QAC9B,cAAS,GAAT,SAAS,CAAQ;QACjB,SAAI,GAAJ,IAAI,CAAQ;QACZ,SAAI,GAAJ,IAAI,CAAQ;QACZ,QAAG,GAAH,GAAG,CAAQ;QACX,UAAK,GAAL,KAAK,CAAQ;QACb,WAAM,GAAN,MAAM,CAAQ;QACd,cAAS,GAAT,SAAS,CAAW;QAV/B,SAAI,GAAG,QAAQ,CAAC;IAWb,CAAC;CACL,CAAA;AAbY,WAAW;IADvB,aAAK;qCAKmB,2BAAkB;GAJ9B,WAAW,CAavB;AAbY,kCAAW;AAexB,SAAgB,kBAAkB,CAAC,KAAkB,EAAE,KAAY;IACjE,MAAM,UAAU,GAAG,KAAK,CAAC,QAAQ,CAAC,UAAU,CAAC,KAAK,CAAC,UAAU,CAAC,QAAQ,EAAE,CAAC,CAAC;IAG1E,MAAM,KAAK,GAAG,IAAA,0CAAsB,EAClC;QACE,IAAI,EAAE,aAAa;QACnB,UAAU,EAAE,KAAK,CAAC,UAAU;QAC5B,QAAQ,EAAE,KAAK,CAAC,MAAM;QACtB,IAAI,EAAE,KAAK,CAAC,KAAK;QACjB,SAAS,EAAE,KAAK,CAAC,SAAS;KAC3B,EACD,KAAK,CACN,CAAC;IAGF,MAAM,SAAS,GAAG,IAAA,kDAA0B,EAC1C;QACE,IAAI,EAAE,iBAAiB;QACvB,UAAU,EAAE,KAAK,CAAC,UAAU;QAC5B,eAAe,EAAE,KAAK,CAAC,MAAM,GAAG,GAAG;QACnC,WAAW,EAAE,KAAK,CAAC,KAAK,GAAG,UAAU,CAAC,KAAK,CAAC,QAAQ;QACpD,eAAe,EAAE,KAAK,CAAC,MAAM,GAAG,GAAG;QACnC,WAAW,EAAE,KAAK,CAAC,KAAK,GAAG,UAAU,CAAC,KAAK,CAAC,QAAQ;QACpD,SAAS,EAAE,KAAK,CAAC,SAAS;KAC3B,EACD,KAAK,CACN,CAAC;IAEF,KAAK,CAAC,SAAS,GAAG,KAAK,CAAC,SAAS,CAAC;IAElC,OAAO,CAAC,KAAK,EAAE,SAAS,CAAC,CAAC;AAC5B,CAAC;AAhCD,gDAgCC"}

package/dist/store/store.d.ts

@@ -31,5 +31,5 @@ export declare class Store extends Topic<StoreEvent, any> {
     onPositionLoad(event: PositionLoadEvent): import("../domain").Position;
     onPositionPatch(event: PositionPatchEvent): (import("../domain").Position | import("../domain").Balance)[];
     onTradePatch(event: TradePatchEvent): import("../domain").Trade;
-    onCandle(event: CandleEvent): import("../domain").Trade;
+    onCandle(event: CandleEvent): (import("../domain").Orderbook | import("../domain").Trade)[];
 }

package/dist/tests/backtester-adapter.spec.js

@@ -46,7 +46,7 @@ __decorate([
 const instrument = (0, domain_1.instrumentOf)('binance:btc-usdt');
 const adapter = new DefaultAdapter();
 const store = new store_1.Store();
-const feed = new storage_1.InMemoryFeed();
+const feed = new storage_1.Feed(new storage_1.InMemoryStorage());
 describe('backtester adapter tests', () => {
     test('should return proper adapter name and timestamp', () => {
         const sut = new backtester_adapter_1.BacktesterAdapter(adapter, new backtester_streamer_1.BacktesterStreamer(store, feed, {
@@ -73,7 +73,7 @@ describe('backtester adapter tests', () => {
                 done();
             }
         });
-        feed.write(instrument, [new event_1.TradePatchEvent(instrument, 100, 10, 1)]);
+        feed.save(instrument, [new event_1.TradePatchEvent(instrument, 100, 10, 1)]);
         const sut = new backtester_adapter_1.BacktesterAdapter(adapter, streamer);
         sut.dispatch(new adapter_1.AdapterAwakeCommand(), new adapter_3.AdapterContext(sut, store));
         sut.dispatch(new adapter_2.AdapterSubscribeCommand([instrument]), new adapter_3.AdapterContext(sut, store));

package/dist/tests/backtester-adapter.spec.js.map

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