@quantform/core 0.3.221 → 0.3.229
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- package/dist/adapter/adapter.event.js +2 -1
- package/dist/adapter/adapter.event.js.map +1 -1
- package/dist/adapter/backtester/backtester-adapter.js +0 -2
- package/dist/adapter/backtester/backtester-adapter.js.map +1 -1
- package/dist/adapter/backtester/backtester-cursor.d.ts +1 -1
- package/dist/adapter/backtester/backtester-cursor.js +5 -1
- package/dist/adapter/backtester/backtester-cursor.js.map +1 -1
- package/dist/adapter/backtester/backtester-cursor.spec.js +5 -5
- package/dist/adapter/backtester/backtester-cursor.spec.js.map +1 -1
- package/dist/adapter/backtester/backtester-streamer.spec.d.ts +1 -0
- package/dist/adapter/backtester/backtester-streamer.spec.js +45 -0
- package/dist/adapter/backtester/backtester-streamer.spec.js.map +1 -0
- package/dist/bin.d.ts +2 -2
- package/dist/bin.js +5 -2
- package/dist/bin.js.map +1 -1
- package/dist/session/session.d.ts +8 -4
- package/dist/session/session.js +16 -9
- package/dist/session/session.js.map +1 -1
- package/dist/storage/feed.d.ts +7 -4
- package/dist/storage/feed.js +21 -0
- package/dist/storage/feed.js.map +1 -1
- package/dist/storage/index.d.ts +1 -2
- package/dist/storage/index.js +1 -2
- package/dist/storage/index.js.map +1 -1
- package/dist/storage/measurement.d.ts +7 -9
- package/dist/storage/measurement.js +25 -0
- package/dist/storage/measurement.js.map +1 -1
- package/dist/storage/storage.d.ts +23 -0
- package/dist/storage/storage.js +48 -0
- package/dist/storage/storage.js.map +1 -0
- package/dist/store/event/store-candle.event.d.ts +1 -1
- package/dist/store/event/store-candle.event.js +31 -3
- package/dist/store/event/store-candle.event.js.map +1 -1
- package/dist/store/event/store-candle.event.spec.d.ts +1 -0
- package/dist/store/event/store-candle.event.spec.js +24 -0
- package/dist/store/event/store-candle.event.spec.js.map +1 -0
- package/dist/store/event/store-trade.event.spec.js +1 -1
- package/dist/store/event/store-trade.event.spec.js.map +1 -1
- package/dist/store/store.d.ts +1 -1
- package/dist/store/store.state.js.map +1 -1
- package/dist/tests/backtester-adapter.spec.js +2 -2
- package/dist/tests/backtester-adapter.spec.js.map +1 -1
- package/dist/tsconfig.tsbuildinfo +1 -1
- package/jestconfig.unit.json +2 -1
- package/package.json +1 -1
- package/src/adapter/backtester/backtester-adapter.ts +0 -2
- package/src/adapter/backtester/backtester-cursor.spec.ts +8 -8
- package/src/adapter/backtester/backtester-cursor.ts +6 -2
- package/src/adapter/backtester/backtester-streamer.spec.ts +53 -0
- package/src/bin.ts +7 -3
- package/src/session/session-descriptor.ts +3 -10
- package/src/session/session.ts +31 -14
- package/src/storage/feed.ts +32 -7
- package/src/storage/index.ts +1 -2
- package/src/storage/measurement.ts +28 -15
- package/src/storage/storage.ts +76 -0
- package/src/store/event/store-candle.event.spec.ts +32 -0
- package/src/store/event/store-candle.event.ts +25 -1
- package/src/store/event/store-trade.event.spec.ts +1 -1
- package/src/store/store.state.ts +1 -0
- package/src/tests/backtester-adapter.spec.ts +3 -3
- package/dist/storage/feed.interceptor.d.ts +0 -14
- package/dist/storage/feed.interceptor.js +0 -52
- package/dist/storage/feed.interceptor.js.map +0 -1
- package/dist/storage/in-memory.feed.d.ts +0 -10
- package/dist/storage/in-memory.feed.js +0 -30
- package/dist/storage/in-memory.feed.js.map +0 -1
- package/src/storage/feed.interceptor.ts +0 -92
- package/src/storage/in-memory.feed.ts +0 -38
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@@ -10,6 +10,7 @@ var __metadata = (this && this.__metadata) || function (k, v) {
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};
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Object.defineProperty(exports, "__esModule", { value: true });
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exports.AdapterFeedCommand = exports.AdapterHistoryQuery = exports.AdapterOrderCancelCommand = exports.AdapterOrderOpenCommand = exports.AdapterSubscribeCommand = exports.AdapterAccountCommand = exports.AdapterDisposeCommand = exports.AdapterAwakeCommand = void 0;
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const storage_1 = require("../storage");
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const domain_1 = require("../domain");
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const topic_1 = require("../common/topic");
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let AdapterAwakeCommand = class AdapterAwakeCommand {
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@@ -97,7 +98,7 @@ let AdapterFeedCommand = class AdapterFeedCommand {
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};
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AdapterFeedCommand = __decorate([
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topic_1.event,
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__metadata("design:paramtypes", [domain_1.InstrumentSelector, Number, Number,
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__metadata("design:paramtypes", [domain_1.InstrumentSelector, Number, Number, storage_1.Feed, Function])
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], AdapterFeedCommand);
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exports.AdapterFeedCommand = AdapterFeedCommand;
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//# sourceMappingURL=adapter.event.js.map
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@@ -1 +1 @@
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1
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-
{"version":3,"file":"adapter.event.js","sourceRoot":"","sources":["../../src/adapter/adapter.event.ts"],"names":[],"mappings":";;;;;;;;;;;;
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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"}
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@@ -13,7 +13,6 @@ exports.BacktesterAdapter = exports.BacktesterOptions = void 0;
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const __1 = require("..");
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const paper_1 = require("../paper");
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const topic_1 = require("../../common/topic");
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const common_1 = require("../../common");
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const adapter_event_1 = require("../adapter.event");
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const event_1 = require("../../store/event");
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class BacktesterOptions extends paper_1.PaperOptions {
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@@ -40,7 +39,6 @@ class BacktesterAdapter extends __1.Adapter {
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this.streamer.subscribe(it);
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});
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context.store.dispatch(...command.instrument.map(it => new event_1.InstrumentSubscriptionEvent(context.timestamp, it, true)));
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this.streamer.tryContinue().catch(it => common_1.Logger.error(it));
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}
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async onHistory(event, context) {
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this.streamer.stop();
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@@ -1 +1 @@
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1
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-
{"version":3,"file":"backtester-adapter.js","sourceRoot":"","sources":["../../../src/adapter/backtester/backtester-adapter.ts"],"names":[],"mappings":";;;;;;;;;;;;AAAA,0BAA6C;AAE7C,oCAAsD;AACtD,8CAA6C;
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{"version":3,"file":"backtester-adapter.js","sourceRoot":"","sources":["../../../src/adapter/backtester/backtester-adapter.ts"],"names":[],"mappings":";;;;;;;;;;;;AAAA,0BAA6C;AAE7C,oCAAsD;AACtD,8CAA6C;AAE7C,oDAAgF;AAChF,6CAAgE;AAEhE,MAAa,iBAAkB,SAAQ,oBAAY;CAKlD;AALD,8CAKC;AAED,MAAa,iBAAkB,SAAQ,WAAO;IAG5C,YAAqB,gBAAyB,EAAW,QAA4B;QACnF,KAAK,EAAE,CAAC;QADW,qBAAgB,GAAhB,gBAAgB,CAAS;QAAW,aAAQ,GAAR,QAAQ,CAAoB;QAF5E,SAAI,GAAG,IAAI,CAAC,gBAAgB,CAAC,IAAI,CAAC;IAI3C,CAAC;IAED,SAAS;QACP,OAAO,IAAI,CAAC,QAAQ,CAAC,SAAS,CAAC;IACjC,CAAC;IAED,gBAAgB,CAAC,OAAqB;QACpC,OAAO,IAAI,CAAC,gBAAgB,CAAC,gBAAgB,CAAC,OAAO,CAAC,CAAC;IACzD,CAAC;IAED,cAAc,CAAC,KAAuB,EAAE,OAAuB;QAC7D,OAAO,IAAI,CAAC,gBAAgB,CAAC,QAAQ,CAAC,KAAK,EAAE,OAAO,CAAC,CAAC;IACxD,CAAC;IAGD,WAAW,CAAC,OAAgC,EAAE,OAAuB;QACnE,OAAO,CAAC,UAAU,CAAC,OAAO,CAAC,EAAE,CAAC,EAAE;YAC9B,IAAI,CAAC,QAAQ,CAAC,SAAS,CAAC,EAAE,CAAC,CAAC;QAC9B,CAAC,CAAC,CAAC;QAEH,OAAO,CAAC,KAAK,CAAC,QAAQ,CACpB,GAAG,OAAO,CAAC,UAAU,CAAC,GAAG,CACvB,EAAE,CAAC,EAAE,CAAC,IAAI,mCAA2B,CAAC,OAAO,CAAC,SAAS,EAAE,EAAE,EAAE,IAAI,CAAC,CACnE,CACF,CAAC;IACJ,CAAC;IAGD,KAAK,CAAC,SAAS,CAAC,KAA0B,EAAE,OAAuB;QACjE,IAAI,CAAC,QAAQ,CAAC,IAAI,EAAE,CAAC;QAErB,MAAM,QAAQ,GAAG,MAAM,IAAI,CAAC,gBAAgB,CAAC,QAAQ,CAAC,KAAK,EAAE,OAAO,CAAC,CAAC;QAEtE,IAAI,CAAC,QAAQ,CAAC,WAAW,EAAE,CAAC;QAE5B,OAAO,QAAQ,CAAC;IAClB,CAAC;CACF;AAtBC;IADC,IAAA,eAAO,EAAC,uCAAuB,CAAC;;qCACZ,uCAAuB,EAAW,kBAAc;;oDAUpE;AAGD;IADC,IAAA,eAAO,EAAC,mCAAmB,CAAC;;qCACN,mCAAmB,EAAW,kBAAc;;kDAQlE;AAzCH,8CA0CC"}
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constructor(instrument: InstrumentSelector, feed: Feed);
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peek(): StoreEvent;
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dequeue(): StoreEvent & any;
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fetchNextPage(from: timestamp, to:
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fetchNextPage(from: timestamp, to: number): Promise<void>;
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}
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throw new Error('page is not empty');
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}
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this.pageIndex = 0;
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this.page = await this.feed.
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this.page = await this.feed.query(this.instrument, {
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from,
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to,
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count: 10000
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});
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}
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}
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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,
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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"}
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describe('backtester cursor tests', () => {
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test('should reapeat specific events', async () => {
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const instrument = (0, domain_1.instrumentOf)('binance:btc-usdt');
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const feed = new storage_1.
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const feed = new storage_1.Feed(new storage_1.InMemoryStorage());
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const cursor = new backtester_cursor_1.BacktesterCursor(instrument, feed);
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feed.
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feed.save(instrument, [
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new event_1.TradePatchEvent(instrument, 1, 1, 1),
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new event_1.TradePatchEvent(instrument, 2, 1, 2),
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new event_1.TradePatchEvent(instrument, 7, 1, 7),
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await cursor.fetchNextPage(0,
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await cursor.fetchNextPage(0, 4);
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expect(cursor.dequeue().rate).toEqual(1);
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expect(cursor.dequeue().rate).toEqual(3);
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await cursor.fetchNextPage(3,
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await cursor.fetchNextPage(3, 7);
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expect(cursor.dequeue().rate).toEqual(4);
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expect(cursor.dequeue().rate).toEqual(5);
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expect(cursor.dequeue().rate).toEqual(6);
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expect(cursor.peek()).toEqual(undefined);
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await cursor.fetchNextPage(6,
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await cursor.fetchNextPage(6, 10);
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expect(cursor.dequeue().rate).toEqual(7);
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expect(cursor.dequeue().rate).toEqual(8);
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expect(cursor.peek()).toEqual(undefined);
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{"version":3,"file":"backtester-cursor.spec.js","sourceRoot":"","sources":["../../../src/adapter/backtester/backtester-cursor.spec.ts"],"names":[],"mappings":";;AAAA,
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+
{"version":3,"file":"backtester-cursor.spec.js","sourceRoot":"","sources":["../../../src/adapter/backtester/backtester-cursor.spec.ts"],"names":[],"mappings":";;AAAA,yCAAuD;AACvD,2CAAsD;AACtD,6CAAiE;AACjE,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"}
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
export {};
|
|
@@ -0,0 +1,45 @@
|
|
|
1
|
+
"use strict";
|
|
2
|
+
Object.defineProperty(exports, "__esModule", { value: true });
|
|
3
|
+
const store_1 = require("../../store");
|
|
4
|
+
const domain_1 = require("../../domain");
|
|
5
|
+
const storage_1 = require("../../storage");
|
|
6
|
+
const event_1 = require("../../store/event");
|
|
7
|
+
const backtester_streamer_1 = require("./backtester-streamer");
|
|
8
|
+
const instrument = new domain_1.Instrument(new domain_1.Asset('btc', 'binance', 8), new domain_1.Asset('usdt', 'binance', 2), 'binance:btc-usdt');
|
|
9
|
+
describe('backtester streamer tests', () => {
|
|
10
|
+
test('should reapeat specific events', done => {
|
|
11
|
+
const feed = new storage_1.Feed(new storage_1.InMemoryStorage());
|
|
12
|
+
const store = new store_1.Store();
|
|
13
|
+
store.snapshot.universe.instrument[instrument.toString()] = instrument;
|
|
14
|
+
store.snapshot.subscription.instrument[instrument.toString()] = instrument;
|
|
15
|
+
const streamer = new backtester_streamer_1.BacktesterStreamer(store, feed, {
|
|
16
|
+
balance: {},
|
|
17
|
+
from: 0,
|
|
18
|
+
to: 10,
|
|
19
|
+
completed: () => {
|
|
20
|
+
const trade = store.snapshot.trade[instrument.toString()];
|
|
21
|
+
expect(trade.timestamp).toEqual(8);
|
|
22
|
+
expect(trade.rate).toEqual(8);
|
|
23
|
+
expect(trade.quantity).toEqual(8);
|
|
24
|
+
expect(store.snapshot.timestamp).toEqual(8);
|
|
25
|
+
done();
|
|
26
|
+
}
|
|
27
|
+
});
|
|
28
|
+
feed
|
|
29
|
+
.save(instrument, [
|
|
30
|
+
new event_1.CandleEvent(instrument, domain_1.Timeframe.M1, 1, 1, 1, 1, 1, 1),
|
|
31
|
+
new event_1.CandleEvent(instrument, domain_1.Timeframe.M1, 2, 2, 2, 2, 2, 2),
|
|
32
|
+
new event_1.CandleEvent(instrument, domain_1.Timeframe.M1, 3, 3, 3, 3, 3, 3),
|
|
33
|
+
new event_1.CandleEvent(instrument, domain_1.Timeframe.M1, 4, 4, 4, 4, 4, 4),
|
|
34
|
+
new event_1.CandleEvent(instrument, domain_1.Timeframe.M1, 5, 5, 5, 5, 5, 5),
|
|
35
|
+
new event_1.CandleEvent(instrument, domain_1.Timeframe.M1, 6, 6, 6, 6, 6, 6),
|
|
36
|
+
new event_1.CandleEvent(instrument, domain_1.Timeframe.M1, 7, 7, 7, 7, 7, 7),
|
|
37
|
+
new event_1.CandleEvent(instrument, domain_1.Timeframe.M1, 8, 8, 8, 8, 8, 8)
|
|
38
|
+
])
|
|
39
|
+
.then(() => {
|
|
40
|
+
streamer.subscribe(instrument);
|
|
41
|
+
streamer.tryContinue();
|
|
42
|
+
});
|
|
43
|
+
});
|
|
44
|
+
});
|
|
45
|
+
//# sourceMappingURL=backtester-streamer.spec.js.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
{"version":3,"file":"backtester-streamer.spec.js","sourceRoot":"","sources":["../../../src/adapter/backtester/backtester-streamer.spec.ts"],"names":[],"mappings":";;AAAA,uCAAoC;AACpC,yCAA4D;AAC5D,2CAAsD;AACtD,6CAAgD;AAChD,+DAA2D;AAE3D,MAAM,UAAU,GAAG,IAAI,mBAAU,CAC/B,IAAI,cAAK,CAAC,KAAK,EAAE,SAAS,EAAE,CAAC,CAAC,EAC9B,IAAI,cAAK,CAAC,MAAM,EAAE,SAAS,EAAE,CAAC,CAAC,EAC/B,kBAAkB,CACnB,CAAC;AAEF,QAAQ,CAAC,2BAA2B,EAAE,GAAG,EAAE;IACzC,IAAI,CAAC,gCAAgC,EAAE,IAAI,CAAC,EAAE;QAC5C,MAAM,IAAI,GAAG,IAAI,cAAI,CAAC,IAAI,yBAAe,EAAE,CAAC,CAAC;QAC7C,MAAM,KAAK,GAAG,IAAI,aAAK,EAAE,CAAC;QAE1B,KAAK,CAAC,QAAQ,CAAC,QAAQ,CAAC,UAAU,CAAC,UAAU,CAAC,QAAQ,EAAE,CAAC,GAAG,UAAU,CAAC;QACvE,KAAK,CAAC,QAAQ,CAAC,YAAY,CAAC,UAAU,CAAC,UAAU,CAAC,QAAQ,EAAE,CAAC,GAAG,UAAU,CAAC;QAE3E,MAAM,QAAQ,GAAG,IAAI,wCAAkB,CAAC,KAAK,EAAE,IAAI,EAAE;YACnD,OAAO,EAAE,EAAE;YACX,IAAI,EAAE,CAAC;YACP,EAAE,EAAE,EAAE;YACN,SAAS,EAAE,GAAG,EAAE;gBACd,MAAM,KAAK,GAAG,KAAK,CAAC,QAAQ,CAAC,KAAK,CAAC,UAAU,CAAC,QAAQ,EAAE,CAAC,CAAC;gBAE1D,MAAM,CAAC,KAAK,CAAC,SAAS,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,CAAC;gBACnC,MAAM,CAAC,KAAK,CAAC,IAAI,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,CAAC;gBAC9B,MAAM,CAAC,KAAK,CAAC,QAAQ,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,CAAC;gBAClC,MAAM,CAAC,KAAK,CAAC,QAAQ,CAAC,SAAS,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,CAAC;gBAE5C,IAAI,EAAE,CAAC;YACT,CAAC;SACF,CAAC,CAAC;QAEH,IAAI;aACD,IAAI,CAAC,UAAU,EAAE;YAChB,IAAI,mBAAW,CAAC,UAAU,EAAE,kBAAS,CAAC,EAAE,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,CAAC;YAC3D,IAAI,mBAAW,CAAC,UAAU,EAAE,kBAAS,CAAC,EAAE,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,CAAC;YAC3D,IAAI,mBAAW,CAAC,UAAU,EAAE,kBAAS,CAAC,EAAE,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,CAAC;YAC3D,IAAI,mBAAW,CAAC,UAAU,EAAE,kBAAS,CAAC,EAAE,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,CAAC;YAC3D,IAAI,mBAAW,CAAC,UAAU,EAAE,kBAAS,CAAC,EAAE,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,CAAC;YAC3D,IAAI,mBAAW,CAAC,UAAU,EAAE,kBAAS,CAAC,EAAE,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,CAAC;YAC3D,IAAI,mBAAW,CAAC,UAAU,EAAE,kBAAS,CAAC,EAAE,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,CAAC;YAC3D,IAAI,mBAAW,CAAC,UAAU,EAAE,kBAAS,CAAC,EAAE,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,CAAC;SAC5D,CAAC;aACD,IAAI,CAAC,GAAG,EAAE;YACT,QAAQ,CAAC,SAAS,CAAC,UAAU,CAAC,CAAC;YAC/B,QAAQ,CAAC,WAAW,EAAE,CAAC;QACzB,CAAC,CAAC,CAAC;IACP,CAAC,CAAC,CAAC;AACL,CAAC,CAAC,CAAC"}
|
package/dist/bin.d.ts
CHANGED
|
@@ -1,4 +1,4 @@
|
|
|
1
|
-
import { BacktesterOptions } from './adapter/backtester';
|
|
1
|
+
import { BacktesterOptions, BacktesterStreamer } from './adapter/backtester';
|
|
2
2
|
import { PaperOptions } from './adapter/paper';
|
|
3
3
|
import { Session, SessionDescriptor } from './session';
|
|
4
4
|
export interface IpcCommand {
|
|
@@ -34,7 +34,7 @@ export declare class IpcFeedCommand implements IpcCommand {
|
|
|
34
34
|
to: number;
|
|
35
35
|
}
|
|
36
36
|
export declare function run(descriptor: SessionDescriptor, ...commands: IpcCommand[]): Promise<Session>;
|
|
37
|
-
export declare function backtest(descriptor: SessionDescriptor, options: BacktesterOptions): Session;
|
|
37
|
+
export declare function backtest(descriptor: SessionDescriptor, options: BacktesterOptions): [Session, BacktesterStreamer];
|
|
38
38
|
export declare function paper(descriptor: SessionDescriptor, options: PaperOptions): Session;
|
|
39
39
|
export declare function live(descriptor: SessionDescriptor): Session;
|
|
40
40
|
export declare function idle(descriptor: SessionDescriptor): Session;
|
package/dist/bin.js
CHANGED
|
@@ -18,6 +18,7 @@ const store_1 = require("./store");
|
|
|
18
18
|
const domain_1 = require("./domain");
|
|
19
19
|
const topic_1 = require("./common/topic");
|
|
20
20
|
const minimist = require("minimist");
|
|
21
|
+
const common_1 = require("./common");
|
|
21
22
|
let IpcPaperModeCommand = class IpcPaperModeCommand {
|
|
22
23
|
constructor() {
|
|
23
24
|
this.type = 'paper';
|
|
@@ -88,7 +89,7 @@ class ExecutionHandler extends topic_1.Topic {
|
|
|
88
89
|
}
|
|
89
90
|
onBacktestMode(command, accessor) {
|
|
90
91
|
return new Promise(async (resolve) => {
|
|
91
|
-
|
|
92
|
+
const [session, streamer] = backtest(this.descriptor, {
|
|
92
93
|
from: command.from,
|
|
93
94
|
to: command.to,
|
|
94
95
|
balance: command.balance,
|
|
@@ -106,8 +107,10 @@ class ExecutionHandler extends topic_1.Topic {
|
|
|
106
107
|
resolve();
|
|
107
108
|
}
|
|
108
109
|
});
|
|
110
|
+
accessor.session = session;
|
|
109
111
|
this.notify({ type: 'backtest:started' });
|
|
110
112
|
await accessor.session.awake();
|
|
113
|
+
await streamer.tryContinue().catch(it => common_1.Logger.error(it));
|
|
111
114
|
});
|
|
112
115
|
}
|
|
113
116
|
onUniverse(query, accessor) {
|
|
@@ -195,7 +198,7 @@ function backtest(descriptor, options) {
|
|
|
195
198
|
const store = new store_1.Store();
|
|
196
199
|
const streamer = new backtester_1.BacktesterStreamer(store, descriptor.feed, options);
|
|
197
200
|
const aggregate = new adapter_1.AdapterAggregate(store, descriptor.adapter.map(it => new paper_1.PaperAdapter(new backtester_1.BacktesterAdapter(it, streamer), store, options)));
|
|
198
|
-
return new session_1.Session(store, aggregate, descriptor);
|
|
201
|
+
return [new session_1.Session(store, aggregate, descriptor), streamer];
|
|
199
202
|
}
|
|
200
203
|
exports.backtest = backtest;
|
|
201
204
|
function paper(descriptor, options) {
|
package/dist/bin.js.map
CHANGED
|
@@ -1 +1 @@
|
|
|
1
|
-
{"version":3,"file":"bin.js","sourceRoot":"","sources":["../src/bin.ts"],"names":[],"mappings":";;;;;;;;;;;;AAAA,qDAI8B;AAC9B,uCAAiE;AACjE,2CAA6D;AAC7D,uCAAuD;AACvD,mCAAgC;AAChC,qCAAwC;AACxC,0CAAuD;AACvD,qCAAsC;
|
|
1
|
+
{"version":3,"file":"bin.js","sourceRoot":"","sources":["../src/bin.ts"],"names":[],"mappings":";;;;;;;;;;;;AAAA,qDAI8B;AAC9B,uCAAiE;AACjE,2CAA6D;AAC7D,uCAAuD;AACvD,mCAAgC;AAChC,qCAAwC;AACxC,0CAAuD;AACvD,qCAAsC;AACtC,qCAAkC;AAOlC,IAAa,mBAAmB,GAAhC,MAAa,mBAAmB;IAAhC;QACE,SAAI,GAAG,OAAO,CAAC;IAGjB,CAAC;CAAA,CAAA;AAJY,mBAAmB;IAD/B,aAAK;GACO,mBAAmB,CAI/B;AAJY,kDAAmB;AAOhC,IAAa,sBAAsB,GAAnC,MAAa,sBAAsB;IAAnC;QACE,SAAI,GAAG,UAAU,CAAC;IAIpB,CAAC;CAAA,CAAA;AALY,sBAAsB;IADlC,aAAK;GACO,sBAAsB,CAKlC;AALY,wDAAsB;AAQnC,IAAa,kBAAkB,GAA/B,MAAa,kBAAkB;IAA/B;QAEE,SAAI,GAAG,MAAM,CAAC;IAChB,CAAC;CAAA,CAAA;AAHY,kBAAkB;IAD9B,aAAK;GACO,kBAAkB,CAG9B;AAHY,gDAAkB;AAM/B,IAAa,gBAAgB,GAA7B,MAAa,gBAAgB;IAA7B;QACE,SAAI,GAAG,UAAU,CAAC;IAEpB,CAAC;CAAA,CAAA;AAHY,gBAAgB;IAD5B,aAAK;GACO,gBAAgB,CAG5B;AAHY,4CAAgB;AAM7B,IAAa,cAAc,GAA3B,MAAa,cAAc;IAA3B;QACE,SAAI,GAAG,MAAM,CAAC;IAIhB,CAAC;CAAA,CAAA;AALY,cAAc;IAD1B,aAAK;GACO,cAAc,CAK1B;AALY,wCAAc;AAO3B,MAAM,iBAAiB;CAEtB;AAED,MAAM,gBAAiB,SAAQ,aAA0C;IACvE,YAA6B,UAA6B;QACxD,KAAK,EAAE,CAAC;QADmB,eAAU,GAAV,UAAU,CAAmB;IAE1D,CAAC;IAGD,KAAK,CAAC,UAAU,CAAC,OAA2B,EAAE,QAA2B;QACvE,IAAI,OAAO,CAAC,EAAE,EAAE;YACd,IAAI,CAAC,UAAU,CAAC,EAAE,GAAG,OAAO,CAAC,EAAE,CAAC;SACjC;QAED,QAAQ,CAAC,OAAO,GAAG,IAAI,CAAC,IAAI,CAAC,UAAU,CAAC,CAAC;QAEzC,MAAM,QAAQ,CAAC,OAAO,CAAC,KAAK,EAAE,CAAC;IACjC,CAAC;IAGD,KAAK,CAAC,WAAW,CAAC,OAA4B,EAAE,QAA2B;QACzE,IAAI,OAAO,CAAC,EAAE,EAAE;YACd,IAAI,CAAC,UAAU,CAAC,EAAE,GAAG,OAAO,CAAC,EAAE,CAAC;SACjC;QAED,QAAQ,CAAC,OAAO,GAAG,KAAK,CAAC,IAAI,CAAC,UAAU,EAAE;YACxC,OAAO,EAAE,OAAO,CAAC,OAAO;SACzB,CAAC,CAAC;QAEH,MAAM,QAAQ,CAAC,OAAO,CAAC,KAAK,EAAE,CAAC;IACjC,CAAC;IAGD,cAAc,CAAC,OAA+B,EAAE,QAA2B;QACzE,OAAO,IAAI,OAAO,CAAO,KAAK,EAAC,OAAO,EAAC,EAAE;YACvC,MAAM,CAAC,OAAO,EAAE,QAAQ,CAAC,GAAG,QAAQ,CAAC,IAAI,CAAC,UAAU,EAAE;gBACpD,IAAI,EAAE,OAAO,CAAC,IAAI;gBAClB,EAAE,EAAE,OAAO,CAAC,EAAE;gBACd,OAAO,EAAE,OAAO,CAAC,OAAO;gBACxB,QAAQ,EAAE,SAAS,CAAC,EAAE,CACpB,IAAI,CAAC,MAAM,CAAC;oBACV,IAAI,EAAE,kBAAkB;oBACxB,SAAS;oBACT,IAAI,EAAE,OAAO,CAAC,IAAI;oBAClB,EAAE,EAAE,OAAO,CAAC,EAAE;iBACf,CAAC;gBACJ,SAAS,EAAE,KAAK,IAAI,EAAE;oBACpB,MAAM,SAAS,GAAG,EAAE,CAAC;oBAErB,MAAM,QAAQ,CAAC,OAAO,CAAC,OAAO,EAAE,CAAC;oBAEjC,QAAQ,CAAC,OAAO,CAAC,SAAS,CAAC,SAAS,CAAC,CAAC;oBAEtC,IAAI,CAAC,MAAM,CAAC,EAAE,IAAI,EAAE,oBAAoB,EAAE,SAAS,EAAE,CAAC,CAAC;oBAEvD,OAAO,EAAE,CAAC;gBACZ,CAAC;aACF,CAAC,CAAC;YAEH,QAAQ,CAAC,OAAO,GAAG,OAAO,CAAC;YAE3B,IAAI,CAAC,MAAM,CAAC,EAAE,IAAI,EAAE,kBAAkB,EAAE,CAAC,CAAC;YAE1C,MAAM,QAAQ,CAAC,OAAO,CAAC,KAAK,EAAE,CAAC;YAC/B,MAAM,QAAQ,CAAC,WAAW,EAAE,CAAC,KAAK,CAAC,EAAE,CAAC,EAAE,CAAC,eAAM,CAAC,KAAK,CAAC,EAAE,CAAC,CAAC,CAAC;QAC7D,CAAC,CAAC,CAAC;IACL,CAAC;IAGD,UAAU,CAAC,KAAuB,EAAE,QAA2B;;QAC7D,QAAQ,CAAC,OAAO,GAAG,MAAA,QAAQ,CAAC,OAAO,mCAAI,IAAI,CAAC,IAAI,CAAC,UAAU,CAAC,CAAC;IAC/D,CAAC;IAGD,KAAK,CAAC,MAAM,CAAC,OAAuB,EAAE,QAA2B;;QAC/D,QAAQ,CAAC,OAAO,GAAG,MAAA,QAAQ,CAAC,OAAO,mCAAI,IAAI,CAAC,IAAI,CAAC,UAAU,CAAC,CAAC;QAC7D,MAAM,UAAU,GAAG,IAAA,qBAAY,EAAC,OAAO,CAAC,UAAU,CAAC,CAAC;QAEpD,MAAM,QAAQ,CAAC,OAAO,CAAC,KAAK,EAAE,CAAC;QAE/B,IAAI,CAAC,MAAM,CAAC,EAAE,IAAI,EAAE,cAAc,EAAE,CAAC,CAAC;QAEtC,MAAM,QAAQ,CAAC,OAAO,CAAC,SAAS,CAAC,QAAQ,CACvC,UAAU,CAAC,IAAI,CAAC,QAAQ,EACxB,IAAI,4BAAkB,CACpB,UAAU,EACV,OAAO,CAAC,IAAI,EACZ,OAAO,CAAC,EAAE,EACV,IAAI,CAAC,UAAU,CAAC,IAAI,EACpB,SAAS,CAAC,EAAE,CACV,IAAI,CAAC,MAAM,CAAC;YACV,IAAI,EAAE,cAAc;YACpB,SAAS;YACT,IAAI,EAAE,OAAO,CAAC,IAAI;YAClB,EAAE,EAAE,OAAO,CAAC,EAAE;SACf,CAAC,CACL,CACF,CAAC;QAEF,IAAI,CAAC,MAAM,CAAC,EAAE,IAAI,EAAE,gBAAgB,EAAE,CAAC,CAAC;QAExC,MAAM,QAAQ,CAAC,OAAO,CAAC,OAAO,EAAE,CAAC;IACnC,CAAC;IAEO,MAAM,CAAC,OAAY;QACzB,IAAI,CAAC,OAAO,CAAC,IAAI,EAAE;YACjB,OAAO;SACR;QAED,OAAO,CAAC,IAAI,CAAC,OAAO,CAAC,CAAC;IACxB,CAAC;CACF;AAtGC;IADC,IAAA,eAAO,EAAC,kBAAkB,CAAC;;qCACF,kBAAkB,EAAY,iBAAiB;;kDAQxE;AAGD;IADC,IAAA,eAAO,EAAC,mBAAmB,CAAC;;qCACF,mBAAmB,EAAY,iBAAiB;;mDAU1E;AAGD;IADC,IAAA,eAAO,EAAC,sBAAsB,CAAC;;qCACR,sBAAsB,EAAY,iBAAiB;;sDAiC1E;AAGD;IADC,IAAA,eAAO,EAAC,gBAAgB,CAAC;;qCACR,gBAAgB,EAAY,iBAAiB;;kDAE9D;AAGD;IADC,IAAA,eAAO,EAAC,cAAc,CAAC;;qCACF,cAAc,EAAY,iBAAiB;;8CA4BhE;AAWI,KAAK,UAAU,GAAG,CACvB,UAA6B,EAC7B,GAAG,QAAsB;IAEzB,MAAM,OAAO,GAAG,IAAI,gBAAgB,CAAC,UAAU,CAAC,CAAC;IACjD,MAAM,QAAQ,GAAG,IAAI,iBAAiB,EAAE,CAAC;IACzC,MAAM,IAAI,GAAG,QAAQ,CAAC,OAAO,CAAC,IAAI,CAAC,KAAK,CAAC,CAAC,CAAC,CAAC,CAAC;IAE7C,IAAI,IAAI,CAAC,OAAO,EAAE;QAChB,MAAM,IAAI,GAAG,MAAM,CAAC,IAAI,CAAC,IAAI,CAAC,OAAO,EAAE,QAAQ,CAAC,CAAC,QAAQ,CAAC,OAAO,CAAC,CAAC;QAEnE,QAAQ,CAAC,IAAI,CAAC,IAAI,CAAC,KAAK,CAAC,IAAI,CAAC,CAAC,CAAC;KACjC;SAAM;QACL,IAAI,CAAC,QAAQ,CAAC,MAAM,EAAE;YACpB,QAAQ,CAAC,IAAI,CAAC,IAAI,mBAAmB,EAAE,CAAC,CAAC;SAC1C;KACF;IAED,KAAK,MAAM,OAAO,IAAI,QAAQ,EAAE;QAC9B,MAAM,OAAO,CAAC,QAAQ,CAAC,OAAO,EAAE,QAAQ,CAAC,CAAC;KAC3C;IAED,OAAO,CAAC,EAAE,CAAC,SAAS,EAAE,KAAK,EAAE,OAAY,EAAE,EAAE;QAC3C,MAAM,QAAQ,GAAG,MAAM,OAAO,CAAC,QAAQ,CAAC,OAAO,EAAE,QAAQ,CAAC,CAAC;QAE3D,IAAI,QAAQ,EAAE;YACZ,OAAO,CAAC,IAAI,CAAC,QAAQ,CAAC,CAAC;SACxB;IACH,CAAC,CAAC,CAAC;IAEH,OAAO,QAAQ,CAAC,OAAO,CAAC;AAC1B,CAAC;AA/BD,kBA+BC;AAED,SAAgB,QAAQ,CACtB,UAA6B,EAC7B,OAA0B;IAE1B,MAAM,KAAK,GAAG,IAAI,aAAK,EAAE,CAAC;IAE1B,MAAM,QAAQ,GAAG,IAAI,+BAAkB,CAAC,KAAK,EAAE,UAAU,CAAC,IAAI,EAAE,OAAO,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|
|
@@ -4,7 +4,7 @@ import { Observable } from 'rxjs';
|
|
|
4
4
|
import { AdapterAggregate } from '../adapter/adapter-aggregate';
|
|
5
5
|
import { Trade } from '../domain/trade';
|
|
6
6
|
import { SessionDescriptor } from './session-descriptor';
|
|
7
|
-
|
|
7
|
+
declare type Optional<T, K extends keyof T> = Omit<T, K> & Partial<T>;
|
|
8
8
|
export declare class Session {
|
|
9
9
|
readonly store: Store;
|
|
10
10
|
readonly aggregate: AdapterAggregate;
|
|
@@ -13,14 +13,17 @@ export declare class Session {
|
|
|
13
13
|
private subscription;
|
|
14
14
|
private behaviour;
|
|
15
15
|
private worker;
|
|
16
|
+
get timestamp(): number;
|
|
16
17
|
constructor(store: Store, aggregate: AdapterAggregate, descriptor?: SessionDescriptor);
|
|
17
18
|
awake(): Promise<void>;
|
|
18
19
|
dispose(): Promise<void>;
|
|
19
20
|
statement(output: Record<string, any>): void;
|
|
20
|
-
useMeasure<T extends
|
|
21
|
-
|
|
21
|
+
useMeasure<T extends {
|
|
22
|
+
timestamp: number;
|
|
23
|
+
}>(params: {
|
|
24
|
+
kind: string;
|
|
22
25
|
timestamp?: number;
|
|
23
|
-
}, defaultValue?: T): [Observable<T>, (value: T) => void];
|
|
26
|
+
}, defaultValue?: T): [Observable<T>, (value: Optional<T, 'timestamp'>) => void];
|
|
24
27
|
useOptimizer(path: string): any;
|
|
25
28
|
subscribe(instrument: Array<InstrumentSelector>): Promise<void>;
|
|
26
29
|
open(...orders: Order[]): Promise<void>;
|
|
@@ -39,3 +42,4 @@ export declare class Session {
|
|
|
39
42
|
balance(selector?: AssetSelector): Observable<Balance>;
|
|
40
43
|
history(selector: InstrumentSelector, timeframe: number, length: number): Observable<Candle>;
|
|
41
44
|
}
|
|
45
|
+
export {};
|
package/dist/session/session.js
CHANGED
|
@@ -16,6 +16,9 @@ class Session {
|
|
|
16
16
|
this.initialized = false;
|
|
17
17
|
this.worker = new common_1.Worker();
|
|
18
18
|
}
|
|
19
|
+
get timestamp() {
|
|
20
|
+
return this.store.snapshot.timestamp;
|
|
21
|
+
}
|
|
19
22
|
async awake() {
|
|
20
23
|
var _a;
|
|
21
24
|
if (this.initialized) {
|
|
@@ -55,19 +58,23 @@ class Session {
|
|
|
55
58
|
}
|
|
56
59
|
useMeasure(params, defaultValue = undefined) {
|
|
57
60
|
var _a;
|
|
58
|
-
const
|
|
59
|
-
|
|
60
|
-
|
|
61
|
-
|
|
62
|
-
|
|
63
|
-
|
|
61
|
+
const stored$ = (0, rxjs_1.from)(this.descriptor.measurement.query(this.descriptor.id, {
|
|
62
|
+
to: (_a = params.timestamp) !== null && _a !== void 0 ? _a : this.timestamp,
|
|
63
|
+
kind: params.kind,
|
|
64
|
+
count: 1
|
|
65
|
+
})).pipe((0, operators_1.map)(it => it.length ? Object.assign({ timestamp: it[0].timestamp }, it[0].payload) : defaultValue), (0, operators_1.share)());
|
|
66
|
+
const subject$ = new rxjs_1.Subject();
|
|
64
67
|
const setter = (value) => {
|
|
65
|
-
|
|
68
|
+
var _a;
|
|
69
|
+
const timestamp = (_a = value.timestamp) !== null && _a !== void 0 ? _a : this.timestamp;
|
|
70
|
+
const measure = { timestamp, kind: params.kind, payload: value };
|
|
71
|
+
this.worker.enqueue(() => this.descriptor.measurement.save(this.descriptor.id, [measure]));
|
|
72
|
+
subject$.next(Object.assign(Object.assign({}, value), { timestamp }));
|
|
66
73
|
};
|
|
67
|
-
return [
|
|
74
|
+
return [(0, rxjs_1.concat)(stored$, subject$.asObservable()), setter];
|
|
68
75
|
}
|
|
69
76
|
useOptimizer(path) {
|
|
70
|
-
return
|
|
77
|
+
return undefined;
|
|
71
78
|
}
|
|
72
79
|
async subscribe(instrument) {
|
|
73
80
|
const grouped = instrument
|
|
@@ -1 +1 @@
|
|
|
1
|
-
{"version":3,"file":"session.js","sourceRoot":"","sources":["../../src/session/session.ts"],"names":[],"mappings":";;;AAAA,
|
|
1
|
+
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|
package/dist/storage/feed.d.ts
CHANGED
|
@@ -1,7 +1,10 @@
|
|
|
1
1
|
import { StoreEvent } from '../store/event';
|
|
2
2
|
import { InstrumentSelector } from '../domain';
|
|
3
|
-
import {
|
|
4
|
-
export
|
|
5
|
-
|
|
6
|
-
|
|
3
|
+
import { Storage, StorageQueryOptions } from './storage';
|
|
4
|
+
export declare class Feed {
|
|
5
|
+
private readonly storage;
|
|
6
|
+
constructor(storage: Storage);
|
|
7
|
+
index(): Promise<Array<string>>;
|
|
8
|
+
save(instrument: InstrumentSelector, events: StoreEvent[]): Promise<void>;
|
|
9
|
+
query(instrument: InstrumentSelector, options: StorageQueryOptions): Promise<StoreEvent[]>;
|
|
7
10
|
}
|
package/dist/storage/feed.js
CHANGED
|
@@ -1,3 +1,24 @@
|
|
|
1
1
|
"use strict";
|
|
2
2
|
Object.defineProperty(exports, "__esModule", { value: true });
|
|
3
|
+
exports.Feed = void 0;
|
|
4
|
+
class Feed {
|
|
5
|
+
constructor(storage) {
|
|
6
|
+
this.storage = storage;
|
|
7
|
+
}
|
|
8
|
+
index() {
|
|
9
|
+
return this.storage.index();
|
|
10
|
+
}
|
|
11
|
+
save(instrument, events) {
|
|
12
|
+
return this.storage.save(instrument.toString(), events.map(it => ({
|
|
13
|
+
timestamp: it.timestamp,
|
|
14
|
+
kind: it.type,
|
|
15
|
+
json: JSON.stringify(it, (key, value) => key != 'timestamp' && key != 'type' && key != 'instrument' ? value : undefined)
|
|
16
|
+
})));
|
|
17
|
+
}
|
|
18
|
+
async query(instrument, options) {
|
|
19
|
+
const rows = await this.storage.query(instrument.toString(), options);
|
|
20
|
+
return rows.map(it => (Object.assign({ timestamp: it.timestamp, type: it.kind, instrument }, JSON.parse(it.json))));
|
|
21
|
+
}
|
|
22
|
+
}
|
|
23
|
+
exports.Feed = Feed;
|
|
3
24
|
//# sourceMappingURL=feed.js.map
|
package/dist/storage/feed.js.map
CHANGED
|
@@ -1 +1 @@
|
|
|
1
|
-
{"version":3,"file":"feed.js","sourceRoot":"","sources":["../../src/storage/feed.ts"],"names":[],"mappings":""}
|
|
1
|
+
{"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
CHANGED
package/dist/storage/index.js
CHANGED
|
@@ -11,7 +11,6 @@ var __exportStar = (this && this.__exportStar) || function(m, exports) {
|
|
|
11
11
|
};
|
|
12
12
|
Object.defineProperty(exports, "__esModule", { value: true });
|
|
13
13
|
__exportStar(require("./feed"), exports);
|
|
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-
__exportStar(require("./
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__exportStar(require("./feed.interceptor"), exports);
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__exportStar(require("./storage"), exports);
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__exportStar(require("./measurement"), exports);
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//# sourceMappingURL=index.js.map
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@@ -1 +1 @@
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1
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-
{"version":3,"file":"index.js","sourceRoot":"","sources":["../../src/storage/index.ts"],"names":[],"mappings":";;;;;;;;;;;;AAAA,yCAAuB;AACvB,
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1
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+
{"version":3,"file":"index.js","sourceRoot":"","sources":["../../src/storage/index.ts"],"names":[],"mappings":";;;;;;;;;;;;AAAA,yCAAuB;AACvB,4CAA0B;AAC1B,gDAA8B"}
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@@ -1,16 +1,14 @@
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1
1
|
import { timestamp } from '../common';
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2
|
+
import { Storage, StorageQueryOptions } from './storage';
|
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2
3
|
export interface Measure {
|
|
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4
|
timestamp: timestamp;
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4
|
-
|
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-
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kind: string;
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|
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payload: any;
|
|
6
7
|
}
|
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7
|
-
export
|
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8
|
+
export declare class Measurement {
|
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9
|
+
private readonly storage;
|
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10
|
+
constructor(storage: Storage);
|
|
8
11
|
index(): Promise<Array<number>>;
|
|
9
|
-
query(session: number, options: {
|
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10
|
-
timestamp: timestamp;
|
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11
|
-
type?: string;
|
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12
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-
limit: number;
|
|
13
|
-
direction: 'FORWARD' | 'BACKWARD';
|
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14
|
-
}): Promise<Measure[]>;
|
|
15
12
|
save(session: number, measurements: Measure[]): Promise<void>;
|
|
13
|
+
query(session: number, options: StorageQueryOptions): Promise<Measure[]>;
|
|
16
14
|
}
|
|
@@ -1,3 +1,28 @@
|
|
|
1
1
|
"use strict";
|
|
2
2
|
Object.defineProperty(exports, "__esModule", { value: true });
|
|
3
|
+
exports.Measurement = void 0;
|
|
4
|
+
class Measurement {
|
|
5
|
+
constructor(storage) {
|
|
6
|
+
this.storage = storage;
|
|
7
|
+
}
|
|
8
|
+
async index() {
|
|
9
|
+
return (await this.storage.index()).map(it => Number(it));
|
|
10
|
+
}
|
|
11
|
+
save(session, measurements) {
|
|
12
|
+
return this.storage.save(session.toString(), measurements.map(it => ({
|
|
13
|
+
timestamp: it.timestamp,
|
|
14
|
+
kind: it.kind,
|
|
15
|
+
json: JSON.stringify(it.payload)
|
|
16
|
+
})));
|
|
17
|
+
}
|
|
18
|
+
async query(session, options) {
|
|
19
|
+
const rows = await this.storage.query(session.toString(), options);
|
|
20
|
+
return rows.map(it => ({
|
|
21
|
+
timestamp: it.timestamp,
|
|
22
|
+
kind: it.kind,
|
|
23
|
+
payload: JSON.parse(it.json)
|
|
24
|
+
}));
|
|
25
|
+
}
|
|
26
|
+
}
|
|
27
|
+
exports.Measurement = Measurement;
|
|
3
28
|
//# sourceMappingURL=measurement.js.map
|
|
@@ -1 +1 @@
|
|
|
1
|
-
{"version":3,"file":"measurement.js","sourceRoot":"","sources":["../../src/storage/measurement.ts"],"names":[],"mappings":""}
|
|
1
|
+
{"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"}
|
|
@@ -0,0 +1,23 @@
|
|
|
1
|
+
export declare type StorageDocument = {
|
|
2
|
+
timestamp: number;
|
|
3
|
+
kind: string;
|
|
4
|
+
json: string;
|
|
5
|
+
};
|
|
6
|
+
export declare type StorageQueryOptions = {
|
|
7
|
+
from?: number;
|
|
8
|
+
to?: number;
|
|
9
|
+
kind?: string;
|
|
10
|
+
count: number;
|
|
11
|
+
};
|
|
12
|
+
export interface Storage {
|
|
13
|
+
index(): Promise<Array<string>>;
|
|
14
|
+
save(library: string, documents: StorageDocument[]): Promise<void>;
|
|
15
|
+
query(library: string, options: StorageQueryOptions): Promise<StorageDocument[]>;
|
|
16
|
+
}
|
|
17
|
+
export declare class InMemoryStorage implements Storage {
|
|
18
|
+
private tables;
|
|
19
|
+
index(): Promise<Array<string>>;
|
|
20
|
+
query(library: string, options: StorageQueryOptions): Promise<StorageDocument[]>;
|
|
21
|
+
save(library: string, documents: StorageDocument[]): Promise<void>;
|
|
22
|
+
clear(): void;
|
|
23
|
+
}
|
|
@@ -0,0 +1,48 @@
|
|
|
1
|
+
"use strict";
|
|
2
|
+
Object.defineProperty(exports, "__esModule", { value: true });
|
|
3
|
+
exports.InMemoryStorage = void 0;
|
|
4
|
+
class InMemoryStorage {
|
|
5
|
+
constructor() {
|
|
6
|
+
this.tables = {};
|
|
7
|
+
}
|
|
8
|
+
async index() {
|
|
9
|
+
return Object.keys(this.tables);
|
|
10
|
+
}
|
|
11
|
+
async query(library, options) {
|
|
12
|
+
if (!this.tables[library]) {
|
|
13
|
+
return [];
|
|
14
|
+
}
|
|
15
|
+
let query = this.tables[library];
|
|
16
|
+
if (options.from) {
|
|
17
|
+
query = query.filter(it => it.timestamp > options.from);
|
|
18
|
+
}
|
|
19
|
+
if (options.to) {
|
|
20
|
+
query = query.filter(it => it.timestamp < options.to);
|
|
21
|
+
}
|
|
22
|
+
if (options.kind) {
|
|
23
|
+
query = query.filter(it => it.kind == options.kind);
|
|
24
|
+
}
|
|
25
|
+
if (options.from == undefined && options.to) {
|
|
26
|
+
query = query.reverse();
|
|
27
|
+
}
|
|
28
|
+
if (options.count) {
|
|
29
|
+
query = query.slice(0, options.count);
|
|
30
|
+
}
|
|
31
|
+
return query;
|
|
32
|
+
}
|
|
33
|
+
async save(library, documents) {
|
|
34
|
+
if (!this.tables[library]) {
|
|
35
|
+
this.tables[library] = [];
|
|
36
|
+
}
|
|
37
|
+
const buffer = this.tables[library];
|
|
38
|
+
for (const document of documents) {
|
|
39
|
+
buffer.push(document);
|
|
40
|
+
}
|
|
41
|
+
buffer.sort((lhs, rhs) => lhs.timestamp - rhs.timestamp);
|
|
42
|
+
}
|
|
43
|
+
clear() {
|
|
44
|
+
this.tables = {};
|
|
45
|
+
}
|
|
46
|
+
}
|
|
47
|
+
exports.InMemoryStorage = InMemoryStorage;
|
|
48
|
+
//# sourceMappingURL=storage.js.map
|
|
@@ -0,0 +1 @@
|
|
|
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"}
|
|
@@ -14,4 +14,4 @@ export declare class CandleEvent implements StoreEvent {
|
|
|
14
14
|
type: string;
|
|
15
15
|
constructor(instrument: InstrumentSelector, timeframe: number, open: number, high: number, low: number, close: number, volume: number, timestamp: timestamp);
|
|
16
16
|
}
|
|
17
|
-
export declare function CandleEventHandler(event: CandleEvent, state: State): import("../../domain").Trade;
|
|
17
|
+
export declare function CandleEventHandler(event: CandleEvent, state: State): (import("../../domain").Orderbook | import("../../domain").Trade)[];
|