@quantform/core 0.3.221 → 0.3.229

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 @@
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+{"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/event/store-candle.event.spec.d.ts

@@ -0,0 +1 @@
+export {};

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

@@ -0,0 +1,24 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+const domain_1 = require("../../domain");
+const _1 = require(".");
+const store_state_1 = require("../store.state");
+const common_1 = require("../../common");
+const instrument = new domain_1.Instrument(new domain_1.Asset('btc', 'binance', 8), new domain_1.Asset('usdt', 'binance', 2), 'binance:btc-usdt');
+describe('candle patch event tests', () => {
+    test('should patch trade object', () => {
+        const timestamp = (0, common_1.now)();
+        const state = new store_state_1.State();
+        state.universe.instrument[instrument.toString()] = instrument;
+        state.subscription.instrument[instrument.toString()] = instrument;
+        const event = new _1.CandleEvent(instrument, 1, 1, 1, 1, 1, 1, timestamp);
+        (0, _1.CandleEventHandler)(event, state);
+        const trade = state.trade[instrument.toString()];
+        expect(trade.timestamp).toEqual(timestamp);
+        expect(trade.instrument.toString()).toEqual(instrument.toString());
+        expect(trade.rate).toEqual(1);
+        expect(trade.quantity).toEqual(1);
+        expect(state.timestamp).toEqual(timestamp);
+    });
+});
+//# sourceMappingURL=store-candle.event.spec.js.map

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

@@ -0,0 +1 @@
+{"version":3,"file":"store-candle.event.spec.js","sourceRoot":"","sources":["../../../src/store/event/store-candle.event.spec.ts"],"names":[],"mappings":";;AAAA,yCAAiD;AACjD,wBAAoD;AACpD,gDAAuC;AACvC,yCAAmC;AAEnC,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,0BAA0B,EAAE,GAAG,EAAE;IACxC,IAAI,CAAC,2BAA2B,EAAE,GAAG,EAAE;QACrC,MAAM,SAAS,GAAG,IAAA,YAAG,GAAE,CAAC;QACxB,MAAM,KAAK,GAAG,IAAI,mBAAK,EAAE,CAAC;QAE1B,KAAK,CAAC,QAAQ,CAAC,UAAU,CAAC,UAAU,CAAC,QAAQ,EAAE,CAAC,GAAG,UAAU,CAAC;QAC9D,KAAK,CAAC,YAAY,CAAC,UAAU,CAAC,UAAU,CAAC,QAAQ,EAAE,CAAC,GAAG,UAAU,CAAC;QAElE,MAAM,KAAK,GAAG,IAAI,cAAW,CAAC,UAAU,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,SAAS,CAAC,CAAC;QAEvE,IAAA,qBAAkB,EAAC,KAAK,EAAE,KAAK,CAAC,CAAC;QAEjC,MAAM,KAAK,GAAG,KAAK,CAAC,KAAK,CAAC,UAAU,CAAC,QAAQ,EAAE,CAAC,CAAC;QAEjD,MAAM,CAAC,KAAK,CAAC,SAAS,CAAC,CAAC,OAAO,CAAC,SAAS,CAAC,CAAC;QAC3C,MAAM,CAAC,KAAK,CAAC,UAAU,CAAC,QAAQ,EAAE,CAAC,CAAC,OAAO,CAAC,UAAU,CAAC,QAAQ,EAAE,CAAC,CAAC;QACnE,MAAM,CAAC,KAAK,CAAC,IAAI,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,CAAC;QAC9B,MAAM,CAAC,KAAK,CAAC,QAAQ,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,CAAC;QAClC,MAAM,CAAC,KAAK,CAAC,SAAS,CAAC,CAAC,OAAO,CAAC,SAAS,CAAC,CAAC;IAC7C,CAAC,CAAC,CAAC;AACL,CAAC,CAAC,CAAC"}

package/dist/store/event/store-trade.event.spec.js

@@ -29,7 +29,7 @@ describe('trade patch event tests', () => {
         const trade = state.trade[instrument.toString()];
         (0, _1.TradePatchEventHandler)(new _1.TradePatchEvent(instrument, 2000, 0.2, timestamp), state);
         expect(trade.timestamp).toEqual(timestamp);
-        expect(trade.instrument.toString()).toEqual(trade.instrument.toString());
+        expect(trade.instrument.toString()).toEqual(instrument.toString());
         expect(trade.rate).toEqual(2000);
         expect(trade.quantity).toEqual(0.2);
         expect(state.timestamp).toEqual(timestamp);

package/dist/store/event/store-trade.event.spec.js.map

@@ -1 +1 @@
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+{"version":3,"file":"store-trade.event.spec.js","sourceRoot":"","sources":["../../../src/store/event/store-trade.event.spec.ts"],"names":[],"mappings":";;AAAA,yCAAiD;AACjD,wBAA4D;AAC5D,gDAAuC;AACvC,yCAAmC;AAEnC,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,yBAAyB,EAAE,GAAG,EAAE;IACvC,IAAI,CAAC,oDAAoD,EAAE,GAAG,EAAE;QAC9D,MAAM,SAAS,GAAG,IAAA,YAAG,GAAE,CAAC;QACxB,MAAM,KAAK,GAAG,IAAI,mBAAK,EAAE,CAAC;QAE1B,KAAK,CAAC,QAAQ,CAAC,UAAU,CAAC,UAAU,CAAC,QAAQ,EAAE,CAAC,GAAG,UAAU,CAAC;QAC9D,KAAK,CAAC,YAAY,CAAC,UAAU,CAAC,UAAU,CAAC,QAAQ,EAAE,CAAC,GAAG,UAAU,CAAC;QAElE,MAAM,KAAK,GAAG,IAAI,kBAAe,CAAC,UAAU,EAAE,IAAI,EAAE,GAAG,EAAE,SAAS,CAAC,CAAC;QAEpE,IAAA,yBAAsB,EAAC,KAAK,EAAE,KAAK,CAAC,CAAC;QAErC,MAAM,KAAK,GAAG,KAAK,CAAC,KAAK,CAAC,UAAU,CAAC,QAAQ,EAAE,CAAC,CAAC;QAEjD,MAAM,CAAC,KAAK,CAAC,SAAS,CAAC,CAAC,OAAO,CAAC,SAAS,CAAC,CAAC;QAC3C,MAAM,CAAC,KAAK,CAAC,UAAU,CAAC,QAAQ,EAAE,CAAC,CAAC,OAAO,CAAC,KAAK,CAAC,UAAU,CAAC,QAAQ,EAAE,CAAC,CAAC;QACzE,MAAM,CAAC,KAAK,CAAC,IAAI,CAAC,CAAC,OAAO,CAAC,IAAI,CAAC,CAAC;QACjC,MAAM,CAAC,KAAK,CAAC,QAAQ,CAAC,CAAC,OAAO,CAAC,GAAG,CAAC,CAAC;QACpC,MAAM,CAAC,KAAK,CAAC,SAAS,CAAC,CAAC,OAAO,CAAC,SAAS,CAAC,CAAC;IAC7C,CAAC,CAAC,CAAC;IAEH,IAAI,CAAC,iEAAiE,EAAE,GAAG,EAAE;QAC3E,MAAM,KAAK,GAAG,IAAI,mBAAK,EAAE,CAAC;QAE1B,KAAK,CAAC,QAAQ,CAAC,UAAU,CAAC,UAAU,CAAC,QAAQ,EAAE,CAAC,GAAG,UAAU,CAAC;QAC9D,KAAK,CAAC,YAAY,CAAC,UAAU,CAAC,UAAU,CAAC,QAAQ,EAAE,CAAC,GAAG,UAAU,CAAC;QAElE,IAAA,yBAAsB,EAAC,IAAI,kBAAe,CAAC,UAAU,EAAE,IAAI,EAAE,GAAG,EAAE,IAAA,YAAG,GAAE,CAAC,EAAE,KAAK,CAAC,CAAC;QAEjF,MAAM,SAAS,GAAG,IAAA,YAAG,GAAE,CAAC;QACxB,MAAM,KAAK,GAAG,KAAK,CAAC,KAAK,CAAC,UAAU,CAAC,QAAQ,EAAE,CAAC,CAAC;QAEjD,IAAA,yBAAsB,EAAC,IAAI,kBAAe,CAAC,UAAU,EAAE,IAAI,EAAE,GAAG,EAAE,SAAS,CAAC,EAAE,KAAK,CAAC,CAAC;QAErF,MAAM,CAAC,KAAK,CAAC,SAAS,CAAC,CAAC,OAAO,CAAC,SAAS,CAAC,CAAC;QAC3C,MAAM,CAAC,KAAK,CAAC,UAAU,CAAC,QAAQ,EAAE,CAAC,CAAC,OAAO,CAAC,UAAU,CAAC,QAAQ,EAAE,CAAC,CAAC;QACnE,MAAM,CAAC,KAAK,CAAC,IAAI,CAAC,CAAC,OAAO,CAAC,IAAI,CAAC,CAAC;QACjC,MAAM,CAAC,KAAK,CAAC,QAAQ,CAAC,CAAC,OAAO,CAAC,GAAG,CAAC,CAAC;QACpC,MAAM,CAAC,KAAK,CAAC,SAAS,CAAC,CAAC,OAAO,CAAC,SAAS,CAAC,CAAC;IAC7C,CAAC,CAAC,CAAC;IAEH,IAAI,CAAC,8DAA8D,EAAE,GAAG,EAAE;QACxE,MAAM,EAAE,GAAG,GAAG,EAAE;YACd,MAAM,KAAK,GAAG,IAAI,kBAAe,CAAC,UAAU,EAAE,IAAI,EAAE,GAAG,EAAE,IAAA,YAAG,GAAE,CAAC,CAAC;YAEhE,IAAA,yBAAsB,EAAC,KAAK,EAAE,IAAI,mBAAK,EAAE,CAAC,CAAC;QAC7C,CAAC,CAAC;QAEF,MAAM,CAAC,EAAE,CAAC,CAAC,OAAO,CAAC,KAAK,CAAC,CAAC;IAC5B,CAAC,CAAC,CAAC;AACL,CAAC,CAAC,CAAC"}

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/store/store.state.js.map

@@ -1 +1 @@
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+{"version":3,"file":"store.state.js","sourceRoot":"","sources":["../../src/store/store.state.ts"],"names":[],"mappings":";;;AAYA,MAAa,KAAK;IAAlB;QAIE,aAAQ,GAGJ;YACF,KAAK,EAAE,EAAE;YACT,UAAU,EAAE,EAAE;SACf,CAAC;QAEF,iBAAY,GAGR;YACF,KAAK,EAAE,EAAE;YACT,UAAU,EAAE,EAAE;SACf,CAAC;QAEF,UAAK,GAA0B,EAAE,CAAC;QAClC,cAAS,GAA8B,EAAE,CAAC;QAC1C,YAAO,GAA4B,EAAE,CAAC;QAEtC,UAAK,GAKD;YACF,OAAO,EAAE,EAAE;YACX,MAAM,EAAE,EAAE;YACV,QAAQ,EAAE,EAAE;YACZ,QAAQ,EAAE,EAAE;SACb,CAAC;IACJ,CAAC;CAAA;AAnCD,sBAmCC"}

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

@@ -1 +1 @@
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