@quantform/core 0.3.222 → 0.3.230

package/dist/adapter/paper/paper-adapter.spec.js

@@ -12,8 +12,8 @@ class DefaultAdapter extends adapter_1.Adapter {
     timestamp() {
         return 123;
     }
-    createPaperModel(adapter) {
-        return new _1.PaperSpotModel(adapter);
+    createPaperExecutor(adapter) {
+        return new _1.PaperSpotExecutor(adapter);
     }
 }
 describe('paper adapter tests', () => {

package/dist/adapter/paper/paper-adapter.spec.js.map

@@ -1 +1 @@
-{"version":3,"file":"paper-adapter.spec.js","sourceRoot":"","sources":["../../../src/adapter/paper/paper-adapter.spec.ts"],"names":[],"mappings":";;AAAA,wBAAmC;AACnC,uCAAoC;AACpC,wCAAqC;AAErC,mDAA+C;AAE/C,MAAM,cAAe,SAAQ,iBAAO;IAApC;;QACE,SAAI,GAAG,SAAS,CAAC;IASnB,CAAC;IAPC,SAAS;QACP,OAAO,GAAG,CAAC;IACb,CAAC;IAED,gBAAgB,CAAC,OAAqB;QACpC,OAAO,IAAI,iBAAc,CAAC,OAAO,CAAC,CAAC;IACrC,CAAC;CACF;AAED,QAAQ,CAAC,qBAAqB,EAAE,GAAG,EAAE;IACnC,IAAI,CAAC,kDAAkD,EAAE,GAAG,EAAE;QAC5D,MAAM,OAAO,GAAG,IAAI,cAAc,EAAE,CAAC;QACrC,MAAM,KAAK,GAAG,IAAI,aAAK,EAAE,CAAC;QAC1B,MAAM,OAAO,GAAG;YACd,OAAO,EAAE;gBACP,CAAC,cAAc,CAAC,EAAE,IAAI;aACvB;SACF,CAAC;QAEF,MAAM,GAAG,GAAG,IAAI,4BAAY,CAAC,OAAO,EAAE,KAAK,EAAE,OAAO,CAAC,CAAC;QAEtD,MAAM,CAAC,GAAG,CAAC,IAAI,CAAC,CAAC,OAAO,CAAC,SAAS,CAAC,CAAC;QACpC,MAAM,CAAC,GAAG,CAAC,SAAS,EAAE,CAAC,CAAC,OAAO,CAAC,GAAG,CAAC,CAAC;IACvC,CAAC,CAAC,CAAC;AACL,CAAC,CAAC,CAAC"}
+{"version":3,"file":"paper-adapter.spec.js","sourceRoot":"","sources":["../../../src/adapter/paper/paper-adapter.spec.ts"],"names":[],"mappings":";;AAAA,wBAAsC;AACtC,uCAAoC;AACpC,wCAAqC;AAErC,mDAA+C;AAE/C,MAAM,cAAe,SAAQ,iBAAO;IAApC;;QACE,SAAI,GAAG,SAAS,CAAC;IASnB,CAAC;IAPC,SAAS;QACP,OAAO,GAAG,CAAC;IACb,CAAC;IAED,mBAAmB,CAAC,OAAqB;QACvC,OAAO,IAAI,oBAAiB,CAAC,OAAO,CAAC,CAAC;IACxC,CAAC;CACF;AAED,QAAQ,CAAC,qBAAqB,EAAE,GAAG,EAAE;IACnC,IAAI,CAAC,kDAAkD,EAAE,GAAG,EAAE;QAC5D,MAAM,OAAO,GAAG,IAAI,cAAc,EAAE,CAAC;QACrC,MAAM,KAAK,GAAG,IAAI,aAAK,EAAE,CAAC;QAC1B,MAAM,OAAO,GAAG;YACd,OAAO,EAAE;gBACP,CAAC,cAAc,CAAC,EAAE,IAAI;aACvB;SACF,CAAC;QAEF,MAAM,GAAG,GAAG,IAAI,4BAAY,CAAC,OAAO,EAAE,KAAK,EAAE,OAAO,CAAC,CAAC;QAEtD,MAAM,CAAC,GAAG,CAAC,IAAI,CAAC,CAAC,OAAO,CAAC,SAAS,CAAC,CAAC;QACpC,MAAM,CAAC,GAAG,CAAC,SAAS,EAAE,CAAC,CAAC,OAAO,CAAC,GAAG,CAAC,CAAC;IACvC,CAAC,CAAC,CAAC;AACL,CAAC,CAAC,CAAC"}

package/dist/bin.d.ts

@@ -1,4 +1,4 @@
-import { BacktesterOptions } from './adapter/backtester';
+import { BacktesterOptions, BacktesterStreamer } from './adapter/backtester';
 import { PaperOptions } from './adapter/paper';
 import { Session, SessionDescriptor } from './session';
 export interface IpcCommand {
@@ -34,7 +34,7 @@ export declare class IpcFeedCommand implements IpcCommand {
     to: number;
 }
 export declare function run(descriptor: SessionDescriptor, ...commands: IpcCommand[]): Promise<Session>;
-export declare function backtest(descriptor: SessionDescriptor, options: BacktesterOptions): Session;
+export declare function backtest(descriptor: SessionDescriptor, options: BacktesterOptions): [Session, BacktesterStreamer];
 export declare function paper(descriptor: SessionDescriptor, options: PaperOptions): Session;
 export declare function live(descriptor: SessionDescriptor): Session;
 export declare function idle(descriptor: SessionDescriptor): Session;

package/dist/bin.js

@@ -16,8 +16,9 @@ const paper_1 = require("./adapter/paper");
 const session_1 = require("./session");
 const store_1 = require("./store");
 const domain_1 = require("./domain");
-const topic_1 = require("./common/topic");
+const topic_1 = require("./shared/topic");
 const minimist = require("minimist");
+const shared_1 = require("./shared");
 let IpcPaperModeCommand = class IpcPaperModeCommand {
     constructor() {
         this.type = 'paper';
@@ -88,7 +89,7 @@ class ExecutionHandler extends topic_1.Topic {
     }
     onBacktestMode(command, accessor) {
         return new Promise(async (resolve) => {
-            accessor.session = backtest(this.descriptor, {
+            const [session, streamer] = backtest(this.descriptor, {
                 from: command.from,
                 to: command.to,
                 balance: command.balance,
@@ -101,13 +102,14 @@ class ExecutionHandler extends topic_1.Topic {
                 completed: async () => {
                     const statement = {};
                     await accessor.session.dispose();
-                    accessor.session.statement(statement);
                     this.notify({ type: 'backtest:completed', statement });
                     resolve();
                 }
             });
+            accessor.session = session;
             this.notify({ type: 'backtest:started' });
             await accessor.session.awake();
+            await streamer.tryContinue().catch(it => shared_1.Logger.error(it));
         });
     }
     onUniverse(query, accessor) {
@@ -195,7 +197,7 @@ function backtest(descriptor, options) {
     const store = new store_1.Store();
     const streamer = new backtester_1.BacktesterStreamer(store, descriptor.feed, options);
     const aggregate = new adapter_1.AdapterAggregate(store, descriptor.adapter.map(it => new paper_1.PaperAdapter(new backtester_1.BacktesterAdapter(it, streamer), store, options)));
-    return new session_1.Session(store, aggregate, descriptor);
+    return [new session_1.Session(store, aggregate, descriptor), streamer];
 }
 exports.backtest = backtest;
 function paper(descriptor, options) {

package/dist/bin.js.map

@@ -1 +1 @@
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package/dist/domain/asset.js

@@ -1,7 +1,7 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
 exports.Asset = exports.assetOf = exports.AssetSelector = void 0;
-const decimals_1 = require("../common/decimals");
+const decimals_1 = require("../shared/decimals");
 class AssetSelector {
     constructor(name, exchange) {
         this.name = name.toLowerCase();

package/dist/domain/balance.d.ts

@@ -1,4 +1,4 @@
-import { timestamp } from '../common';
+import { timestamp } from '../shared';
 import { Asset } from './';
 import { Position, PositionMode } from './position';
 import { Component } from './component';

package/dist/domain/balance.js

@@ -18,9 +18,7 @@ class Balance {
         return this._freezed;
     }
     get total() {
-        return (this._free +
-            this._freezed +
-            this.getEstimatedUnrealizedPnL());
+        return (this._free + this._freezed + this.getEstimatedUnrealizedPnL());
     }
     transact(amount) {
         if (this._free + amount < 0) {

package/dist/domain/balance.js.map

@@ -1 +1 @@
-{"version":3,"file":"balance.js","sourceRoot":"","sources":["../../src/domain/balance.ts"],"names":[],"mappings":";;;AAQA,MAAa,OAAO;IA4ClB,YAA4B,KAAY;QAAZ,UAAK,GAAL,KAAK,CAAO;QAzC/B,0BAAqB,GAAG,CAAC,CAAC;QAE3B,UAAK,GAAG,CAAC,CAAC;QACV,aAAQ,GAAG,CAAC,CAAC;QAoCrB,aAAQ,GAA6B,EAAE,CAAC;IAEG,CAAC;IAjC5C,IAAI,IAAI;QACN,OAAO,CACL,IAAI,CAAC,KAAK;YACV,IAAI,CAAC,yBAAyB,CAAC,OAAO,CAAC;YACvC,IAAI,CAAC,6BAA6B,CAAC,OAAO,CAAC,CAC5C,CAAC;IACJ,CAAC;IAKD,IAAI,OAAO;QACT,OAAO,IAAI,CAAC,QAAQ,CAAC;IACvB,CAAC;IAMD,IAAI,KAAK;QACP,OAAO,CACL,IAAI,CAAC,KAAK;YACV,IAAI,CAAC,QAAQ;YACb,IAAI,CAAC,yBAAyB,EAAE,CAEjC,CAAC;IACJ,CAAC;IASD,QAAQ,CAAC,MAAc;QACrB,IAAI,IAAI,CAAC,KAAK,GAAG,MAAM,GAAG,CAAC,EAAE;YAC3B,MAAM,IAAI,KAAK,CAAC,+BAA+B,IAAI,CAAC,KAAK,WAAW,MAAM,EAAE,CAAC,CAAC;SAC/E;QAED,IAAI,CAAC,KAAK,IAAI,MAAM,CAAC;IACvB,CAAC;IAED,GAAG,CAAC,IAAY,EAAE,OAAe;QAC/B,IAAI,IAAI,IAAI,IAAI,EAAE;YAChB,IAAI,CAAC,KAAK,GAAG,IAAI,CAAC;SACnB;QAED,IAAI,OAAO,IAAI,IAAI,EAAE;YACnB,IAAI,CAAC,QAAQ,GAAG,OAAO,CAAC;SACzB;IACH,CAAC;IAMD,KAAK,CAAC,MAAc;QAClB,IAAI,IAAI,CAAC,KAAK,GAAG,MAAM,EAAE;YACvB,MAAM,IAAI,KAAK,CAAC,2BAA2B,IAAI,CAAC,KAAK,WAAW,MAAM,EAAE,CAAC,CAAC;SAC3E;QAED,IAAI,CAAC,KAAK,IAAI,MAAM,CAAC;QACrB,IAAI,CAAC,QAAQ,IAAI,MAAM,CAAC;IAC1B,CAAC;IAED,OAAO,CAAC,MAAc;QACpB,IAAI,IAAI,CAAC,QAAQ,GAAG,MAAM,EAAE;YAC1B,MAAM,IAAI,KAAK,CAAC,2BAA2B,IAAI,CAAC,QAAQ,WAAW,MAAM,EAAE,CAAC,CAAC;SAC9E;QAED,IAAI,CAAC,KAAK,IAAI,MAAM,CAAC;QACrB,IAAI,CAAC,QAAQ,IAAI,MAAM,CAAC;IAC1B,CAAC;IAKD,yBAAyB,CAAC,IAAmB;QAC3C,OAAO,MAAM,CAAC,MAAM,CAAC,IAAI,CAAC,QAAQ,CAAC,CAAC,MAAM,CACxC,CAAC,SAAS,EAAE,QAAQ,EAAE,EAAE,CACtB,CAAC,SAAS;YACR,IAAI,IAAI,IAAI,IAAI,QAAQ,CAAC,IAAI,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,QAAQ,CAAC,sBAAsB,CAAC,EACxE,CAAC,CACF,CAAC;IACJ,CAAC;IAED,kBAAkB,CAAC,IAAmB;QACpC,OAAO,MAAM,CAAC,MAAM,CAAC,IAAI,CAAC,QAAQ,CAAC,CAAC,MAAM,CACxC,CAAC,SAAS,EAAE,QAAQ,EAAE,EAAE,CACtB,CAAC,SAAS,IAAI,IAAI,IAAI,IAAI,IAAI,QAAQ,CAAC,IAAI,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,QAAQ,CAAC,MAAM,CAAC,EACpE,CAAC,CACF,CAAC;IACJ,CAAC;IAED,6BAA6B,CAAC,IAAmB;QAC/C,OAAO,IAAI,CAAC,kBAAkB,CAAC,IAAI,CAAC,GAAG,IAAI,CAAC,qBAAqB,CAAC;IACpE,CAAC;IAED,QAAQ;QACN,OAAO,IAAI,CAAC,KAAK,CAAC,QAAQ,EAAE,CAAC;IAC/B,CAAC;CACF;AAjHD,0BAiHC"}
+{"version":3,"file":"balance.js","sourceRoot":"","sources":["../../src/domain/balance.ts"],"names":[],"mappings":";;;AAQA,MAAa,OAAO;IA0ClB,YAA4B,KAAY;QAAZ,UAAK,GAAL,KAAK,CAAO;QAvC/B,0BAAqB,GAAG,CAAC,CAAC;QAE3B,UAAK,GAAG,CAAC,CAAC;QACV,aAAQ,GAAG,CAAC,CAAC;QAkCrB,aAAQ,GAA6B,EAAE,CAAC;IAEG,CAAC;IA/B5C,IAAI,IAAI;QACN,OAAO,CACL,IAAI,CAAC,KAAK;YACV,IAAI,CAAC,yBAAyB,CAAC,OAAO,CAAC;YACvC,IAAI,CAAC,6BAA6B,CAAC,OAAO,CAAC,CAC5C,CAAC;IACJ,CAAC;IAKD,IAAI,OAAO;QACT,OAAO,IAAI,CAAC,QAAQ,CAAC;IACvB,CAAC;IAMD,IAAI,KAAK;QACP,OAAO,CACL,IAAI,CAAC,KAAK,GAAG,IAAI,CAAC,QAAQ,GAAG,IAAI,CAAC,yBAAyB,EAAE,CAE9D,CAAC;IACJ,CAAC;IASD,QAAQ,CAAC,MAAc;QACrB,IAAI,IAAI,CAAC,KAAK,GAAG,MAAM,GAAG,CAAC,EAAE;YAC3B,MAAM,IAAI,KAAK,CAAC,+BAA+B,IAAI,CAAC,KAAK,WAAW,MAAM,EAAE,CAAC,CAAC;SAC/E;QAED,IAAI,CAAC,KAAK,IAAI,MAAM,CAAC;IACvB,CAAC;IAED,GAAG,CAAC,IAAY,EAAE,OAAe;QAC/B,IAAI,IAAI,IAAI,IAAI,EAAE;YAChB,IAAI,CAAC,KAAK,GAAG,IAAI,CAAC;SACnB;QAED,IAAI,OAAO,IAAI,IAAI,EAAE;YACnB,IAAI,CAAC,QAAQ,GAAG,OAAO,CAAC;SACzB;IACH,CAAC;IAMD,KAAK,CAAC,MAAc;QAClB,IAAI,IAAI,CAAC,KAAK,GAAG,MAAM,EAAE;YACvB,MAAM,IAAI,KAAK,CAAC,2BAA2B,IAAI,CAAC,KAAK,WAAW,MAAM,EAAE,CAAC,CAAC;SAC3E;QAED,IAAI,CAAC,KAAK,IAAI,MAAM,CAAC;QACrB,IAAI,CAAC,QAAQ,IAAI,MAAM,CAAC;IAC1B,CAAC;IAED,OAAO,CAAC,MAAc;QACpB,IAAI,IAAI,CAAC,QAAQ,GAAG,MAAM,EAAE;YAC1B,MAAM,IAAI,KAAK,CAAC,2BAA2B,IAAI,CAAC,QAAQ,WAAW,MAAM,EAAE,CAAC,CAAC;SAC9E;QAED,IAAI,CAAC,KAAK,IAAI,MAAM,CAAC;QACrB,IAAI,CAAC,QAAQ,IAAI,MAAM,CAAC;IAC1B,CAAC;IAKD,yBAAyB,CAAC,IAAmB;QAC3C,OAAO,MAAM,CAAC,MAAM,CAAC,IAAI,CAAC,QAAQ,CAAC,CAAC,MAAM,CACxC,CAAC,SAAS,EAAE,QAAQ,EAAE,EAAE,CACtB,CAAC,SAAS;YACR,IAAI,IAAI,IAAI,IAAI,QAAQ,CAAC,IAAI,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,QAAQ,CAAC,sBAAsB,CAAC,EACxE,CAAC,CACF,CAAC;IACJ,CAAC;IAED,kBAAkB,CAAC,IAAmB;QACpC,OAAO,MAAM,CAAC,MAAM,CAAC,IAAI,CAAC,QAAQ,CAAC,CAAC,MAAM,CACxC,CAAC,SAAS,EAAE,QAAQ,EAAE,EAAE,CACtB,CAAC,SAAS,IAAI,IAAI,IAAI,IAAI,IAAI,QAAQ,CAAC,IAAI,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,QAAQ,CAAC,MAAM,CAAC,EACpE,CAAC,CACF,CAAC;IACJ,CAAC;IAED,6BAA6B,CAAC,IAAmB;QAC/C,OAAO,IAAI,CAAC,kBAAkB,CAAC,IAAI,CAAC,GAAG,IAAI,CAAC,qBAAqB,CAAC;IACpE,CAAC;IAED,QAAQ;QACN,OAAO,IAAI,CAAC,KAAK,CAAC,QAAQ,EAAE,CAAC;IAC/B,CAAC;CACF;AA/GD,0BA+GC"}

package/dist/domain/candle-builder.d.ts

@@ -1,5 +1,5 @@
 import { Observable } from 'rxjs';
-import { timestamp } from '../common';
+import { timestamp } from '../shared';
 import { Candle } from './candle';
 export declare class CandleBuilder {
     readonly timeframe: number;

package/dist/domain/candle.d.ts

@@ -1,4 +1,4 @@
-import { timestamp } from '../common';
+import { timestamp } from '../shared';
 export declare class Candle {
     timestamp: timestamp;
     open: number;

package/dist/domain/candle.spec.js

@@ -3,14 +3,14 @@ Object.defineProperty(exports, "__esModule", { value: true });
 const rxjs_1 = require("rxjs");
 const operators_1 = require("rxjs/operators");
 const event_1 = require("../store/event");
-const common_1 = require("../common");
+const shared_1 = require("../shared");
 const candle_1 = require("./candle");
 const candle_builder_1 = require("./candle-builder");
 const instrument_1 = require("./instrument");
 const timeframe_1 = require("./timeframe");
 describe('candle tests', () => {
     test('should instantiate valid candle', () => {
-        const timestamp = (0, common_1.now)();
+        const timestamp = (0, shared_1.now)();
         const sut = new candle_1.Candle(timestamp, 2, 4, 1, 3);
         expect(sut.timestamp).toEqual(timestamp);
         expect(sut.open).toEqual(2);

package/dist/domain/{commision.d.ts → commission.d.ts}

@@ -1,4 +1,4 @@
-export declare class Commision {
+export declare class Commission {
     readonly makerRate: number;
     readonly takerRate: number;
     constructor(makerRate: number, takerRate: number);
@@ -7,4 +7,4 @@ export declare class Commision {
     applyMakerFee(value: number): number;
     applyTakerFee(value: number): number;
 }
-export declare function commisionPercentOf(maker: number, taker: number): Commision;
+export declare function commissionPercentOf(maker: number, taker: number): Commission;

package/dist/domain/{commision.js → commission.js}

@@ -1,7 +1,7 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
-exports.commisionPercentOf = exports.Commision = void 0;
-class Commision {
+exports.commissionPercentOf = exports.Commission = void 0;
+class Commission {
     constructor(makerRate, takerRate) {
         this.makerRate = makerRate;
         this.takerRate = takerRate;
@@ -19,9 +19,9 @@ class Commision {
         return value - this.calculateTakerFee(value);
     }
 }
-exports.Commision = Commision;
-function commisionPercentOf(maker, taker) {
-    return new Commision(maker / 100.0, taker / 100.0);
+exports.Commission = Commission;
+function commissionPercentOf(maker, taker) {
+    return new Commission(maker / 100.0, taker / 100.0);
 }
-exports.commisionPercentOf = commisionPercentOf;
-//# sourceMappingURL=commision.js.map
+exports.commissionPercentOf = commissionPercentOf;
+//# sourceMappingURL=commission.js.map

package/dist/domain/commission.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"commission.js","sourceRoot":"","sources":["../../src/domain/commission.ts"],"names":[],"mappings":";;;AAAA,MAAa,UAAU;IACrB,YAAqB,SAAiB,EAAW,SAAiB;QAA7C,cAAS,GAAT,SAAS,CAAQ;QAAW,cAAS,GAAT,SAAS,CAAQ;IAAG,CAAC;IAEtE,iBAAiB,CAAC,KAAa;QAC7B,OAAO,KAAK,GAAG,IAAI,CAAC,SAAS,CAAC;IAChC,CAAC;IAED,iBAAiB,CAAC,KAAa;QAC7B,OAAO,KAAK,GAAG,IAAI,CAAC,SAAS,CAAC;IAChC,CAAC;IAED,aAAa,CAAC,KAAa;QACzB,OAAO,KAAK,GAAG,IAAI,CAAC,iBAAiB,CAAC,KAAK,CAAC,CAAC;IAC/C,CAAC;IAED,aAAa,CAAC,KAAa;QACzB,OAAO,KAAK,GAAG,IAAI,CAAC,iBAAiB,CAAC,KAAK,CAAC,CAAC;IAC/C,CAAC;CACF;AAlBD,gCAkBC;AAED,SAAgB,mBAAmB,CAAC,KAAa,EAAE,KAAa;IAC9D,OAAO,IAAI,UAAU,CAAC,KAAK,GAAG,KAAK,EAAE,KAAK,GAAG,KAAK,CAAC,CAAC;AACtD,CAAC;AAFD,kDAEC"}

package/dist/domain/component.d.ts

@@ -1,4 +1,4 @@
-import { timestamp } from '../common';
+import { timestamp } from '../shared';
 export interface Component {
     timestamp: timestamp;
 }

package/dist/domain/index.d.ts

@@ -3,7 +3,7 @@ export * from './instrument';
 export * from './balance';
 export * from './order';
 export * from './orderbook';
-export * from './commision';
+export * from './commission';
 export * from './component';
 export * from './candle';
 export * from './candle-builder';

package/dist/domain/index.js

@@ -15,7 +15,7 @@ __exportStar(require("./instrument"), exports);
 __exportStar(require("./balance"), exports);
 __exportStar(require("./order"), exports);
 __exportStar(require("./orderbook"), exports);
-__exportStar(require("./commision"), exports);
+__exportStar(require("./commission"), exports);
 __exportStar(require("./component"), exports);
 __exportStar(require("./candle"), exports);
 __exportStar(require("./candle-builder"), exports);

package/dist/domain/index.js.map

@@ -1 +1 @@
-{"version":3,"file":"index.js","sourceRoot":"","sources":["../../src/domain/index.ts"],"names":[],"mappings":";;;;;;;;;;;;AAAA,0CAAwB;AACxB,+CAA6B;AAC7B,4CAA0B;AAC1B,0CAAwB;AACxB,8CAA4B;AAC5B,8CAA4B;AAC5B,8CAA4B;AAC5B,2CAAyB;AACzB,mDAAiC;AACjC,8CAA4B;AAC5B,6CAA2B;AAC3B,0CAAwB"}
+{"version":3,"file":"index.js","sourceRoot":"","sources":["../../src/domain/index.ts"],"names":[],"mappings":";;;;;;;;;;;;AAAA,0CAAwB;AACxB,+CAA6B;AAC7B,4CAA0B;AAC1B,0CAAwB;AACxB,8CAA4B;AAC5B,+CAA6B;AAC7B,8CAA4B;AAC5B,2CAAyB;AACzB,mDAAiC;AACjC,8CAA4B;AAC5B,6CAA2B;AAC3B,0CAAwB"}

package/dist/domain/instrument.d.ts

@@ -1,6 +1,6 @@
-import { timestamp } from '../common';
+import { timestamp } from '../shared';
 import { Asset, AssetSelector } from './asset';
-import { Commision } from './commision';
+import { Commission } from './commission';
 import { Component } from './component';
 export declare class InstrumentSelector {
     private readonly id;
@@ -14,7 +14,7 @@ export declare class Instrument extends InstrumentSelector implements Component
     readonly quote: Asset;
     readonly raw: string;
     timestamp: timestamp;
-    commision: Commision;
+    commission: Commission;
     cross: Instrument;
     leverage?: number;
     constructor(base: Asset, quote: Asset, raw: string);

package/dist/domain/order.d.ts

@@ -1,6 +1,6 @@
 import { Component } from './component';
 import { InstrumentSelector } from './instrument';
-import { timestamp } from '../common';
+import { timestamp } from '../shared';
 export declare type OrderSide = 'SELL' | 'BUY';
 export declare type OrderType = 'MARKET' | 'LIMIT' | 'STOP-MARKET' | 'STOP-LIMIT';
 export declare type OrderState = 'NEW' | 'PENDING' | 'FILLED' | 'CANCELING' | 'CANCELED' | 'REJECTED';

package/dist/domain/orderbook.d.ts

@@ -1,4 +1,4 @@
-import { timestamp } from '../common';
+import { timestamp } from '../shared';
 import { Instrument } from '../domain';
 import { Component } from './component';
 export declare class Orderbook implements Component {

package/dist/domain/position.d.ts

@@ -1,6 +1,6 @@
 import { Instrument } from '../domain';
 import { Component } from './component';
-import { timestamp } from '../common';
+import { timestamp } from '../shared';
 import { Observable } from 'rxjs';
 export declare type PositionMode = 'CROSS' | 'ISOLATED';
 export declare class Position implements Component {

package/dist/domain/position.js

@@ -1,7 +1,7 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
 exports.positionsFlat = exports.Position = void 0;
-const common_1 = require("../common");
+const shared_1 = require("../shared");
 const operators_1 = require("rxjs/operators");
 class Position {
     constructor(id, instrument) {
@@ -14,7 +14,7 @@ class Position {
         return this.instrument.quote.ceil((Math.abs(this.size) * this.averageExecutionRate) / this.leverage);
     }
     calculatePnL(rate) {
-        this.estimatedUnrealizedPnL = (0, common_1.pnl)(this.averageExecutionRate, rate, this.size);
+        this.estimatedUnrealizedPnL = (0, shared_1.pnl)(this.averageExecutionRate, rate, this.size);
         return this.estimatedUnrealizedPnL;
     }
     toString() {
@@ -28,7 +28,7 @@ function positionsFlat() {
             if (it.length > 1) {
                 return {
                     size: it.reduce((aggregate, position) => aggregate + position.size, 0),
-                    rate: (0, common_1.weightedMean)(it.map(x => x.averageExecutionRate), it.map(x => x.size))
+                    rate: (0, shared_1.weightedMean)(it.map(x => x.averageExecutionRate), it.map(x => x.size))
                 };
             }
             if (it.length == 1) {

package/dist/domain/trade.d.ts

@@ -1,4 +1,4 @@
-import { timestamp } from '../common';
+import { timestamp } from '../shared';
 import { Instrument } from '.';
 import { Component } from './component';
 export declare class Trade implements Component {

package/dist/index.d.ts

@@ -1,5 +1,4 @@
-export * from './behaviour';
-export * from './common';
+export * from './shared';
 export * from './domain';
 export * from './adapter';
 export * from './adapter/backtester';

package/dist/index.js

@@ -10,8 +10,7 @@ var __exportStar = (this && this.__exportStar) || function(m, exports) {
     for (var p in m) if (p !== "default" && !Object.prototype.hasOwnProperty.call(exports, p)) __createBinding(exports, m, p);
 };
 Object.defineProperty(exports, "__esModule", { value: true });
-__exportStar(require("./behaviour"), exports);
-__exportStar(require("./common"), exports);
+__exportStar(require("./shared"), exports);
 __exportStar(require("./domain"), exports);
 __exportStar(require("./adapter"), exports);
 __exportStar(require("./adapter/backtester"), exports);

package/dist/index.js.map

@@ -1 +1 @@
-{"version":3,"file":"index.js","sourceRoot":"","sources":["../src/index.ts"],"names":[],"mappings":";;;;;;;;;;;;AAAA,8CAA4B;AAC5B,2CAAyB;AAEzB,2CAAyB;AAEzB,4CAA0B;AAC1B,uDAAqC;AACrC,kDAAgC;AAEhC,8CAA4B;AAC5B,4CAA0B;AAC1B,4CAA0B;AAE1B,0CAAwB;AACxB,gDAA8B;AAE9B,wCAAsB"}
+{"version":3,"file":"index.js","sourceRoot":"","sources":["../src/index.ts"],"names":[],"mappings":";;;;;;;;;;;;AAAA,2CAAyB;AACzB,2CAAyB;AACzB,4CAA0B;AAC1B,uDAAqC;AACrC,kDAAgC;AAChC,8CAA4B;AAC5B,4CAA0B;AAC1B,4CAA0B;AAC1B,0CAAwB;AACxB,gDAA8B;AAC9B,wCAAsB"}

package/dist/indicator/truerange.spec.js

@@ -4,16 +4,16 @@ const rxjs_1 = require("rxjs");
 const domain_1 = require("../domain");
 const truerange_1 = require("./truerange");
 const sma_1 = require("./sma");
-const common_1 = require("../common");
+const shared_1 = require("../shared");
 describe('truerange atr tests', () => {
     test('should return expected value', done => {
         let value;
         (0, rxjs_1.from)([
-            new domain_1.Candle((0, common_1.now)(), 18127.81, 18149.75, 18100.0, 18136.17),
-            new domain_1.Candle((0, common_1.now)(), 18136.17, 18136.18, 18089.75, 18092.15),
-            new domain_1.Candle((0, common_1.now)(), 18092.15, 18120.03, 18081.0, 18082.39),
-            new domain_1.Candle((0, common_1.now)(), 18082.39, 18087.04, 18041.0, 18065.4),
-            new domain_1.Candle((0, common_1.now)(), 18066.11, 18079.15, 18041.0, 18046.47)
+            new domain_1.Candle((0, shared_1.now)(), 18127.81, 18149.75, 18100.0, 18136.17),
+            new domain_1.Candle((0, shared_1.now)(), 18136.17, 18136.18, 18089.75, 18092.15),
+            new domain_1.Candle((0, shared_1.now)(), 18092.15, 18120.03, 18081.0, 18082.39),
+            new domain_1.Candle((0, shared_1.now)(), 18082.39, 18087.04, 18041.0, 18065.4),
+            new domain_1.Candle((0, shared_1.now)(), 18066.11, 18079.15, 18041.0, 18046.47)
         ])
             .pipe((0, truerange_1.truerange)(it => it), (0, sma_1.sma)(4, ([, it]) => it))
             .subscribe({

package/dist/session/index.d.ts

@@ -1,3 +1,4 @@
 export * from './session';
 export * from './session-descriptor';
 export * from './session-optimizer';
+export * from './session-statement';

package/dist/session/index.js

@@ -13,4 +13,5 @@ Object.defineProperty(exports, "__esModule", { value: true });
 __exportStar(require("./session"), exports);
 __exportStar(require("./session-descriptor"), exports);
 __exportStar(require("./session-optimizer"), exports);
+__exportStar(require("./session-statement"), exports);
 //# sourceMappingURL=index.js.map

package/dist/session/index.js.map

@@ -1 +1 @@
-{"version":3,"file":"index.js","sourceRoot":"","sources":["../../src/session/index.ts"],"names":[],"mappings":";;;;;;;;;;;;AAAA,4CAA0B;AAC1B,uDAAqC;AACrC,sDAAoC"}
+{"version":3,"file":"index.js","sourceRoot":"","sources":["../../src/session/index.ts"],"names":[],"mappings":";;;;;;;;;;;;AAAA,4CAA0B;AAC1B,uDAAqC;AACrC,sDAAoC;AACpC,sDAAoC"}

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

@@ -2,12 +2,11 @@ import { Adapter } from '../adapter';
 import { Session } from '.';
 import { Measurement } from '../storage/measurement';
 import { Feed } from '../storage';
-import { Behaviour } from '../behaviour';
 import { Observable } from 'rxjs';
 export interface SessionDescriptor {
-    id: number;
+    id?: number;
     adapter: Adapter[];
     feed?: Feed;
     measurement?: Measurement;
-    behaviour?: Behaviour | Behaviour[] | ((session: Session) => Observable<any>);
+    describe?: (session: Session) => Observable<any>;
 }

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

@@ -0,0 +1,5 @@
+import { Session } from '.';
+import { InstrumentSelector } from '../domain';
+export declare function period(): (session: Session) => import("rxjs").Observable<import("../domain").Component>;
+export declare function benchmark(instrument: InstrumentSelector): (session: Session) => import("rxjs").Observable<void>;
+export declare function equity(instrument: InstrumentSelector): (session: Session) => import("rxjs").Observable<number>;

package/dist/session/session-statement.js

@@ -0,0 +1,87 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.equity = exports.benchmark = exports.period = void 0;
+const rxjs_1 = require("rxjs");
+const indicator_1 = require("../indicator");
+const shared_1 = require("../shared");
+function period() {
+    return (session) => {
+        const period = session.useStatement('period');
+        return session.store.changes$.pipe((0, rxjs_1.finalize)(() => (period.to = new Date(session.timestamp).toISOString())), (0, rxjs_1.take)(1), (0, rxjs_1.tap)(it => (period.from = new Date(it.timestamp).toISOString())));
+    };
+}
+exports.period = period;
+function benchmark(instrument) {
+    return (session) => {
+        const statement = session.useStatement('benchmark');
+        let balance, entry, exit;
+        let dd = 0;
+        return (0, rxjs_1.combineLatest)([
+            session.orderbook(instrument),
+            session.balance(instrument.quote),
+            session.orderbook(instrument).pipe((0, indicator_1.drawdown)(it => it.midRate), (0, rxjs_1.tap)(it => (dd = it)))
+        ]).pipe((0, rxjs_1.map)(([orderbook, quote]) => {
+            const price = orderbook.midRate;
+            if (!balance) {
+                balance = quote.total;
+            }
+            if (!entry) {
+                entry = price;
+            }
+            exit = price;
+        }), (0, rxjs_1.finalize)(() => {
+            const pnl = exit / entry - 1;
+            statement['benchmark_entry'] = entry;
+            statement['benchmark_exit'] = exit;
+            statement['benchmark_pnl'] = (0, shared_1.floor)(balance * pnl, (0, shared_1.precision)(entry));
+            statement['benchmark_pnl_pp'] = (0, shared_1.floor)(pnl * 100, 2);
+            statement['benchmark_drawdown_pp'] = (0, shared_1.floor)(dd * 100, 2);
+        }));
+    };
+}
+exports.benchmark = benchmark;
+function equity(instrument) {
+    return (session) => {
+        const statement = session.useStatement('benchmark');
+        let balance, min, max;
+        let dd = 0;
+        let equity = 0;
+        return (0, rxjs_1.combineLatest)([
+            session.orderbook(instrument),
+            session.balance(instrument.base),
+            session.balance(instrument.quote),
+            session.positions(instrument)
+        ]).pipe((0, rxjs_1.tap)(([, , quote]) => {
+            if (!balance) {
+                balance = quote.total;
+            }
+        }), (0, rxjs_1.map)(([orderbook, base, quote, positions]) => orderbook.instrument.quote.fixed(quote.total +
+            base.total * orderbook.bestBidRate +
+            positions.reduce((agg, position) => agg + position.calculatePnL(orderbook.bestBidRate), 0))), (0, rxjs_1.tap)(it => {
+            if (!min) {
+                min = it;
+            }
+            else {
+                min = Math.min(min, it);
+            }
+            if (!max) {
+                max = it;
+            }
+            else {
+                max = Math.max(max, it);
+            }
+            equity = it;
+        }), (0, indicator_1.drawdown)(it => it), (0, rxjs_1.tap)(it => (dd = it)), (0, rxjs_1.finalize)(() => {
+            const pnl = equity / balance - 1;
+            const scale = (0, shared_1.precision)(equity);
+            statement['equity'] = equity;
+            statement['equity_min'] = min;
+            statement['equity_max'] = max;
+            statement['equity_pnl'] = (0, shared_1.floor)(balance * pnl, scale);
+            statement['equity_pnl_pp'] = (0, shared_1.floor)(pnl * 100, 2);
+            statement['equity_drawdown_pp'] = (0, shared_1.floor)(dd * 100, 2);
+        }));
+    };
+}
+exports.equity = equity;
+//# sourceMappingURL=session-statement.js.map

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

@@ -0,0 +1 @@
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package/dist/session/session.d.ts

@@ -11,17 +11,17 @@ export declare class Session {
     readonly descriptor?: SessionDescriptor;
     private initialized;
     private subscription;
-    private behaviour;
     private worker;
     get timestamp(): number;
+    readonly statement: Record<string, Record<string, any>>;
     constructor(store: Store, aggregate: AdapterAggregate, descriptor?: SessionDescriptor);
     awake(): Promise<void>;
     dispose(): Promise<void>;
-    statement(output: Record<string, any>): void;
+    useStatement(section: string): Record<string, any>;
     useMeasure<T extends {
         timestamp: number;
     }>(params: {
-        key: string;
+        kind: string;
         timestamp?: number;
     }, defaultValue?: T): [Observable<T>, (value: Optional<T, 'timestamp'>) => void];
     useOptimizer(path: string): any;