@quantform/core 0.3.222 → 0.3.230

package/src/store/event/store-instrument.event.spec.ts

@@ -1,6 +1,6 @@
 import { Store } from '..';
-import { now } from '../../common';
-import { Asset, Commision } from '../../domain';
+import { now } from '../../shared';
+import { Asset, Commission } from '../../domain';
 import { InstrumentPatchEvent } from './store-instrument.event';
 
 describe('instrument patch event tests', () => {
@@ -11,7 +11,7 @@ describe('instrument patch event tests', () => {
     const quote = new Asset('usd', 'cex', 2);
 
     store.dispatch(
-      new InstrumentPatchEvent(timestamp, base, quote, new Commision(0, 0), '')
+      new InstrumentPatchEvent(timestamp, base, quote, new Commission(0, 0), '')
     );
 
     expect(store.snapshot.universe.instrument['cex:de30-usd'].base).toEqual(base);

package/src/store/event/store-instrument.event.ts

@@ -1,6 +1,6 @@
-import { event } from '../../common/topic';
-import { timestamp } from '../../common';
-import { Asset, Commision } from '../../domain';
+import { event } from '../../shared/topic';
+import { timestamp } from '../../shared';
+import { Asset, Commission } from '../../domain';
 import { Instrument, InstrumentSelector } from '../../domain/instrument';
 import { State } from '../../store';
 import { StoreEvent } from './store.event';
@@ -13,7 +13,7 @@ export class InstrumentPatchEvent implements StoreEvent {
     readonly timestamp: timestamp,
     readonly base: Asset,
     readonly quote: Asset,
-    readonly commision: Commision,
+    readonly commision: Commission,
     readonly raw: string,
     readonly leverage?: number
   ) {}
@@ -37,7 +37,7 @@ export function InstrumentPatchEventHandler(event: InstrumentPatchEvent, state:
   }
 
   instrument.timestamp = event.timestamp;
-  instrument.commision = event.commision;
+  instrument.commission = event.commision;
 
   if (event.leverage) {
     instrument.leverage = event.leverage;

package/src/store/event/store-order.event.spec.ts

@@ -1,5 +1,5 @@
 import { State } from '../';
-import { now } from '../../common';
+import { now } from '../../shared';
 import { Asset, Instrument, Order } from '../../domain';
 import { OrderLoadEvent, OrderLoadEventHandler } from './store-order.event';
 

package/src/store/event/store-order.event.ts

@@ -1,5 +1,5 @@
-import { event } from '../../common/topic';
-import { timestamp } from '../../common';
+import { event } from '../../shared/topic';
+import { timestamp } from '../../shared';
 import { Order } from '../../domain';
 import { State } from '../store.state';
 import { StoreEvent } from './store.event';

package/src/store/event/store-orderbook.event.ts

@@ -1,5 +1,5 @@
-import { event } from '../../common/topic';
-import { timestamp } from '../../common';
+import { event } from '../../shared/topic';
+import { timestamp } from '../../shared';
 import { InstrumentSelector } from '../../domain/instrument';
 import { Orderbook } from '../../domain/orderbook';
 import { State } from '../store.state';

package/src/store/event/store-position.event.ts

@@ -1,5 +1,5 @@
-import { event } from '../../common/topic';
-import { timestamp } from '../../common';
+import { event } from '../../shared/topic';
+import { timestamp } from '../../shared';
 import { Position, Instrument, PositionMode } from '../../domain';
 import { State } from '../store.state';
 import { StoreEvent } from './store.event';

package/src/store/event/store-trade.event.spec.ts

@@ -1,7 +1,7 @@
 import { Asset, Instrument } from '../../domain';
 import { TradePatchEvent, TradePatchEventHandler } from '.';
 import { State } from '../store.state';
-import { now } from '../../common';
+import { now } from '../../shared';
 
 const instrument = new Instrument(
   new Asset('btc', 'binance', 8),
@@ -44,7 +44,7 @@ describe('trade patch event tests', () => {
     TradePatchEventHandler(new 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/src/store/event/store-trade.event.ts

@@ -1,5 +1,5 @@
-import { event } from '../../common/topic';
-import { timestamp } from '../../common';
+import { event } from '../../shared/topic';
+import { timestamp } from '../../shared';
 import { Trade } from '../../domain';
 import { InstrumentSelector } from '../../domain/instrument';
 import { State } from '../store.state';

package/src/store/event/store.event.ts

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

package/src/store/store.state.ts

@@ -1,4 +1,4 @@
-import { timestamp } from '../common';
+import { timestamp } from '../shared';
 import {
   Instrument,
   Balance,
@@ -13,6 +13,7 @@ import {
 export class State {
   timestamp: timestamp;
 
+  // all available trasing assets and instruments
   universe: {
     asset: Record<string, Asset>;
     instrument: Record<string, Instrument>;

package/src/store/store.ts

@@ -3,7 +3,7 @@ import { State } from './store.state';
 import { Component } from '../domain';
 import { Set } from 'typescript-collections';
 import { StoreEvent } from './event/store.event';
-import { handler, Topic } from '../common/topic';
+import { handler, Topic } from '../shared/topic';
 import { TradePatchEvent, TradePatchEventHandler } from './event/store-trade.event';
 import {
   BalanceFreezEvent,

package/src/tests/backtester-adapter.spec.ts

@@ -1,16 +1,16 @@
 import { AdapterAwakeCommand } from '../adapter';
 import { AdapterSubscribeCommand } from '../adapter';
-import { Asset, Commision, instrumentOf } from '../domain';
-import { InMemoryFeed } from '../storage';
+import { Asset, Commission, instrumentOf } from '../domain';
+import { InMemoryStorage, Feed } from '../storage';
 import { Store } from '../store';
 import { InstrumentPatchEvent, TradePatchEvent } from '../store/event';
 import { Adapter, AdapterContext } from '../adapter/adapter';
-import { PaperSpotModel } from '../adapter/paper';
-import { PaperModel } from '../adapter/paper/model/paper-model';
+import { PaperSpotExecutor } from '../adapter/paper';
+import { PaperExecutor } from '../adapter/paper/executor/paper-executor';
 import { PaperAdapter } from '../adapter/paper/paper-adapter';
 import { BacktesterAdapter } from '../adapter/backtester/backtester-adapter';
 import { BacktesterStreamer } from '../adapter/backtester/backtester-streamer';
-import { handler } from '../common';
+import { handler } from '../shared';
 
 const base = new Asset('btc', 'binance', 8);
 const quote = new Asset('usdt', 'binance', 4);
@@ -22,8 +22,8 @@ class DefaultAdapter extends Adapter {
     return 123;
   }
 
-  createPaperModel(adapter: PaperAdapter): PaperModel {
-    return new PaperSpotModel(adapter);
+  createPaperExecutor(adapter: PaperAdapter): PaperExecutor {
+    return new PaperSpotExecutor(adapter);
   }
 
   @handler(AdapterAwakeCommand)
@@ -33,7 +33,7 @@ class DefaultAdapter extends Adapter {
         context.timestamp,
         base,
         quote,
-        new Commision(0.1, 0.1),
+        new Commission(0.1, 0.1),
         'btc-usdt'
       )
     );
@@ -43,7 +43,7 @@ class DefaultAdapter extends Adapter {
 const instrument = instrumentOf('binance:btc-usdt');
 const adapter = new DefaultAdapter();
 const store = new Store();
-const feed = new InMemoryFeed();
+const feed = new Feed(new InMemoryStorage());
 
 describe('backtester adapter tests', () => {
   test('should return proper adapter name and timestamp', () => {
@@ -78,7 +78,7 @@ describe('backtester adapter tests', () => {
       }
     });
 
-    feed.write(instrument, [new TradePatchEvent(instrument, 100, 10, 1)]);
+    feed.save(instrument, [new TradePatchEvent(instrument, 100, 10, 1)]);
 
     const sut = new BacktesterAdapter(adapter, streamer);
 

package/dist/adapter/paper/model/paper-margin-model.js.map

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

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package/dist/adapter/paper/model/paper-spot-model.js.map

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

@@ -1,6 +0,0 @@
-import { Observable } from 'rxjs';
-import { Session } from '../session';
-export interface Behaviour {
-    describe(session: Session): Observable<any>;
-    statement?(output: Record<string, any>): void;
-}

package/dist/behaviour/behaviour.js

@@ -1,3 +0,0 @@
-"use strict";
-Object.defineProperty(exports, "__esModule", { value: true });
-//# sourceMappingURL=behaviour.js.map

package/dist/behaviour/behaviour.js.map

@@ -1 +0,0 @@
-{"version":3,"file":"behaviour.js","sourceRoot":"","sources":["../../src/behaviour/behaviour.ts"],"names":[],"mappings":""}

package/dist/behaviour/combined-behaviour.d.ts

@@ -1,14 +0,0 @@
-import { Observable } from 'rxjs';
-import { Session } from '../session';
-import { Behaviour } from './behaviour';
-export declare class CombinedBehaviour implements Behaviour {
-    private readonly behaviours;
-    constructor(behaviours: Behaviour[]);
-    describe(session: Session): Observable<any>;
-    statement?(output: Record<string, any>): void;
-}
-export declare class FunctionBehaviour implements Behaviour {
-    private readonly func;
-    constructor(func: (session: Session) => Observable<any>);
-    describe(session: Session): Observable<any>;
-}

package/dist/behaviour/combined-behaviour.js

@@ -1,26 +0,0 @@
-"use strict";
-Object.defineProperty(exports, "__esModule", { value: true });
-exports.FunctionBehaviour = exports.CombinedBehaviour = void 0;
-const rxjs_1 = require("rxjs");
-class CombinedBehaviour {
-    constructor(behaviours) {
-        this.behaviours = behaviours;
-    }
-    describe(session) {
-        return (0, rxjs_1.forkJoin)(this.behaviours.map(b => b.describe(session)));
-    }
-    statement(output) {
-        this.behaviours.forEach(it => it.statement && it.statement(output));
-    }
-}
-exports.CombinedBehaviour = CombinedBehaviour;
-class FunctionBehaviour {
-    constructor(func) {
-        this.func = func;
-    }
-    describe(session) {
-        return this.func(session);
-    }
-}
-exports.FunctionBehaviour = FunctionBehaviour;
-//# sourceMappingURL=combined-behaviour.js.map

package/dist/behaviour/combined-behaviour.js.map

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

@@ -1,3 +0,0 @@
-export * from './behaviour';
-export * from './combined-behaviour';
-export * from './statement/index';

package/dist/behaviour/index.js

@@ -1,16 +0,0 @@
-"use strict";
-var __createBinding = (this && this.__createBinding) || (Object.create ? (function(o, m, k, k2) {
-    if (k2 === undefined) k2 = k;
-    Object.defineProperty(o, k2, { enumerable: true, get: function() { return m[k]; } });
-}) : (function(o, m, k, k2) {
-    if (k2 === undefined) k2 = k;
-    o[k2] = m[k];
-}));
-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("./combined-behaviour"), exports);
-__exportStar(require("./statement/index"), exports);
-//# sourceMappingURL=index.js.map

package/dist/behaviour/index.js.map

@@ -1 +0,0 @@
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package/dist/behaviour/statement/benchmark-statement.behaviour.d.ts

@@ -1,15 +0,0 @@
-import { Observable } from 'rxjs';
-import { InstrumentSelector } from '../../domain';
-import { Behaviour } from '..';
-import { Session } from '../../session';
-export declare class BenchmarkStatementBehaviour implements Behaviour {
-    private readonly instrument;
-    private balance;
-    private entry;
-    private exit;
-    private drawdown;
-    constructor(instrument: InstrumentSelector);
-    describe(session: Session): Observable<any>;
-    private update;
-    statement?(output: Record<string, any>): void;
-}

package/dist/behaviour/statement/benchmark-statement.behaviour.js

@@ -1,41 +0,0 @@
-"use strict";
-Object.defineProperty(exports, "__esModule", { value: true });
-exports.BenchmarkStatementBehaviour = void 0;
-const rxjs_1 = require("rxjs");
-const common_1 = require("../../common");
-const operators_1 = require("rxjs/operators");
-const indicator_1 = require("../../indicator");
-class BenchmarkStatementBehaviour {
-    constructor(instrument) {
-        this.instrument = instrument;
-        this.drawdown = 0;
-    }
-    describe(session) {
-        return (0, rxjs_1.combineLatest)([
-            session.orderbook(this.instrument),
-            session.balance(this.instrument.quote),
-            session.orderbook(this.instrument).pipe((0, indicator_1.drawdown)(it => it.midRate), (0, operators_1.tap)(it => (this.drawdown = it)))
-        ]).pipe((0, operators_1.map)(it => this.update(it[0], it[1])));
-    }
-    update(orderbook, quote) {
-        const price = orderbook.midRate;
-        if (!this.balance) {
-            this.balance = quote.total;
-        }
-        if (!this.entry) {
-            this.entry = price;
-        }
-        this.exit = price;
-    }
-    statement(output) {
-        const pnl = this.exit / this.entry - 1;
-        const scale = (0, common_1.precision)(this.entry);
-        output['benchmark_entry'] = this.entry;
-        output['benchmark_exit'] = this.exit;
-        output['benchmark_pnl'] = (0, common_1.floor)(this.balance * pnl, scale);
-        output['benchmark_pnl_pp'] = (0, common_1.floor)(pnl * 100, 2);
-        output['benchmark_drawdown_pp'] = (0, common_1.floor)(this.drawdown * 100, 2);
-    }
-}
-exports.BenchmarkStatementBehaviour = BenchmarkStatementBehaviour;
-//# sourceMappingURL=benchmark-statement.behaviour.js.map

package/dist/behaviour/statement/benchmark-statement.behaviour.js.map

@@ -1 +0,0 @@
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package/dist/behaviour/statement/equity-statement.behaviour.d.ts

@@ -1,15 +0,0 @@
-import { InstrumentSelector } from '../../domain';
-import { Behaviour } from '..';
-import { Session } from '../../session';
-import { Observable } from 'rxjs';
-export declare class EquityStatementBehaviour implements Behaviour {
-    private readonly instrument;
-    private balance;
-    private drawdown;
-    private equity;
-    private min;
-    private max;
-    constructor(instrument: InstrumentSelector);
-    describe(session: Session): Observable<any>;
-    statement?(output: Record<string, any>): void;
-}

package/dist/behaviour/statement/equity-statement.behaviour.js

@@ -1,54 +0,0 @@
-"use strict";
-Object.defineProperty(exports, "__esModule", { value: true });
-exports.EquityStatementBehaviour = void 0;
-const indicator_1 = require("../../indicator");
-const common_1 = require("../../common");
-const rxjs_1 = require("rxjs");
-const operators_1 = require("rxjs/operators");
-class EquityStatementBehaviour {
-    constructor(instrument) {
-        this.instrument = instrument;
-        this.drawdown = 0;
-        this.equity = 0;
-    }
-    describe(session) {
-        return (0, rxjs_1.combineLatest)([
-            session.orderbook(this.instrument),
-            session.balance(this.instrument.base),
-            session.balance(this.instrument.quote),
-            session.positions(this.instrument)
-        ]).pipe((0, operators_1.tap)(([, , quote]) => {
-            if (!this.balance) {
-                this.balance = quote.total;
-            }
-        }), (0, operators_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, operators_1.tap)(it => {
-            if (!this.min) {
-                this.min = it;
-            }
-            else {
-                this.min = Math.min(this.min, it);
-            }
-            if (!this.max) {
-                this.max = it;
-            }
-            else {
-                this.max = Math.max(this.max, it);
-            }
-            this.equity = it;
-        }), (0, indicator_1.drawdown)(it => it), (0, operators_1.tap)(it => (this.drawdown = it)));
-    }
-    statement(output) {
-        const pnl = this.equity / this.balance - 1;
-        const scale = (0, common_1.precision)(this.equity);
-        output['equity'] = this.equity;
-        output['equity_min'] = this.min;
-        output['equity_max'] = this.max;
-        output['equity_pnl'] = (0, common_1.floor)(this.balance * pnl, scale);
-        output['equity_pnl_pp'] = (0, common_1.floor)(pnl * 100, 2);
-        output['equity_drawdown_pp'] = (0, common_1.floor)(this.drawdown * 100, 2);
-    }
-}
-exports.EquityStatementBehaviour = EquityStatementBehaviour;
-//# sourceMappingURL=equity-statement.behaviour.js.map

package/dist/behaviour/statement/equity-statement.behaviour.js.map

@@ -1 +0,0 @@
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package/dist/behaviour/statement/index.d.ts

@@ -1 +0,0 @@
-export * from './statement.behaviour';

package/dist/behaviour/statement/index.js

@@ -1,14 +0,0 @@
-"use strict";
-var __createBinding = (this && this.__createBinding) || (Object.create ? (function(o, m, k, k2) {
-    if (k2 === undefined) k2 = k;
-    Object.defineProperty(o, k2, { enumerable: true, get: function() { return m[k]; } });
-}) : (function(o, m, k, k2) {
-    if (k2 === undefined) k2 = k;
-    o[k2] = m[k];
-}));
-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("./statement.behaviour"), exports);
-//# sourceMappingURL=index.js.map

package/dist/behaviour/statement/index.js.map

@@ -1 +0,0 @@
-{"version":3,"file":"index.js","sourceRoot":"","sources":["../../../src/behaviour/statement/index.ts"],"names":[],"mappings":";;;;;;;;;;;;AAAA,wDAAsC"}

package/dist/behaviour/statement/period-statement.behaviour.d.ts

@@ -1,9 +0,0 @@
-import { Observable } from 'rxjs';
-import { Session } from '../../session';
-import { Behaviour } from '..';
-export declare class PeriodStatementBehaviour implements Behaviour {
-    private from;
-    private to;
-    describe(session: Session): Observable<any>;
-    statement?(statement: Record<string, any>): void;
-}

package/dist/behaviour/statement/period-statement.behaviour.js

@@ -1,20 +0,0 @@
-"use strict";
-Object.defineProperty(exports, "__esModule", { value: true });
-exports.PeriodStatementBehaviour = void 0;
-const operators_1 = require("rxjs/operators");
-class PeriodStatementBehaviour {
-    describe(session) {
-        return session.store.changes$.pipe((0, operators_1.map)(it => {
-            if (!this.from) {
-                this.from = it.timestamp;
-            }
-            this.to = it.timestamp;
-        }));
-    }
-    statement(statement) {
-        statement['period_from'] = new Date(this.from).toISOString();
-        statement['period_to'] = new Date(this.to).toISOString();
-    }
-}
-exports.PeriodStatementBehaviour = PeriodStatementBehaviour;
-//# sourceMappingURL=period-statement.behaviour.js.map

package/dist/behaviour/statement/period-statement.behaviour.js.map

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

@@ -1,7 +0,0 @@
-import { InstrumentSelector } from '../../domain';
-import { Behaviour } from '../behaviour';
-export declare class Statement {
-    static period(): Behaviour;
-    static benchmark(instrument: InstrumentSelector): Behaviour;
-    static equity(instrument: InstrumentSelector): Behaviour;
-}

package/dist/behaviour/statement/statement.behaviour.js

@@ -1,19 +0,0 @@
-"use strict";
-Object.defineProperty(exports, "__esModule", { value: true });
-exports.Statement = void 0;
-const benchmark_statement_behaviour_1 = require("./benchmark-statement.behaviour");
-const equity_statement_behaviour_1 = require("./equity-statement.behaviour");
-const period_statement_behaviour_1 = require("./period-statement.behaviour");
-class Statement {
-    static period() {
-        return new period_statement_behaviour_1.PeriodStatementBehaviour();
-    }
-    static benchmark(instrument) {
-        return new benchmark_statement_behaviour_1.BenchmarkStatementBehaviour(instrument);
-    }
-    static equity(instrument) {
-        return new equity_statement_behaviour_1.EquityStatementBehaviour(instrument);
-    }
-}
-exports.Statement = Statement;
-//# sourceMappingURL=statement.behaviour.js.map

package/dist/behaviour/statement/statement.behaviour.js.map

@@ -1 +0,0 @@
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package/dist/common/io.js.map

@@ -1 +0,0 @@
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package/dist/domain/commision.js.map

@@ -1 +0,0 @@
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package/dist/storage/feed.interceptor.d.ts

@@ -1,14 +0,0 @@
-import { InstrumentSelector } from '../domain';
-import { StoreEvent } from '../store/event';
-import { Feed } from './feed';
-export declare abstract class FeedInterceptor implements Feed {
-    private readonly feed;
-    constructor(feed: Feed);
-    abstract intercept(instrument: InstrumentSelector, event: StoreEvent): StoreEvent | StoreEvent[];
-    read(instrument: InstrumentSelector, from: number, to: number): Promise<StoreEvent[]>;
-    write(instrument: InstrumentSelector, events: StoreEvent[]): Promise<void>;
-}
-export declare function fromCandle(feed: Feed, options: {
-    orderbook: boolean;
-    trade: boolean;
-}): Feed;