@quantform/core 0.3.222 → 0.3.230

package/dist/storage/feed.interceptor.js

@@ -1,52 +0,0 @@
-"use strict";
-Object.defineProperty(exports, "__esModule", { value: true });
-exports.fromCandle = exports.FeedInterceptor = void 0;
-const event_1 = require("../store/event");
-class FeedInterceptor {
-    constructor(feed) {
-        this.feed = feed;
-    }
-    async read(instrument, from, to) {
-        const output = new Array();
-        for (const event of await this.feed.read(instrument, from, to)) {
-            const intercepted = this.intercept(instrument, event);
-            if (!intercepted) {
-                continue;
-            }
-            if (Array.isArray(intercepted)) {
-                output.push(...intercepted);
-            }
-            else {
-                output.push(intercepted);
-            }
-        }
-        return output;
-    }
-    write(instrument, events) {
-        return this.feed.write(instrument, events);
-    }
-}
-exports.FeedInterceptor = FeedInterceptor;
-class FeedCandleInterceptor extends FeedInterceptor {
-    constructor(feed, options) {
-        super(feed);
-        this.options = options;
-    }
-    intercept(instrument, event) {
-        const output = [];
-        if (event.type == 'candle') {
-            if (this.options.orderbook) {
-                output.push(new event_1.OrderbookPatchEvent(instrument, event.close, 0, event.close, 0, event.timestamp));
-            }
-            if (this.options.trade) {
-                output.push(new event_1.TradePatchEvent(event.instrument, event.close, 0, event.timestamp));
-            }
-            return output;
-        }
-    }
-}
-function fromCandle(feed, options) {
-    return new FeedCandleInterceptor(feed, options);
-}
-exports.fromCandle = fromCandle;
-//# sourceMappingURL=feed.interceptor.js.map

package/dist/storage/feed.interceptor.js.map

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

@@ -1,10 +0,0 @@
-import { timestamp } from '../common';
-import { InstrumentSelector } from '../domain';
-import { StoreEvent } from '../store/event';
-import { Feed } from '.';
-export declare class InMemoryFeed implements Feed {
-    private data;
-    read(instrument: InstrumentSelector, from: timestamp, to: timestamp): Promise<StoreEvent[]>;
-    write(instrument: InstrumentSelector, events: StoreEvent[]): Promise<void>;
-    clear(): void;
-}

package/dist/storage/in-memory.feed.js

@@ -1,30 +0,0 @@
-"use strict";
-Object.defineProperty(exports, "__esModule", { value: true });
-exports.InMemoryFeed = void 0;
-class InMemoryFeed {
-    constructor() {
-        this.data = {};
-    }
-    async read(instrument, from, to) {
-        if (!this.data[instrument.toString()]) {
-            return [];
-        }
-        return this.data[instrument.toString()]
-            .filter(it => it.timestamp > from && it.timestamp <= to)
-            .sort((lhs, rhs) => lhs.timestamp - rhs.timestamp);
-    }
-    async write(instrument, events) {
-        if (!this.data[instrument.toString()]) {
-            this.data[instrument.toString()] = [];
-        }
-        const buffer = this.data[instrument.toString()];
-        for (const event of events) {
-            buffer.push(event);
-        }
-    }
-    clear() {
-        this.data = {};
-    }
-}
-exports.InMemoryFeed = InMemoryFeed;
-//# sourceMappingURL=in-memory.feed.js.map

package/dist/storage/in-memory.feed.js.map

@@ -1 +0,0 @@
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package/src/behaviour/behaviour.ts

@@ -1,7 +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/src/behaviour/combined-behaviour.ts

@@ -1,23 +0,0 @@
-import { forkJoin, Observable } from 'rxjs';
-import { Session } from '../session';
-import { Behaviour } from './behaviour';
-
-export class CombinedBehaviour implements Behaviour {
-  constructor(private readonly behaviours: Behaviour[]) {}
-
-  describe(session: Session): Observable<any> {
-    return forkJoin(this.behaviours.map(b => b.describe(session)));
-  }
-
-  statement?(output: Record<string, any>): void {
-    this.behaviours.forEach(it => it.statement && it.statement(output));
-  }
-}
-
-export class FunctionBehaviour implements Behaviour {
-  constructor(private readonly func: (session: Session) => Observable<any>) {}
-
-  describe(session: Session): Observable<any> {
-    return this.func(session);
-  }
-}

package/src/behaviour/index.ts

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

package/src/behaviour/statement/benchmark-statement.behaviour.ts

@@ -1,53 +0,0 @@
-import { combineLatest, Observable } from 'rxjs';
-import { Balance, InstrumentSelector, Orderbook } from '../../domain';
-import { Behaviour } from '..';
-import { Session } from '../../session';
-import { floor, precision } from '../../common';
-import { map, tap } from 'rxjs/operators';
-import { drawdown } from '../../indicator';
-
-export class BenchmarkStatementBehaviour implements Behaviour {
-  private balance: number;
-  private entry: number;
-  private exit: number;
-
-  private drawdown = 0;
-
-  constructor(private readonly instrument: InstrumentSelector) {}
-
-  describe(session: Session): Observable<any> {
-    return combineLatest([
-      session.orderbook(this.instrument),
-      session.balance(this.instrument.quote),
-      session.orderbook(this.instrument).pipe(
-        drawdown(it => it.midRate),
-        tap(it => (this.drawdown = it))
-      )
-    ]).pipe(map(it => this.update(it[0], it[1])));
-  }
-
-  private update(orderbook: Orderbook, quote: Balance): void {
-    const price = orderbook.midRate;
-
-    if (!this.balance) {
-      this.balance = quote.total;
-    }
-
-    if (!this.entry) {
-      this.entry = price;
-    }
-
-    this.exit = price;
-  }
-
-  statement?(output: Record<string, any>): void {
-    const pnl = this.exit / this.entry - 1;
-    const scale = precision(this.entry);
-
-    output['benchmark_entry'] = this.entry;
-    output['benchmark_exit'] = this.exit;
-    output['benchmark_pnl'] = floor(this.balance * pnl, scale);
-    output['benchmark_pnl_pp'] = floor(pnl * 100, 2);
-    output['benchmark_drawdown_pp'] = floor(this.drawdown * 100, 2);
-  }
-}

package/src/behaviour/statement/equity-statement.behaviour.ts

@@ -1,71 +0,0 @@
-import { InstrumentSelector } from '../../domain';
-import { Behaviour } from '..';
-import { Session } from '../../session';
-import { drawdown } from '../../indicator';
-import { floor, precision } from '../../common';
-import { combineLatest, Observable } from 'rxjs';
-import { map, tap } from 'rxjs/operators';
-
-export class EquityStatementBehaviour implements Behaviour {
-  private balance: number;
-  private drawdown = 0;
-  private equity = 0;
-  private min: number;
-  private max: number;
-
-  constructor(private readonly instrument: InstrumentSelector) {}
-
-  describe(session: Session): Observable<any> {
-    return combineLatest([
-      session.orderbook(this.instrument),
-      session.balance(this.instrument.base),
-      session.balance(this.instrument.quote),
-      session.positions(this.instrument)
-    ]).pipe(
-      tap(([, , quote]) => {
-        if (!this.balance) {
-          this.balance = quote.total;
-        }
-      }),
-      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
-            )
-        )
-      ),
-      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;
-      }),
-      drawdown(it => it),
-      tap(it => (this.drawdown = it))
-    );
-  }
-
-  statement?(output: Record<string, any>): void {
-    const pnl = this.equity / this.balance - 1;
-    const scale = precision(this.equity);
-
-    output['equity'] = this.equity;
-    output['equity_min'] = this.min;
-    output['equity_max'] = this.max;
-    output['equity_pnl'] = floor(this.balance * pnl, scale);
-    output['equity_pnl_pp'] = floor(pnl * 100, 2);
-    output['equity_drawdown_pp'] = floor(this.drawdown * 100, 2);
-  }
-}

package/src/behaviour/statement/index.ts

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

package/src/behaviour/statement/period-statement.behaviour.ts

@@ -1,26 +0,0 @@
-import { Observable } from 'rxjs';
-import { Session } from '../../session';
-import { Behaviour } from '..';
-import { map } from 'rxjs/operators';
-
-export class PeriodStatementBehaviour implements Behaviour {
-  private from: number;
-  private to: number;
-
-  describe(session: Session): Observable<any> {
-    return session.store.changes$.pipe(
-      map(it => {
-        if (!this.from) {
-          this.from = it.timestamp;
-        }
-
-        this.to = it.timestamp;
-      })
-    );
-  }
-
-  statement?(statement: Record<string, any>): void {
-    statement['period_from'] = new Date(this.from).toISOString();
-    statement['period_to'] = new Date(this.to).toISOString();
-  }
-}

package/src/behaviour/statement/statement.behaviour.ts

@@ -1,19 +0,0 @@
-import { InstrumentSelector } from '../../domain';
-import { Behaviour } from '../behaviour';
-import { BenchmarkStatementBehaviour } from './benchmark-statement.behaviour';
-import { EquityStatementBehaviour } from './equity-statement.behaviour';
-import { PeriodStatementBehaviour } from './period-statement.behaviour';
-
-export class Statement {
-  static period(): Behaviour {
-    return new PeriodStatementBehaviour();
-  }
-
-  static benchmark(instrument: InstrumentSelector): Behaviour {
-    return new BenchmarkStatementBehaviour(instrument);
-  }
-
-  static equity(instrument: InstrumentSelector): Behaviour {
-    return new EquityStatementBehaviour(instrument);
-  }
-}

package/src/storage/feed.interceptor.ts

@@ -1,92 +0,0 @@
-import { InstrumentSelector } from '../domain';
-import { StoreEvent, OrderbookPatchEvent, TradePatchEvent } from '../store/event';
-import { Feed } from './feed';
-
-export abstract class FeedInterceptor implements Feed {
-  constructor(private readonly feed: Feed) {}
-
-  abstract intercept(
-    instrument: InstrumentSelector,
-    event: StoreEvent
-  ): StoreEvent | StoreEvent[];
-
-  async read(
-    instrument: InstrumentSelector,
-    from: number,
-    to: number
-  ): Promise<StoreEvent[]> {
-    const output = new Array<StoreEvent>();
-
-    for (const event of await this.feed.read(instrument, from, to)) {
-      const intercepted = this.intercept(instrument, event);
-
-      if (!intercepted) {
-        continue;
-      }
-
-      if (Array.isArray(intercepted)) {
-        output.push(...intercepted);
-      } else {
-        output.push(intercepted);
-      }
-    }
-
-    return output;
-  }
-
-  write(instrument: InstrumentSelector, events: StoreEvent[]): Promise<void> {
-    return this.feed.write(instrument, events);
-  }
-}
-
-class FeedCandleInterceptor extends FeedInterceptor {
-  constructor(
-    feed: Feed,
-    private readonly options: {
-      orderbook: boolean;
-      trade: boolean;
-    }
-  ) {
-    super(feed);
-  }
-
-  intercept(
-    instrument: InstrumentSelector,
-    event: StoreEvent & any
-  ): StoreEvent | StoreEvent[] {
-    const output = [];
-
-    if (event.type == 'candle') {
-      if (this.options.orderbook) {
-        output.push(
-          new OrderbookPatchEvent(
-            instrument,
-            event.close, // + instrument.quote.tickSize,
-            0,
-            event.close, // - instrument.quote.tickSize,
-            0,
-            event.timestamp
-          )
-        );
-      }
-
-      if (this.options.trade) {
-        output.push(
-          new TradePatchEvent(event.instrument, event.close, 0, event.timestamp)
-        );
-      }
-
-      return output;
-    }
-  }
-}
-
-export function fromCandle(
-  feed: Feed,
-  options: {
-    orderbook: boolean;
-    trade: boolean;
-  }
-): Feed {
-  return new FeedCandleInterceptor(feed, options);
-}

package/src/storage/in-memory.feed.ts

@@ -1,38 +0,0 @@
-import { timestamp } from '../common';
-import { InstrumentSelector } from '../domain';
-import { StoreEvent } from '../store/event';
-import { Feed } from '.';
-
-export class InMemoryFeed implements Feed {
-  private data: Record<string, StoreEvent[]> = {};
-
-  async read(
-    instrument: InstrumentSelector,
-    from: timestamp,
-    to: timestamp
-  ): Promise<StoreEvent[]> {
-    if (!this.data[instrument.toString()]) {
-      return [];
-    }
-
-    return this.data[instrument.toString()]
-      .filter(it => it.timestamp > from && it.timestamp <= to)
-      .sort((lhs, rhs) => lhs.timestamp - rhs.timestamp);
-  }
-
-  async write(instrument: InstrumentSelector, events: StoreEvent[]): Promise<void> {
-    if (!this.data[instrument.toString()]) {
-      this.data[instrument.toString()] = [];
-    }
-
-    const buffer = this.data[instrument.toString()];
-
-    for (const event of events) {
-      buffer.push(event);
-    }
-  }
-
-  clear() {
-    this.data = {};
-  }
-}