@quantform/core 0.3.229 → 0.3.230

package/src/adapter/paper/{model/paper-margin-model.ts → executor/paper-margin-executor.ts}

@@ -1,4 +1,4 @@
-import { pnl, weightedMean } from '../../../common';
+import { pnl, weightedMean } from '../../../shared';
 import { Order } from '../../../domain';
 import {
   BalanceTransactEvent,
@@ -10,9 +10,9 @@ import {
   PositionPatchEvent
 } from '../../../store/event';
 import { PaperAdapter } from '..';
-import { PaperModel } from './paper-model';
+import { PaperExecutor } from './paper-executor';
 
-export class PaperMarginModel extends PaperModel {
+export class PaperMarginExecutor extends PaperExecutor {
   leverage = 10;
 
   constructor(adapter: PaperAdapter) {
@@ -31,7 +31,7 @@ export class PaperMarginModel extends PaperModel {
       this.adapter.store.snapshot.universe.instrument[order.instrument.toString()];
 
     let transact = instrument.quote.floor(
-      -instrument.commision.calculateMakerFee(averageExecutionRate * order.quantity)
+      -instrument.commission.calculateMakerFee(averageExecutionRate * order.quantity)
     );
 
     const id = instrument.toString();

package/src/adapter/paper/{model/paper-spot-model.ts → executor/paper-spot-executor.ts}

@@ -10,10 +10,10 @@ import {
   OrderPendingEvent
 } from '../../../store/event';
 import { PaperAdapter } from '..';
-import { PaperModel } from './paper-model';
-import { timestamp } from '../../../common';
+import { PaperExecutor } from './paper-executor';
+import { timestamp } from '../../../shared';
 
-export class PaperSpotModel extends PaperModel {
+export class PaperSpotExecutor extends PaperExecutor {
   constructor(readonly adapter: PaperAdapter) {
     super(adapter);
   }
@@ -39,7 +39,7 @@ export class PaperSpotModel extends PaperModel {
     switch (order.side) {
       case 'BUY':
         transacted.base += instrument.base.floor(
-          instrument.commision.applyMakerFee(order.quantity)
+          instrument.commission.applyMakerFee(order.quantity)
         );
         transacted.quote -= instrument.quote.floor(averageExecutionRate * order.quantity);
         break;
@@ -47,7 +47,7 @@ export class PaperSpotModel extends PaperModel {
       case 'SELL':
         transacted.base -= instrument.base.floor(order.quantity);
         transacted.quote += instrument.quote.floor(
-          instrument.commision.applyMakerFee(averageExecutionRate * order.quantity)
+          instrument.commission.applyMakerFee(averageExecutionRate * order.quantity)
         );
         break;
     }

package/src/adapter/paper/index.ts

@@ -1,3 +1,3 @@
 export * from './paper-adapter';
-export * from './model/paper-spot-model';
-export * from './model/paper-margin-model';
+export * from './executor/paper-spot-executor';
+export * from './executor/paper-margin-executor';

package/src/adapter/paper/paper-adapter.spec.ts

@@ -1,7 +1,7 @@
-import { PaperSpotModel } from '.';
+import { PaperSpotExecutor } from '.';
 import { Store } from '../../store';
 import { Adapter } from '../adapter';
-import { PaperModel } from './model/paper-model';
+import { PaperExecutor } from './executor/paper-executor';
 import { PaperAdapter } from './paper-adapter';
 
 class DefaultAdapter extends Adapter {
@@ -11,8 +11,8 @@ class DefaultAdapter extends Adapter {
     return 123;
   }
 
-  createPaperModel(adapter: PaperAdapter): PaperModel {
-    return new PaperSpotModel(adapter);
+  createPaperExecutor(adapter: PaperAdapter): PaperExecutor {
+    return new PaperSpotExecutor(adapter);
   }
 }
 

package/src/adapter/paper/paper-adapter.ts

@@ -1,7 +1,7 @@
 import { Adapter, AdapterContext } from '..';
 import { Store } from '../../store';
-import { PaperModel } from './model/paper-model';
-import { handler } from '../../common/topic';
+import { PaperExecutor } from './executor/paper-executor';
+import { handler } from '../../shared/topic';
 import { assetOf } from '../../domain';
 import { BalancePatchEvent } from '../../store/event';
 import {
@@ -16,7 +16,7 @@ export class PaperOptions {
 
 export class PaperAdapter extends Adapter {
   readonly name = this.decoratedAdapter.name;
-  readonly platform: PaperModel;
+  readonly executor: PaperExecutor;
 
   constructor(
     readonly decoratedAdapter: Adapter,
@@ -25,15 +25,15 @@ export class PaperAdapter extends Adapter {
   ) {
     super();
 
-    this.platform = this.createPaperModel(this);
+    this.executor = this.createPaperExecutor(this);
   }
 
   timestamp() {
     return this.decoratedAdapter.timestamp();
   }
 
-  createPaperModel(adapter: PaperAdapter): PaperModel {
-    return this.decoratedAdapter.createPaperModel(adapter);
+  createPaperExecutor(adapter: PaperAdapter): PaperExecutor {
+    return this.decoratedAdapter.createPaperExecutor(adapter);
   }
 
   onUnknownEvent(event: { type: string }, context: AdapterContext) {
@@ -67,14 +67,14 @@ export class PaperAdapter extends Adapter {
 
   @handler(AdapterOrderOpenCommand)
   onOrderOpen(event: AdapterOrderOpenCommand, context: AdapterContext) {
-    this.platform.open(event.order);
+    this.executor.open(event.order);
 
     return Promise.resolve();
   }
 
   @handler(AdapterOrderCancelCommand)
   onOrderCancel(event: AdapterOrderCancelCommand, context: AdapterContext) {
-    this.platform.cancel(event.order);
+    this.executor.cancel(event.order);
 
     return Promise.resolve();
   }

package/src/bin.ts

@@ -8,9 +8,9 @@ import { PaperAdapter, PaperOptions } from './adapter/paper';
 import { Session, SessionDescriptor } from './session';
 import { Store } from './store';
 import { instrumentOf } from './domain';
-import { Topic, event, handler } from './common/topic';
+import { Topic, event, handler } from './shared/topic';
 import minimist = require('minimist');
-import { Logger } from './common';
+import { Logger } from './shared';
 
 export interface IpcCommand {
   type;
@@ -103,8 +103,6 @@ class ExecutionHandler extends Topic<{ type: string }, ExecutionAccessor> {
 
           await accessor.session.dispose();
 
-          accessor.session.statement(statement);
-
           this.notify({ type: 'backtest:completed', statement });
 
           resolve();

package/src/domain/asset.ts

@@ -1,7 +1,7 @@
-import { ceil, fixed, floor } from '../common/decimals';
+import { ceil, fixed, floor } from '../shared/decimals';
 
 /**
- * Supposed to query specific @see Asset from code based.
+ * Supposed to query specific @see Asset from based on string notation.
  */
 export class AssetSelector {
   private readonly id: string;

package/src/domain/balance.ts

@@ -1,10 +1,10 @@
-import { timestamp } from '../common';
+import { timestamp } from '../shared';
 import { Asset } from './';
 import { Position, PositionMode } from './position';
 import { Component } from './component';
 
 /**
- * Represents single asset abalance in your wallet.
+ * Represents single asset balance in your wallet.
  */
 export class Balance implements Component {
   timestamp: timestamp;
@@ -38,9 +38,7 @@ export class Balance implements Component {
    */
   get total(): number {
     return (
-      this._free +
-      this._freezed +
-      this.getEstimatedUnrealizedPnL() /* +
+      this._free + this._freezed + this.getEstimatedUnrealizedPnL() /* +
       this.getEstimatedMaintenanceMargin()*/
     );
   }

package/src/domain/candle-builder.ts

@@ -8,7 +8,7 @@ import {
   skipLast,
   withLatestFrom
 } from 'rxjs/operators';
-import { timestamp, toString } from '../common';
+import { timestamp, toString } from '../shared';
 import { Candle } from './candle';
 import { tf } from './timeframe';
 

package/src/domain/candle.spec.ts

@@ -1,7 +1,7 @@
 import { from } from 'rxjs';
 import { map } from 'rxjs/operators';
 import { TradePatchEvent } from '../store/event';
-import { now } from '../common';
+import { now } from '../shared';
 import { Candle } from './candle';
 import { mergeCandle } from './candle-builder';
 import { instrumentOf } from './instrument';

package/src/domain/candle.ts

@@ -1,4 +1,4 @@
-import { timestamp } from '../common';
+import { timestamp } from '../shared';
 
 export class Candle {
   constructor(

package/src/domain/{commision.ts → commission.ts}

@@ -1,4 +1,4 @@
-export class Commision {
+export class Commission {
   constructor(readonly makerRate: number, readonly takerRate: number) {}
 
   calculateMakerFee(value: number) {
@@ -18,6 +18,6 @@ export class Commision {
   }
 }
 
-export function commisionPercentOf(maker: number, taker: number) {
-  return new Commision(maker / 100.0, taker / 100.0);
+export function commissionPercentOf(maker: number, taker: number) {
+  return new Commission(maker / 100.0, taker / 100.0);
 }

package/src/domain/component.ts

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

package/src/domain/index.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/src/domain/instrument.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 class InstrumentSelector {
@@ -23,7 +23,7 @@ export class InstrumentSelector {
 
 export class Instrument extends InstrumentSelector implements Component {
   timestamp: timestamp;
-  commision: Commision;
+  commission: Commission;
   cross: Instrument;
   leverage?: number = null;
 

package/src/domain/order.ts

@@ -1,7 +1,7 @@
 import { Component } from './component';
 import { v4 } from 'uuid';
 import { InstrumentSelector } from './instrument';
-import { timestamp } from '../common';
+import { timestamp } from '../shared';
 
 export type OrderSide = 'SELL' | 'BUY';
 export type OrderType = 'MARKET' | 'LIMIT' | 'STOP-MARKET' | 'STOP-LIMIT';

package/src/domain/orderbook.ts

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

package/src/domain/position.ts

@@ -1,6 +1,6 @@
 import { Instrument } from '../domain';
 import { Component } from './component';
-import { pnl, timestamp, weightedMean } from '../common';
+import { pnl, timestamp, weightedMean } from '../shared';
 import { Observable } from 'rxjs';
 import { map, share } from 'rxjs/operators';
 
@@ -34,7 +34,7 @@ export class Position implements Component {
 }
 
 export function positionsFlat() {
-  return function(
+  return function (
     source: Observable<Position[]>
   ): Observable<{ size: number; rate: number }> {
     return source.pipe(

package/src/domain/trade.ts

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

package/src/index.ts

@@ -1,17 +1,11 @@
-export * from './behaviour';
-export * from './common';
-
+export * from './shared';
 export * from './domain';
-
 export * from './adapter';
 export * from './adapter/backtester';
 export * from './adapter/paper';
-
 export * from './indicator';
 export * from './session';
 export * from './storage';
-
 export * from './store';
 export * from './store/event';
-
 export * from './bin';

package/src/indicator/truerange.spec.ts

@@ -2,7 +2,7 @@ import { from } from 'rxjs';
 import { Candle } from '../domain';
 import { truerange } from './truerange';
 import { sma } from './sma';
-import { now } from '../common';
+import { now } from '../shared';
 
 describe('truerange atr tests', () => {
   test('should return expected value', done => {

package/src/session/index.ts

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

package/src/session/session-descriptor.ts

@@ -2,20 +2,49 @@ import { Adapter } from '../adapter';
 import { Session } from '.';
 import { Measurement } from '../storage/measurement';
 import { Feed } from '../storage';
-import { Behaviour } from '../behaviour';
 import { Observable } from 'rxjs';
 
+/**
+ * Describes a single session.
+ * You can use @run function to start a new session managed by CLI.
+ * To start managed session you should install @quantform/cli package and run
+ * specific command:
+ *  - qf paper (to paper trade strategy)
+ *  - qf backtest (to backtest strategy based on provided feed)
+ *  - qf live (to live trade strategy)
+ * or run on your own in code:
+ *  - paper(descriptor, options)
+ *  - backtest(descriptor, options)
+ *  - live(descriptor)
+ */
 export interface SessionDescriptor {
-  id: number;
+  /**
+   * Unique session identifier, used to identify session in the storage.
+   * You can generate new id every time you start the new session or provide
+   * session id explicitly to resume previous session (in code or via CLI).
+   * If you don't provide session id, it will generate new one based on time.
+   */
+  id?: number;
 
-  // provides trading adapters.
+  /**
+   * Collection of adapters used to connect to the exchanges.
+   */
   adapter: Adapter[];
 
-  // provides input and output feed for backtesting purposes.
+  /**
+   * Provides historical data for backtest, it's not required for live and paper
+   * sessions.
+   */
   feed?: Feed;
 
-  // defines measurement storage.
+  /**
+   * Stores session variables i.e. indicators, orders, or any other type of time
+   * series data. You can install @quantform/editor to render this data in your browser.
+   */
   measurement?: Measurement;
 
-  behaviour?: Behaviour | Behaviour[] | ((session: Session) => Observable<any>);
+  /**
+   * Describes your trading strategy.
+   */
+  describe?: (session: Session) => Observable<any>;
 }

package/src/session/session-statement.ts

@@ -0,0 +1,119 @@
+import { Session } from '.';
+import { InstrumentSelector } from '../domain';
+import { combineLatest, finalize, map, take, tap } from 'rxjs';
+import { drawdown } from '../indicator';
+import { floor, precision } from '../shared';
+
+export function period() {
+  return (session: Session) => {
+    const period = session.useStatement('period');
+
+    return session.store.changes$.pipe(
+      finalize(() => (period.to = new Date(session.timestamp).toISOString())),
+      take(1),
+      tap(it => (period.from = new Date(it.timestamp).toISOString()))
+    );
+  };
+}
+
+export function benchmark(instrument: InstrumentSelector) {
+  return (session: Session) => {
+    const statement = session.useStatement('benchmark');
+
+    let balance: number, entry: number, exit: number;
+    let dd = 0;
+
+    return combineLatest([
+      session.orderbook(instrument),
+      session.balance(instrument.quote),
+      session.orderbook(instrument).pipe(
+        drawdown(it => it.midRate),
+        tap(it => (dd = it))
+      )
+    ]).pipe(
+      map(([orderbook, quote]) => {
+        const price = orderbook.midRate;
+
+        if (!balance) {
+          balance = quote.total;
+        }
+
+        if (!entry) {
+          entry = price;
+        }
+
+        exit = price;
+      }),
+      finalize(() => {
+        const pnl = exit / entry - 1;
+
+        statement['benchmark_entry'] = entry;
+        statement['benchmark_exit'] = exit;
+        statement['benchmark_pnl'] = floor(balance * pnl, precision(entry));
+        statement['benchmark_pnl_pp'] = floor(pnl * 100, 2);
+        statement['benchmark_drawdown_pp'] = floor(dd * 100, 2);
+      })
+    );
+  };
+}
+
+export function equity(instrument: InstrumentSelector) {
+  return (session: Session) => {
+    const statement = session.useStatement('benchmark');
+
+    let balance: number, min: number, max: number;
+    let dd = 0;
+    let equity = 0;
+
+    return combineLatest([
+      session.orderbook(instrument),
+      session.balance(instrument.base),
+      session.balance(instrument.quote),
+      session.positions(instrument)
+    ]).pipe(
+      tap(([, , quote]) => {
+        if (!balance) {
+          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 (!min) {
+          min = it;
+        } else {
+          min = Math.min(min, it);
+        }
+
+        if (!max) {
+          max = it;
+        } else {
+          max = Math.max(max, it);
+        }
+
+        equity = it;
+      }),
+      drawdown(it => it),
+      tap(it => (dd = it)),
+      finalize(() => {
+        const pnl = equity / balance - 1;
+        const scale = precision(equity);
+
+        statement['equity'] = equity;
+        statement['equity_min'] = min;
+        statement['equity_max'] = max;
+        statement['equity_pnl'] = floor(balance * pnl, scale);
+        statement['equity_pnl_pp'] = floor(pnl * 100, 2);
+        statement['equity_drawdown_pp'] = floor(dd * 100, 2);
+      })
+    );
+  };
+}

package/src/session/session.spec.ts

@@ -1,8 +1,10 @@
 import { InstrumentPatchEvent } from '../store/event';
-import { Asset, Commision } from '../domain';
-import { now } from '../common';
+import { Asset, Commission } from '../domain';
+import { now } from '../shared';
 import { SessionDescriptor } from './session-descriptor';
 import { paper } from '../bin';
+import { Session } from './session';
+import { of } from 'rxjs';
 
 describe('session tests', () => {
   const descriptor: SessionDescriptor = {
@@ -29,14 +31,14 @@ describe('session tests', () => {
         now(),
         new Asset('de30', 'cex', 2),
         new Asset('usd', 'cex', 2),
-        new Commision(0, 0),
+        new Commission(0, 0),
         ''
       ),
       new InstrumentPatchEvent(
         now(),
         new Asset('wig20', 'cex', 2),
         new Asset('pln', 'cex', 2),
-        new Commision(0, 0),
+        new Commission(0, 0),
         ''
       )
     );