@quantform/core 0.3.229 → 0.3.230
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- package/dist/adapter/adapter-aggregate.js +3 -3
- package/dist/adapter/adapter-aggregate.js.map +1 -1
- package/dist/adapter/adapter.d.ts +4 -4
- package/dist/adapter/adapter.event.d.ts +1 -1
- package/dist/adapter/adapter.event.js +1 -1
- package/dist/adapter/adapter.js +3 -3
- package/dist/adapter/backtester/backtester-adapter.d.ts +2 -2
- package/dist/adapter/backtester/backtester-adapter.js +3 -3
- package/dist/adapter/backtester/backtester-adapter.js.map +1 -1
- package/dist/adapter/backtester/backtester-cursor.d.ts +1 -1
- package/dist/adapter/backtester/backtester-streamer.d.ts +1 -1
- package/dist/adapter/backtester/backtester-streamer.spec.js +1 -1
- package/dist/adapter/backtester/backtester-streamer.spec.js.map +1 -1
- package/dist/adapter/paper/{model/paper-model.d.ts → executor/paper-executor.d.ts} +1 -1
- package/dist/adapter/paper/{model/paper-model.js → executor/paper-executor.js} +4 -4
- package/dist/adapter/paper/executor/paper-executor.js.map +1 -0
- package/dist/adapter/paper/{model/paper-margin-model.d.ts → executor/paper-margin-executor.d.ts} +2 -2
- package/dist/adapter/paper/{model/paper-margin-model.js → executor/paper-margin-executor.js} +11 -11
- package/dist/adapter/paper/executor/paper-margin-executor.js.map +1 -0
- package/dist/adapter/paper/{model/paper-spot-model.d.ts → executor/paper-spot-executor.d.ts} +3 -3
- package/dist/adapter/paper/{model/paper-spot-model.js → executor/paper-spot-executor.js} +7 -7
- package/dist/adapter/paper/executor/paper-spot-executor.js.map +1 -0
- package/dist/adapter/paper/index.d.ts +2 -2
- package/dist/adapter/paper/index.js +2 -2
- package/dist/adapter/paper/index.js.map +1 -1
- package/dist/adapter/paper/paper-adapter.d.ts +3 -3
- package/dist/adapter/paper/paper-adapter.js +6 -6
- package/dist/adapter/paper/paper-adapter.js.map +1 -1
- package/dist/adapter/paper/paper-adapter.spec.js +2 -2
- package/dist/adapter/paper/paper-adapter.spec.js.map +1 -1
- package/dist/bin.js +3 -4
- package/dist/bin.js.map +1 -1
- package/dist/domain/asset.js +1 -1
- package/dist/domain/balance.d.ts +1 -1
- package/dist/domain/balance.js +1 -3
- package/dist/domain/balance.js.map +1 -1
- package/dist/domain/candle-builder.d.ts +1 -1
- package/dist/domain/candle.d.ts +1 -1
- package/dist/domain/candle.spec.js +2 -2
- package/dist/domain/{commision.d.ts → commission.d.ts} +2 -2
- package/dist/domain/{commision.js → commission.js} +7 -7
- package/dist/domain/commission.js.map +1 -0
- package/dist/domain/component.d.ts +1 -1
- package/dist/domain/index.d.ts +1 -1
- package/dist/domain/index.js +1 -1
- package/dist/domain/index.js.map +1 -1
- package/dist/domain/instrument.d.ts +3 -3
- package/dist/domain/order.d.ts +1 -1
- package/dist/domain/orderbook.d.ts +1 -1
- package/dist/domain/position.d.ts +1 -1
- package/dist/domain/position.js +3 -3
- package/dist/domain/trade.d.ts +1 -1
- package/dist/index.d.ts +1 -2
- package/dist/index.js +1 -2
- package/dist/index.js.map +1 -1
- package/dist/indicator/truerange.spec.js +6 -6
- package/dist/session/index.d.ts +1 -0
- package/dist/session/index.js +1 -0
- package/dist/session/index.js.map +1 -1
- package/dist/session/session-descriptor.d.ts +2 -3
- package/dist/session/session-statement.d.ts +5 -0
- package/dist/session/session-statement.js +87 -0
- package/dist/session/session-statement.js.map +1 -0
- package/dist/session/session.d.ts +2 -2
- package/dist/session/session.js +10 -19
- package/dist/session/session.js.map +1 -1
- package/dist/session/session.spec.js +3 -3
- package/dist/session/session.spec.js.map +1 -1
- package/dist/{common → shared}/datetime.d.ts +0 -0
- package/dist/{common → shared}/datetime.js +0 -0
- package/dist/{common → shared}/datetime.js.map +1 -1
- package/dist/{common → shared}/decimals.d.ts +0 -0
- package/dist/{common → shared}/decimals.js +0 -0
- package/dist/{common → shared}/decimals.js.map +1 -1
- package/dist/{common → shared}/decimals.spec.d.ts +0 -0
- package/dist/{common → shared}/decimals.spec.js +0 -0
- package/dist/{common → shared}/decimals.spec.js.map +1 -1
- package/dist/{common → shared}/index.d.ts +0 -0
- package/dist/{common → shared}/index.js +0 -0
- package/dist/{common → shared}/index.js.map +1 -1
- package/dist/{common → shared}/io.d.ts +0 -0
- package/dist/{common → shared}/io.js +0 -0
- package/dist/shared/io.js.map +1 -0
- package/dist/{common → shared}/logger.d.ts +0 -0
- package/dist/{common → shared}/logger.js +0 -0
- package/dist/{common → shared}/logger.js.map +1 -1
- package/dist/{common → shared}/policy.d.ts +0 -0
- package/dist/{common → shared}/policy.js +0 -0
- package/dist/{common → shared}/policy.js.map +1 -1
- package/dist/{common → shared}/policy.spec.d.ts +0 -0
- package/dist/{common → shared}/policy.spec.js +0 -0
- package/dist/{common → shared}/policy.spec.js.map +1 -1
- package/dist/{common → shared}/topic.d.ts +0 -0
- package/dist/{common → shared}/topic.js +0 -0
- package/dist/{common → shared}/topic.js.map +1 -1
- package/dist/{common → shared}/topic.spec.d.ts +0 -0
- package/dist/{common → shared}/topic.spec.js +0 -0
- package/dist/{common → shared}/topic.spec.js.map +1 -1
- package/dist/{common → shared}/worker.d.ts +0 -0
- package/dist/{common → shared}/worker.js +0 -0
- package/dist/{common → shared}/worker.js.map +1 -1
- package/dist/{common → shared}/worker.spec.d.ts +0 -0
- package/dist/{common → shared}/worker.spec.js +0 -0
- package/dist/{common → shared}/worker.spec.js.map +1 -1
- package/dist/storage/measurement.d.ts +1 -1
- package/dist/store/event/store-balance.event.d.ts +1 -1
- package/dist/store/event/store-balance.event.js +1 -1
- package/dist/store/event/store-balance.event.spec.js +3 -3
- package/dist/store/event/store-balance.event.spec.js.map +1 -1
- package/dist/store/event/store-candle.event.d.ts +1 -1
- package/dist/store/event/store-candle.event.js +1 -1
- package/dist/store/event/store-candle.event.spec.js +2 -2
- package/dist/store/event/store-instrument.event.d.ts +4 -4
- package/dist/store/event/store-instrument.event.js +3 -3
- package/dist/store/event/store-instrument.event.js.map +1 -1
- package/dist/store/event/store-instrument.event.spec.js +3 -3
- package/dist/store/event/store-instrument.event.spec.js.map +1 -1
- package/dist/store/event/store-order.event.d.ts +1 -1
- package/dist/store/event/store-order.event.js +1 -1
- package/dist/store/event/store-order.event.spec.js +2 -2
- package/dist/store/event/store-orderbook.event.d.ts +1 -1
- package/dist/store/event/store-orderbook.event.js +1 -1
- package/dist/store/event/store-position.event.d.ts +1 -1
- package/dist/store/event/store-position.event.js +1 -1
- package/dist/store/event/store-trade.event.d.ts +1 -1
- package/dist/store/event/store-trade.event.js +1 -1
- package/dist/store/event/store-trade.event.spec.js +5 -5
- package/dist/store/event/store.event.d.ts +1 -1
- package/dist/store/store.d.ts +1 -1
- package/dist/store/store.js +1 -1
- package/dist/store/store.state.d.ts +1 -1
- package/dist/tests/backtester-adapter.spec.js +5 -5
- package/dist/tests/backtester-adapter.spec.js.map +1 -1
- package/dist/tsconfig.tsbuildinfo +1 -1
- package/package.json +1 -1
- package/src/adapter/adapter-aggregate.ts +4 -2
- package/src/adapter/adapter.event.ts +2 -2
- package/src/adapter/adapter.ts +4 -4
- package/src/adapter/backtester/backtester-adapter.ts +4 -4
- package/src/adapter/backtester/backtester-cursor.ts +1 -1
- package/src/adapter/backtester/backtester-streamer.spec.ts +1 -1
- package/src/adapter/backtester/backtester-streamer.ts +1 -1
- package/src/adapter/paper/{model/paper-model.ts → executor/paper-executor.ts} +1 -1
- package/src/adapter/paper/{model/paper-margin-model.ts → executor/paper-margin-executor.ts} +4 -4
- package/src/adapter/paper/{model/paper-spot-model.ts → executor/paper-spot-executor.ts} +5 -5
- package/src/adapter/paper/index.ts +2 -2
- package/src/adapter/paper/paper-adapter.spec.ts +4 -4
- package/src/adapter/paper/paper-adapter.ts +8 -8
- package/src/bin.ts +2 -4
- package/src/domain/asset.ts +2 -2
- package/src/domain/balance.ts +3 -5
- package/src/domain/candle-builder.ts +1 -1
- package/src/domain/candle.spec.ts +1 -1
- package/src/domain/candle.ts +1 -1
- package/src/domain/{commision.ts → commission.ts} +3 -3
- package/src/domain/component.ts +1 -1
- package/src/domain/index.ts +1 -1
- package/src/domain/instrument.ts +3 -3
- package/src/domain/order.ts +1 -1
- package/src/domain/orderbook.ts +1 -1
- package/src/domain/position.ts +2 -2
- package/src/domain/trade.ts +1 -1
- package/src/index.ts +1 -7
- package/src/indicator/truerange.spec.ts +1 -1
- package/src/session/index.ts +1 -0
- package/src/session/session-descriptor.ts +35 -6
- package/src/session/session-statement.ts +119 -0
- package/src/session/session.spec.ts +6 -4
- package/src/session/session.ts +62 -20
- package/src/{common → shared}/datetime.ts +0 -0
- package/src/{common → shared}/decimals.spec.ts +0 -0
- package/src/{common → shared}/decimals.ts +0 -0
- package/src/{common → shared}/index.ts +0 -0
- package/src/{common → shared}/io.ts +0 -0
- package/src/{common → shared}/logger.ts +0 -0
- package/src/{common → shared}/policy.spec.ts +0 -0
- package/src/{common → shared}/policy.ts +0 -0
- package/src/{common → shared}/topic.spec.ts +0 -0
- package/src/{common → shared}/topic.ts +0 -0
- package/src/{common → shared}/worker.spec.ts +0 -0
- package/src/{common → shared}/worker.ts +0 -0
- package/src/storage/measurement.ts +1 -1
- package/src/store/event/store-balance.event.spec.ts +3 -3
- package/src/store/event/store-balance.event.ts +2 -2
- package/src/store/event/store-candle.event.spec.ts +1 -1
- package/src/store/event/store-candle.event.ts +2 -2
- package/src/store/event/store-instrument.event.spec.ts +3 -3
- package/src/store/event/store-instrument.event.ts +5 -5
- package/src/store/event/store-order.event.spec.ts +1 -1
- package/src/store/event/store-order.event.ts +2 -2
- package/src/store/event/store-orderbook.event.ts +2 -2
- package/src/store/event/store-position.event.ts +2 -2
- package/src/store/event/store-trade.event.spec.ts +1 -1
- package/src/store/event/store-trade.event.ts +2 -2
- package/src/store/event/store.event.ts +1 -1
- package/src/store/store.state.ts +1 -1
- package/src/store/store.ts +1 -1
- package/src/tests/backtester-adapter.spec.ts +7 -7
- package/dist/adapter/paper/model/paper-margin-model.js.map +0 -1
- package/dist/adapter/paper/model/paper-model.js.map +0 -1
- package/dist/adapter/paper/model/paper-spot-model.js.map +0 -1
- package/dist/behaviour/behaviour.d.ts +0 -6
- package/dist/behaviour/behaviour.js +0 -3
- package/dist/behaviour/behaviour.js.map +0 -1
- package/dist/behaviour/combined-behaviour.d.ts +0 -14
- package/dist/behaviour/combined-behaviour.js +0 -26
- package/dist/behaviour/combined-behaviour.js.map +0 -1
- package/dist/behaviour/index.d.ts +0 -3
- package/dist/behaviour/index.js +0 -16
- package/dist/behaviour/index.js.map +0 -1
- package/dist/behaviour/statement/benchmark-statement.behaviour.d.ts +0 -15
- package/dist/behaviour/statement/benchmark-statement.behaviour.js +0 -41
- package/dist/behaviour/statement/benchmark-statement.behaviour.js.map +0 -1
- package/dist/behaviour/statement/equity-statement.behaviour.d.ts +0 -15
- package/dist/behaviour/statement/equity-statement.behaviour.js +0 -54
- package/dist/behaviour/statement/equity-statement.behaviour.js.map +0 -1
- package/dist/behaviour/statement/index.d.ts +0 -1
- package/dist/behaviour/statement/index.js +0 -14
- package/dist/behaviour/statement/index.js.map +0 -1
- package/dist/behaviour/statement/period-statement.behaviour.d.ts +0 -9
- package/dist/behaviour/statement/period-statement.behaviour.js +0 -20
- package/dist/behaviour/statement/period-statement.behaviour.js.map +0 -1
- package/dist/behaviour/statement/statement.behaviour.d.ts +0 -7
- package/dist/behaviour/statement/statement.behaviour.js +0 -19
- package/dist/behaviour/statement/statement.behaviour.js.map +0 -1
- package/dist/common/io.js.map +0 -1
- package/dist/domain/commision.js.map +0 -1
- package/src/behaviour/behaviour.ts +0 -7
- package/src/behaviour/combined-behaviour.ts +0 -23
- package/src/behaviour/index.ts +0 -3
- package/src/behaviour/statement/benchmark-statement.behaviour.ts +0 -53
- package/src/behaviour/statement/equity-statement.behaviour.ts +0 -71
- package/src/behaviour/statement/index.ts +0 -1
- package/src/behaviour/statement/period-statement.behaviour.ts +0 -26
- package/src/behaviour/statement/statement.behaviour.ts +0 -19
package/src/session/session.ts
CHANGED
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} from '../domain';
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import { Store } from '../store';
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import { concat, from, Observable, Subject, Subscription } from 'rxjs';
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import { Behaviour, CombinedBehaviour, FunctionBehaviour } from '../behaviour';
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import { AdapterAggregate } from '../adapter/adapter-aggregate';
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import { Worker } from '../
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import { Worker, now } from '../shared';
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import { Trade } from '../domain/trade';
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import { SessionDescriptor } from './session-descriptor';
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import {
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export class Session {
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private initialized = false;
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private subscription: Subscription;
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private behaviour: Behaviour;
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private worker = new Worker();
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get timestamp(): number {
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return this.store.snapshot.timestamp;
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}
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readonly statement: Record<string, Record<string, any>> = {};
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constructor(
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readonly store: Store,
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readonly aggregate: AdapterAggregate,
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readonly descriptor?: SessionDescriptor
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) {
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) {
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// generate session id based on time if not provided.
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if (descriptor && !descriptor.id) {
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descriptor.id = now();
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}
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}
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async awake(): Promise<void> {
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this.initialized = true;
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// awake all adapters and synchronize trading accounts with store.
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await this.aggregate.awake(this.descriptor != null);
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} else {
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? new CombinedBehaviour(this.descriptor.behaviour)
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: this.descriptor.behaviour;
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}
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if (this.descriptor.describe) {
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this.subscription = this.descriptor.describe(this).subscribe();
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}
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await this.worker.wait();
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}
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}
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this.behaviour.statement(output);
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useStatement(section: string): Record<string, any> {
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return this.statement[section] ?? (this.statement[section] = {});
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}
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/**
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* Returns last stored measurement and setter for it in session.
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* For example you can save and restore variables in same session between runs.
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* Example usage:
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* const [order$, setOrder] = session.measurement<Order>('order');
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*
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* order.pipe(tap(it => console.log(`your last order was: ${it}`)));
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*
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*/
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useMeasure<T extends { timestamp: number }>(
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return [concat(stored$, subject$.asObservable()), setter];
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/**
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* Return values for patch provided in optimization file.
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* Example usage:
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* const orderSize = session.useOptimizer('order.size');
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*/
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useOptimizer(path: string): any {
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}
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* Subscribes to specific instrument. Usually forces adapter to subscribe
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* for orderbook and ticker streams.
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*/
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async subscribe(instrument: Array<InstrumentSelector>): Promise<void> {
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.filter(it => it != null)
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}
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}
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/**
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* Opens collection of orders.
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* Example:
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* session.open(Order.buyMarket(instrument, 100));
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*/
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async open(...orders: Order[]): Promise<void> {
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await Promise.all(
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orders.map(it =>
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);
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/**
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* Cancels specific order.
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*/
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cancel(order: Order): Promise<void> {
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order.instrument.base.exchange,
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);
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}
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/**
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* Subscribes to specific instrument changes.
|
|
198
|
+
* When adapter awake then it will fetch collection of all available instruments.
|
|
199
|
+
*/
|
|
175
200
|
instrument(selector: InstrumentSelector): Observable<Instrument> {
|
|
176
201
|
this.subscribe([selector]);
|
|
177
202
|
|
|
@@ -181,6 +206,10 @@ export class Session {
|
|
|
181
206
|
);
|
|
182
207
|
}
|
|
183
208
|
|
|
209
|
+
/**
|
|
210
|
+
* Subscribes to instruments changes.
|
|
211
|
+
* When adapter awake then it will fetch collection of all available instruments.
|
|
212
|
+
*/
|
|
184
213
|
instruments(): Observable<Instrument[]> {
|
|
185
214
|
return this.store.changes$.pipe(
|
|
186
215
|
filter(it => it instanceof Instrument),
|
|
@@ -191,6 +220,9 @@ export class Session {
|
|
|
191
220
|
);
|
|
192
221
|
}
|
|
193
222
|
|
|
223
|
+
/**
|
|
224
|
+
* Subscribes to trade/ticker changes.
|
|
225
|
+
*/
|
|
194
226
|
trade(selector?: InstrumentSelector): Observable<Trade> {
|
|
195
227
|
this.subscribe([selector]);
|
|
196
228
|
|
|
@@ -204,6 +236,10 @@ export class Session {
|
|
|
204
236
|
);
|
|
205
237
|
}
|
|
206
238
|
|
|
239
|
+
/**
|
|
240
|
+
* Subscribes to orderbook changes.
|
|
241
|
+
* Right now you can access only best bid and best ask.
|
|
242
|
+
*/
|
|
207
243
|
orderbook(selector?: InstrumentSelector): Observable<Orderbook> {
|
|
208
244
|
this.subscribe([selector]);
|
|
209
245
|
|
|
@@ -217,6 +253,9 @@ export class Session {
|
|
|
217
253
|
);
|
|
218
254
|
}
|
|
219
255
|
|
|
256
|
+
/**
|
|
257
|
+
* Subscribes to position on leveraged market.
|
|
258
|
+
*/
|
|
220
259
|
position(selector?: InstrumentSelector): Observable<Position> {
|
|
221
260
|
this.subscribe([selector]);
|
|
222
261
|
|
|
@@ -230,6 +269,9 @@ export class Session {
|
|
|
230
269
|
);
|
|
231
270
|
}
|
|
232
271
|
|
|
272
|
+
/**
|
|
273
|
+
* Subscribes to positions on leveraged markets.
|
|
274
|
+
*/
|
|
233
275
|
positions(selector: InstrumentSelector): Observable<Position[]> {
|
|
234
276
|
this.subscribe([selector]);
|
|
235
277
|
|
|
File without changes
|
|
File without changes
|
|
File without changes
|
|
File without changes
|
|
File without changes
|
|
File without changes
|
|
File without changes
|
|
File without changes
|
|
File without changes
|
|
File without changes
|
|
File without changes
|
|
File without changes
|
|
@@ -1,7 +1,7 @@
|
|
|
1
|
-
import { Asset,
|
|
1
|
+
import { Asset, Commission } from '../../domain';
|
|
2
2
|
import { BalancePatchEvent } from '.';
|
|
3
3
|
import { InstrumentPatchEvent } from './store-instrument.event';
|
|
4
|
-
import { now } from '../../
|
|
4
|
+
import { now } from '../../shared';
|
|
5
5
|
import { Store } from '..';
|
|
6
6
|
|
|
7
7
|
describe('balance event tests', () => {
|
|
@@ -15,7 +15,7 @@ describe('balance event tests', () => {
|
|
|
15
15
|
store.changes$.subscribe(it => (component = it));
|
|
16
16
|
|
|
17
17
|
store.dispatch(
|
|
18
|
-
new InstrumentPatchEvent(timestamp, base, quote, new
|
|
18
|
+
new InstrumentPatchEvent(timestamp, base, quote, new Commission(0, 0), '')
|
|
19
19
|
);
|
|
20
20
|
store.dispatch(new BalancePatchEvent(base, 100, 0, timestamp));
|
|
21
21
|
|
|
@@ -1,5 +1,5 @@
|
|
|
1
|
-
import { event } from '../../
|
|
2
|
-
import { timestamp } from '../../
|
|
1
|
+
import { event } from '../../shared/topic';
|
|
2
|
+
import { timestamp } from '../../shared';
|
|
3
3
|
import { AssetSelector } from '../../domain/asset';
|
|
4
4
|
import { Balance } from '../../domain/balance';
|
|
5
5
|
import { State } from '../store.state';
|
|
@@ -1,7 +1,7 @@
|
|
|
1
1
|
import { Asset, Instrument } from '../../domain';
|
|
2
2
|
import { CandleEvent, CandleEventHandler } from '.';
|
|
3
3
|
import { State } from '../store.state';
|
|
4
|
-
import { now } from '../../
|
|
4
|
+
import { now } from '../../shared';
|
|
5
5
|
|
|
6
6
|
const instrument = new Instrument(
|
|
7
7
|
new Asset('btc', 'binance', 8),
|
|
@@ -1,10 +1,10 @@
|
|
|
1
1
|
import { TradePatchEventHandler } from './store-trade.event';
|
|
2
2
|
import { OrderbookPatchEventHandler } from './store-orderbook.event';
|
|
3
|
-
import { timestamp } from '../../
|
|
3
|
+
import { timestamp } from '../../shared/datetime';
|
|
4
4
|
import { InstrumentSelector } from '../../domain';
|
|
5
5
|
import { State } from '../store.state';
|
|
6
6
|
import { StoreEvent } from './store.event';
|
|
7
|
-
import { event } from '../../
|
|
7
|
+
import { event } from '../../shared/topic';
|
|
8
8
|
|
|
9
9
|
@event
|
|
10
10
|
export class CandleEvent implements StoreEvent {
|
|
@@ -1,6 +1,6 @@
|
|
|
1
1
|
import { Store } from '..';
|
|
2
|
-
import { now } from '../../
|
|
3
|
-
import { Asset,
|
|
2
|
+
import { now } from '../../shared';
|
|
3
|
+
import { Asset, Commission } from '../../domain';
|
|
4
4
|
import { InstrumentPatchEvent } from './store-instrument.event';
|
|
5
5
|
|
|
6
6
|
describe('instrument patch event tests', () => {
|
|
@@ -11,7 +11,7 @@ describe('instrument patch event tests', () => {
|
|
|
11
11
|
const quote = new Asset('usd', 'cex', 2);
|
|
12
12
|
|
|
13
13
|
store.dispatch(
|
|
14
|
-
new InstrumentPatchEvent(timestamp, base, quote, new
|
|
14
|
+
new InstrumentPatchEvent(timestamp, base, quote, new Commission(0, 0), '')
|
|
15
15
|
);
|
|
16
16
|
|
|
17
17
|
expect(store.snapshot.universe.instrument['cex:de30-usd'].base).toEqual(base);
|
|
@@ -1,6 +1,6 @@
|
|
|
1
|
-
import { event } from '../../
|
|
2
|
-
import { timestamp } from '../../
|
|
3
|
-
import { Asset,
|
|
1
|
+
import { event } from '../../shared/topic';
|
|
2
|
+
import { timestamp } from '../../shared';
|
|
3
|
+
import { Asset, Commission } from '../../domain';
|
|
4
4
|
import { Instrument, InstrumentSelector } from '../../domain/instrument';
|
|
5
5
|
import { State } from '../../store';
|
|
6
6
|
import { StoreEvent } from './store.event';
|
|
@@ -13,7 +13,7 @@ export class InstrumentPatchEvent implements StoreEvent {
|
|
|
13
13
|
readonly timestamp: timestamp,
|
|
14
14
|
readonly base: Asset,
|
|
15
15
|
readonly quote: Asset,
|
|
16
|
-
readonly commision:
|
|
16
|
+
readonly commision: Commission,
|
|
17
17
|
readonly raw: string,
|
|
18
18
|
readonly leverage?: number
|
|
19
19
|
) {}
|
|
@@ -37,7 +37,7 @@ export function InstrumentPatchEventHandler(event: InstrumentPatchEvent, state:
|
|
|
37
37
|
}
|
|
38
38
|
|
|
39
39
|
instrument.timestamp = event.timestamp;
|
|
40
|
-
instrument.
|
|
40
|
+
instrument.commission = event.commision;
|
|
41
41
|
|
|
42
42
|
if (event.leverage) {
|
|
43
43
|
instrument.leverage = event.leverage;
|
|
@@ -1,5 +1,5 @@
|
|
|
1
|
-
import { event } from '../../
|
|
2
|
-
import { timestamp } from '../../
|
|
1
|
+
import { event } from '../../shared/topic';
|
|
2
|
+
import { timestamp } from '../../shared';
|
|
3
3
|
import { Order } from '../../domain';
|
|
4
4
|
import { State } from '../store.state';
|
|
5
5
|
import { StoreEvent } from './store.event';
|
|
@@ -1,5 +1,5 @@
|
|
|
1
|
-
import { event } from '../../
|
|
2
|
-
import { timestamp } from '../../
|
|
1
|
+
import { event } from '../../shared/topic';
|
|
2
|
+
import { timestamp } from '../../shared';
|
|
3
3
|
import { InstrumentSelector } from '../../domain/instrument';
|
|
4
4
|
import { Orderbook } from '../../domain/orderbook';
|
|
5
5
|
import { State } from '../store.state';
|
|
@@ -1,5 +1,5 @@
|
|
|
1
|
-
import { event } from '../../
|
|
2
|
-
import { timestamp } from '../../
|
|
1
|
+
import { event } from '../../shared/topic';
|
|
2
|
+
import { timestamp } from '../../shared';
|
|
3
3
|
import { Position, Instrument, PositionMode } from '../../domain';
|
|
4
4
|
import { State } from '../store.state';
|
|
5
5
|
import { StoreEvent } from './store.event';
|
|
@@ -1,7 +1,7 @@
|
|
|
1
1
|
import { Asset, Instrument } from '../../domain';
|
|
2
2
|
import { TradePatchEvent, TradePatchEventHandler } from '.';
|
|
3
3
|
import { State } from '../store.state';
|
|
4
|
-
import { now } from '../../
|
|
4
|
+
import { now } from '../../shared';
|
|
5
5
|
|
|
6
6
|
const instrument = new Instrument(
|
|
7
7
|
new Asset('btc', 'binance', 8),
|
|
@@ -1,5 +1,5 @@
|
|
|
1
|
-
import { event } from '../../
|
|
2
|
-
import { timestamp } from '../../
|
|
1
|
+
import { event } from '../../shared/topic';
|
|
2
|
+
import { timestamp } from '../../shared';
|
|
3
3
|
import { Trade } from '../../domain';
|
|
4
4
|
import { InstrumentSelector } from '../../domain/instrument';
|
|
5
5
|
import { State } from '../store.state';
|
package/src/store/store.state.ts
CHANGED
package/src/store/store.ts
CHANGED
|
@@ -3,7 +3,7 @@ import { State } from './store.state';
|
|
|
3
3
|
import { Component } from '../domain';
|
|
4
4
|
import { Set } from 'typescript-collections';
|
|
5
5
|
import { StoreEvent } from './event/store.event';
|
|
6
|
-
import { handler, Topic } from '../
|
|
6
|
+
import { handler, Topic } from '../shared/topic';
|
|
7
7
|
import { TradePatchEvent, TradePatchEventHandler } from './event/store-trade.event';
|
|
8
8
|
import {
|
|
9
9
|
BalanceFreezEvent,
|
|
@@ -1,16 +1,16 @@
|
|
|
1
1
|
import { AdapterAwakeCommand } from '../adapter';
|
|
2
2
|
import { AdapterSubscribeCommand } from '../adapter';
|
|
3
|
-
import { Asset,
|
|
3
|
+
import { Asset, Commission, instrumentOf } from '../domain';
|
|
4
4
|
import { InMemoryStorage, Feed } from '../storage';
|
|
5
5
|
import { Store } from '../store';
|
|
6
6
|
import { InstrumentPatchEvent, TradePatchEvent } from '../store/event';
|
|
7
7
|
import { Adapter, AdapterContext } from '../adapter/adapter';
|
|
8
|
-
import {
|
|
9
|
-
import {
|
|
8
|
+
import { PaperSpotExecutor } from '../adapter/paper';
|
|
9
|
+
import { PaperExecutor } from '../adapter/paper/executor/paper-executor';
|
|
10
10
|
import { PaperAdapter } from '../adapter/paper/paper-adapter';
|
|
11
11
|
import { BacktesterAdapter } from '../adapter/backtester/backtester-adapter';
|
|
12
12
|
import { BacktesterStreamer } from '../adapter/backtester/backtester-streamer';
|
|
13
|
-
import { handler } from '../
|
|
13
|
+
import { handler } from '../shared';
|
|
14
14
|
|
|
15
15
|
const base = new Asset('btc', 'binance', 8);
|
|
16
16
|
const quote = new Asset('usdt', 'binance', 4);
|
|
@@ -22,8 +22,8 @@ class DefaultAdapter extends Adapter {
|
|
|
22
22
|
return 123;
|
|
23
23
|
}
|
|
24
24
|
|
|
25
|
-
|
|
26
|
-
return new
|
|
25
|
+
createPaperExecutor(adapter: PaperAdapter): PaperExecutor {
|
|
26
|
+
return new PaperSpotExecutor(adapter);
|
|
27
27
|
}
|
|
28
28
|
|
|
29
29
|
@handler(AdapterAwakeCommand)
|
|
@@ -33,7 +33,7 @@ class DefaultAdapter extends Adapter {
|
|
|
33
33
|
context.timestamp,
|
|
34
34
|
base,
|
|
35
35
|
quote,
|
|
36
|
-
new
|
|
36
|
+
new Commission(0.1, 0.1),
|
|
37
37
|
'btc-usdt'
|
|
38
38
|
)
|
|
39
39
|
);
|
|
@@ -1 +0,0 @@
|
|
|
1
|
-
{"version":3,"file":"paper-margin-model.js","sourceRoot":"","sources":["../../../../src/adapter/paper/model/paper-margin-model.ts"],"names":[],"mappings":";;;AAAA,4CAAoD;AAEpD,gDAQ8B;AAE9B,+CAA2C;AAE3C,MAAa,gBAAiB,SAAQ,wBAAU;IAG9C,YAAY,OAAqB;QAC/B,KAAK,CAAC,OAAO,CAAC,CAAC;QAHjB,aAAQ,GAAG,EAAE,CAAC;IAId,CAAC;IAED,aAAa,CAAC,KAAY;QACxB,MAAM,SAAS,GAAG,IAAI,CAAC,OAAO,CAAC,SAAS,EAAE,CAAC;QAE3C,IAAI,CAAC,OAAO,CAAC,KAAK,CAAC,QAAQ,CAAC,IAAI,qBAAa,CAAC,KAAK,EAAE,SAAS,CAAC,CAAC,CAAC;QACjE,IAAI,CAAC,OAAO,CAAC,KAAK,CAAC,QAAQ,CAAC,IAAI,yBAAiB,CAAC,KAAK,CAAC,EAAE,EAAE,SAAS,CAAC,CAAC,CAAC;IAC1E,CAAC;IAED,gBAAgB,CAAC,KAAY,EAAE,oBAA4B,EAAE,SAAiB;;QAC5E,MAAM,UAAU,GACd,IAAI,CAAC,OAAO,CAAC,KAAK,CAAC,QAAQ,CAAC,QAAQ,CAAC,UAAU,CAAC,KAAK,CAAC,UAAU,CAAC,QAAQ,EAAE,CAAC,CAAC;QAE/E,IAAI,QAAQ,GAAG,UAAU,CAAC,KAAK,CAAC,KAAK,CACnC,CAAC,UAAU,CAAC,SAAS,CAAC,iBAAiB,CAAC,oBAAoB,GAAG,KAAK,CAAC,QAAQ,CAAC,CAC/E,CAAC;QAEF,MAAM,EAAE,GAAG,UAAU,CAAC,QAAQ,EAAE,CAAC;QACjC,MAAM,QAAQ,GACZ,IAAI,CAAC,OAAO,CAAC,KAAK,CAAC,QAAQ,CAAC,OAAO,CAAC,UAAU,CAAC,KAAK,CAAC,QAAQ,EAAE,CAAC,CAAC,QAAQ,CAAC,EAAE,CAAC,CAAC;QAEhF,IAAI,IAAI,GAAG,MAAA,QAAQ,aAAR,QAAQ,uBAAR,QAAQ,CAAE,oBAAoB,mCAAI,CAAC,CAAC;QAC/C,IAAI,IAAI,GAAG,MAAA,QAAQ,aAAR,QAAQ,uBAAR,QAAQ,CAAE,IAAI,mCAAI,CAAC,CAAC;QAC/B,IAAI,QAAQ,GAAG,KAAK,CAAC,QAAQ,CAAC;QAE9B,QAAQ,KAAK,CAAC,IAAI,EAAE;YAClB,KAAK,KAAK;gBACR,IAAI,IAAI,GAAG,CAAC,EAAE;oBACZ,MAAM,eAAe,GAAG,IAAI,CAAC,GAAG,CAAC,IAAI,CAAC,GAAG,CAAC,IAAI,CAAC,EAAE,QAAQ,CAAC,CAAC;oBAE3D,QAAQ,IAAI,IAAA,YAAG,EAAC,oBAAoB,EAAE,IAAI,EAAE,eAAe,CAAC,CAAC;oBAE7D,IAAI,IAAI,eAAe,CAAC;oBACxB,QAAQ,IAAI,eAAe,CAAC;iBAC7B;gBAED,IAAI,CAAC,IAAI,EAAE;oBACT,IAAI,GAAG,oBAAoB,CAAC;oBAC5B,IAAI,GAAG,QAAQ,CAAC;iBACjB;qBAAM;oBACL,IAAI,GAAG,IAAA,qBAAY,EAAC,CAAC,IAAI,EAAE,oBAAoB,CAAC,EAAE,CAAC,IAAI,EAAE,QAAQ,CAAC,CAAC,CAAC;oBACpE,IAAI,IAAI,QAAQ,CAAC;iBAClB;gBAED,MAAM;YAER,KAAK,MAAM;gBACT,IAAI,IAAI,GAAG,CAAC,EAAE;oBACZ,MAAM,eAAe,GAAG,IAAI,CAAC,GAAG,CAAC,IAAI,EAAE,QAAQ,CAAC,CAAC;oBAEjD,QAAQ,IAAI,IAAA,YAAG,EAAC,IAAI,EAAE,oBAAoB,EAAE,eAAe,CAAC,CAAC;oBAE7D,IAAI,IAAI,eAAe,CAAC;oBACxB,QAAQ,IAAI,eAAe,CAAC;iBAC7B;gBAED,IAAI,CAAC,IAAI,EAAE;oBACT,IAAI,GAAG,oBAAoB,CAAC;oBAC5B,IAAI,GAAG,CAAC,QAAQ,CAAC;iBAClB;qBAAM;oBACL,IAAI,GAAG,IAAA,qBAAY,EAAC,CAAC,IAAI,EAAE,oBAAoB,CAAC,EAAE,CAAC,IAAI,EAAE,CAAC,QAAQ,CAAC,CAAC,CAAC;oBACrE,IAAI,IAAI,QAAQ,CAAC;iBAClB;gBAED,MAAM;SACT;QAED,IAAI,CAAC,OAAO,CAAC,KAAK,CAAC,QAAQ,CACzB,IAAI,wBAAgB,CAAC,KAAK,CAAC,EAAE,EAAE,oBAAoB,EAAE,SAAS,CAAC,EAC/D,IAAI,4BAAoB,CAAC,UAAU,CAAC,KAAK,EAAE,QAAQ,EAAE,SAAS,CAAC,EAC/D,IAAI,0BAAkB,CACpB,EAAE,EACF,UAAU,EACV,IAAI,EACJ,IAAI,EACJ,IAAI,CAAC,QAAQ,EACb,OAAO,EACP,SAAS,CACV,CACF,CAAC;IACJ,CAAC;IAED,eAAe,CAAC,KAAY;QAC1B,MAAM,SAAS,GAAG,IAAI,CAAC,OAAO,CAAC,SAAS,EAAE,CAAC;QAE3C,IAAI,CAAC,OAAO,CAAC,KAAK,CAAC,QAAQ,CAAC,IAAI,2BAAmB,CAAC,KAAK,CAAC,EAAE,EAAE,SAAS,CAAC,CAAC,CAAC;QAC1E,IAAI,CAAC,OAAO,CAAC,KAAK,CAAC,QAAQ,CAAC,IAAI,0BAAkB,CAAC,KAAK,CAAC,EAAE,EAAE,SAAS,CAAC,CAAC,CAAC;IAC3E,CAAC;CACF;AA7FD,4CA6FC"}
|
|
@@ -1 +0,0 @@
|
|
|
1
|
-
{"version":3,"file":"paper-model.js","sourceRoot":"","sources":["../../../../src/adapter/paper/model/paper-model.ts"],"names":[],"mappings":";;;AAAA,8CAAqC;AACrC,4CAAyF;AAEzF,mEAA6C;AAE7C,MAAsB,UAAU;IAG9B,YAAqB,OAAqB;QAArB,YAAO,GAAP,OAAO,CAAc;QAFzB,YAAO,GAA+B,EAAE,CAAC;QAGxD,IAAI,CAAC,OAAO,CAAC,KAAK,CAAC,QAAQ,CAAC,IAAI,CAAC,IAAA,eAAG,EAAC,EAAE,CAAC,EAAE,CAAC,IAAI,CAAC,SAAS,CAAC,EAAE,CAAC,CAAC,CAAC,CAAC,SAAS,EAAE,CAAC;IAC9E,CAAC;IAYO,SAAS,CAAC,SAAoB;QACpC,IAAI,SAAS,YAAY,kBAAS,EAAE;YAClC,IAAI,CAAC,SAAS,CAAC,SAAS,CAAC,UAAU,CAAC,CAAC,OAAO,CAAC,EAAE,CAAC,EAAE,CAChD,IAAI,CAAC,wBAAwB,CAAC,EAAE,EAAE,SAAS,CAAC,CAC7C,CAAC;SACH;aAAM,IAAI,SAAS,YAAY,cAAK,EAAE;YACrC,IAAI,CAAC,SAAS,CAAC,SAAS,CAAC,UAAU,CAAC,CAAC,OAAO,CAAC,EAAE,CAAC,EAAE,CAChD,IAAI,CAAC,oBAAoB,CAAC,EAAE,EAAE,SAAS,CAAC,CACzC,CAAC;SACH;IACH,CAAC;IAEO,wBAAwB,CAAC,KAAY,EAAE,SAAoB;QACjE,IAAI,KAAK,CAAC,IAAI,IAAI,QAAQ,EAAE;YAC1B,IAAI,KAAK,CAAC,IAAI,IAAI,KAAK,IAAI,SAAS,CAAC,WAAW,EAAE;gBAChD,IAAI,CAAC,SAAS,CAAC,KAAK,CAAC,UAAU,CAAC,CAAC,MAAM,CAAC,KAAK,CAAC,CAAC;gBAC/C,IAAI,CAAC,gBAAgB,CAAC,KAAK,EAAE,SAAS,CAAC,WAAW,EAAE,SAAS,CAAC,SAAS,CAAC,CAAC;aAC1E;iBAAM,IAAI,KAAK,CAAC,IAAI,IAAI,MAAM,IAAI,SAAS,CAAC,WAAW,EAAE;gBACxD,IAAI,CAAC,SAAS,CAAC,KAAK,CAAC,UAAU,CAAC,CAAC,MAAM,CAAC,KAAK,CAAC,CAAC;gBAC/C,IAAI,CAAC,gBAAgB,CAAC,KAAK,EAAE,SAAS,CAAC,WAAW,EAAE,SAAS,CAAC,SAAS,CAAC,CAAC;aAC1E;YAED,OAAO;SACR;QAED,IAAI,KAAK,CAAC,IAAI,IAAI,OAAO,EAAE;YACzB,IAAI,KAAK,CAAC,IAAI,IAAI,KAAK,IAAI,KAAK,CAAC,IAAI,IAAI,SAAS,CAAC,WAAW,EAAE;gBAC9D,IAAI,CAAC,SAAS,CAAC,KAAK,CAAC,UAAU,CAAC,CAAC,MAAM,CAAC,KAAK,CAAC,CAAC;gBAC/C,IAAI,CAAC,gBAAgB,CAAC,KAAK,EAAE,SAAS,CAAC,WAAW,EAAE,SAAS,CAAC,SAAS,CAAC,CAAC;aAC1E;iBAAM,IAAI,KAAK,CAAC,IAAI,IAAI,MAAM,IAAI,KAAK,CAAC,IAAI,IAAI,SAAS,CAAC,WAAW,EAAE;gBACtE,IAAI,CAAC,SAAS,CAAC,KAAK,CAAC,UAAU,CAAC,CAAC,MAAM,CAAC,KAAK,CAAC,CAAC;gBAC/C,IAAI,CAAC,gBAAgB,CAAC,KAAK,EAAE,SAAS,CAAC,WAAW,EAAE,SAAS,CAAC,SAAS,CAAC,CAAC;aAC1E;YAED,OAAO;SACR;IACH,CAAC;IAEO,oBAAoB,CAAC,KAAY,EAAE,KAAY;QACrD,IAAI,KAAK,CAAC,IAAI,IAAI,QAAQ,EAAE;YAC1B,IAAI,CAAC,SAAS,CAAC,KAAK,CAAC,UAAU,CAAC,CAAC,MAAM,CAAC,KAAK,CAAC,CAAC;YAC/C,IAAI,CAAC,gBAAgB,CAAC,KAAK,EAAE,KAAK,CAAC,IAAI,EAAE,KAAK,CAAC,SAAS,CAAC,CAAC;YAE1D,OAAO;SACR;QAED,IAAI,KAAK,CAAC,IAAI,IAAI,OAAO,EAAE;YACzB,IAAI,KAAK,CAAC,IAAI,IAAI,KAAK,IAAI,KAAK,CAAC,IAAI,GAAG,KAAK,CAAC,IAAI,EAAE;gBAClD,IAAI,CAAC,SAAS,CAAC,KAAK,CAAC,UAAU,CAAC,CAAC,MAAM,CAAC,KAAK,CAAC,CAAC;gBAC/C,IAAI,CAAC,gBAAgB,CAAC,KAAK,EAAE,KAAK,CAAC,IAAI,EAAE,KAAK,CAAC,SAAS,CAAC,CAAC;aAC3D;iBAAM,IAAI,KAAK,CAAC,IAAI,IAAI,MAAM,IAAI,KAAK,CAAC,IAAI,GAAG,KAAK,CAAC,IAAI,EAAE;gBAC1D,IAAI,CAAC,SAAS,CAAC,KAAK,CAAC,UAAU,CAAC,CAAC,MAAM,CAAC,KAAK,CAAC,CAAC;gBAC/C,IAAI,CAAC,gBAAgB,CAAC,KAAK,EAAE,KAAK,CAAC,IAAI,EAAE,KAAK,CAAC,SAAS,CAAC,CAAC;aAC3D;YAED,OAAO;SACR;IACH,CAAC;IAEO,SAAS,CAAC,UAA8B;QAC9C,IAAI,OAAO,GAAG,IAAI,CAAC,OAAO,CAAC,UAAU,CAAC,QAAQ,EAAE,CAAC,CAAC;QAClD,IAAI,CAAC,OAAO,EAAE;YACZ,OAAO,GAAG,IAAI,4BAAG,EAAS,CAAC;YAE3B,IAAI,CAAC,OAAO,CAAC,UAAU,CAAC,QAAQ,EAAE,CAAC,GAAG,OAAO,CAAC;SAC/C;QAED,OAAO,OAAO,CAAC;IACjB,CAAC;IAED,IAAI,CAAC,KAAY;QACf,MAAM,OAAO,GAAG,IAAI,CAAC,SAAS,CAAC,KAAK,CAAC,UAAU,CAAC,CAAC;QAEjD,IAAI,CAAC,OAAO,CAAC,GAAG,CAAC,KAAK,CAAC,EAAE;YACvB,MAAM,IAAI,KAAK,CAAC,eAAe,CAAC,CAAC;SAClC;QAED,IAAI,CAAC,aAAa,CAAC,KAAK,CAAC,CAAC;IAC5B,CAAC;IAED,MAAM,CAAC,KAAY;QACjB,MAAM,OAAO,GAAG,IAAI,CAAC,SAAS,CAAC,KAAK,CAAC,UAAU,CAAC,CAAC;QAEjD,IAAI,CAAC,OAAO,CAAC,MAAM,CAAC,KAAK,CAAC,EAAE;YAC1B,MAAM,IAAI,KAAK,CAAC,eAAe,CAAC,CAAC;SAClC;QAED,IAAI,CAAC,eAAe,CAAC,KAAK,CAAC,CAAC;IAC9B,CAAC;CACF;AA1GD,gCA0GC"}
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{"version":3,"file":"paper-spot-model.js","sourceRoot":"","sources":["../../../../src/adapter/paper/model/paper-spot-model.ts"],"names":[],"mappings":";;;AACA,gDAS8B;AAE9B,+CAA2C;AAG3C,MAAa,cAAe,SAAQ,wBAAU;IAC5C,YAAqB,OAAqB;QACxC,KAAK,CAAC,OAAO,CAAC,CAAC;QADI,YAAO,GAAP,OAAO,CAAc;IAE1C,CAAC;IAED,aAAa,CAAC,KAAY;QACxB,MAAM,SAAS,GAAG,IAAI,CAAC,OAAO,CAAC,SAAS,EAAE,CAAC;QAE3C,IAAI,CAAC,OAAO,CAAC,KAAK,CAAC,QAAQ,CACzB,GAAG,IAAI,CAAC,wBAAwB,CAAC,KAAK,EAAE,SAAS,CAAC,EAClD,IAAI,qBAAa,CAAC,KAAK,EAAE,SAAS,CAAC,CACpC,CAAC;QACF,IAAI,CAAC,OAAO,CAAC,KAAK,CAAC,QAAQ,CAAC,IAAI,yBAAiB,CAAC,KAAK,CAAC,EAAE,EAAE,SAAS,CAAC,CAAC,CAAC;IAC1E,CAAC;IAED,gBAAgB,CAAC,KAAY,EAAE,oBAA4B,EAAE,SAAoB;QAC/E,MAAM,UAAU,GACd,IAAI,CAAC,OAAO,CAAC,KAAK,CAAC,QAAQ,CAAC,QAAQ,CAAC,UAAU,CAAC,KAAK,CAAC,UAAU,CAAC,QAAQ,EAAE,CAAC,CAAC;QAC/E,MAAM,UAAU,GAAG;YACjB,IAAI,EAAE,CAAC;YACP,KAAK,EAAE,CAAC;SACT,CAAC;QAEF,QAAQ,KAAK,CAAC,IAAI,EAAE;YAClB,KAAK,KAAK;gBACR,UAAU,CAAC,IAAI,IAAI,UAAU,CAAC,IAAI,CAAC,KAAK,CACtC,UAAU,CAAC,SAAS,CAAC,aAAa,CAAC,KAAK,CAAC,QAAQ,CAAC,CACnD,CAAC;gBACF,UAAU,CAAC,KAAK,IAAI,UAAU,CAAC,KAAK,CAAC,KAAK,CAAC,oBAAoB,GAAG,KAAK,CAAC,QAAQ,CAAC,CAAC;gBAClF,MAAM;YAER,KAAK,MAAM;gBACT,UAAU,CAAC,IAAI,IAAI,UAAU,CAAC,IAAI,CAAC,KAAK,CAAC,KAAK,CAAC,QAAQ,CAAC,CAAC;gBACzD,UAAU,CAAC,KAAK,IAAI,UAAU,CAAC,KAAK,CAAC,KAAK,CACxC,UAAU,CAAC,SAAS,CAAC,aAAa,CAAC,oBAAoB,GAAG,KAAK,CAAC,QAAQ,CAAC,CAC1E,CAAC;gBACF,MAAM;SACT;QAED,IAAI,CAAC,OAAO,CAAC,KAAK,CAAC,QAAQ,CACzB,GAAG,IAAI,CAAC,0BAA0B,CAAC,KAAK,EAAE,SAAS,CAAC,EACpD,IAAI,wBAAgB,CAAC,KAAK,CAAC,EAAE,EAAE,oBAAoB,EAAE,SAAS,CAAC,EAC/D,IAAI,4BAAoB,CAAC,UAAU,CAAC,IAAI,EAAE,UAAU,CAAC,IAAI,EAAE,SAAS,CAAC,EACrE,IAAI,4BAAoB,CAAC,UAAU,CAAC,KAAK,EAAE,UAAU,CAAC,KAAK,EAAE,SAAS,CAAC,CACxE,CAAC;IACJ,CAAC;IAED,eAAe,CAAC,KAAY;QAC1B,MAAM,SAAS,GAAG,IAAI,CAAC,OAAO,CAAC,SAAS,EAAE,CAAC;QAE3C,IAAI,CAAC,OAAO,CAAC,KAAK,CAAC,QAAQ,CAAC,IAAI,2BAAmB,CAAC,KAAK,CAAC,EAAE,EAAE,SAAS,CAAC,CAAC,CAAC;QAC1E,IAAI,CAAC,OAAO,CAAC,KAAK,CAAC,QAAQ,CACzB,GAAG,IAAI,CAAC,0BAA0B,CAAC,KAAK,EAAE,SAAS,CAAC,EACpD,IAAI,0BAAkB,CAAC,KAAK,CAAC,EAAE,EAAE,SAAS,CAAC,CAC5C,CAAC;IACJ,CAAC;IAEO,wBAAwB,CAC9B,KAAY,EACZ,SAAoB;QAEpB,MAAM,QAAQ,GAAG,IAAI,CAAC,OAAO,CAAC,KAAK,CAAC,QAAQ,CAAC;QAC7C,MAAM,KAAK,GAAG,QAAQ,CAAC,OAAO,CAAC,KAAK,CAAC,UAAU,CAAC,KAAK,CAAC,QAAQ,EAAE,CAAC,CAAC;QAElE,QAAQ,KAAK,CAAC,IAAI,EAAE;YAClB,KAAK,KAAK;gBACR,QAAQ,KAAK,CAAC,IAAI,EAAE;oBAClB,KAAK,QAAQ;wBACX,OAAO,CAAC,IAAI,yBAAiB,CAAC,KAAK,CAAC,UAAU,CAAC,KAAK,EAAE,KAAK,CAAC,IAAI,EAAE,SAAS,CAAC,CAAC,CAAC;oBAEhF,KAAK,OAAO;wBACV,OAAO;4BACL,IAAI,yBAAiB,CACnB,KAAK,CAAC,UAAU,CAAC,KAAK,EACtB,KAAK,CAAC,KAAK,CAAC,IAAI,CAAC,KAAK,CAAC,IAAI,GAAG,KAAK,CAAC,QAAQ,CAAC,EAC7C,SAAS,CACV;yBACF,CAAC;iBACL;gBACD,MAAM;YAER,KAAK,MAAM;gBACT,OAAO,CAAC,IAAI,yBAAiB,CAAC,KAAK,CAAC,UAAU,CAAC,IAAI,EAAE,KAAK,CAAC,QAAQ,EAAE,SAAS,CAAC,CAAC,CAAC;SACpF;IACH,CAAC;IAEO,0BAA0B,CAChC,KAAY,EACZ,SAAoB;QAEpB,MAAM,QAAQ,GAAG,IAAI,CAAC,OAAO,CAAC,KAAK,CAAC,QAAQ,CAAC;QAC7C,MAAM,KAAK,GAAG,QAAQ,CAAC,OAAO,CAAC,KAAK,CAAC,UAAU,CAAC,KAAK,CAAC,QAAQ,EAAE,CAAC,CAAC;QAElE,QAAQ,KAAK,CAAC,IAAI,EAAE;YAClB,KAAK,KAAK;gBACR,QAAQ,KAAK,CAAC,IAAI,EAAE;oBAClB,KAAK,QAAQ;wBACX,OAAO;4BACL,IAAI,2BAAmB,CAAC,KAAK,CAAC,UAAU,CAAC,KAAK,EAAE,KAAK,CAAC,OAAO,EAAE,SAAS,CAAC;yBAC1E,CAAC;oBAEJ,KAAK,OAAO;wBACV,OAAO;4BACL,IAAI,2BAAmB,CACrB,KAAK,CAAC,UAAU,CAAC,KAAK,EACtB,KAAK,CAAC,KAAK,CAAC,IAAI,CAAC,KAAK,CAAC,IAAI,GAAG,KAAK,CAAC,QAAQ,CAAC,EAC7C,SAAS,CACV;yBACF,CAAC;iBACL;gBACD,MAAM;YAER,KAAK,MAAM;gBACT,OAAO;oBACL,IAAI,2BAAmB,CAAC,KAAK,CAAC,UAAU,CAAC,IAAI,EAAE,KAAK,CAAC,QAAQ,EAAE,SAAS,CAAC;iBAC1E,CAAC;SACL;IACH,CAAC;CACF;AAtHD,wCAsHC"}
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{"version":3,"file":"behaviour.js","sourceRoot":"","sources":["../../src/behaviour/behaviour.ts"],"names":[],"mappings":""}
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class CombinedBehaviour {
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statement(output) {
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{"version":3,"file":"combined-behaviour.js","sourceRoot":"","sources":["../../src/behaviour/combined-behaviour.ts"],"names":[],"mappings":";;;AAAA,+BAA4C;AAI5C,MAAa,iBAAiB;IAC5B,YAA6B,UAAuB;QAAvB,eAAU,GAAV,UAAU,CAAa;IAAG,CAAC;IAExD,QAAQ,CAAC,OAAgB;QACvB,OAAO,IAAA,eAAQ,EAAC,IAAI,CAAC,UAAU,CAAC,GAAG,CAAC,CAAC,CAAC,EAAE,CAAC,CAAC,CAAC,QAAQ,CAAC,OAAO,CAAC,CAAC,CAAC,CAAC;IACjE,CAAC;IAED,SAAS,CAAE,MAA2B;QACpC,IAAI,CAAC,UAAU,CAAC,OAAO,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,SAAS,IAAI,EAAE,CAAC,SAAS,CAAC,MAAM,CAAC,CAAC,CAAC;IACtE,CAAC;CACF;AAVD,8CAUC;AAED,MAAa,iBAAiB;IAC5B,YAA6B,IAA2C;QAA3C,SAAI,GAAJ,IAAI,CAAuC;IAAG,CAAC;IAE5E,QAAQ,CAAC,OAAgB;QACvB,OAAO,IAAI,CAAC,IAAI,CAAC,OAAO,CAAC,CAAC;IAC5B,CAAC;CACF;AAND,8CAMC"}
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DELETED
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{"version":3,"file":"index.js","sourceRoot":"","sources":["../../src/behaviour/index.ts"],"names":[],"mappings":";;;;;;;;;;;;AAAA,8CAA4B;AAC5B,uDAAqC;AACrC,oDAAkC"}
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|
-
if (!this.balance) {
|
|
23
|
-
this.balance = quote.total;
|
|
24
|
-
}
|
|
25
|
-
if (!this.entry) {
|
|
26
|
-
this.entry = price;
|
|
27
|
-
}
|
|
28
|
-
this.exit = price;
|
|
29
|
-
}
|
|
30
|
-
statement(output) {
|
|
31
|
-
const pnl = this.exit / this.entry - 1;
|
|
32
|
-
const scale = (0, common_1.precision)(this.entry);
|
|
33
|
-
output['benchmark_entry'] = this.entry;
|
|
34
|
-
output['benchmark_exit'] = this.exit;
|
|
35
|
-
output['benchmark_pnl'] = (0, common_1.floor)(this.balance * pnl, scale);
|
|
36
|
-
output['benchmark_pnl_pp'] = (0, common_1.floor)(pnl * 100, 2);
|
|
37
|
-
output['benchmark_drawdown_pp'] = (0, common_1.floor)(this.drawdown * 100, 2);
|
|
38
|
-
}
|
|
39
|
-
}
|
|
40
|
-
exports.BenchmarkStatementBehaviour = BenchmarkStatementBehaviour;
|
|
41
|
-
//# sourceMappingURL=benchmark-statement.behaviour.js.map
|
|
@@ -1 +0,0 @@
|
|
|
1
|
-
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|